PRU-EPRS 1.3 PRU-EPRS 1.3 Instructional Guidelines — Form B10 — Appendix 2 — Details of Counterparty Risk Exposures
Form B10A2 is intended to capture the details regarding the Counterparty Risk of an
This form is applicable to
Authorised Firmswhich are Domestic Firms, and are categorised under prudential categories 1, 2, and 3A. This form is not applicable to Authorised Firmsoperating through a Branchin the DIFC.
The form is designed to capture the data on
Counterparty Risk Exposuresarising from Unsettled Transactions, OTC Derivative trades, Securities Financing Transactions and Deferred Settlement Transactions included in the trading and Non- Trading Bookof an Authorised Firm. The form enables the calculation of amount at risk, weighted amount and the applicable Capital Requirement for Counterparty Risk.
Structure of the form in EPRS
B10A2 consists of four linked forms covering the main sections of this form dealing with "Counterparty Risk on Unsettled Transactions RWA", "OTC Derivatives RWA”, ”Securities Financing Transactions RWA" and "Deferred Settlement Transactions RWA". In each of the linked forms, “Exposure” and other information required are to be provided in the respective columns and the weighted amounts are calculated as per the applicable Risk Weight and multiplier, where it applies. The total Risk Weighted Assets for
CounterpartyRisk reported in the linked forms will be displayed as a result on the main form.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
PRU-EPRS 1.3 Instructional Guidelines
1. The details for calculating the Exposures on these risks are set out in PIB Sections A4.6 — A4.8 of the DFSA Rulebook.
2. The total Capital Requirement for Counterparty Risk is the sum of the capital charges arising from Unsettled Transactions, OTC Derivatives, securities financing transactions, deferred settlement transactions. The total Capital Requirement for Counterparty Risk calculated in this Appendix will be summed up with the Capital Requirement calculated in appendix B10A1 and reflected under the Risk Based Capital Requirement in Form B60.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]