Part

Internal Capital Adequacy Assessment

Chapter

Application and Definitions

Printed on: 06/11/2024

Rulebook at: 06/11/2024

1

Application and Definitions

1.1

This Part applies to a CRR firm save that 14.4A to 14.10, 14.12, 14.12A, 14.13, 14.15 and 14.16 apply, as appropriate, to an Article 109 undertaking.

  • 29/12/2020

1.2

In this Part the following definitions shall apply:

means any risk to a firm arising from:
    1. (1) changes in its business, including:
      1. (a) the acute risk to earnings posed by falling or volatile income; and
      2. (b) the broader risk of a firm’s business model or strategy proving inappropriate due to macroeconomic, geopolitical, industry, regulatory or other factors; or
    2. (2) its remuneration policy.
has the meaning given in point (1) of Article 2 of Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC Derivatives, central counterparties and trade repositories.
means the risk driven by changes in the market perception about the price of credit risk, liquidity premium and potentially other components of credit-risky instruments inducing fluctuations in the price of credit risk, liquidity premium and other potential components, which is not explained by interest rate risk arising from non-trading book activities or by expected credit/(jump-to-) default risk.
means the economic value of equity of a firm.
means in relation to a person (“A”), A and any person:
  1. (a) who has relationship with A of the kind specified in s. 421 of FSMA;
  2. (b) who is a member of the same financial conglomerate as A;
  3. (c) who has a common management relationship with A;
  4. (d) who has a common management relationship with any person who falls into (a);
  5. (e) who is a subsidiary of a person in (c) or (d);
  6. (f) who is member of the same consolidation group as A; or
  7. (g) whose omission from an assessment of the risks to A of A's connection to any person coming within (a)-(f) or an assessment of the financial resources available to such persons would be misleading.
means the risk that the financial position of a firm may be adversely affected by its relationships (financial or non-financial) with other entities in the same group or by risk which may affect the financial position of the whole group, including reputational contagion.
means the risk that a firm although solvent, either does not have available sufficient financial resources to enable it to meet its obligations as they fall due, or can secure such resources only at excessive cost.
means the risk that arises from fluctuations in values of or income from assets or in interest or exchange rates.
means risk arising from option derivative positions or from optional elements embedded in a firm’s assets, liabilities and off-balance sheet items, where the firm or its counterparty can alter the level and timing of their cash flows.
means:
    1. (1) the risk to a firm caused by its contractual or other liabilities to or with respect to a pension scheme (whether established for its employees or those of a related company or otherwise); or
    2. (2) the risk that the firm will make payments or other contributions to or with respect to a pension scheme because of a moral obligation or because the firm considers that it needs to do so for some other reason.
means the risk that credit risk mitigation techniques used by the firm prove less effective than expected.
  • 01/01/2022

1.3

Unless otherwise defined, any italicised expression used in this Part and in the CRR has the same meaning as in the CRR.
  • 01/01/2014