PRU-EPRS 1.5 PRU-EPRS 1.5 Instructional Guidelines — Form B10 — Appendix 4 — Calculation of the DCR
Form B10A4 is intended to reflect the data on different elements of an Authorised Firm's Displaced Commercial Risk (DCR) Capital Requirement.
This form is applicable to Authorised Firms falling under prudential category 5. Note that the DCR only applies in respect of Unrestricted
The form is designed to capture the credit and market risk capital requirements pertaining to the assets of both restricted and Unrestricted PSIA accounts and calculate the Displaced Commercial Risk capital charge in respect of the
PSIAsmanaged by an Authorised Firmas per applicable PIB Rules.
Structure of the form in EPRS
The form does no allow any manual data entry. The values required for completion of this form are directly sourced from the detailed appendices relating to CRCOM, Counterparty Risk Capital Requirement and Market Risk Capital Requirement pertaining to the restricted and Unrestricted PSIA businesses (Appendices B20A2, B20A3, B20A5, B20A6 and B20A7 respectively) that precede this form. So,
Authorised Firmsare advised to complete the appendices referred above before attempting to complete this form.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
PRU-EPRS 1.5 Instructional Guidelines
DCR is defined in Chapter 5 of IFR Module.
Authorised Firmsare advised to refer to that Module to understand why DCR arises and how it is calculated. Authorised Firmsare reminded that DCR only applies in respect of Unrestricted PSIAassets. As noted earlier, this Appendix aggregates totals from the detailed appendices that precede this form. Item No. Item Instructional Guidelines B104_010T PSIACOM Credit PSIACOM Credit comprised CRCOM and CPCOM calculated on PSIAassets. It is the sum of item nos. [B104_0110 and B104_0120] below. B104_0110 CPCOM CPCOM for PSIAU comes from Form B20A5. B104_0120 CRCOM CRCOM for PSIAU comes from Form B20A2. B104_ 025T PSIACOM Market The figures for PSIACOMMarket are all derived from Form B20A7. B104_000T Calculation of DCR DCR represents (PSIACOM Credit +PSIACOM Market) * 35%. This figure is transferred to Form B60, item no. B104_000T.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]