2.1 In Reporting Pillar 2:

• 'significant firm' means a deposit-taker or designated investment firm whose size, interconnectedness, complexity and business type give it the capacity to cause very significant disruption to the UK financial system (and through that to economic activity more widely) by failing or by carrying on its business in an unsafe manner;

• 'illiquid risk' refers to positions in the trading or available-for-sale books that are illiquid, concentrated or one-way. To this purpose, illiquid positions are those that cannot be liquidated or immunised within a ten-day period in a stressed market environment without materially affecting market prices. Firms will be expected to identify illiquid, concentrated and one-way positions using the firms' own criteria, methods and standards.

2.2 Firms are required under the Reporting Pillar 2 part of the PRA Rulebook to report Pillar 2 data to the PRA.

2.3 This information, together with data already collected in other regulatory reports, allows the PRA to assess a firm's Internal Capital Adequacy Assessment Process (ICAAP) and to calculate capital benchmarks for Pillar 2 risks. The data collection covers:

• the results of the Pillar 2 capital methodologies calculated by firms;

• data that are used by the PRA to process the Pillar 2A capital methodologies;

• data that allow supervisors to verify the calculation of the Pillar 2A capital methodologies; and