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
| 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 |