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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.

To view past versions of this module in PDF format, please visit the Archive.

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 – Liquidity Coverage Ratio Information

Qualitative Disclosures

(a) Governance and organisation of Liquidity RiskG management.

(b) Risk tolerance and strategy in relation to Liquidity RiskG management.

(c) Scope and nature of Liquidity RiskG reporting and measurement systems.

(d) The techniques used for mitigating Liquidity RiskG and the process of monitoring the effectiveness of the mitigants in place.

(e) Overview of how stress testing is used.

(f) Outline of the Contingency Funding PlanG .

(g) A declaration approved by the governing body on the adequacy of Liquidity RiskG management arrangements in place with regard to the firm's profile and strategy.

(h) A Liquidity RiskG statement approved by the governing body describing the firm's overall Liquidity RiskG profile associated with the business strategy, including how the Liquidity RiskG profile of the firm interacts with the risk tolerance set by the management body and:

(i) the main drivers of the LCR results and the evolution of the contribution of inputs to the LCR's calculation over time;
(ii) intra-period changes as well as changes over time;
(iii) the composition of HQLA;
(iv) concentration of funding sources;
(v) derivatives exposures and potential collateral calls;
(vi) currency mismatch in the LCR;
(vii) a description of the degree of centralisation of liquidity management and interaction between the group's units; and
(viii) other inflows and outflows in the LCR calculation that are not captured in the LCR common template but which the firm considers to be relevant for its liquidity profile.
Qualitative Disclosures

(i) TOTAL UNWEIGHTED VALUE (average) | TOTAL WEIGHTED VALUE (average)

HIGH-QUALITY LIQUID ASSETS

(1) Total high-quality liquid assets (HQLA)

CASH OUTFLOWS

2 Retail deposits/PSIAs and deposits/PSIAs from small business customers, of which:
3 Stable deposits/PSIAs
4 Less stable deposits/PSIAs
5 Unsecured wholesale funding, of which:
6 Operational deposits or accounts (all counterparties) and deposits/PSIAs in networks of cooperative banks
7 Non-operational deposits/PSIAs (all counterparties)
8 Unsecured debt
9 Secured wholesale funding
10 Additional requirements, of which:
11 Outflows related to derivative exposures, Shari'a compliant hedging instrument exposures and other collateral requirements
12 Outflows related to loss of funding on debt products
13 Credit and liquidity facilities
14 Other contractual funding obligations
15 Other contingent funding obligations
16 TOTAL CASH OUTFLOWS

CASH INFLOWS

17 Secured lending (e.g. reverse repos) or Shari'a compliant secured financing
18 Inflows from fully performing exposures
19 Other cash inflows
20 TOTAL CASH INFLOWS

TOTAL ADJUSTED VALUE

21 TOTAL HQLA
22 TOTAL NET CASH OUTFLOWS
23 LIQUIDITY COVERAGE RATIO (%)

Table 12 - Guidance

The following Guidance is intended to assist firms to complete the above table.

The figures to be presented are averages of the daily observations of individual line items over the financial reporting period (i.e. the average of components and the average LCR over the most recent three months of daily positions, irrespective of the financial reporting schedule). The averages are calculated after the application of any haircuts, inflow and outflow rates and caps, where applicable.

Unweighted figures of HQLA are calculated at market value. Weighted figures of HQLA are calculated after the application of the respective haircuts but before the application of any caps on Level 2B and Level 2 assets.

Unweighted inflows and outflows are calculated as outstanding balances. Weighted inflows and outflows are calculated after the application of the inflow and outflow rates. In completing the LCR disclosure table, Authorised Firms should follow the instructions below. The numbers in the instructions correspond to the relevant row number in the quantitative disclosure section of the table.

1. Sum of all eligible high-quality liquid assets (HQLA), as defined in PIB section A9.2 in App 9, before the application of any limits, excluding assets that do not meet the operational requirements, and including, where applicable, assets qualifying under alternative liquidity approaches.
2. Retail deposits/PSIAs and deposits/PSIAs from small business customers are the sum of stable deposits/PSIAs, less stable deposits/PSIAs and any other funding sourced from (i) natural persons and/or (ii) small business customers (as defined by paragraph 231 of the Basel II framework).
3. Stable deposits/PSIAs include deposits/PSIAs placed with a bank by a natural person and unsecured wholesale funding provided by small business customers, defined as "stable" in PIB Rule A9.2.15 in App 9.
4. Less stable deposits/PSIAs include deposits/PSIAs placed with a bank by a natural person and unsecured wholesale funding provided by small business customers, not defined as "stable" in PIB Rule A9.2.15 in App 9.
5. Unsecured wholesale funding is defined as those liabilities and general obligations from customers other than natural persons and small business customers that are not collateralised.
6. Operational deposits or accounts include deposits/PSIAs from bank clients with a substantive dependency on the bank where deposits/PSIAs are required for certain activities (i.e. clearing, custody or cash management activities). Deposits in institutional networks of cooperative banks include deposits of member institutions with the central institution or specialised central service providers.
7. Non-operational deposits/PSIAs are all other unsecured wholesale deposits or PSIAs, both insured and uninsured.
8. Unsecured debt includes all notes, bonds and other debt securities issued by the bank, regardless of the holder, unless the bond is sold exclusively in the retail market and held in retail accounts.
9. Secured wholesale funding is defined as all collateralised liabilities and general obligations.
10. Additional requirements include other off-balance sheet liabilities or obligations.
11. Outflows related to derivative exposures and other collateral requirements include expected contractual derivatives cash flows on a net basis. These outflows also include increased liquidity needs related to: downgrade triggers embedded in financing transactions, derivative and other contracts; the potential for valuation changes on posted collateral securing derivatives and other transactions; excess non-segregated collateral held at the bank that could contractually be called at any time; contractually required collateral on transactions for which the counterparty has not yet demanded that the collateral be posted; contracts that allow collateral substitution to non-HQLA assets; and market valuation changes on derivatives or other transactions.
12. Outflows related to loss of funding on secured debt products include loss of funding on: asset-backed securities, covered bonds and other structured financing instruments; and asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities.
13. Credit and liquidity facilities include drawdowns on committed (contractually irrevocable) or conditionally revocable credit and liquidity facilities. The currently undrawn portion of these facilities is calculated net of any eligible HQLA if the HQLA: (a) have already been posted as collateral to secure the facilities; or (b) are contractually obliged to be posted when the counterparty draws down the facility.
14. Other contractual funding obligations include contractual obligations to extend funds within a 30-day period and other contractual cash outflows not previously captured under PIB Rule A9.2.15 in App 9.
15. Other contingent funding obligations, as defined in PIB Rule A9.2.15 in App 9.
16. Total cash outflows: sum of rows 2–15.
17. Secured lending includes all maturing reverse repurchase and securities borrowing agreements.
18. Inflows from fully performing exposures include both secured and unsecured loans or other payments that are fully performing and contractually due within 30 calendar days from retail and small business customers, other wholesale customers, operational deposits and deposits held at the centralised institution in a cooperative banking network.
19. Other cash inflows include derivatives cash inflows and other contractual cash inflows.
20. Total cash inflows: sum of rows 17–19.
21. Total HQLA (after the application of any cap on Level 2B and Level 2 assets).
22. Total net cash outflows (after the application of any cap on cash inflows).
23. Liquidity Coverage Ratio (after the application of any cap on Level 2B and Level 2 assets and caps on cash inflows).

Table 13 — Net Stable Funding Ratio Information

Quantitative Disclosures (a) In currency amount Unweighted value by residual maturity

No Maturity | < 6 months | 6 months to < 1 yr | > 1 yr
Weighted Value
ASF Item
1 Capital
2 Regulatory
3 OtherCapital
4 Retail deposits/PSIAs and deposits/PSIAs from small business customers:
5 Stable Deposits/PSIAs
6 Less stable deposits/PSIAs
7 Wholesale funding
8 Operational deposits / operational accounts
9 Other wholesale fundings
10 Liabilities with matching interdependent assets
11 Other liabilities:
12 NSFRG derivative liabilities and net liabilities for Shari'a compliant hedging contracts
13 All other liabilities and equity not included in the above categories
14 Total ASFG
RSFG Item
15 Total NSFRG high-quality liquid assets (HQLA)
16 Deposits/PSIAs held at other financial institutions for operational purposes
17 Performing loans and securities (including Shari'a compliant securities):
18 Performing loans to financial institutions secured by Level 1 HQLA
19 Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions
19 Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions
19 Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions
20 Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, Central Banks and PSEs, of which:
21 With a risk weight of less than or equal to 50% under PIB section 4.12.
22 Performing residential mortgages, of which:
23 With a risk weight of less than or equal to 50% under PIB section 4.12.
24 Securities that are not in default and do not qualify as HQLA, including exchange-traded equities.
25 Assets with matching interdependent liabilities.
26 Other Assets.
27 Physical traded commodities, including gold.
28 Assets posted as initial margin for derivative contracts/Shari'a compliant hedging contracts and contributions to default funds of CCPs.
29 NSFRG derivative assets.
30 NSFRG derivative liabilities before deduction of variation margin posted.
31 All other assets not included in the above categories
32 Off-balance sheet items
33 Total RSFG
34 Net Stable Funding RatioG (%)

Table 13 - Guidance

The following Guidance is intended to assist firms to complete the above table.

Data must be presented as quarter-end observations.

Both unweighted and weighted values of the NSFRG components must be disclosed unless otherwise indicated. Weighted values are calculated as the values after ASF or RSF Factors are applied.

In completing the NSFRG disclosure table, Authorised FirmsG should follow the instructions below. The numbers in the instructions correspond to the relevant row numbers in the quantitative disclosures section of the table.

1. Capital is the sum of rows 2 and 3.
2. Regulatory capital before the application of capital deductions.
3. Total amount of any capital instruments not included in row 2.
4. Retail deposits/PSIAs and deposits from small business customers, as defined in PIB Rule A9.2.15 in App 9.
5. Stable deposits/PSIAs comprise “stable” (as defined in PIB Rule A9.2.15 in App 9) non-maturity (demand) deposits/PSIAs and/or term deposits/PSIAs provided by retail and small business customers.
6. Less stable deposits/PSIAs comprise “less stable” (as defined in PIB Rule A9.2.15 in App 9) non-maturity (demand) deposits/PSIAs and/or term deposits/PSIAs provided by retail and small business customers.
7. Wholesale funding is the sum of rows 8 and 9.
8. Operational deposits/PSIAs: As defined in section A9.2 in App 9, including deposits/PSIAs in institutional networks of cooperative banks.
9. Other wholesale funding including funding (secured and unsecured) provided by non-financial corporate customer, sovereigns, public sector enterprises (PSEs), multilateral and national development banks, central banks and financial institutions.
10. Liabilities with matching interdependent assets.
11. Other liabilities are the sum of rows 12 and 13.
12. In the unweighted cells, report NSFRG derivatives liabilities as calculated according to PIB section 9.4 of App 9. There is no need to differentiate by maturities. The weighted value under NSFRG derivative liabilities is cross-hatched given that it will be zero after the 0% ASF Factor is applied.
13. All other liabilities and equity not included in above categories.
14. Total ASF is the sum of all weighted values in rows 1, 4, 7, 10 and 11.
15. Total HQLA as defined in PIB section 9.4 in App 9 (encumbered and unencumbered), without regard to LCR operational requirements and LCR caps on Level 2 and Level 2B assets that might otherwise limit the ability of some HQLA to be included as eligible in calculation of the LCR, where:
a. encumbered assets include assets backing securities or covered bonds; and
b. unencumbered means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer or assign the asset.
16. Deposits/PSIAs held at other financial institutions for operational purposes as defined in PIB section A9.2 in App 9.
17. Performing loans and securities are the sum of rows 18, 19, 20, 22 and 24.
18. Performing loans to financial institutions secured by Level 1 HQLA, as defined in section A9.2 in App 9.
19. Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions.
20. Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs.
21. Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs with risk weight of less than or equal to 50% under PIB section 4.12.
22. Performing residential mortgages.
23. Performing residential mortgages with risk weight of less than or equal to 50% under PIB section 4.12.
24. Securities that are not in default and do not qualify as HQLA including exchange-traded equities.
25. Assets with matching interdependent liabilities.
26. Other assets are the sum of rows 27 to 31.
27. Physical traded commodities, including gold.
28. Cash, securities or other assets posted as initial margin for derivative contracts and contributions to default funds of CCPs.
29. In the unweighted cell, report NSFRG derivative assets, as calculated according to PIB section A9.4 in App 9. There is no need to differentiate by maturities. In the weighted cell, if NSFRG derivative assets are greater than NSFRG derivative liabilities (as calculated according to PIB section A9.4 in App 9), report the positive difference between NSFRG derivative assets and NSFRG derivative liabilities.
30. In the unweighted cell, report derivative liabilities as calculated according to report 20% of derivatives liabilities unweighted value (subject to 100% NSFRG ).
31. All other assets not included in the above categories.
32. Off-balance sheet items.
33. Total RSFG is the sum of all weighted value in rows 15, 16, 17, 25, 26 and 32.
34. Net stable funding ratio (%).

Table 14 — 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.

Table 15 — Indicators for assessing systemic importance of firms

Quantitative Disclosures (a) Cross-jurisdictional activity:
(i) cross-jurisdictional claims; and
(ii) cross-jurisdictional liabilities.
  (b) Size – the total of its Leverage Ratio Exposure Measure.
  (c) Interconnectedness:
(i) intra-financial system assets;
(ii) intra-financial system liabilities; and
(iii) securities outstanding.
  (d) Substitutability:
(i) assets under custody;
(ii) payments activity; and
(iii) underwritten transactions in debt and equity markets.
  (e) Complexity:
(i) notional amount of over-the-counter (OTC) derivatives;
(ii) level 3 assets within the meaning of IFRS 7; and
(iii) trading and available-for-sale securities.
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]
[Amended] DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]