SS31/15, the PRA’s statement on the ICAAP and the supervisory review process, sets the minimum; the current version was published on 28 October 2025 and took effect on 1 July 2026.
Firms must have policies and processes to evaluate and manage their operational risk exposure, and an approach, proportionate to the nature, size and complexity of the business, that captures potentially severe exposures at a soundness standard comparable to a 99.9% confidence interval over one year. Scenario analysis should cover at least all the Basel event types in Annex 2 of the Operational Risk Part; smaller firms may aggregate their scenarios in a simplified way.
At a minimum the ICAAP carries brief information on how the firm manages operational risk, the scenarios it has considered, and the available data on historical, expected and forecast losses, drawing on internal and external loss data where the firm runs a measurement framework.
From 1 January 2027 the Operational Risk Part adds loss data rules of its own; as we read them, and subject to which firms the Part brings into scope, they ask for documented collection procedures under independent review, losses mapped to the Annex 2 categories, and gross losses recorded apart from recoveries. In drafts we review, the loss table in the ICAAP and the register the first line keeps rarely reconcile, because different people maintain them on different thresholds. We check that first. Our ICAAP page covers the whole document.
Sources: PRA, SS31/15, 28 October 2025, paras 2.18A to 2.18E and 2.18J; PRA Rulebook, Operational Risk Part, loss data rules, effective 1 January 2027.