Related links

PS17/15 - Assessing capital adequacy under Pillar 2 - PS17/15 UPDATE https://www.bankofengland.co.uk/prudential-regulation/publication/2015/assessing-capital-adequacy-under-pillar-2
PS3/16 - Pillar 2: Update to reporting data items and instructions https://www.bankofengland.co.uk/prudential-regulation/publication/2015/pillar-2-update-to-reporting-data-items-and-instructions
PS3/17 - The implementation of ring-fencing: reporting and residual matters https://www.bankofengland.co.uk/prudential-regulation/publication/2017/the-implementation-of-ring-fencing-reporting-and-residual-matters-responses-to-cp2516-and
PS22/17 - Refining the PRA’s Pillar 2A capital framework https://www.bankofengland.co.uk/prudential-regulation/publication/2017/refining-the-pra-pillar-2a-capital-framework
PS6/18 - "Responses to CP18/17 Occasional Consultation Paper – Chapters 2 to 6, 9 and 10" https://www.bankofengland.co.uk/prudential-regulation/publication/2018/responses-to-cp-18-17-chapters-2-to-6-9-and-10
PS8/18 - Pillar 2: Update to reporting requirements https://www.bankofengland.co.uk/prudential-regulation/publication/2017/pillar-2-update-to-reporting-requirements
PS30/18 - Regulatory Reporting: Responses to CP16/18 https://www.bankofengland.co.uk/prudential-regulation/publication/2018/regulatory-reporting-occasional-consultation-paper
PS29/20 - Capital Requirements Directive V (CRD V) https://www.bankofengland.co.uk/prudential-regulation/publication/2020/capital-requirements-directive-v-further-implementation
PS30/20 - The Bank of England’s amendments under the European Union (Withdrawal) Act 2018: Changes before the end of the transition period https://www.bankofengland.co.uk/prudential-regulation/publication/2020/uk-withdrawal-from-the-eu-changes-before-the-end-of-the-transition-period
SS32/15 - Pillar 2 reporting, including instructions for completing data items FSA071 to FSA082 http://www.bankofengland.co.uk/pra/Pages/publications/ss/2016/ss3215update.aspx
SS31/15 - The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) http://www.bankofengland.co.uk/pra/Pages/publications/ss/2017/ss3115update.aspx
Statement of Policy – The PRA’s methodologies for setting Pillar 2 capital https://www.bankofengland.co.uk/prudential-regulation/publication/2015/the-pras-methodologies-for-setting-pillar-2-capital
SS2/19 - PRA approach to interpreting reporting and disclosure requirements and regulatory transactions forms after EU withdrawal https://www.bankofengland.co.uk/prudential-regulation/publication/2019/pra-approach-to-interpreting-reporting-and-disclosure-reqs-and-reg-trans-forms-ss

Chapters

  • 1 Application and Definitions
  • 2 Pillar 2 Reporting Requirements
  • 3 Submission
  • 4 Data Items

1

Application and Definitions

1.1

This Part applies to every firm that is a CRR firm.

1.2

A firm that is neither a subsidiary of a parent undertaking incorporated in or formed under the law of any part of the UK nor a parent undertaking must comply with this Part on an individual basis.

1.3

A firm that is not a member of a consolidation group must comply with this Part on an individual basis.

1.4

The changes to this rule are effective from 23:00 on 31/12/2020.

A firm which is a UK parent institution must comply with this Part on a consolidated basis.

1.5

The changes to this rule are effective from 23:00 on 31/12/2020.

A firm controlled by a UK parent financial holding company or a UK parent mixed financial holding company must comply with this Part on the basis of the consolidated situation of that holding company, if the PRA is responsible for supervision of the firm on a consolidated basis.

1.6

In this Part the following definitions shall apply:

Advanced Measurement Approach

means the advanced measurement approach referred to in Article 312(2) of the CRR.

defined benefit pension scheme

means an occupational pension scheme with benefits defined independently of the firm’s contributions as employer and investment returns.

ICAAP assessment

means a firm’s written record of the assessments required under Internal Capital Adequacy Assessment.

IRB Approach

has the meaning given in article 143(1) of the CRR.

occupational pension scheme

has the meaning given in article 3(1) of the Regulated Activities Order.

Standardised Approach to credit risk

means the approach to credit risk set out in Chapter 2 of Title II of CRR.

2

Pillar 2 Reporting Requirements

2.1

A firm must complete the data item FSA071 for the risk assessments required in the ICAA Part.

2.2

A firm must complete the data items FSA078 and FSA079 for concentration risk.

2.3

A significant firm and any firm that is not significant but that has permission from the PRA to use the Advanced Measurement Approach must complete the data items FSA072, FSA073, FSA074 and FSA075 for operational risk, unless the data required in that data item has already been reported to the PRA by other means.

2.4

A firm with significant illiquid risk in its trading book must complete the data item FSA080 for market risk, unless the data required in that data item has already been reported to the PRA by other means.

2.5

A firm with permission from the PRA to use the IRB Approach for retail claims or contingent retail claims must complete the data item FSA082 for credit risk that relates to the IRB Approach for retail exposures.

2.6

A firm with a defined benefit pension scheme must complete the data item FSA081 for pension obligation risk, unless the data required in that data item has already been reported to the PRA by other means.

2.7

A firm must complete the data item FSA076 for any wholesale portfolio of exposures for which capital requirements are calculated using the Standardised Approach to credit risk.

2.8

A firm must complete the data item FSA077 for any retail portfolio of exposures for which capital requirements are calculated using the Standardised Approach to credit risk.

2.9

A firm with total assets equal to or greater than £5 billion at the relevant level of consolidation used as the basis of its ICAAP must complete the data item PRA111.

3

Submission

3.1

A firm must submit the data items it is required to complete by this Part to the PRA at the same time as the firm submits its ICAAP assessment to the PRA.

3.2

A firm that does not submit an ICAAP assessment to the PRA on an annual basis must submit the data items it is required to complete by this Part to the PRA on a regular basis that is proportionate to the nature, scale and complexity of the firm’s activities.

3.3

Data items must be submitted to the PRA by electronic means.

3.4

When submitting the required data item, a firm must use the template for the data item set out in Chapter 4.

4

Data Items

4.1

FSA071 can be found here.

4.2

FSA072 can be found here.

4.3

FSA073 can be found here.

4.4

FSA074 can be found here.

4.5

FSA075 can be found here.

4.6

FSA078 can be found here.

4.7

FSA079 can be found here.

4.8

FSA080 can be found here.

4.9

FSA081 can be found here.

4.10

FSA082 can be found here.

4.11

FSA076 can be found here.

4.12

FSA077 can be found here.

4.13

PRA111 can be found here.