PRU 10.4.3

An Authorised Person must ensure that an ICAAP assessment is documented in writing and includes details of:

(a) the calculations and models used in the determination of the level of Capital Requirements which it considers will be adequate to cover all the risks identified by its ICAAP assessment;
(b) the firm's strategies and plans to ensure availability of the level of capital determined by the ICAAP;
(c) specifications of any models used in the ICAAP, including the underlying assumptions, parameters, and results of back-testing; and
(d) any other relevant information, giving due and appropriate regard to the Guidance in App11.