SS31/15 - The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)

Supervisory Statement 31/15

First published on 29 July 2015

This Prudential Regulation Authority (PRA) supervisory statement (SS) is aimed at firms to which CRD applies and replaces PRA SS5/13 and PRA SS6/13. It provides further detail on the high-level expectations outlined in ‘The Prudential Regulation Authority’s approach to banking supervision’. 

The SS has five chapters, including:

  • Chapter 2: Expectations of firms undertaking an Internal Capital Adequacy Assessment Process (ICAAP). This sets out our expectations in relation to the ICAAP and the requirements set out in the ICAA part of the PRA Rulebook.
  • Chapter 3: Stress testing, scenario analysis and capital planning. This sets out our expectations of firms in relation to stress testing, scenario analysis and capital planning, and the requirements set out in Chapter 12 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook.
  • Chapter 4: Reverse stress testing. This sets out our expectations of firms in relation to reverse stress testing, and the requirements set out in Chapter 15 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook.
  • Chapter 5: The Supervisory Review and Evaluation Process (SREP). This sets out the factors that we take into consideration to assess a firm’s ICAAP, including the setting of form-specific capital requirements and the PRA buffer.

This SS should be read in conjunction with the Statement of Policy ‘The PRA’s methodologies for setting Pillar 2 capital’. For ring-fenced bodies (RFBs), as defined in the Financial Services and Markets Act 2000 (FSMA), section 142A, and banking groups containing RFBs, this statement should be read alongside SS8/16 ‘Ring-fenced Bodies (RFBs)’.

Current version

Published 11 May 2023. Effective from 11 May 2023.

- following PS5/23 – Risks from contingent leverage

Past versions