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PIB App11 Public Disclosure Requirements



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The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

Table 1 — Scope of application

Qualitative Disclosures (a) The name of the Authorised FirmG .
(b) In the case of a Financial GroupG , a list of all the entities forming part of the Financial GroupG and a brief description of each of those entities. In addition, a description of differences in the basis of consolidation for regulatory purposes compared to that required under the International Financial Reporting StandardsG . The description must include a brief description of the entities:
(i) that are fully consolidated;
(ii) that are consolidated on a pro-rata basis;
(iii) that are equity-accounted;
(iv) that are included as deductions from any of the components of Capital ResourcesG ;
(v) from which surplus capital is recognised, if any; and
(vi) that are not consolidated and not deducted.
(c) Any restrictions or impediments on transfer of funds or regulatory capital within the Financial GroupG .

Table 2 — Capital

Quantitative Disclosures (a) A description of the terms and conditions and main features of all capital instruments included within every component of Capital ResourcesG — CET 1 Capital, AT1 Capital and T2 Capital.
Quantitative Disclosures (b)
(i) Amounts of every element eligible for inclusion in CET1 Capital;
(ii) RegulatoryG adjustments to CET1 Capital;
(iii) Deductions from CET1 Capital; and
(iv) Amount of total CET1 Capital.
(c)
(i) Amounts of every element eligible for inclusion in AT1 Capital;
(ii) Regulatory adjustments to AT1 Capital;
(iii) Deductions from AT1 Capital; and
(iv) Amount of total AT1 Capital.
(d)
(i) Amounts of every element eligible for inclusion in T2 Capital;
(ii) Regulatory adjustments to T2 Capital;
(iii) Deductions from T2 Capital; and
(iv) Amount of total T2 Capital.
(e) Amount of eligible Capital ResourcesG .

Table 3 — Capital Adequacy

Qualitative Disclosures (a) A description of the overall capital management system and approach to assessing the adequacy of its capital to support current and future activities.

This should include description of systems, controls and processes for capital management and capital mobilisation plans for the medium term.
Quantitative Disclosures (b)
(i) Amount of CRCOMG ;
(ii) Amount of Credit RWAG for each asset class giving rise to CR ExposuresG and for SE ExposuresG ; and
(iii) Amount of Credit RWAsG for Early AmortisationG ExposuresG , included in SE ExposuresG , if any.
(c) Market Risk Capital RequirementG for each component of Market RiskG as listed in PIB Rule 5.1.1, calculated using:
(i) RulesG prescribed in PIB chapter 5;
(ii) Internal Models ApproachG ; or
(iii) both (i) and (ii).
(d) Operational RiskG Capital RequirementG calculated under the following approaches, where applicable:
(i) Basic Indicator ApproachG ;
(ii) Standardised ApproachG ;
(iii) Alternative Standardised ApproachG ; or
(iv) a combination of any of the above.
(e) Capital RequirementG at the solo and at the Financial GroupG level.
(f)
(i) CET1 Capital ratio as a percentage of total RWAsG ;
(ii) T1 Capital ratio as a percentage of total RWAsG ;
(iii) Capital ResourcesG as a percentage of total RWAsG ; and
(iv) These ratios need to disclosed at both the Authorised FirmG level and at the Financial GroupG level.
(g) The ratios referred to in (f) must be disclosed for each significant entity in the case of a Financial GroupG .

Table 4 — Credit RiskG — general disclosures

Qualitative Disclosures (a) A description of the policies of the Authorised FirmG in relation to :
(i) past due and impaired loans in accordance with the International Financial Reporting StandardsG ;
(ii) assessment of the level of individual and collective impairment provisions in accordance with the International Financial Reporting StandardsG ;
(iii) Credit RiskG management; and
(iv) the nature of the ExposuresG within each asset class.

For each asset class:

(i) the name of each recognised external credit rating agency which ratings are used by the Authorised FirmG , and the reasons for any changes in the use of a recognised external credit rating agency;
(ii) the types of ExposureG for which ratings of each recognised external credit rating agency are used;
(iii) a description of the process used to transfer public issue ratings onto comparable assets in the Non-Trading BookG ; and
(iv) the alignment of the alphanumerical scale of each recognised external credit rating agency used by the Authorised FirmG with relevant risk weights.
Quantitative Disclosures (b) Total gross credit ExposuresG , and average gross credit ExposuresG over the reporting period, broken down by major types of credit ExposureG .
(c) Geographic distribution of credit ExposuresG , broken down in significant areas by major types of credit ExposureG .
(d) Industry or CounterpartyG -type distribution of credit ExposuresG , broken down by major types of credit ExposureG .
(e) Residual contractual maturity broken down by major types of credit ExposureG .
(f) By major industry or CounterpartyG type:
(i) amount of classified loans;
(ii) amount of past due loans;
(iii) individual and collective impairment provisions; and
(iv) charges for individual impairment provisions and charge-offs during the period.
(g) By significant geographic area:
(i) amount of classified loans;
(ii) amount of past due loans; and
(iii) individual and collective impairment provisions, where feasible.
(h) Reconciliation of changes in the provisions for loan impairment, and separate disclosures for charge-offs and recoveries that are recorded directly to the income statement.
(i) An analysis by risk-weights (including deducted ExposuresG ) for the total rated and unrated credit ExposuresG after taking into account the effects of Credit RiskG mitigation.

Table 5 — Credit RiskG mitigation disclosures

Qualitative Disclosures (a) A description of the following items with respect to Credit RiskG mitigation:
(i) policies and procedures for, and an indication of the extent to which the Authorised FirmG makes use of, on-balance sheet NettingG ;
(ii) policies and procedures for CollateralG valuation and management;
(iii) the main types of CollateralG taken by the Authorised FirmG ;
(iv) the main types of guarantor or Credit DerivativeG CounterpartyG and their creditworthiness; and
(v) information about Market RiskG or Credit RiskG concentrations within the mitigation taken
Quantitative Disclosures (b) For each separately disclosed asset class, the extent to which credit ExposuresG are covered by eligible financial CollateralG , after the application of haircuts.
(c) For each separately disclosed asset class, the amount by which credit ExposuresG have been reduced by eligible credit protection.

Table 6 — General disclosures for ExposuresG related to CounterpartyG Credit RiskG

Qualitative Disclosures (a) A description of the following items in relation to OTC DerivativeG transactions and CounterpartyG Credit RiskG :
(i) methodologies used to assign economic capital and credit limits for CounterpartyG credit ExposuresG ;
(ii) policies for securing CollateralG and establishing credit reserves;
(iii) policies with respect to ExposuresG that give rise to general or specific wrong-way risk; and
(iv) impact of the amount of CollateralG the Authorised FirmG would have to provide given a credit rating downgrade.
Quantitative Disclosures (b)
(i) Gross positive fair value of contracts, NettingG benefits, netted current credit ExposureG , amount and type of CollateralG held, and the net DerivativesG credit ExposureG ;
(ii) ExposureG amounts calculated under the current ExposureG method; and
(iii) The notional value of Credit DerivativeG hedges, and the distribution of current credit ExposureG by types of credit ExposureG .
(c) Credit DerivativeG transactions that create ExposuresG to CounterpartyG Credit RiskG (notional value), segregated between use for the credit portfolio of the Authorised FirmG and the intermediation activities of the firm, including the distribution of Credit DerivativesG used, analysed further in terms of protection bought and sold within each type of Credit DerivativeG .

Table 7 — SecuritisationG ExposuresG

Qualitative Disclosures (a) A description of the following items with respect to securitisation (including Synthetic SecuritisationG ):
(i) objectives of the Authorised FirmG in relation to its securitisation, including the extent to which the securitisation transfers Credit RiskG of the underlying securitised ExposuresG away from the Authorised FirmG to other entities and including the types of risks assumed and retained with Re-securitisationG activity;
(ii) the nature of other risks (e.g. Liquidity RiskG ) inherent in securitised assets
(iii) the various roles played by the Authorised FirmG in the securitisation process and an indication of the extent of the involvement of the firm in each of them;
(iv) the processes in place to monitor changes in the Credit RiskG and Market RiskG of securitisation ExposuresG (e.g., how the behaviour of the underlying assets impacts securitisation ExposuresG ) including how those processes differ for Re-securitisationG exposures.
(v) the Authorised Firm'sG policy governing the use of Credit RiskG mitigation to mitigate the risks retained through securitisation and Re-securitisationG ExposuresG ;
(vi) the regulatory capital approaches applied to the securitisation activities of the Authorised FirmG , including the type of securitisation ExposuresG to which each approach applies; and
(vii) where an Authorised FirmG provides Implicit Support to a securitisation, a statement that it has provided non-contractual support and a description of the capital impact of doing so.
(b) A list of:
(i) the types of SPEs that the Authorised FirmG , as a SponsorG , uses to securitise third party ExposuresG , indicating whether the firm has ExposureG to these SPEs, either on or off-balance sheet; and
(ii) entities that the firm manages or advises that invest either in the securitisation ExposuresG that the firm has securitised or in SPEs that the firm SponsorsG .
(c) A summary of the accounting policies of the Authorised FirmG for securitisation, including:
(i) whether the securitisation is treated as sales or financings;
(ii) recognition of gain-on-sale;
(iii) methods and key assumptions (including inputs) for valuing positions retained or purchased;
(iv) changes in methods and key assumptions from the previous period and the impact of such changes;
(v) treatment of Synthetic SecuritisationG if this is not covered by other accounting policies (e.g. on DerivativesG );
(vi) how ExposuresG intended to be securitised (e.g. in the pipeline or warehouse) are valued and whether they are recorded in the Non-Trading BookG or the Trading BookG ; and
(vii) policies for recognising liabilities on the balance sheet for arrangements that could require the Authorised FirmG to provide financial support for securitised assets.
(d) In the Non-Trading BookG , the names of recognised external credit rating agencies used for securitisations and the types of securitisation ExposureG for which each agency is used.
(e) An explanation of significant changes to any of the quantitative information (e.g. amounts of assets intended to be securitised, movement of assets between Non-Trading BookG and Trading BookG ) since the last reporting period.
(f) The total amount of outstanding ExposuresG securitised by the Authorised FirmG and defined under the securitisation framework set out in PIB chapter 4, broken down in terms of traditional and SyntheticG , and by ExposureG type, separately for securitisations of third-party ExposuresG for which the firm acts only as SponsorG .
(g) For ExposuresG securitised by the Authorised FirmG and defined under the securitisation framework set out in PIB chapter 4:
(i) the amount of securitised assets that are classified or past due under the PIBG RulesG , broken down by ExposureG type; and
(ii) losses recognised by the firm during the current period broken down by ExposureG type.
(h) The total amount of outstanding ExposuresG intended to be securitised broken down by ExposureG type.
(i) SummaryG of securitisation of the current period, including the total amount of ExposuresG securitised by ExposureG type, and the recognised gain or loss on sale by ExposureG type.
(j) Aggregate amount of:
(i) on-balance sheet securitisation ExposuresG retained or purchased broken down by ExposureG type; and
(ii) off-balance sheet securitisation ExposuresG broken down by ExposureG type.
(k) Aggregate amount of securitisation ExposuresG retained or purchased and the associated capital charges, broken down between securitisation and Re-securitisationG ExposuresG and further broken down into a meaningful number of risk weight bands for each regulatory capital approach. ExposuresG included as deductions from T1 Capital, credit-enhancing interest only strips and other ExposuresG included as deductions from T1 Capital and deductions from T2 Capital must be disclosed separately by ExposureG type.
(l) For securitisation subject to the Early AmortisationG treatment, the following items by ExposureG type for securitised facilities:
(i) the aggregate drawn ExposuresG attributed to the interests of the seller and the investor;
(ii) the aggregate capital charges incurred by the Authorised FirmG against its retained (i.e. the seller's) shares of the drawn balances and undrawn lines; and
(iii) the aggregate capital charges incurred by the firm against the shares of drawn balances and undrawn lines of the investor.
(m) Aggregate amount of Re-securitisationG ExposuresG retained or purchased broken down according to:
(i) ExposuresG to which Credit RiskG mitigation is applied and those not applied; and
(ii) ExposuresG to guarantors broken down according to guarantor credit worthiness categories or guarantor name.
Quantitative disclosures: Trading BookG (n) The total amount of outstanding ExposuresG securitised by the Authorised FirmG and defined under the securitisation framework set out in PIB chapter 4, broken down in terms of traditional and SyntheticG , and by ExposureG type, separately for securitisations of third-party ExposuresG for which the firm acts only as SponsorG .
(o) The total amount of outstanding ExposuresG intended to be securitised broken down by ExposureG type.
(p) SummaryG of securitisation of the current period, including the total amount of ExposuresG securitised by ExposureG type, and the recognised gain or loss on sale by ExposureG type.
(q) Aggregate amount of ExposuresG securitised by the Authorised FirmG for which the firm has retained some ExposuresG and which is subject to the Market RiskG approach, broken down in terms of traditional and SyntheticG , by ExposureG type.
(r) Aggregate amount of:
(i) on-balance sheet securitisation ExposuresG retained or purchased broken down by ExposureG type; and
(ii) off-balance sheet securitisation ExposuresG broken down by ExposureG type.
(s) Aggregate amount of securitisation ExposuresG retained or purchased separately for:
(i) securitisation ExposuresG retained or purchased subject to the comprehensive risk measure for Specific RiskG ; and
(ii) securitisation ExposuresG subject to the securitisation framework for Specific RiskG broken down into a meaningful number of risk weight bands for each regulatory capital approach.
(t) Aggregate amount of:
(i) the Capital RequirementsG for the securitisation ExposuresG (Re-securitisationG or securitisation), subject to the securitisation framework broken down into a meaningful number of risk weight bands for each regulatory capital approach; and
(ii) securitisation ExposuresG that are included as deductions from CET1 Capital, credit enhancing interest-only strips and other ExposuresG included as deductions from AT1 Capital and deductions from T2 Capital disclosed separately by ExposureG type.
(u) For securitisation subject to the Early AmortisationG treatment, the following items by ExposureG type for securitised facilities:
(i) the aggregate drawn ExposuresG attributed to the interests of the seller and the investor;
(ii) the aggregate capital charges incurred by the Authorised FirmG against its retained (i.e. the seller's) shares of the drawn balances and undrawn lines; and
(iii) the aggregate capital charges incurred by the firm against the shares of drawn balances and undrawn lines of the investor.
(v) Aggregate amount of Re-securitisationG ExposuresG retained or purchased broken down according to:
(i) ExposuresG to which Credit RiskG mitigation is applied and those not applied; and
(ii) ExposuresG to guarantors broken down according to guarantor creditworthiness categories or guarantor name.

Table 8 — Market RiskG Disclosures

Qualitative Disclosures (a) A description of risk management objectives and policies covering all Market RiskG ExposuresG .
Quantitative Disclosures (b) The Capital RequirementsG for the following risks as set out in PIB chapter 5 of the PIBG module:
(i) Interest Rate RiskG ;
(ii) Equity Position RiskG ;
(iii) Foreign Exchange RiskG ;
(iv) Commodity RiskG ;
(v) Option RiskG ;
(vi) Collective Investment FundG Risk; and
(vii) SecuritiesG UnderwritingG Risk.

Table 9 — Market RiskG — disclosures for the internal models approach

Qualitative Disclosures (a) A description of the valuation methodologies employed by the Authorised FirmG .
(b) A description of the soundness standards on which the internal capital adequacy assessment of the Authorised FirmG is based, as well as the methodologies used to achieve a capital adequacy assessment that is consistent with those soundness standards.
(c) For each portfolio covered by the internal models approach:
(i) the characteristics of the models used;
(ii) a description of stress testing applied to the portfolio; and
(iii) a description of the approach used for back testing and validating the accuracy and consistency of the internal models and modelling processes.
(d) The scope of approval by the DFSAG .
(e) A description of the methodologies used and the risks measured through the use of internal models for the incremental risk capital charge and the comprehensive risk capital charge. Included in the qualitative description should be:
(i) the approach used by the Authorised FirmG to determine liquidity horizons;
(ii) the methodologies used to achieve a capital assessment that is consistent with the required soundness standard; and
(iii) the approaches used in the validation of the models.
Quantitative Disclosures (f) For trading portfolios under the internal models approach:
(i) the high, mean and low VaR values over the reporting period and period-end;
(ii) the high, mean and low stressed VaR values over the reporting period and period-end;
(iii) the high, mean and low incremental and comprehensive risk capital charges over the reporting period and period-end; and
(iv) a comparison of VaR estimates with actual gains or losses experienced by the Reporting Firm, with analysis of outliers in back test results.

Table 10 — Operational RiskG

Qualitative Disclosures (a) A description of the regulatory approach or approaches to the calculation of Operational RiskG Capital RequirementsG .

Table 11 — Interest Rate RiskG in the Non-Trading BookG

Qualitative Disclosures (a) A description of the key assumptions made by the Authorised FirmG including assumptions regarding loan prepayments and behaviour of non-maturity deposits, and frequency with which interest rate risk in the Non-Trading BookG is measured, in addition to the general disclosures set out in PIB chapter 9 in respect of interest rate risk in the Non-Trading BookG .
Quantitative Disclosures (b) The changes in earnings or economic value (or relevant measure used by the Authorised FirmG ) for upward and downward rate shocks according to the internal method of the Authorised FirmG for measuring interest rate risk in the Non-Trading BookG , broken down by currency, where applicable.

Table 12 — Leverage Ratios

Qualitative Disclosures
(a)
The source of material differences between the bank's total balance sheet assets in their financial statements and on-balance sheet exposures in the common disclosure template in Form B300.
Quantitative Disclosures
(b)


(c)
A comparison of the Authorised Firm's total accounting asset amounts and Leverage Ratio exposures using the summary comparison template in Form B300.


A breakdown of the main Leverage Ratio regulatory elements using the common disclosure template in Form B300.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
[Amended] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]
[Amended] DFSA RM157/2015 (Made 9th December 2015) [VER24/02-16]