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  • PRU-EPRS 1.5 PRU-EPRS 1.5 Instructional Guidelines — Form B10 — Appendix 4 — Calculation of the DCR

    Purpose

    Form B10A4 is intended to reflect the data on different elements of an Authorised Firm's Displaced Commercial Risk (DCR) Capital Requirement.

    Applicability

    This form is applicable to Authorised Firms falling under prudential category 5. Note that the DCR only applies in respect of Unrestricted PSIA accounts.

    Content

    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 PSIAs managed by an Authorised Firm as 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 Firms are advised to complete the appendices referred above before attempting to complete this form.

    Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
    [Amended] [VER2/04-13]

    • PRU-EPRS 1.5 Instructional Guidelines

      DCR is defined in Chapter 5 of IFR Module. Authorised Firms are advised to refer to that Module to understand why DCR arises and how it is calculated. Authorised Firms are reminded that DCR only applies in respect of Unrestricted PSIA assets. 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 PSIA assets. 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 PSIACOM Market 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]
      [Amended] [VER2/04-13]