PRU-EPRS 1.4 Instructional Guidelines

Past version: effective from 16/12/2007 - 13/04/2013
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1. DFSA acknowledges that even for Authorised Firms with relatively straightforward exposures on the trading books, the underlying calculations for various market risks can be detailed and complex. DFSA requires Authorised Firms to report only the summary capital charge for various elements of market risk recognised in the rules under PIB Chapter 5 of the DFSA Rulebook. However, DFSA expects Authorised Firms to maintain detailed audit trails that substantiate the capital charges reported in this form. Authorised Firms are also reminded that they should make this information available for review as and when required.
2. In the event of any uncertainty, Authorised Firms are advised to contact their supervisor for clarity. Authorised Firms are expected to review the material set out PIB Appendix 5 of the PIB module with care given the multiplicity of methods that can be used to calculate the capital requirement on Interest Rate Risk, Equity Risk, FX Risk, Commodities Risk Options Risk and Securities Underwriting Risk.
3. Where Authorised Firms intend to use internally developed market risk models for the purposes of valuing positions and calculating capital requirements, particular attention is drawn to PIB Section A5.8 and the qualitative criteria.
Item No. Item Instructional Guidelines
B103_1100, B103_1200, B103_1400, B103_1500, B103_1600 Various risk requirements An Authorised Firm's total Trading Book capital requirement is as defined in PIB Rule 2.8.3. With the exception of the foreign exchange risk requirement, the total risk requirements as calculated for Interest rate, Equity, Commodities, Options and Securities Underwriting transactions are transferred to Form B60 under the section titled Trading Book Capital requirement (item nos. B103_1100 to B103_1600).
B103_1300 Foreign exchange risk requirement The Foreign Exchange risk capital requirement is included in the Form B60 under the Non Trading Book Capital requirement and is transferred to item no. B103_1300 (refer PIB Rule 2.8.3).
B103_000T Total Trading Book capital requirement The total Trading Book Capital requirement calculated in this form is transferred to the Form B 60, item no B600_141T.
Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]