Versions

 

PRU 2.2.10 Guidance for Form PIB 2 — Appendix 4 — Detail of Non-Market Risk in Trading Book (self-financed)

Instructional Guidelines

This Appendix relates to calculating the risk weighted capital charge for self financed assets only.

The details for calculating the exposures on these risks is in fact set out in PIB Section A4.5 which is the Appendix relating to Credit Risk.

Item No. Item Guidance
2.A4.2 OTC Derivatives For OTC derivatives, attention is drawn to PIB Rule A4.5.3 which states that the weighting is calculated in accordance with PIB A4.5.3 except that the maximum weighting is limited to 50%.
2.A4.2.3 and 2.A4.2.4 Repos & reverse repos For the counterparty weights on Repos and Reverse Repos, refer also to the guidance notes relating to Form PIB 2, Item No. 2.9.4.
2.A4.4 Total capital requirement for non-market risk in the (PSIAu) trading book The total counterparty risk requirement for non market risk in the trading book (also called CPCOM) is the sum of the capital charges arising from Delivery Versus Payment transactions, Free Deliveries, OTC Derivatives, Repos, Reverse Repos and Deferred Settlement Transactions. The figure here should be transferred to Form PIB 6, Item No. 6.32.