Part

Internal Capital Adequacy Assessment

Chapter

Market Risk

Printed on: 06/11/2024

Rulebook at: 01/01/2014

8

Market Risk

8.1

A firm must implement policies and processes for the identification, measurement and management of all material sources and effects of market risks.

[Note: Art 83(1) of the CRD]

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8.2

A firm must take measures against the risk of a shortage of liquidity if the short position falls due before the long position.

[Note: Art 83(2) of the CRD]

  • 01/01/2014

8.3

A firm’s financial resources and internal capital must be adequate for material market risks that are not subject to an own funds requirement.

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8.4

A firm which has, in calculating own funds requirements for position risk in accordance with Part Three, Title IV, Chapter 2 of the CRR, netted off its positions in one or more of the equities constituting a stock-index against one or more positions in the stock-index future or other stock-index product, must have adequate financial resources and internal capital to cover the basis risk of loss caused by the future's or other product's value not moving fully in line with that of its constituent equities.

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8.5

A firm using the treatment in Article 345 of the CRR must ensure that it holds sufficient financial resources and internal capital against the risk of loss which exists between the time of the initial commitment and the following working day.

[Note: Art 83(3) of the CRD]

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8.6

As part of its obligations under the overall Pillar 2 rule in 3.1, a firm must consider whether the value adjustments and provisions taken for positions and portfolios in the trading book enable the firm to sell or hedge out its positions within a short period without incurring material losses under normal market conditions.

[Note: Art 98(4) of the CRD]

  • 01/01/2014