PRU-EPRS 1.3 Instructional Guidelines — Form B10 — Appendix 2 — Details of Counterparty Risk Exposures

Purpose

Form B10A2 is intended to capture the details regarding the Counterparty Risk 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 data on Counterparty Risk Exposures arising from Unsettled Transactions, OTC Derivative trades, Securities Financing Transactions and Deferred Settlement Transactions included in the trading 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

B10A2 consists of four linked forms covering the 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, “Exposure” and other information required are to be provided in the respective columns and the weighted amounts are calculated as per the applicable Risk Weight 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]