Versions

 

1.25 Forms B140A, B140B & B140C — Market Risk Capital Requirement — Interest Rate Risk

Purpose

The Forms are intended to capture information on capital charges applicable to interest rate Exposures in the Trading Book of an Authorised Firm.

Applicability

These Forms are applicable to Authorised Firms which are Domestic Firms categorised under Prudential Categories 1, 2 and 3A. These Forms are not applicable to Authorised Firms operating through a Branch in the DIFC.

Content

The Forms are designed to calculate the interest rate risk capital charge in accordance with PIB 5.4. Details of the calculations are located in PIB A5.2.

These Forms captures the general and specific risk capital charge of interest rate sensitive instruments as specified in PIB A5.2.3.

Structure of the form in EPRS

There are four sections on this Form. The first three relate to general risk capital requirements and the last section relates to specific risk capital requirements.

The Firm is required to use one of the methodologies to calculate the general market risk charge and to obtain the DFSA's approval where necessary in accordance with PIB A5.2.15. For the purposes of completing the general market risk section, the Authorised

Firm can aggregate their positions across different currencies. However, it is expected that the Authorised Firm will calculate their general market risk on a currency by currency basis for its own records and the DFSA may request to review this on an ad hoc basis.

The specific risk charge is applicable in conjunction with the general market risk charge; this is in accordance with PIB A5.2.13.

Instructional Guidelines

Item Instructional Guidelines
General Risk — Simplified Framework The gross and net positions are to be completed across the different time buckets. The respective capital risk charge is then calculated automatically once the figures are submitted.

Further detail of the Simplified Framework is at PIB A.5.2.16
General Risk — Maturity Based Approach The net positions are to be completed across the different time buckets. The respective capital risk charge is then calculated automatically and displayed in the capital requirement column. The calculation returned using this approach is presented on Form B60B2 — Maturity Approach.

Further detail of the Maturity Method is at PIB A.5.2.17-18
General Risk — Duration Based Approach The net positions are to be completed across the different time buckets. The respective capital risk charge is then calculated automatically and displayed in the capital requirement column. The calculation returned using this approach is presented on Form B60B3 — Duration Approach.

Further detail of the Duration Method is at PIB A.5.2.19-22.
Specific Risk The gross and net positions are to be completed across the Categories of reference. The respective capital risk charge is then calculated automatically once the figures are submitted.

Further detail of the Specific Risk charge is at PIB A.5.2.13.