PRU-EPRS 1.2 Instructional Guidelines — Form B10 — Appendix 1 — Details of Non-Trading Book Assets

Purpose

Form B10A1 is intended to capture the information regarding the calculation of risk weighted assets ("RWA") in the Non-Trading Book of an Authorised Firm.

Applicability

This form is applicable to Authorised Firms which are Domestic Firms, and are categorised under prudential categories 1, 2, and 3A. This form is not applicable to Authorised Firms operating through a Branch in the DIFC.

Content

The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book of an Authorised Firm and calculate the applicable capital charge.

Structure of the form in EPRS

B10A1 consists of following three linked forms

On Balance Sheet items RWA;
Off Balance sheet items RWA; and
• Securitisation Exposures RWA.

Accordingly, all on-balance sheet items should be analysed in the first linked form, off balance sheet items in the second linked form, and Securitisation Exposures in the third linked form.

The main form has the links to the three linked forms and also displays the total RWA calculated by each of the linked forms. The main form also calculates the total Non-Trading Book Risk Weighted Asset (NTB RWA) and the CRCOM applicable to the Authorised Firm.

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