PRU APP12 PUBLIC DISCLOSURE REQUIREMENTS

Table 1 — Scope of application

 

Qualitative Disclosures (a) The name of the Authorised Person.
(b) In the case of a Financial Group, a list of all the entities forming part of the Financial Group and a brief description of each of those entities. In addition, a description of differences in the basis of consolidation for regulatory purposes compared to that required under the International Financial Reporting Standards. The description must include a brief description of the entities:
(i) that are fully consolidated;
(ii) that are consolidated on a pro-rata basis;
(iii) that are equity-accounted;
(iv) that are included as deductions from any of the components of Capital Resources;
(v) from which surplus capital is recognised, if any; and
(vi) that are not consolidated and not deducted.
(c) Any restrictions or impediments on transfer of funds or regulatory capital within the Financial Group.

 

Table 2 — Capital

 

Qualitative Disclosures (a) A description of the terms and conditions and main features of all capital instruments included within every component of Capital Resources — CET 1 Capital, AT1 Capital and T2 Capital.
Quantitative Disclosures (b)
(i) Amounts of every element eligible for inclusion in CET1 Capital;
(ii) Regulatory adjustments to CET1 Capital;
(iii) Deductions from CET1 Capital; and
(iv) Amount of total CET1 Capital.
(c)
(i) Amounts of every element eligible for inclusion in AT1 Capital;
(ii) Regulatory adjustments to AT1 Capital;
(iii) Deductions from AT1 Capital; and
(iv) Amount of total AT1 Capital.
(d)
(i) Amounts of every element eligible for inclusion in T2 Capital;
(ii) Regulatory adjustments to T2 Capital;
(iii) Deductions from T2 Capital; and
(iv) Amount of total T2 Capital.
(e) Amount of eligible Capital Resources.

 

Table 3 – Capital Adequacy and Leverage

 

Qualitative Disclosures (a) A description of the overall capital management system and approach to assessing the adequacy of its capital to support current and future activities.

This should include description of systems, controls and processes for capital management and capital mobilisation plans for the medium term.
Quantitative Disclosures (b)
(i) Total Credit Risk RWA;
(ii) Amount of Credit RWA for each asset class giving rise to CR Exposures and Counterparty Risk Exposures, and for SE Exposures; and
(iii) Amount of Credit RWAs for Early Amortisation Exposures, included in SE Exposures, if any.
(c) Market Risk Capital Requirement for each component of Market Risk as listed in Rule 5.1.1, calculated using:
(i) Rules prescribed in Chapter 5;
(ii) Internal Models Approach;
(iii) both (i) and (ii).
(d) Operational Risk Capital Requirement calculated under the following approaches, where applicable:
(i) Basic Indicator Approach;
(ii) Standardised Approach;
(iii) Alternative Standardised Approach; or
(iv) a combination of any of the above.
(e) Capital Requirement at the solo and at the Financial Group level.
(f)
(i) CET1 Capital ratio as a percentage of Total Risk Exposure Amount;
(ii) T1 Capital ratio as a percentage of Total Risk Exposure Amount;
(iii) Capital Resources as a percentage of Total Risk Exposure Amount; and
(iv) These ratios must be disclosed at both the Authorised Person level and at the Financial Group level.
(g) The ratios referred to in (f) must be disclosed for each significant entity in the case of a Financial Group.
(h)
(i) The Leverage Ratio;
(ii) the Capital Measure; and
(iii) the Exposure Measure.

 

Table 4 – Liquidity Risk

 

Quantitative Disclosures (a) A description of the policies of the Authorised Person in relation to:
(i) The Liquidity Coverage Ratio;
(ii) total high-quality liquid assets (HQLA) – unweighted;
(iii) total high-quality liquid assets (HQLA) – weighted;
(iv) total net cash outflows – unweighted; and
(v) total net cash outflows – weighted.
(b)
(i) The Net Stable Funding Ratio;
(ii) Available Stable Funding – capital instruments;
(iii) Available Stable Funding – other liabilities;
(iv) Required Stable Funding – assets; and
(v) Required Stable Funding – off-balance sheet items.