Captives welcoming year in this part of Wales (5)
I believe the answer is:
powys
'this part of wales' is the definition.
(Welsh county)
'captives welcoming year' is the wordplay.
'captives' becomes 'POWs' (prisoners of war).
'welcoming' is an insertion indicator (in sense of 'inviting in').
'year' becomes 'y'.
'pows' enclosing 'y' is 'POWYS'.
'in' acts as a link.
(Other definitions for powys that I've seen before include "Largest Welsh county" , "Region of Wales" , "County of central Wales" , "John Cowper -, twentieth century Welsh novelist" , "County in Mid Wales" .)