PRU-EPRS 1.13 Instructional Guidelines — Form B20 — Appendix 7 — Details of Market Risk in the Trading Book

Purpose

Form B20A7 is intended to capture the details regarding the market risk in the Trading Book of an Authorised 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 enable Authorised Firms to report the capital charges applicable to the various elements of market risk Exposures in their Trading Book and the resultant capital charge for market risk.

Structure of the form in EPRS

The form is split into two linked forms namely, "Interest Rate Risk Capital Requirement" and "All Other Risks".

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