PRU-EPRS 1.10 Instructional Guidelines

1. This form is restricted to calculating the risk weighted capital charge for self financed assets only. The details for calculating the Exposures on these risks are set out in PIB Sections A4.6 — A4.8 of the DFSA Rulebook.
2. The total Capital Requirement for Counterparty Risk is the sum of the capital charges arising from Unsettled Transactions, OTC Derivatives, Securities Financing Transactions, Deferred Settlement Transactions. The total Capital Requirement for Counterparty Risk calculated in this Appendix will be summed up with the Capital Requirement calculated in appendix B10A1 and reflected under the Risk Based Capital Requirement in Form B60.
Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
[Amended] [VER2/04-13]