Prudential Regulation Authority Rulebook

Institutions calculating their capital requirements in accordance with Article 363 shall disclose the following information:

1. (a) for each sub-portfolio covered:
1. (i) the characteristics of the models used;
2. (ii) where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model;
3. (iii) a description of stress testing applied to the sub-portfolio;
4. (iv) a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;
2. (b) the scope of permission by the competent authority;
3. (c) a description of the extent and methodologies for compliance with the requirements set out in Articles 104 and 105;
4. (d) the highest, the lowest and the mean of the following:
1. (i) the daily value-at-risk measures over the reporting period and at the end of the reporting period;
2. (ii) the stressed value-at-risk measures over the reporting period and at the end of the reporting period;
3. (iii) the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and at the end of the reporting period;
5. (e) the elements of the own funds requirement as specified in Article 364;
6. (f) the weighted average liquidity horizon for each sub-portfolio covered by the internal models for incremental default and migration risk and for correlation trading;
7. (g) a comparison of the daily end-of-day value-at-risk measures to the one-day changes of the portfolio's value by the end of the subsequent business day together with an analysis of any important overshooting during the reporting period.

[Note: This rule corresponds to Article 455 of the CRR as it applied immediately before revocation by the Treasury.]