| There is a low level of risk of significant prudential impact 1 on the investment firm considering the level of inherent risk and the management and controls. | • • • • • | The nature and composition of • market risk exposures imply not material/very low risk. The investment firm’s exposures to market risk are non-complex. The level of market risk • concentration is not material/very low. The investment firm’s market risk exposures generate non-volatile returns. The nature and composition of | controls There is consistency between the investment firm’s market risk policy and strategy and its overall strategy and risk appetite. The organisational framework for market risk is robust, with clear responsibilities and a clear separation of tasks between risk takers and management and control functions. |
| There is a medium-low risk of significant prudential impact 2 on the investment firm considering the level of inherent risk and the management and controls. | • • • • | market risk exposures imply low to • medium risk. The complexity of the investment firm’s market risk exposures is low • to medium. The level of market risk concentration is low to medium. The investment firm’s market risk exposures generate returns that have a low to medium degree of volatility. The nature and composition of • | Market risk measurement, monitoring and reporting systems are appropriate. Internal limits and the control framework for market risk are sound and in line with the investment firm’s risk management strategy and risk appetite. There is a deficiency in the |
| There is a medium-high risk of significant prudential impact 3 on the investment firm considering the level of inherent risk and the management and controls. | • • • • | market risk exposures imply medium to high risk. The complexity of the investment firm’s market risk exposures is medium to high. • The level of market risk concentration is medium to high. The investment firm’s exposures to market risk generate returns that have a medium to high degree of volatility. • The nature and composition of | investment firm’s market risk policy and strategy relative to its overall strategy and risk appetite. The organisational framework for market risk lacks clear responsibilities and a clear separation of tasks between risk takers and management and control functions. Market risk measurement, monitoring and reporting |
| There is a high risk of significant prudential impact 4 on the investment firm considering the level of inherent risk and the management and controls. | • • • | market risk exposures imply high risk. The complexity of the investment firm’s market risk exposures is high. The level of market risk • concentration is high. The investment firm’s exposures to market risk generate returns that have a high degree of volatility. | systems are not sufficient or consistent enough, some risks are not properly monitored or reported. Internal limits and the control framework for market risk are not in line with the investment firm’s risk management strategy and risk appetite. |