8A.1 This chapter sets out the methodology the PRA uses to inform the setting of a firm’s Pillar 2A capital requirement for group risk, including RFB group risk, where groups contain an RFB sub-group.

Definition and scope of application

8A.2 Group risk, as defined in the PRA Rulebook [Internal Capital Adequacy Assessment 1.2.], 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.

Methodology

8A.2 A The PRA’s assessment of group risk will be informed by the following:

•  the extent to which the allocation of the total amount of financial resources, own funds and internal capital between different parts of the consolidation group adequately reflects the nature, level and distribution of the risks to which the consolidation group is subject;