11.2 Internal Capital Adequacy Assessment Process (ICAAP)
(1) A Bank must implement and maintain an ICAAP which details the processes and procedures by which the Bank will assess and maintain adequate Capital Resources in relation to the risks faced by it.
(2) The Bank must conduct an ICAAP assessment at least annually giving due regard to the guidance in Chapter 11 of the BPG.
(3) The ICAAP assessment conducted by the Bank pursuant to (2) must be approved by its Governing Body and then submitted to the AFSA within four months from the end of the Bank’s financial year.
(4) In addition to (2), the Bank must conduct an ICAAP assessment:
- (a) whenever there is material change to the business, strategy, nature or scale of the activities of the Bank which may have a significant impact on its risk profile or adequacy of its regulatory capital; or
- (b) as and when required by the AFSA.
(5) The ICAAP assessment conducted by the Bank pursuant to (4) must be approved by its Governing Body and then submitted to the AFSA within two months from the date of such material change or requirement.
(6) A Bank must ensure that an ICAAP assessment is documented in writing and includes details of:
- (a) the calculations and models used in the determination of the level of Capital Requirements which it considers will be adequate to cover all the risks identified by its ICAAP assessment;
- (b) the Bank’s strategies and plans to ensure availability of the level of capital determined by the ICAAP;
- (c) specifications of any models used in the ICAAP, including the underlying assumptions, parameters, and results of back-testing; and
- (d) any other relevant information, giving due and appropriate regard to the guidance in Chapter 11 of the BPG.
(7) A Bank must retain the records of an ICAAP assessment for at least six years.