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  • PIB App11 Public Disclosure Requirements

    Table 1 — Scope of application

    Qualitative Disclosures (a) The name of the Authorised Firm.
    (b) In the case of a Financial Group, a list of all the entities forming part of the Financial Group 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 Standards. 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 Resources;
    (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 Group.

    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 Resources — CET 1 Capital, AT1 Capital and T2 Capital.
    Quantitative Disclosures (b)
    (i) Amounts of every element eligible for inclusion in CET1 Capital;
    (ii) Regulatory 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 Resources.

    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 CRCOM;
    (ii) Amount of Credit RWA for each asset class giving rise to CR Exposures and for SE Exposures; and
    (iii) Amount of Credit RWAs for Early Amortisation Exposures, included in SE Exposures, if any.
    (c) Market Risk Capital Requirement for each component of Market Risk as listed in PIB Rule 5.1.1, calculated using:
    (i) Rules prescribed in PIB chapter 5;
    (ii) Internal Models Approach; or
    (iii) both (i) and (ii).
    (d) Operational Risk Capital Requirement calculated under the following approaches, where applicable:
    (i) Basic Indicator Approach;
    (ii) Standardised Approach;
    (iii) Alternative Standardised Approach; or
    (iv) a combination of any of the above.
    (e) Capital Requirement at the solo and at the Financial Group level.
    (f)
    (i) CET1 Capital ratio as a percentage of total RWAs;
    (ii) T1 Capital ratio as a percentage of total RWAs;
    (iii) Capital Resources as a percentage of total RWAs; and
    (iv) These ratios need to disclosed at both the Authorised Firm level and at the Financial Group level.
    (g) The ratios referred to in (f) must be disclosed for each significant entity in the case of a Financial Group.

    Table 4 — Credit Risk — general disclosures

    Qualitative Disclosures (a) A description of the policies of the Authorised Firm in relation to :
    (i) past due and impaired loans in accordance with the International Financial Reporting Standards;
    (ii) assessment of the level of individual and collective impairment provisions in accordance with the International Financial Reporting Standards;
    (iii) Credit Risk management; and
    (iv) the nature of the Exposures 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 Firm, and the reasons for any changes in the use of a recognised external credit rating agency;
    (ii) the types of Exposure 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 Book; and
    (iv) the alignment of the alphanumerical scale of each recognised external credit rating agency used by the Authorised Firm with relevant risk weights.
    Quantitative Disclosures (b) Total gross credit Exposures, and average gross credit Exposures over the reporting period, broken down by major types of credit Exposure.
    (c) Geographic distribution of credit Exposures, broken down in significant areas by major types of credit Exposure.
    (d) Industry or Counterparty-type distribution of credit Exposures, broken down by major types of credit Exposure.
    (e) Residual contractual maturity broken down by major types of credit Exposure.
    (f) By major industry or Counterparty 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 Exposures) for the total rated and unrated credit Exposures after taking into account the effects of Credit Risk mitigation.

    Table 5 — Credit Risk mitigation disclosures

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

    Table 6 — General disclosures for Exposures related to Counterparty Credit Risk

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

    Table 7 — Securitisation Exposures

    Qualitative Disclosures (a) A description of the following items with respect to securitisation (including Synthetic Securitisation):
    (i) objectives of the Authorised Firm in relation to its securitisation, including the extent to which the securitisation transfers Credit Risk of the underlying securitised Exposures away from the Authorised Firm to other entities and including the types of risks assumed and retained with Re-securitisation activity;
    (ii) the nature of other risks (e.g. Liquidity Risk) inherent in securitised assets
    (iii) the various roles played by the Authorised Firm 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 Risk and Market Risk of securitisation Exposures (e.g., how the behaviour of the underlying assets impacts securitisation Exposures) including how those processes differ for Re-securitisation exposures.
    (v) the Authorised Firm's policy governing the use of Credit Risk mitigation to mitigate the risks retained through securitisation and Re-securitisation Exposures;
    (vi) the regulatory capital approaches applied to the securitisation activities of the Authorised Firm, including the type of securitisation Exposures to which each approach applies; and
    (vii) where an Authorised Firm 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 Firm, as a Sponsor, uses to securitise third party Exposures, indicating whether the firm has Exposure to these SPEs, either on or off-balance sheet; and
    (ii) entities that the firm manages or advises that invest either in the securitisation Exposures that the firm has securitised or in SPEs that the firm Sponsors.
    (c) A summary of the accounting policies of the Authorised Firm 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 Securitisation if this is not covered by other accounting policies (e.g. on Derivatives);
    (vi) how Exposures intended to be securitised (e.g. in the pipeline or warehouse) are valued and whether they are recorded in the Non-Trading Book or the Trading Book; and
    (vii) policies for recognising liabilities on the balance sheet for arrangements that could require the Authorised Firm to provide financial support for securitised assets.
    (d) In the Non-Trading Book, the names of recognised external credit rating agencies used for securitisations and the types of securitisation Exposure 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 Book and Trading Book) since the last reporting period.
    (f) The total amount of outstanding Exposures securitised by the Authorised Firm and defined under the securitisation framework set out in PIB chapter 4, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor.
    (g) For Exposures securitised by the Authorised Firm 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 PIB Rules, broken down by Exposure type; and
    (ii) losses recognised by the firm during the current period broken down by Exposure type.
    (h) The total amount of outstanding Exposures intended to be securitised broken down by Exposure type.
    (i) Summary of securitisation of the current period, including the total amount of Exposures securitised by Exposure type, and the recognised gain or loss on sale by Exposure type.
    (j) Aggregate amount of:
    (i) on-balance sheet securitisation Exposures retained or purchased broken down by Exposure type; and
    (ii) off-balance sheet securitisation Exposures broken down by Exposure type.
    (k) Aggregate amount of securitisation Exposures retained or purchased and the associated capital charges, broken down between securitisation and Re-securitisation Exposures and further broken down into a meaningful number of risk weight bands for each regulatory capital approach. Exposures included as deductions from T1 Capital, credit-enhancing interest only strips and other Exposures included as deductions from T1 Capital and deductions from T2 Capital must be disclosed separately by Exposure type.
    (l) For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:
    (i) the aggregate drawn Exposures attributed to the interests of the seller and the investor;
    (ii) the aggregate capital charges incurred by the Authorised Firm 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-securitisation Exposures retained or purchased broken down according to:
    (i) Exposures to which Credit Risk mitigation is applied and those not applied; and
    (ii) Exposures to guarantors broken down according to guarantor credit worthiness categories or guarantor name.
    Quantitative disclosures: Trading Book (n) The total amount of outstanding Exposures securitised by the Authorised Firm and defined under the securitisation framework set out in PIB chapter 4, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor.
    (o) The total amount of outstanding Exposures intended to be securitised broken down by Exposure type.
    (p) Summary of securitisation of the current period, including the total amount of Exposures securitised by Exposure type, and the recognised gain or loss on sale by Exposure type.
    (q) Aggregate amount of Exposures securitised by the Authorised Firm for which the firm has retained some Exposures and which is subject to the Market Risk approach, broken down in terms of traditional and Synthetic, by Exposure type.
    (r) Aggregate amount of:
    (i) on-balance sheet securitisation Exposures retained or purchased broken down by Exposure type; and
    (ii) off-balance sheet securitisation Exposures broken down by Exposure type.
    (s) Aggregate amount of securitisation Exposures retained or purchased separately for:
    (i) securitisation Exposures retained or purchased subject to the comprehensive risk measure for Specific Risk; and
    (ii) securitisation Exposures subject to the securitisation framework for Specific Risk broken down into a meaningful number of risk weight bands for each regulatory capital approach.
    (t) Aggregate amount of:
    (i) the Capital Requirements for the securitisation Exposures (Re-securitisation 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 Exposures that are included as deductions from CET1 Capital, credit enhancing interest-only strips and other Exposures included as deductions from AT1 Capital and deductions from T2 Capital disclosed separately by Exposure type.
    (u) For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:
    (i) the aggregate drawn Exposures attributed to the interests of the seller and the investor;
    (ii) the aggregate capital charges incurred by the Authorised Firm 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-securitisation Exposures retained or purchased broken down according to:
    (i) Exposures to which Credit Risk mitigation is applied and those not applied; and
    (ii) Exposures to guarantors broken down according to guarantor creditworthiness categories or guarantor name.

    Table 8 — Market Risk Disclosures

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

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

    Qualitative Disclosures (a) A description of the valuation methodologies employed by the Authorised Firm.
    (b) A description of the soundness standards on which the internal capital adequacy assessment of the Authorised Firm 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 DFSA.
    (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 Firm 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 Risk

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

    Table 11 — Interest Rate Risk in the Non-Trading Book

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

    Table 12 – Liquidity Coverage Ratio Information

    Qualitative Disclosures

    (a) Governance and organisation of Liquidity Risk management.

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

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

    (d) The techniques used for mitigating Liquidity Risk 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 Plan.

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

    (h) A Liquidity Risk statement approved by the governing body describing the firm's overall Liquidity Risk profile associated with the business strategy, including how the Liquidity Risk 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 NSFR 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 ASF
    RSF Item
    15 Total NSFR 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 NSFR derivative assets.
    30 NSFR 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 RSF
    34 Net Stable Funding Ratio (%)

    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 NSFR components must be disclosed unless otherwise indicated. Weighted values are calculated as the values after ASF or RSF Factors are applied.

    In completing the NSFR disclosure table, Authorised Firms 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 NSFR 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 NSFR 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 NSFR 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 NSFR derivative assets are greater than NSFR derivative liabilities (as calculated according to PIB section A9.4 in App 9), report the positive difference between NSFR derivative assets and NSFR derivative liabilities.
    30. In the unweighted cell, report derivative liabilities as calculated according to report 20% of derivatives liabilities unweighted value (subject to 100% NSFR).
    31. All other assets not included in the above categories.
    32. Off-balance sheet items.
    33. Total RSF 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]