PRU-EPRS 1.7 PRU-EPRS 1.7 Instructional Guidelines — Form B20 — Appendix 1 — Details of Non-Trading Book Assets — self-financed
Form B20A1 is intended to capture the details regarding the calculation of risk weighted assets in respect of the self-financed assets in the
Non-Trading Book("NTB") of an Authorised Firm.
This form is applicable to
Authorised Firmswhich are Domestic Firmsand are categorised under prudential category 5. It is also applicable to Authorised Firmswhich are Domestic Firmsclassified under prudential category 1 and involved in managing PSIAs within an Islamic Window.
The form is designed to capture the details regarding the risk weighted assets on the
Non-Trading Bookand the applicable capital charge.
Structure of the form in EPRS
B20A1 consists of following three linked forms
• On Balance Sheet items RWA;
• Off Balance sheet items RWA; and
• Securitisation Exposures RWA.
Accordingly, all on balance sheet items should be analysed in the first linked form, off balance sheet items in the second linked form, and securitisation Exposures in the third linked form.
The main form has the links to the three linked forms and also displays the total RWA calculated by each of the linked forms. The main form also calculates the total Non-Trading Book Risk Weighted Asset (NTB RWA) and the CRCOM applicable to the
Authorised Firm.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
PRU-EPRS 1.7 Instructional Guidelines
In order to complete this form1.
Authorised Firmsshould refer to the detailed Rules and guidance set out in PIB Chapter 4 and Appendix 4 to understand the rationale behind risk weighting of assets in the NTB and the relevant Rules for risk weighting.2. Form B10A1 is a simple form requiring the Authorised Firmto report its total on-balance sheet Exposures 'E' into each of the Credit Risk Weight % buckets. The form will automatically calculate the RWA. Firms should complete the categorisation of Credit Risk Exposures in accordance with PIB 4.10 before reporting the total Exposures 'E' in the second column of the form.3. PIB Section A4.10 contains detailed Rules on classifying Credit Risk Exposures ("CR Exposures") and Section 4.12 contains detailed Rules for the application of Risk Weightsfor each category of CR Exposure. If an Authorised Firmis uncertain as to where to classify a particular Exposure, it should contact the DFSA to obtain this clarity.4. Detailed guidance is provided at PIB section 4.9 in order to calculate the value of E to be reported in this form. E should be reported net of any individual impairment and incorporating any changes required to incorporate the effect of acceptable Credit Riskmitigations as set out in PIB section 4.13.5. On balance sheet items form: Analyse each of the on-balance sheet items and classify them into various risk weight categories as per applicable PIB Rules referred to above. The applicable risk weight categories are listed for each of the asset groups in PIB 4.12. The total value of assets classified into a particular risk weight category should be entered in the second column — titled "Exposure - E", against the respective risk weight percentages.6. Off-balance sheet items form: The second linked form which deals with off-balance sheet items provides for entry of the aggregate amount of off-balance sheet items classified into categories representing a specific Credit Conversion Factor ("CCF"). Each CCF is dealt with in a separate table. All the off-balance sheet items should be analysed and classified on the basis of the CCF applicable to them in accordance with PIBA4.2. These are then analysed and classified into various risk weights as per Rules in PIB Section 4.12 and in line with the guidance provided above. The aggregate NTB amount for that particular CCF is then classified in to those pertaining to different risk weight categories. The RWA is calculated automatically by the form.7. Securitisation Exposure form — this form has two further linked forms. The first form sets out details of the Securitisation Exposures ("SE"). Details of the calculation of SE are set out in detail in PIB 4.8.4. Authorised Firmsare required to report total SE in the 'Exposure —E' column corresponding to the appropriate risk weight as determined by PIB section 4.14.8. The second linked form calculates the RWA for securitisations with early amortisation provisions. This form has purposely been left in free form as the Authorised Firmwill be required to manually calculate both its investors interest and the applicable RWA. The applicable Rulesfor the calculation of these provisions are set out at PIB section 184.108.40.206. Capital Requirement for Non-Trading Book Assets (i.e. CRCOM) is derived by multiplying the sum of Risk Weighted Assets from the NTB by 10%. The main form of B10A1 indicates the total Non-Trading Bookrisk weighted assets and the resultant CRCOM. CRCOMthus calculated is used in Form B60 for the purposes of calculating capital adequacy.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]