PRU 2.2.7 Guidance for Form PIB 2 — Appendix 1 — Detail of Non-Trading Book Assets (self-financed)
Amongst other things, risk weightings may be reduced on non trading book items by obtaining a guarantee from a third party or a party connected to the
Only enter exposures relating to self financed assets in PIB 2 Appendix 1.
|2.A1.2.3||Mortgage backed securities||Investments in mortgage backed securities only attract a 50% rating provided the conditions set out in PIB Rule A4.3.6 are met in their entirety.|
|2.A1.4||Assets arising from Islamic contracts||In respect of counterparty weightings for exposures in the non trading books,
|2.A1.4.7||Other||Include all other investments arising from Islamic contracts not referred to above.|
|2.A1.9||Off balance sheet items||Details of Credit Conversion Factors are set out in Rules PIB A4.3.10 to PIB A4.3.14.
|2.A1.9.4||Sale and repurchase agreements||Attention is drawn to Rules PIB A4.3.15 to PIB A4.3.17 which note that the counterparty weight of a repo agreement is by reference to the issuer of the asset subject to the agreement and not to the counterparty to the repurchase agreement. The weight on a reverse repo is determined as if it were a collateralised loan to a counterparty.|
|2.A1.12||OTC Derivative Contracts||The calculation of the
|2.A1.13||CRCOM (self)||CRCOM is derived by multiplying the sum of risk weighted assets from the non trading book and exposures arising from OTC derivative contracts in the same book by 8%. The number here is transferred to Form PIB 6, Item No. 6.23.|