PRU-EPRS 1.3 Instructional Guidelines — Form B10 — Appendix 2 — Detail of Non-Market Risk in the Trading Book

Past version: effective from 16/12/2007 - 13/04/2013
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Purpose

Form B10A2 is intended to capture the details regarding the non-market risk in the Trading Book of an Authorised Firm.

Applicability

This form is applicable to Authorised Firms which are Domestic Firms, and are categorised under prudential categories 1, 2, and 3. This form is not applicable to Authorised Firms operating through branches in the DIFC, IFIs and Authorised Firms managing PSIAs.

Content

The form is designed to capture the data on Counterparty credit risk exposures arising from unsettled transactions on markets, OTC derivative trades, repos and reverse repo transactions and deferred settlement transactions. included in the Trading Book of an Authorised Firm. The form also enables the calculation of amount at risk, weighted amount and applicable capital charge i.e. CPCOM.

Structure of the form in EPRS

B10A2 consists of five linked forms covering the five main sections of this form dealing with "Counterparty risk on unsettled transactions", "OTC Derivatives Capital Charge", "Repos capital charge", "Reverse repos capital charge" and "Deferred Settlement Transactions". In each of the linked forms, the amount of potential loss and other information required to calculate the Potential Future Exposure are to be provided in the respective columns and the weighted amounts are calculated as per the applicable risk weights. The total capital charge for Counterparty risk 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]