Prudential Regulation Authority Rulebook

5.1

The PRA has set out the TWD templates in the appendices. TWD firms should use these templates as a guide to the breadth and granularity of data that the PRA would expect TWD firms to be able to produce.

5.2

TWD firms may present the relevant data in a different form than has been set out in the templates, as the PRA considers it is important that TWD firms have responsibility for how they meet the expectations set out in this SS for the methodology, models, and frameworks needed to forecast the impact of the TWD option on TWD firms’ capital requirements, capital resources, and liquidity throughout the wind-down period.

5.3

The PRA expects TWD firms to be able to produce data of a breadth and granularity consistent with that set out in the TWD templates. However, TWD firms are also expected to increase or decrease the breadth and granularity of data as appropriate, given the size and complexity of their trading activities.

5.4

Where TWD firms consider that a different level of breadth and granularity of data is appropriate instead of that set out in the TWD templates, firms should be able to provide justification and assurance to the PRA. The PRA expects firms to conduct an analysis on their own format of data templates against the TWD templates in the appendices, and be able to explain that the firms’ data templates achieve the same outcomes and level of completeness as expected in this SS.

5.5

Appropriate completion of the templates would be sufficient for TWD firms to provide assurance to the PRA that they can provide data of an appropriate breadth and granularity to meet the expectation that TWD firms should have the methodology, models, and frameworks needed to forecast the impact of the TWD option on the TWD firm’s capital requirements, capital resources, and liquidity throughout the wind-down period.