1.1 This supervisory statement is relevant to all PRA-regulated banks, building societies, designated investment firms and all PRA-approved or PRA-designated holding companies and replaces PRA Supervisory Statement (SS) 5/13 [PRA Supervisory Statement SS5/13, ‘The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) ’, December 2013] and PRA SS6/13 [PRA Supervisory Statement SS6/13, ‘Stress testing, scenario analysis and capital planning’, December 2013] [On 1 February 2017, this SS was updated - see annex for full details.].

1.2 It provides further detail in relation to the high-level expectations outlined in The Prudential Regulation Authority's approach to banking supervision [June 2014].

1.3 Chapter 2: 'Expectations of firms undertaking an ICAAP' sets out the expectations the PRA has in relation to the ICAAP and the requirements set out in the Internal Capital Adequacy Assessment (ICAA) Part of the PRA Rulebook. It sets out the PRA’s expectations regarding firms’ coverage and treatment of interest rate risk in the non-trading book (more commonly referred to as interest rate risk in the banking book or IRRBB), market risk, group risk, operational risk, pension obligation risk and foreign currency lending to unhedged retail and SME borrowers. It also provides additional detail on data that firms are required or expected to submit with their ICAAP document or otherwise as applicable.