PRU-EPRS 1.13 Instructional Guidelines — Form B20 — Appendix 7 — Detail of Market Risk in the Trading Book

Past version: effective from 16/12/2007 - 13/04/2013
To view other versions open the versions tab on the right

Purpose

Form B20A7 is intended to capture the details regarding the market risk in the Trading Book of an Authorised Firm.

Applicability

This form is applicable to the Authorised Firms categorised under prudential category 5 and Authorised Firms classified under categories 1,2,3 and managing PSIAs within an Islamic Window.

Content

The form is designed to enable Authorised Firms to report the capital charges applicable to the various elements of market risk exposures in their Trading Book and the resultant capital charge for market risk i.e. MRCOM.

Structure of the form in EPRS

The form is split into two linked forms namely, "Interest Rate Risk Capital Requirement" and "All Other Risks".

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