PRU-EPRS 1.10 Instructional Guidelines — Form B20 — Appendix 4 — Details of Counterparty Risk Exposures — Self-financed

Purpose

Form B20A4 is intended to capture the details regarding Counterparty Risk Exposures of an Authorised Firm, particularly those arising from Exposures self-financed by the firm.

Applicability

This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window.

Content

The form is designed to capture the data on Counterparty Risk Exposures arising from Unsettled Transactions, OTC Derivative trades, securities financing transactions and deferred settlement transactions included in the Trading Book and Non-Trading Book of an Authorised Firm. The form enables the calculation of amount at risk, weighted amount and the applicable Capital Requirement for Counterparty Risk.

Structure of the form in EPRS

B20A4 consists of four linked forms covering the four main sections of this form dealing with "Counterparty Risk on Unsettled Transactions RWA", "OTC Derivatives RWA", Securities Financing Transactions RWA and "Deferred Settlement Transactions RWA". In each of the linked forms, the amount of "Exposure" and other information required are to be provided in the respective columns and the weighted amounts are calculated as per the applicable risk weights and multiplier where it applies. The total Risk Weighted Assets for Counterparty Risk reported in the linked forms will be displayed as a result on the main form.

Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
[Amended] [VER2/04-13]