Prudential Regulation Authority Rulebook

1.

Firms must submit information in relation to each ring-fenced fund, each matching adjustment portfolio and the remaining part to the PRA annually using the following templates (as applicable):

1. (a) template IRR.01.01.01 of Chapter 9, specifying the content of the submission, following the instructions set out in section IR.01.01 of Chapter 10;
2. (b) template IRR.02.01.01 of Chapter 9, specifying balance sheet information using both the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation following the firm's financial statements, following the instructions set out in section IR.02.01 of Chapter 10;
3. (c) template IRR.12.01.01 of Chapter 9, specifying information on life technical provisions, following the instructions set out in section IR.12.01 of Chapter 10;
4. (d) template IRR.17.01.01 of Chapter 9, specifying information on non-life technical provisions for each line of business following the instructions set out in section IR.17.01 of Chapter 10;
5. (e) template IRR.22.02.01 of Chapter 9, specifying information on the projection of future cash flows for the best estimate calculation by each matching adjustment portfolio, following the instructions set out in section IR.22.02 of Chapter 10;
6. (f) template IRR.22.03.01 of Chapter 9, specifying information on each matching adjustment portfolio, following the instructions set out in section IR.22.03 of Chapter 10;
7. (g) template IRR.25.04.01 of Chapter 9, specifying information in relation to the calculation of the notional SCR (ring-fenced funds, matching adjustment portfolios and remaining part), following the instructions set out in section IR.25.04 of Chapter 10;
8. (h) where the firm uses a full internal model or a partial internal model, template IRR.25.05.01 of Chapter 9, specifying information on the notional SCR (ring-fenced funds, matching adjustment portfolios, remaining part), following the instructions set out in section IR.25.05 of Chapter 10;
9. (i) [Note: Provision left blank];
10. (j) template IRR.26.01.01 of Chapter 9, specifying information on market risk, following the instructions set out in section IR.26.01 of Chapter 10;
11. (k) template IRR.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;
12. (l) template IRR.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;
13. (m) template IRR.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;
14. (n) template IRR.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;
15. (o) template IRR.26.06.01 of Chapter 9, specifying information on operational risk, following the instructions set out in section IR.26.06 of Chapter 10;
16. (p) template IRR.26.07.01 of Chapter 9, specifying information on the simplifications used in the calculation of the notional SCR, following the instructions set out in section IR.26.07 of Chapter 10;
17. (q) template IRR.27.01.01 of Chapter 9, specifying information on notional SCR (non-life and health catastrophe risk), following the instructions set out in section IR.27.01 of Chapter 10; and
18. (r) template IRR.05.03.01 of Chapter 9, specifying information on life income and expenditure following the instructions set out in section IR.05.03 of Chapter 10.

2.

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

3.

Where a full internal model is used, the templates referred to in points (j) to (q) are not required to be reported.