Prudential Regulation Authority Rulebook

7.1

A capital assessment should consider risks to the number of claims, the amount paid and the timing of a firm’s liabilities which could result in a change in the cost of those liabilities.

7.2

The assets that a firm holds carry risk, both in their own right and to the extent that they do not match the liabilities that they are backing. The risk associated with these assets should be considered over the full term for which the firm expects to carry the liabilities.