Prudential Regulation Authority Rulebook

1.

Firms must submit information to the PRA annually using the following templates (as applicable):

1. (a) template IR.25.04.01 of Chapter 9, specifying information in relation to the calculation of the SCR, following the instructions set out in section IR.25.04 of Chapter 10;
2. (b) where the firm uses a full internal model or a partial internal model, template IR.25.05.01, specifying information in relation to the calculation of the SCR, following the instructions set out in section IR.25.05 of Chapter 10;
3. (c) template IR.25.06.01, specifying the SCR – loss-absorbing capacity of deferred taxes, following the instructions set out in IR.25.06 of Chapter 10;
4. (d) template IR.26.01.01 of Chapter 9, specifying information on market risk, following the instructions set out in section IR.26.01 of Chapter 10;
5. (e) template IR.26.02.01 of Chapter 9, specifying information on counterparty default risk, following the instructions set out in section IR.26.02 of Chapter 10;
6. (f) template IR.26.03.01 of Chapter 9, specifying information on life underwriting risk, following the instructions set out in section IR.26.03 of Chapter 10;
7. (g) template IR.26.04.01 of Chapter 9, specifying information on health underwriting risk, following the instructions set out in section IR.26.04 of Chapter 10;
8. (h) template IR.26.05.01 of Chapter 9, specifying information on non-life underwriting risk, following the instructions set out in section IR.26.05 of Chapter 10;
9. (i) template IR.26.06.01 of Chapter 9, specifying information on operational risk, following the instructions set out in section IR.26.06 of Chapter 10;
10. (j) template IR.26.07.01 of Chapter 9, specifying information on the simplifications used in the calculation of the SCR, following the instructions set out in section IR.26.07 of Chapter 10; and
11. (k) template IR.27.01.01 of Chapter 9, specifying information on SCR (non-life and health catastrophe risk), following the instructions set out in section IR.27.01 of Chapter 10.

2.

In relation to ring-fenced funds or matching adjustment portfolios, the templates referred to in points (d) to (k) of paragraph 1 are not required to be reported for the entity as a whole.

3.

Where a partial internal model is used, the templates referred to in points (d) to (k) of paragraph 1 are only required to be reported in relation to the risks covered by the standard formula.

4.

Where a full internal model is used, the templates referred to in points (d) to (k) of paragraph 1 are not required to be reported.