PRU-EPRS 1.4 Instructional Guidelines

Item No. Item Instructional Guidelines
B103_1100, B103_1200, B103_1400, B103_1500, B103_1600 B103_1700 Various components of Market Risk Capital Requirement Detailed Rules and Guidance in respect of the Market Risk Capital Requirement and each of its components are contained in chapter 5 of the PIB module.

Total of Market Risk Capital Requirement reflected in this form is transferred to form B60 and shown in B600_2630 – Market Risk Capital Requirement.

The DFSA acknowledges that even for Authorised Firms with relatively straightforward Exposures on the trading books, the underlying calculations for various market risks can be detailed and complex. The DFSA requires Authorised Firms to report only the summary capital charge for various elements of market risk recognised in the Rules under PIB Chapter 5 of the DFSA Rulebook. However, the DFSA expects Authorised Firms to maintain detailed audit trails that substantiate the capital charges reported in this form. Authorised Firms are also reminded that they should make this information available for review as and when required.

In the event of any uncertainty, Authorised Firms are advised to contact their supervisor for clarity. Authorised Firms are expected to review the material set out Appendix 5 of the PIB module with care given the multiplicity of methods that can be used to calculate the capital requirement on Interest Rate Risk, Equity Risk, FX Risk, Commodities Risk, Options Risk, Securities Underwriting Risk and Collective Investment Fund Risk.

Where Authorised Firms intend to use internally developed market risk models for the purposes of valuing positions and calculating capital requirements, particular attention is drawn to PIB Section A5.9 and the qualitative criteria.

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