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PRU 2.2.3 Guidance for Form PIB 1 — Appendix 2 — Non-market risk in the Trading Book

Instructional Guidelines

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

Item No. Item Guidance
1.A2.2 OTC derivatives For OTC derivatives, attention is drawn to PIB Rule A4.5.3 which states that the maximum weighting is limited to 50%.
1.A2.3 Repos and Reverse Repos For the counterparty weights on Repos and Reverse Repos, attention is drawn to the Instruction Guidance relating to Form PIB 1, Item No. 1.9.4.
1.A2.4 Total counterparty risk requirement for non market risk in the trading book The total counterparty risk requirement for non market risk in the trading book ("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.