Home   Browse contents   View updates   Search  
     Quick search
Go
   

BackText onlyPrint

You need the Flash plugin.

Download Macromedia Flash Player



  • Sourcebook Modules

    • Application Forms and Notices Module (AFN) [VER39/02-17]

      Click here to view the full AFN Module [VER39/02-17]

      Click here to view AUT NOTES Applying for Authorisation — Notes for Applicants.

      Click here to view AUT CORE Applying for Authorisation — Core Information Form.

      Click here to view AUT AMS Applying for Authorisation — Asset Management Supplement.

      Click here to view AUT STS Applying for Authorisation — Sales and Trading Supplement.

      Click here to view AUT BLS Applying for Authorisation — Banking and Lending Supplement.

      Click here to view AUT INS Applying for Authorisation — Insurance Supplement.

      Click here to view AUT IFS Applying for Authorisation — Islamic Finance Business Supplement.

      Click here to view AUT PFS Public Fund Supplement.

      Click here to view AUT EFF Exempt Fund Form.

      Click here to view AUT QIFM QIF Domestic Fund Manager Form.

      Click here to view AUT QIF Qualified Investor Fund: Notification Form.

      Click here to view AUT EFM External Fund Manager Form.

      Click here to view AUT EXF External Fund: Notification Form.

      Click here to view AUT REP Applying for Authorisation as a Representative Office.

      Click here to view AUT CON Applications and Notifications Concerning a Change in Control.

      Click here to view AUT IND1 Applying for Authorisation — Authorised Individual Status.

      Click here to view AUT IND2 Application to Extend or Vary Authorised Individual Status.

      Click here to view AUT IND3 Application to Withdraw Authorised Individual Status or Principal Representative Status.

      Click here to view AUT IND4 Applying to become the Principal Representative.

      Click here to view AUT IND5 Application for authorisation — Key Individual status.

      Click here to view AUT IND6 Application to extend or vary — Key Individual status.

      Click here to view AUT IND7 Application to withdraw — Key Individual status.

      Click here to view AUT CRA Applying for Authorisation as a Credit Rating Agency.

      Click here to view SUP1 Reporting Return Coversheet.

      The SUP2 form has been deleted — please use GEN1 Form.

      Click here to view SUP3 Application for approval for a Cell of a Protected Cell Company — Insurance.

      Click here to view SUP4 Applying to vary a Licence.

      Click here to view SUP5 Application to request an endorsement on the Licence of a new applicant firm or add or remove an endorsement on the Licence of an existing firm.

      Click here to view SUP6 Applying to withdraw a Licence.

      Click here to view GEN1 Application for a waiver or modification.

      Click here to view GEN2 Notification of appointment, resignation and termination of an Auditor.

      Click here to view CIR Notification of the Marketing and Selling of Funds.

      Click here to view AMI1 Reporting Return Coversheet.

      The AMI2 form has been deleted — please use GEN1 Form.

      Click here to view AMI3 Applications and Notifications Concerning a Change in Control.

      Click here to view REC1 Application for Recognised Member Status.

      Click here to view MKT1 Application for the Approval of a Prospectus and the Admission of Securities to the Official List.

      The MKT2 form has been deleted — please use MKT1 Form.

      Click here to view MKT3 Sponsor's Declaration.

      The MKT4 form has been deleted — please use GEN1 Form.

      Click here to view DNF1 Designated Non-Financial Business or Profession (DNFBP) Registration Form.

      Click here to view DNF2 Designated Non-Financial Business or Profession (DNFBP) — Changes to registration details.

      Click here to view AML Annual AML Return.

      Click here to view AUD1 Notification of Intention to continue to undertake responsibilities of an Audit Principal for a Registered Auditor.

      Click here to view AUD2 Application to withdraw Audit Principal Status.

      Click here to view AUD3 Application for registration as a Registered Auditor.

      Click here to view AUD4 Application for registration as an Audit Principal.

      Click here to view AUD5 Applying to withdraw registration as a Registered Auditor.

      Click here to view AUD6 Registered Auditor — Money Laundering Reporting Officer (MLRO).

      Click here to view AUD7 Annual Information Return

    • Code of Market Conduct (CMC) [VER2/02-17]

      • CMC 1 Introduction

        Purpose

        1. The purpose of the Code of Market Conduct is to provide Guidance on the Market AbuseG provisions in Part 6 of the Markets Law.
        2. The Code is intended to:
        (a) help persons to determine whether or not conduct is Market AbuseG ;
        (b) assist persons such as Authorised PersonsG who may be subject to obligations to monitor for, prevent or report Market AbuseG to comply with their obligations; and
        (c) clarify that certain market practices do not, in the DFSA's view, ordinarily amount to Market AbuseG .
        3. The Code is relevant to any person to whom Part 6 of the Markets Law applies. Part 6 applies to persons generally, that is:
        (a) whether an individual, Body CorporateG or body unincorporated; and
        (b) whether regulated by the DFSAG (such as an Authorised PersonG ) or unregulated.

        Status

        4. The information in the Code is made and issued as Guidance on the provisions in Part 6 of the Markets Law and as such is indicative and non-binding. This Guidance is issued by the DFSAG Board of Directors under Article 20(2)(c) of the Regulatory Law.
        5. In the Code, the DFSAG sometimes sets out its views on the interpretation of provisions in Part 6 of the Markets Law. These views are not intended to be exhaustive or definitive and interpretation of the Markets Law is ultimately a matter for the Court. If you have any doubt about your obligations under a provision, you should seek appropriate legal advice.

        Structure

        6. The chapters in the Code generally set out for each type of Market AbuseG :
        (a) the text of the prohibition and relevant definitions;
        (b) the DFSA's interpretation of elements of the prohibition (including factors it may take into account in determining whether or not there has been a contravention);
        (c) general or specific examples of conduct that in the DFSA's view may contravene the prohibition; and
        (d) where relevant, defences in the Markets Law.
        Where the Code sets out the text of a prohibition, definition or defence, it sometimes does so in abbreviated form to assist the reader. For the precise terms, readers should refer to the Markets Law itself.

        Terminology

        7. Defined terms are identified throughout the Code by the capitalisation of the initial letter of a word or each word of a phrase and are defined in the Glossary module (GLO) of the DFSAG Rulebook. Unless the context otherwise requires, where capitalisation of the initial letter is not used, an expression has its natural meaning.
        8. Unless the context otherwise requires, where the Code refers to:
        (a) the Law, the reference is to the Markets Law;
        (b) Part 6, the reference is to Part 6 of the Markets Law;
        (c) an Article, the reference is to an Article in the Markets Law;
        (d) a prohibition, the reference is to an Article in Chapter 1 of Part 6 of the Markets Law that prohibits specified conduct;
        (e) Market AbuseG , the reference is to conduct which contravenes a provision in Chapter 1 of Part 6 of the Markets Law; and
        (f) Trading Information, the reference is to information referred to in CMC section 6-2 paragraph 7.

        Code not exhaustive

        9. The Code does not try to exhaustively describe or list:
        (a) all examples of Market AbuseG , setting out only a few of the many possible examples; or
        (b) all factors that the DFSAG may take into account in deciding whether or not conduct amounts to Market AbuseG .

        Conduct may contravene different Articles

        10. Market AbuseG prohibitions overlap in some circumstances so that conduct by a person may potentially contravene more than one Article. For example:
        (a) if a person engages in conduct that contravenes Article 54(a) (creating a false or misleading impression as to the supply or demand or price of an Investment) that conduct may also contravene Article 54(b) (creating an artificial price for an Investment), and vice versa; and
        (b) if a person disseminates information about an Investment that is false or misleading this could, depending on the circumstances, contravene both Article 55 (false or misleading statements) and Article 60 (inducing persons to deal).
        11. A number of prohibitions are expressed to have residual scope (i.e. to apply to specified conduct only if it does not fall under other prohibitions). For example:
        (a) Article 57 (false or misleading conduct and distortion) applies to conduct that does not fall under Articles 54, 55 or 56; and
        (b) Article 61 (misuse of information) applies to conduct that does not fall under Articles 58, 59 or 60.

        Application to Investments and related investments

        12. The Market AbuseG provisions apply to certain activities or conduct related to InvestmentsG . An “Investment” is defined in GEN App 2.1 to mean:
        (a) a SecurityG such as a ShareG , a DebentureG , a WarrantG , a CertificateG , a UnitG or a Structured ProductG ;
        (b) a DerivativeG such as an OptionG or FutureG (including a Commodity DerivativeG );
        (c) a right or interest in a SecurityG or DerivativeG ; and
        (d) any instrument declared by the DFSAG to be a SecurityG or DerivativeG under GEN App 2.1.
        13. For the purposes of Article 58 (insider dealing) an InvestmentG is defined not to include a Commodity DerivativeG .
        14. Articles 58 (insider dealing) and 59(2) (procuring another person to deal) also apply to a “related investment”, which is defined in Article 63(6) as meaning:

        “…. in relation to an Investment (the “First Investment”), a “related investment” means another Investment whose price or value depends, in whole or in part, on the price or value of the First Investment”.

        For example, if an InsiderG has Inside InformationG relating to an Issuer, A, of an InvestmentG , then a “related investment” could include a DerivativeG relating to the InvestmentsG of A or another Investment in a member of A's group, if the price or value of that other InvestmentG depends, in whole or in part, on the price or value of InvestmentsG of A.
        15. The Market AbuseG provisions apply to InvestmentsG whether or not the InvestmentsG are admitted to an Official List of SecuritiesG or admitted to trading on a market in the DIFCG . As a result the Market AbuseG provisions have a potentially broad application to InvestmentsG in the DIFCG or affecting DIFCG markets.

        Application to conduct outside the DIFC

        16. The Market AbuseG prohibitions are expressed to apply whether the relevant conduct occurs in the DIFCG or elsewhere. However, Article 62 provides that if the conduct occurs outside the DIFCG , the prohibitions do not apply unless the conduct affects the DIFCG markets or users of the DIFCG markets.
        17. The following are examples of conduct which occurs outside the DIFCG that, in the DFSA's view may, depending on other factors such as the state of knowledge of the person concerned, fall within the scope of the Market AbuseG provisions:
        (a) a person outside the DIFCG places an order to trade that creates, or is likely to create, an artificial price for an InvestmentG traded on an Exchange in the DIFCG ;
        (b) a person engages in conduct outside the DIFCG that manipulates the price of a benchmark or InvestmentG and affects the price of a DerivativeG admitted to trading in the DIFCG that is referenced to that benchmark or InvestmentG ;
        (c) a person who has Inside InformationG relating to an IssuerG that has InvestmentsG traded on an ExchangeG in the DIFCG discloses that information outside the DIFCG to another person (other than in the necessary course of business of the person making the disclosure); and
        (d) a person outside the DIFCG contacts potential investors in the DIFCG and makes statements that are misleading, false or deceptive in order to induce those investors to buy an InvestmentG .

        Intention to commit Market Abuse

        18. The Market AbuseG prohibitions generally do not require that the person engaging in the relevant conduct intended to commit Market AbuseG . However, a number of Articles require that the person knew or reasonably ought to have known of a certain matter e.g. that conduct would have a certain effect or that information is false or misleading (see, for example, Article 54 (fraud and market manipulation), Article 55 (false or misleading statements) and Article 60 (inducing persons to deal)).

        Systems and controls to prevent market abuse

        19. An Authorised PersonG is required under GEN Rule 5.3.20 to establish and maintain systems and controls that ensure, as far as reasonably practical, that the Authorised PersonG and its EmployeesG do not engage in conduct, or facilitate others to engage in conduct, which may constitute market abuse, whether in the DIFCG or elsewhere. If an Authorised FirmG or Recognised MemberG suspects on reasonable grounds that an order from a ClientG , or a transaction it arranges or executes with or for a ClientG , may constitute Market AbuseG under the Markets LawG , it must notify the DFSA immediately of that fact (see GEN Rule 11.10.12A and REC Rule 3.4.5).

        Other provisions that apply to Prospectuses and Reporting Entities

        20. If a misleading or deceptive statement or a material omission occurs in a ProspectusG , then separate and specific prohibitions and defences are likely to apply. These are set out in Articles 20 to 25 of the Markets Law and in Articles 56 to 58 of the Collective Investment Law.
        21. If a Reporting EntityG fails to make a timely disclosure of information to the market then Article 41 of the Markets Law is likely to apply. However, if a Reporting EntityG discloses information to the market which is false or misleading (and knows or could reasonably be expected to know that it is false or misleading) then the Market AbuseG provisions may apply.
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]
        [Amended] by GM10/2016 (Made 7th December 2016). [VER2/02-17]

      • CMC 2 Market Manipulation and Fraud

        • CMC 2-1 Introduction

          1. Article 54 of the Law provides that:

          A person shall not, in the DIFC or elsewhere, by any means, directly or indirectly…..

          engage or participate in any act, practice or course of conduct relating to Investments….

          that the person knows or reasonably ought to know:
          (a) results in or contributes to, or may result in or contribute to, a false or misleading impression as to the supply of, demand for or price of one or more Investments;
          (b) creates or is likely to create an artificial price for one or more Investments; or
          (c) perpetrates a fraud on any person.
          2. Article 54 includes a specific requirement relating to knowledge. It requires that the person who engages or participates in the act, practice or course of conduct either knew (a subjective test) or reasonably ought to have known (an objective test) that the act, practice or course of conduct would have the effect described in paragraph (a), (b) or (c) of that Article.
          3. In assessing whether a person reasonably ought to have known that an act, practice or course of conduct would have the effect described in Article 54 (a), (b) or (c) (i.e. the objective test), the DFSAG will consider if a reasonable person in that position would have or should have known it would have such an effect.
          4. The following sections of this chapter set out the DFSA's views on conduct that contravenes paragraph (a), (b) and (c) respectively of Article 54.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 2-2 Market Manipulation

          1. This section sets out examples of conduct that, in the DFSA's view, may contravene Articles 54(a) and (b) and factors that the DFSAG may take into account in considering whether conduct contravenes those Articles.

          Examples of market manipulation

          2. The following are general examples of conduct that, in the DFSA's view, may result in or contribute to a false or misleading impression under Article 54(a):
          (a) wash trades — that is, a sale or purchase of an InvestmentG where there is no change in beneficial interest or market risk, or where the transfer of beneficial interest or market risk is only between parties acting in collusion, resulting in a false appearance of trading activity;
          (b) painting the tape — that is, entering into a transaction or series of transactions in relation to an InvestmentG which are shown on a public display to give the impression of activity or price movement in the InvestmentG ;
          (c) layering — that is, submitting multiple orders in relation to an InvestmentG away from one side of the order book with the intention of executing a trade on the other side of the order book, where once that trade has taken place, the initial manipulative orders will be removed;
          (d) momentum ignition — that is, entering orders or a series of orders in relation to an InvestmentG that are intended to start or exacerbate a trend, and to encourage other participants to accelerate or extend the trend in order to create an opportunity to unwind/open a position at a favourable price; and
          (e) quote stuffing — that is, entering large numbers of orders and/or cancellations/updates to orders in relation to an InvestmentG to create uncertainty for other market participants, slow down their trading processes and camouflage the person's own strategy.
          While some of the above examples are more commonly associated with algorithmic trading, such as high frequency trading, in the DFSA's view, the conduct could amount to Market Abuse whether it occurs using automated systems or manually.
          3. The following are general examples of conduct that, in the DFSA's view, may create or may be likely to create an artificial price for an Investment under Article 54(b):
          (a) marking the open/marking the close — that is, buying or selling an InvestmentG near the reference time of the trading session (e.g. at opening or closing time) or at the end of a particular period (e.g. at the end of the quarter or a financial year) in order to increase, decrease or maintain the reference price (e.g. opening price or closing price) at a specific level;
          (b) transactions where both buy and sell orders for an InvestmentG are entered at, or nearly at, the same time, with the same price and quantity by the same party, or by parties acting in collusion, in order to position the price of the InvestmentG at a particular level;
          (c) transactions or orders to trade by a person, or persons acting in collusion, that secure a dominant position over the supply of or demand for an InvestmentG or the underlying InvestmentG or commodity and which have the effect of fixing, directly or indirectly, purchase or sale prices or creating other unfair trading conditions;
          (d) an abusive squeeze — that is, when a person:
          (i) who has a significant influence over the supply of, or demand for, or delivery mechanisms for an Investment or the underlying product of a DerivativeG ; and
          (ii) has a position (directly or indirectly) in an InvestmentG under which quantities of the InvestmentG , or product in question are deliverable;
          engages in behaviour with the purpose of positioning at a distorted level the price at which others have to deliver, take delivery or defer delivery to satisfy their obligations in relation to an InvestmentG ;
          (e) colluding in the after-market of an initial public offer — that is, parties, who have been allocated InvestmentsG in a primary offering, collude to purchase further tranches of those InvestmentsG when trading begins, in order to force the price of the Investment to an artificial level and generate interest from other investors, and then sell the InvestmentsG ;
          (f) creating a floor (or ceiling) in the price pattern — that is, transactions or orders to trade carried out in such a way as to create obstacles to the price of an InvestmentG falling below or rising above a certain level; for example, to avoid negative consequences for an Issuer, such as the downgrading of the Issuer's credit rating or to ensure that a DerivativeG settlement price is above a certain strike price; and
          (g) entering into transactions or placing orders in relation to an InvestmentG on one exchange in order to influence improperly the price of a related investment on that exchange or the price of the same InvestmentG or a related investment on another exchange.
          4. The following are some more specific examples of conduct that, in the DFSA's view, may contravene Article 54(a) or (b):
          (a) A, a trader, accumulates a large position in Commodity DerivativesG (whose price will be relevant to the calculation of the settlement value of another DerivativeG position he holds) just before the close of trading. A's purpose is to position the price of the Commodity Derivatives at an artificial level so as to make a profit from his DerivativeG position;
          (b) B, a trader, holds a short position that will show a profit if a particular InvestmentG , which is currently a component of an index, falls out of that index. Whether the InvestmentG will fall out of the index depends on the closing price of the Investment on a particular day. B places a large sell order in this InvestmentG just before the close of trading on that day. His purpose is to position the price of the InvestmentG at an artificial level so that the InvestmentG will drop out of the index resulting in his making a profit;
          (c) a fund manager, whose quarterly performance will improve if the valuation of his portfolio at the end of the quarter in question is higher rather than lower, places a large order to buy relatively illiquid shares, which are also components of his portfolio. The order is to be executed at or just before the close of the last trading day of the quarter. His purpose is to position the price of those shares at an artificial level; and
          (d) an entity, A, purchases a large number of shares of an IssuerG on its initial public listing. In the period between that listing and the end of A's financial year, the price of the Issuer's shares declines significantly. Near the close of market on the date of A's financial year end, a broker acting for A enters several bids to buy shares in the Issuer. The bid prices are well above those at which the shares had been trading and have the effect of significantly increasing the closing price of the shares. The purpose of A making the bids is to increase the price of the shares, marking up the book value of A's proprietary holdings in the Issuer, thus boosting its own financial position at year end.

          General factors

          5. In considering whether conduct may contravene Article 54(a) or (b), the DFSAG may take into account factors such as:
          (a) the experience and knowledge of the users of the market in question;
          (b) the structure of the market, including its reporting, notification and transparency requirements;
          (c) the level of liquidity on the market;
          (d) the legal and regulatory requirements of the market concerned;
          (e) the identity and position of the person responsible for the conduct which has been observed; or
          (f) the extent and nature of the visibility or disclosure of the person's activity.
          6. The following factors may, in the DFSA's view, indicate that conduct contravenes Article 54(a) or (b):
          (a) if the transaction was executed in a particular way to create a false or misleading impression;
          (b) if the order or transaction does not appear to have a legitimate economic rationale;
          (c) if the person has another, illegitimate, reason for undertaking the transaction, bid or order to trade; or
          (d) if the motivating purpose for the transaction is to induce others to trade in, bid for or to position or move the price of, an InvestmentG .
          7. The following factors are, in the DFSA's view, likely to indicate that conduct does not contravene Article 54(a) or (b):
          (a) if the conduct is pursuant to a prior legal or regulatory obligation owed to a third party; or
          (b) if the transaction was carried out in a particular way to comply with the rules of the relevant ExchangeG about how such transactions are to be executed.

          Factors relating to giving a false or misleading impression

          8. In considering whether conduct may result in, or contribute to, a false or misleading impression as to the supply of, demand for, or price of an InvestmentG , the DFSAG may take into account factors such as:
          (a) the extent to which orders to trade given, or transactions undertaken, represent a significant proportion of the daily volume of transactions in the relevant InvestmentG on the market concerned, in particular when these activities lead to a significant change in the price of the InvestmentG ;
          (b) the extent to which orders to trade given, or transactions undertaken, by persons with a significant buying or selling position in an InvestmentG lead to significant changes in the price of the InvestmentG ;
          (c) whether transactions undertaken lead to no change in beneficial ownership of an InvestmentG ;
          (d) the extent to which orders to trade given, or transactions undertaken, include position reversals in a short period;
          (e) the extent to which orders to trade given, or transactions undertaken, are concentrated within a short time span in the trading session and lead to a price change which is subsequently reversed;
          (f) the extent to which orders to trade given change the representation of the best bid or offer prices in an InvestmentG on a market, or more generally the representation of the order book available to market participants, and are removed before they are executed; or
          (g) the extent to which orders to trade are given, or transactions are undertaken, at or around a specific time when reference prices, settlement prices and valuations are calculated and lead to price changes which have an effect on such prices and valuations.

          Factors relating to creating an artificial price

          9. In considering whether or not conduct creates, or is likely to create, an artificial price under Article 54(b), the DFSAG is likely to take into account factors such as:
          (a) the extent to which the person had a direct or indirect interest in the price or value of the InvestmentG ;
          (b) the extent to which price, rate or option volatility movements, and the volatility of these factors for the InvestmentG in question, are outside their normal intra-day, daily, weekly or monthly range; or
          (c) whether a person has successively and consistently increased or decreased his bid, offer or the price he has paid for an InvestmentG .

          Maximising profit and trading outside normal range

          10. It is unlikely that the conduct of market participants in dealing at times and in sizes most beneficial to them (whether for the purpose of long term investment objectives, risk management or short term speculation) and seeking the maximum profit from their dealings will of itself amount to creating an artificial price.
          11. The fact that prices in the market are trading outside their normal range does not necessarily indicate that someone has engaged in conduct for the purpose of positioning prices at an artificial level. High or low prices relative to a trading range can be the result of the proper interplay of supply and demand.

          Abusive squeezes

          12. Squeezes occur relatively frequently when the proper interaction of supply and demand leads to market tightness, but this does not of itself indicate that there has been Market AbuseG . Having the power significantly to influence the supply of, or demand for, or delivery mechanisms for an InvestmentG (e.g. through ownership, borrowing or reserving the InvestmentG in question) does not of itself amount to Market AbuseG .
          13. The following are specific examples of an abusive squeeze that, in the DFSA's view, may contravene Article 54(b):
          (a) during the course of a trading day on a Commodity DerivativeG ExchangeG , a trader rapidly builds up a position of more than 90% of the physical inventory underlying a crude oil contract. The trader fails to offer to lend the crude oil back to other market participants at a reasonable commercial rate. The trader then unwinds his position in the Exchange's final settlement window1 at rapidly increasing prices, thereby cornering/squeezing the crude oil market. His conduct causes an abnormal movement in the price of crude oil contracts for forward month delivery; and
          (b) a trader with a long position in bond futures, buys or borrows a large amount of the bonds and either refuses to re-lend these bonds or will only lend them to parties he believes will not re-lend to the market. His purpose is to position the price at which persons with short positions have to deliver to satisfy their obligations at a materially higher level, making him a profit on his position.
          14. In considering whether a person has engaged in an abusive squeeze that contravenes Article 54(b), the DFSAG may take into account factors such as:
          (a) the extent to which a person is willing to relax his control or other influence in order to help maintain an orderly market, and the price at which he is willing to do so; for example, conduct is less likely to amount to an abusive squeeze if a person is willing to lend the InvestmentG or the underlying InvestmentG or commodity in question;
          (b) the extent to which the person's activity causes, or risks causing, settlement default by other market participants. The more widespread the risk of settlement default, the more likely that an abusive squeeze has occurred;
          (c) the extent to which prices under the delivery mechanisms of the market diverge from the prices for delivery of the InvestmentG or underlying InvestmentG or commodity outside those mechanisms. The greater the divergence beyond that to be reasonably expected, the more likely that an abusive squeeze has occurred; and
          (d) the extent to which the spot or immediate market compared to the forward market is unusually expensive or inexpensive or the extent to which lending or borrowing rates are unusually expensive or inexpensive.

          1 The period which occurs during the last trading day of the month for the relevant contract when the Exchange calculates the final settlement price.

          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 2-3 Perpetrating A Fraud on a Person

          1. Article 54(c) prohibits an act, practice or course of conduct relating to Investments that the person knows, or reasonably ought to know perpetrates a fraud on any person.
          2. The Markets Law does not define “fraud” and so it is necessary to give that term its ordinarily understood meaning in the context. In the DFSA's view, a person perpetrates a fraud on another person if the first person engages in conduct that is dishonest or deceptive and is intended to result in a financial gain or benefit or to avoid a loss (whether to the first person or to another person).

          Examples of fraud

          3. The following are examples of conduct that, in the DFSA's view, may contravene Article 54(c):
          (a) a Reporting EntityG publishes accounts that have been deliberately falsified by excluding or including transactions. The purpose of publishing the accounts with the false transactions is to give a more positive impression to investors of the financial position of the Reporting EntityG ;
          (b) a person operates a Ponzi scheme i.e. a scheme where InvestmentsG are offered to investors with a high rate of return and little risk but the InvestmentG does not generate returns from actual profits earned but instead is only able to pay returns to investors by using new investors' funds to pay the earlier investors;
          (c) a company makes an offer of InvestmentsG to a small number of high net worth investors. Information provided to the investors indicates that the funds will be used for a specified purpose related to the business of the company. The officers of the company, however, use the funds raised for their own personal purposes (unrelated to any business of the company); and
          (d) a person is a contributor of information to the administrator of a price benchmark (that is used as a reference for the pricing of Investments). The person reports non-existent transactions, omits to report transactions or reports transactions selectively to the benchmark administrator in order to manipulate the price of the benchmark and profit from that benchmark price.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 2-4 Defences

          1. A number of defences to Article 54 are set out in Chapter 2 of Part 6 of the Law.

          Price Stabilisation

          2. Article 64(1)(a) provides that:

          A person shall not be found to have contravened Article 54 if the person establishes that the conduct or practice the person engaged in was carried out in the performance of….permitted price stabilisation….in accordance with the Rules.
          3. The effect of Article 64(1)(a) is that if a person establishes that they carried out a Price StabilisationG in accordance with DFSAG Rules, this conduct will not contravene Article 54. The Price Stabilisation module (PRS) sets out the relevant Rules relating to carrying on a Price StabilisationG that must be complied with.

          Purchase of the person's own shares

          4. Article 64(1)(b) provides that:

          A person shall not be found to have contravened Article 54 if the person establishes that the conduct or practice the person engaged in was carried out in the performance of….a purchase of the person's own shares….in accordance with the Rules.
          5. The effect of Article 64(1)(b) is that if a person establishes that they carried out the purchase of their own shares in accordance with DFSAG Rules, this conduct will not contravene Article 54. The Markets Rules (MKT) sets out relevant Rules relating to a Listed EntityG purchasing its own shares (e.g. MKT Rules 9.7.4 and 9.7.6) that must be complied with.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 3 Dissemination of False or Misleading Information

        Article 55 of the Markets Law

        1. Article 55 of the Law provides that:

        A person shall not, in the DIFC or elsewhere….

        disseminate information by any means…

        which gives, or is likely to give, a false or misleading impression as to one or more Investments…

        when such person knows or could reasonably be expected to know that the information is false or misleading.

        Means of dissemination

        2. The dissemination of information under Article 55 could, in the DFSA's view, be by a variety of means, including, for example:
        (a) through a Regulatory Announcement ServiceG ;
        (b) through media such as the radio, a newspaper or television;
        (c) through the internet, including any form of social media;
        (d) through any market information service such as a trading terminal; or
        (e) by conveying information verbally to another person.

        No transaction required

        3. It should be noted that this type of Market AbuseG does not require any transaction to be entered into in connection with the dissemination of information.

        Knowledge that the information is false or misleading

        4. Article 55 requires that the person who disseminates the information either knows or could reasonably be expected to know that the information is false or misleading. That is, it sets out either a subjective or objective test relating to knowledge that must be met.
        5. In assessing whether a person could reasonably be expected to know that the information is false or misleading (i.e. the objective test), the DFSAG will consider if a reasonable person in that position would know or should have known in all the circumstances that the information was false or misleading.
        6. If a person disseminates information about an Investment that is false or misleading and the person is reckless as to whether the information is true or false (e.g. if the person gave no thought as to whether it is true or false), the DFSAG will consider that the person could reasonably be expected to know that the information is false or misleading.
        7. The DFSAG would ordinarily consider that a person did not know and could not reasonably be expected to have known that the information is false or misleading if:
        (a) an organisation has in place effective Chinese WallsG to prevent the exchange of information between different areas within the organisation;
        (b) an individual in the organisation did not have access to other information that was being held behind the Chinese WallG ; and
        (c) the individual disseminates information that is false or misleading due to his not being aware of that other information (i.e. which makes his information false or misleading) as it is held behind the Chinese WallG .

        Examples of dissemination of false or misleading information

        8. The following are examples of conduct that, in the DFSA's view, may contravene Article 55:
        (a) spreading false or misleading information through the media — for example, a person posts information on an internet forum or via social media which contains false or misleading statements about the takeover of a company when the person knows that the information is not true; and
        (b) disclosure of false or misleading information by an Issuer — an Issuer discloses information to the market under its continuous disclosure obligations which gives a false or misleading impression about the true impact of a matter on its Investments (when it knew or could reasonably be expected to know that the information was false or misleading).
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 4 Use of Fictitious Devices and Other Forms of Deception

        Article 56 of the Markets Law

        1. Article 56 of the Law provides that:

        A person shall not, in the DIFC or elsewhere, engage in any activity or conduct in relation to Investments…

        which consists of effecting transactions or orders to trade….

        which employ fictitious devices or any other form of deception or contrivance.
        2. Under Article 56 it is necessary for there to be a transaction or order to trade. The transaction or order to trade must either itself or in conjunction with other factors create an effect that is fictitious, deceptive or a contrivance. The Markets Law does not define what is meant by a “fictitious device” or “any other form of deception or contrivance”. In the DFSA's view, these terms have a potentially broad meaning. This Article would, for example, in the DFSA's view, cover situations where the transaction or order to trade when viewed in the context of other related conduct (such as dissemination of information) has an overall effect that is fictitious or deceptive.

        Examples of fictitious devices etc

        3. The following are examples of conduct that, in the DFSA's view, may contravene Article 56:
        a) voicing misleading opinions through the media — a person with access to the media (such as a newspaper columnist) enters into a transaction to buy an InvestmentG and then voices an opinion in the media about the InvestmentG (or its IssuerG ) which results or is likely to result in the moving of the price of the InvestmentG in a direction favourable to the position held by the person. The person does not disclose his conflict of interest when voicing the opinion;
        (b) concealing ownership — a person enters into a transaction or series of transactions that are designed to conceal the ownership of an InvestmentG , by holding the InvestmentG in the name of a colluding party, with the result that disclosures are misleading in respect of the true identity or value of the underlying holding.
        (c) trash and cash schemes — for example, a trader takes a short position in InvestmentsG in a company and then begins spreading false rumours that the company is facing funding difficulties and is in serious financial difficulty in order to drive down the price of the InvestmentG ; and
        (d) pump and dump schemes — this is the opposite of 'trash and cash': for example, a person takes a long position in an InvestmentG and then disseminates misleading positive information about the InvestmentG with a view to increasing its price. As a result of his conduct the person is able to sell his InvestmentsG at an inflated price.
        The DFSAG notes that some of the above examples may also breach other Articles such as Article 55 (false or misleading statements) or Article 60 (inducing persons to deal).
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 5 False or Misleading Conduct and Distortion

        Article 57 of the Markets Law

        1. Article 57 of the Law provides that:

        A person shall not, in the DIFC or elsewhere, engage in any activity or conduct in relation to Investments…..

        which does not fall under Articles 54, 55 or 56

        that:
        a) gives a false or misleading impression as to the supply of, or demand for, or to the price of one or more Investments; or
        b) would distort, or would be likely to distort, the market for one or more Investments…
        and is likely to be regarded by market participants as a failure on the part of the person concerned to observe the standards of behaviour reasonably expected of a person in his position in relation to the market.
        2. The conduct referred to in Article 57 overlaps to a large extent with the conduct referred to in Article 54 relating to creating false or misleading impressions or an artificial price for an InvestmentG . It should be noted however that Article 57 has 'residual scope' i.e. it only applies to conduct that does not fall within Article 54 (fraud and market manipulation), Article 55 (false or misleading statements) or Article 56 (use of fictitious devices and other forms of deception).

        Failure to observe standards expected by market participants

        3. Article 57 requires that the activity or conduct in question is likely to be regarded by market participants as a failure on the part of the person concerned to observe the standard of behaviour reasonably expected of a person in his position in relation to the market.
        4. This requirement imports an objective test into the assessment of whether the provision is contravened. In the DFSA's view, for the purposes of the test, the market participant is a hypothetical reasonable person who regularly deals in the Investments of the kind in question.
        5. In determining if there has been a failure to meet the standards expected by market participants, the DFSAG is likely to take into account factors such as:
        (a) the characteristics of the market in question, including the users and relevant rules and codes of conduct (including, if relevant, any statutory or regulatory obligation to disclose a holding or position);
        (b) the position of the person in question and the standards reasonably to be expected of him in light of his experience, skill and knowledge; and
        (c) if the conduct involved a transaction, whether it was executed in a way that complied with the rules of the relevant market about how such transactions are to be executed (including, for example, rules on reporting).

        Examples of false or misleading conduct or distortion

        6. The following are specific examples of conduct that, in the DFSA's view, may contravene Article 57:
        (a) the movement of physical commodity stocks without any proper commercial purpose, which gives a misleading impression as to the supply of, or demand for, or price or value of, a commodity or the deliverable into a Commodity DerivativeG ; and
        (b) the movement of an empty cargo ship, which gives a misleading impression as to the supply of, or the demand for, or the price or value of a commodity or the deliverable into a Commodity DerivativeG .
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 6 Insider Dealing

        • CMC 6-1 Article 58 of the Markets Law

          1. Article 58(1) of the law provides that:

          A person who is an insider shall not, in the DIFC or elsewhere……

          directly or indirectly, deal, or attempt to deal……

          in an Investment, or in a related investment…….

          on the basis of…….

          inside information.

          “Investment” does not include Commodity Derivatives

          2. For the purposes of Article 58, an “InvestmentG ” is defined as not including a Commodity DerivativeG (see Article 58(2)).

        • CMC 6-2 What is "Inside Information"?

          Definition

          1. "Inside InformationG " is defined in Article 63(1)(a) as meaning information of a precise nature which:
          (a) is not generally available:
          (b) relates, directly or indirectly, to one or more Reporting EntitiesG or the issuer of the InvestmentsG concerned or to one or more of the InvestmentsG ; and
          (c) would, if generally available, be likely to have a significant effect on the price of the InvestmentsG or on the price of related investments.

          When is information "precise"?

          2. To be "Inside InformationG ", information must be of a precise nature. Article 63(2) states that information is “precise” if it:
          (a) indicates circumstances that exist or may reasonably be expected to come into existence or an event that has occurred or may reasonably be expected to occur; and
          (b) is specific enough to enable a conclusion to be drawn as to the possible effect of those circumstances or that event on the price of InvestmentsG or related investments.

          When is information "generally available"?

          3. Information is only "Inside InformationG " under the definition in Article 63(1)(a) if it is not generally available. The Markets Law does not define what is meant by "generally available", although Article 63(5) states that information which can be obtained by research or analysis conducted by, or on behalf of, users of a market is to be regarded as being “generally available” to them.
          4. The following factors are, in the DFSA's view, likely to indicate that information is "generally available" (and therefore is not Inside InformationG ):
          (a) if the information has been the subject of a disclosure to the market in accordance with the rules of the relevant market or a requirement in a law;
          (b) if the information is contained in records which are open to inspection by the public;
          (c) if the information is otherwise generally available, including through the Internet, or some other publication (including if it is only available on payment of a fee), or is derived from information which has been made public;
          (d) if the information can be obtained by observation by members of the public without infringing rights or obligations of privacy, property or confidentiality; or
          (e) if the information can be obtained by analysing or developing other information which is generally available.
          For example, if a passenger in a vehicle passing a burning factory calls his broker and tells him to sell shares in the company that owns the factory, the passenger will be acting on information which is generally available, since it is information which has been obtained by legitimate means through observation of a public event.
          5. It is not relevant, in the DFSA's view, in relation to information referred to in paragraph 4 that:
          (a) the information is only generally available outside the DIFCG ; or
          (b) the observation, research or analysis is only achievable by a person with above average financial resources, expertise or competence.

          When will information have a "significant effect on price"?

          6. Information is only "Inside InformationG " under the definition in Article 63(1)(a) if it would be likely to have a significant effect on the price of the Investment or a related investment. Information would be likely to have a "significant effect on price" if and only if it is information of the kind which a reasonable investor would be likely to use as part of the basis of his investment decisions (see Article 63(3)). In the DFSA's view, if information is of a kind which a reasonable investor would be likely to use as part of the basis of his investment decisions, then the "significant effect on price" test will be satisfied.

          Trading Information

          7. Article 63(4) provides that information about a person's pending orders in relation to an Investment or related investment is also Inside InformationG . The DFSAG considers that information of the following kinds (referred to in this Code as "Trading Information") relating to pending orders may be Inside InformationG :
          (a) that InvestmentsG of a particular kind have been or are to be acquired or disposed of, or that their acquisition or disposal is under consideration or the subject of negotiation;
          (b) that InvestmentsG of a particular kind have not been or are not to be acquired or disposed of;
          (c) the quantity of InvestmentsG acquired or disposed of or whose acquisition or disposal is under consideration or the subject of negotiation;
          (d) the price (or range of prices) at which InvestmentsG have been or are to be acquired or disposed of or the price (or range of prices) at which InvestmentsG whose acquisition or disposal is under consideration or the subject of negotiation may be acquired or disposed of; or
          (e) the identity of the persons involved or likely to be involved in any capacity in an acquisition or disposal.
          8. A person who executes a client order does not contravene Article 58 (insider dealing) provided he complies with certain conditions (see CMC section 6-7 paragraphs 8 and 9).

          Carrying out of own trading intention

          9. A person will form an intention to deal in an InvestmentG before doing so. His carrying out of his own intention will not of itself contravene Article 58 (insider dealing).
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 6-3 Definition of "Insider"

          1. The term "InsiderG " is defined in Article 63(1)(b) as meaning:

          "…a person who has Inside Information:
          (i) as a result of his membership of the board of Directors, or the Governing Body of the relevant Reporting Entity;
          (ii) as a result of his holding in the capital of the relevant Reporting Entity;
          (iii) as a result of having access to the information through the exercise of his employment, profession or duties;
          (iv) as a result of his criminal activities; or
          (v) which he has obtained by other means and which he knows, or could reasonably be expected to know, is Inside Information."
          2. If a person has Inside InformationG in any of the circumstances set out in Article 63(1)(b)(i) to (iv) then, in the DFSA's view, it is not necessary to show that the person knew that the information concerned was Inside InformationG . However, if the person has information in the circumstances set out in Article 63(1)(b)(v), then that sub-paragraph requires that the person knew, or could reasonably be expected to know, that the information is Inside InformationG . For that purpose, a person could reasonably be expected to know, if a reasonable person in his position who has Inside InformationG would have known it is Inside InformationG .
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 6-4 Dealing "On The Basis Of" Inside Information

          Factors to be taken into account "on the basis of"

          1. To contravene Article 58, it is necessary that the InsiderG deals or attempts to deal "on the basis" of Inside InformationG . In the DFSA's view, if the Inside InformationG is the reason for, or a material influence on, the decision to deal or attempt to deal then this indicates that the dealing or attempt to deal is "on the basis" of the Inside InformationG .
          2. The following factors are, in the DFSA's view, likely to indicate that the dealing is not "on the basis of" Inside InformationG :
          (a) if the decision to deal or attempt to deal was made before the person possessed the relevant Inside InformationG ;
          (b) if the person concerned is dealing to satisfy a legal or regulatory obligation which came into being before he possessed the relevant Inside InformationG ; or
          (c) if a person is an organisation, if none of the individuals in possession of the Inside InformationG :
          (i) had any involvement in the decision to deal; or
          (ii) behaved in such a way as to influence, directly or indirectly, the decision to engage in the dealing; or
          (iii) had any contact with those who were involved in the decision to engage in the dealing whereby the information could have been transmitted.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 6-5 Attempting to Deal and Dealing in Related Investments

          Attempting to deal

          1. Article 58 provides that an InsiderG shall not directly or indirectly "deal or attempt to deal in an InvestmentG , or in a RelatedG InvestmentG " on the basis of Inside InformationG .
          2. In the DFSA's view, an "attempt to deal" covers circumstances where an InsiderG takes steps to enter into a transaction but the transaction is not executed. For example, if an InsiderG places an order with a broker or instructs another person (such as his investment adviser) to place an order with a broker, even though the order is not subsequently executed.

          Related investments

          3. Article 58 prohibits an InsiderG from dealing or attempting to deal in relation to either the InvestmentG (i.e. to which the Inside InformationG relates) or a related investment. The definition of a "related investment" is set out at CMC chapter 1 paragraph 14.

          For example, if an InsiderG has Inside InformationG relating to an IssuerG , A, of an InvestmentG , then a "related investment" could include a DerivativeG relating to InvestmentsG of A or an InvestmentG of another member of A's Group, if the price or value of that other InvestmentG depends, in whole or in part, on the price or value of InvestmentsG of A.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 6-6 Examples of Insider Dealing

          1. The following are general examples of conduct that, in the DFSA's view, may contravene Article 58 (insider dealing):
          (a) an officer or employee of an IssuerG becomes aware of Inside InformationG relating to the Issuer, the officer or employee then deals in InvestmentsG of the IssuerG on the basis of that information;
          (b) front running — that is, a transaction for a person's own benefit, on the basis of and ahead of an order which he or another person is to carry out with or for another person (where the information concerning the order is Inside InformationG ), which takes advantage of the anticipated impact of the order on the market;
          (c) using Inside InformationG obtained as a result of a market sounding (i.e. a discussion with a potential investor to gauge his interest in a potential offering of an InvestmentG or the price of the potential offering) to deal in an InvestmentG ;
          (d) in the context of a takeover, an offeror or potential offeror entering into a transaction in an Investment, or in a related investment, on the basis of Inside InformationG concerning the proposed bid, that provides merely an economic exposure to movements in the price of the target company's shares (for example, a DerivativeG related to the target company's share price); or
          (e) in the context of a takeover, a person who acts as an adviser to the offeror or potential offeror dealing for his own benefit in an InvestmentG or in a related investment on the basis of information concerning the bid which is Inside InformationG .
          2. The following are some more specific examples of conduct that, in the DFSA's view, may contravene Article 58 (insider dealing):
          (a) A is the CEO of a company (a Reporting EntityG ) that is about to release its semi-annual financial report. The report will disclose an outstanding claim that will have a significant impact on the company's financial results. A passes this information on to family members who instruct their broker to sell their shares in the company. The family members would have contravened Article 58 (insider dealing) and A would have contravened Article 59(1) (providing inside information) (see CMC chapter 7);
          (b) B, an employee of an oil and gas company (a Reporting EntityG ) becomes aware through his employment, that the company is about to enter into a new joint venture agreement with another company that will potentially be very lucrative for the company. Before the new joint venture is disclosed to the market, B buys shares in his employer company based on his expectation that the price of the shares will rise significantly once the new joint venture is announced;
          (c) C, an employee of a firm that is providing advisory services to a company, D, (a Reporting EntityG ) becomes aware of negotiations for a takeover of D that is likely to be announced to the market imminently. C buys shares in D based on his expectation that the takeover will soon be announced;
          (d) D, a dealer on the trading desk of an Authorised FirmG dealing in DerivativesG accepts a large order from a ClientG to acquire a long position in futures. Before executing the order, D trades for the firm and on his personal account by taking a long position in those futures, based on his expectation that he will be able to sell them at profit due to the significant price increase that will result from the execution of his Client's order. Both trades would contravene Article 58 (insider dealing); and
          (e) investment bank E has been in discussions with an IssuerG about a potential issue of new InvestmentsG by the Issuer. In order to gauge potential investor interest and the terms of the issue, E raises the issue with a potential investor, F, to see if F would be prepared to commit to purchasing some of the InvestmentsG . F uses this Inside Information to deal in other related investments.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 6-7 Defences

          1. Article 64(2) provides that a person does not contravene Article 58 (insider dealing) if:
          (a) the person establishes that he reasonably believed that the Inside InformationG had been disclosed to the market in accordance with the Markets Law or the Rules;
          (b) the dealing occurred in the legitimate performance of an underwriting agreement for the InvestmentsG or related investments in question;
          (c) the dealing occurred in the legitimate performance of his functions as a liquidator or receiver;
          (d) the dealing is undertaken solely in the course of the legitimate performance of his functions as a market maker;
          (e) the person executes an unsolicited client order in InvestmentsG or related investments while in possession of Inside InformationG without contravening Article 59 (providing inside information) or otherwise advising or encouraging the client in relation to the transaction;
          (f) the dealing is undertaken legitimately and solely in the context of that person's public takeover bid for the purpose of gaining control of that Reporting EntityG or proposing a merger with that Reporting EntityG ; or
          (g) the sole purpose of the Reporting EntityG acquiring its own shares was to satisfy a legitimate reduction of share capital or to redeem shares in accordance with the Rules.
          Further Guidance setting out the DFSA's views on some, but not all, of these defences is set out below.

          Market making

          2. Dealing undertaken by a person solely in the course of the legitimate performance of his functions as a market maker will not contravene Article 58 (insider dealing) (see Article 64(2)(d)).
          3. In the DFSA's view, the following factors are likely to indicate that a person's dealing in an InvestmentG is in the course of the legitimate performance of his functions as a market maker:
          (a) if the person holds himself out as willing and able to enter into transactions for the sale and purchase of InvestmentsG of that description at prices determined by him generally and continuously rather than in respect of a particular transaction;
          (b) if the dealing is in the course of the provision of the services referred to in (a) or is in order to hedge a risk arising from such a dealing; and
          (c) if Inside InformationG held by the person or persons who make the decision to deal is limited to Trading Information.
          4. In the DFSA's view, if the person acted in contravention of a regulatory requirement or a requirement of the relevant market, that is a factor that indicates that the person's dealing is not in the legitimate performance of his functions as a market maker.

          Underwriting

          5. Dealing by a person that occurs in the legitimate performance of an underwriting agreement for the InvestmentsG or related investments in question will not contravene Article 58 (insider dealing) (see Article 64(2)(b)).
          6. In the DFSA's view, an underwriting agreement is an agreement under which a party agrees to buy, before issue, a specific quantity of InvestmentsG in an issue of InvestmentsG on a given date at a given price, if no other party has purchased or acquired them.
          7. In the DFSA's view, if the person acted in contravention of a relevant regulatory requirement or a requirement of the relevant market, that is a factor that indicates that, the person's dealing is not in the legitimate performance of his functions under an underwriting agreement.

          Execution of client orders

          8. The execution of an unsolicited client order in Investments or related investments while in possession of Inside InformationG will not contravene Article 58 (insider dealing) if the person executing the order has not:
          (a) contravened Article 59 i.e. disclosed Inside InformationG to the client or procured the client to deal in the InvestmentsG or related investments for which the person executing the order has Inside InformationG (see CMC chapter 7); or
          (b) otherwise advised or encouraged the client in relation to the transaction.
          9. In the DFSA's view, the following factors are likely to indicate that the person's dealing is the execution of an unsolicited client order in accordance with Article 64(2)(e):
          (a) if the dealing is initiated by the client;
          (b) if the person's behaviour was with a view to facilitating or ensuring the effective carrying out of the order; and
          (c) if the person has complied with any applicable conduct of business obligations relating to the execution of the order for the client.

          Takeovers and mergers

          10. Dealing by a person does not contravene Article 58 (insider dealing) if the dealing is undertaken legitimately and solely in the context of that person's public takeover bid for the purpose of gaining control of the Reporting EntityG or a proposed merger with the Reporting EntityG (see Article 64(2)(f)).
          11. There are two categories of Inside InformationG potentially relevant to a takeover or merger:
          (a) information that an offeror or potential offeror is going to make, or is considering making, an offer for the target; and
          (b) information that an offeror or potential offeror may obtain through due diligence.
          12. In determining whether or not the dealing is undertaken legitimately and solely in the context of a takeover bid or merger, the DFSAG is likely to take into account factors such as:
          (a) whether the transactions concerned are in the target company's shares;
          (b) whether the transactions concerned are for the sole purpose of gaining control or effecting the merger; and
          (c) whether the person has complied with applicable regulatory requirements relating to the takeover or merger.

          Chinese walls

          13. Article 65 provides that a person does not contravene Article 58 (insider dealing) by dealing in InvestmentsG or related investments if:
          (a) it had in operation at that time an effective information barrier which could reasonably be expected to ensure that the Inside InformationG was not communicated to the person or persons who made the decision to deal and that no advice with respect to the transaction or agreement was given to that person or any of those persons by an InsiderG ; and
          (b) the information was not communicated and no such advice was given.

          For example, if Inside InformationG is held behind an effective information barrier, from the individuals who make the decision to deal, the dealing by the person does not contravene Article 58.
          14. In the DFSA's view, to rely on this defence, the person must not only have in place information barriers which could reasonably be expected to prevent the communication of the Inside InformationG , but must also be able to show that the information was not in fact communicated to the person who made the decision to deal.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 7 Providing Inside Information

        • CMC 7-1 Article 59 of the Markets Law

          1. Article 59 prohibits two further types of conduct by an InsiderG relating to Inside InformationG , i.e:
          (a) disclosure of Inside InformationG to another person (other than in the necessary course of business); and
          (b) procuring another person to deal in InvestmentsG or related investments in which the InsiderG has Inside InformationG .
          2. The relevant definitions of:
          (a) "Inside InformationG " and "InsiderG " are set out at CMC sections 6-2 and 6-3; and
          (b) "InvestmentG " and "related investment" are set out at CMC chapter 1 paragraphs 12 to 14.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 7-2 Disclosure of Inside Information

          3. Article 59(1) of the Law provides that:

          An insider shall not….

          other than in the necessary course of business…..

          disclose inside information to another person.

          Disclosure "in the necessary course of business"

          4. Article 59(1) does not prohibit the disclosure of Inside InformationG by an InsiderG to another person if the disclosure is made "in the necessary course of business".
          5. The DFSAG would ordinarily consider the following disclosures of Inside InformationG made for regulatory purposes to be in the necessary course of business:
          (a) disclosure of Inside InformationG which is required or permitted under the Markets Law;
          (b) disclosure of Inside InformationG to the DFSAG for the purpose of fulfilling a legal or regulatory obligation or otherwise to assist the DFSAG to perform its functions; or
          (c) disclosure of Inside InformationG to another regulatory authority for the purpose of fulfilling a legal or regulatory obligation or otherwise for the purpose of assisting that regulatory authority to perform its functions.
          6. In other cases, the DFSAG is likely to take into account the following factors in determining whether or not the disclosure was made in the necessary course of business:
          (a) whether the disclosure is permitted by DFSAG Rules, the rules of the relevant market or regulatory requirements relating to a takeover;
          (b) whether the disclosure is accompanied by the imposition of confidentiality requirements upon the person to whom the disclosure is made and is:
          (i) reasonable and is to enable a person to perform the proper functions of his employment, profession or duties;
          (ii) reasonable and is (for example, to a professional adviser) to facilitate, or seek advice about, a transaction or takeover bid;
          (iii) reasonable and is for the purpose of facilitating any commercial, financial or investment transaction (including prospective underwriters or placees of Investments);
          (iv) reasonable and is for the purpose of obtaining a commitment or expression of support in relation to a takeover offer; or
          (v) in fulfilment of a legal obligation; or
          (c) whether:
          (i) the information disclosed is Trading Information;
          (ii) the disclosure is by a person, A, only to the extent necessary, and solely in order, to offer to dispose of the Investment to, or acquire the Investment from, the person receiving the information; and
          (iii) it is reasonable for A to make the disclosure to enable him to perform the proper functions of his employment, profession or duties.

          Dealing not required

          7. A person may contravene Article 59(1) by disclosing Inside InformationG to another person even though the recipient does not deal on the basis of that information. That is, it is sufficient that the Inside InformationG is disclosed to another person, other than in the necessary course of business, without the need to show that any harm was caused.

          Examples of improper disclosure of Inside Information

          8. The following are specific examples of conduct that, in the DFSA's view, may contravene Article 59(1);
          (a) A, a director of a company (a Reporting EntityG ) has lunch with a friend, B, who has no connection with the company or its advisers. A tells B that his company has received a takeover offer that is at a premium to the current share price at which it is trading;
          (b) B is the CEO of a company (a Reporting EntityG ) that is about to release its annual financial report. The report will disclose an outstanding claim that will have a significant impact on the company's financial results. B passes the information on to family members (who have no role in the company);
          (c) an officer or employee of an IssuerG selectively briefs analysts about developments relating to the Issuer that have not yet been disclosed to the market; and
          (d) the chairman of a Reporting EntityG announces his resignation to a journalist before this information has been disclosed to the market as a whole.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 7-3 Procuring Another Person to Deal

          1. Article 59(2) of the Law provides that:

          An insider…………

          shall not procure another person to deal in the Investments or related investments………..

          in which the insider has inside information.

          Meaning of "procure"

          2. Article 59(3) of the Law provides that the term "procure" includes where a person induces or encourages another person by direct or indirect means.

          Examples of procuring another person to deal

          3. The following are specific examples of conduct that, in the DFSA's view, may contravene Article 59(2):
          (a) a Director of a Reporting EntityG , while in possession of Inside InformationG , instructs an employee of that Reporting Entity to buy or sell an InvestmentG or a related Investment to which the Inside InformationG relates; and
          (b) a person, A, recommends or advises a friend, B, to buy or sell an InvestmentG in respect of which A is an InsiderG and has Inside InformationG .
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

        • CMC 7-4 Defences

          4. Article 64(3) provides that a person shall not be found to have contravened Article 59 (providing inside information) if:
          (a) the person establishes that the information was disclosed by him in accordance with any requirement of the law or a court order; or
          (b) the person establishes that he reasonably believed that the Inside InformationG had been disclosed to the market in accordance with this Law or the Rules.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 8 Inducing Another Person to Deal

        Article 60 of the Markets Law

        1. Article 60 of the Law provides that:

        A person shall not, in the DIFC or elsewhere, induce another person to deal in Investments:
        (a) by making or publishing a statement, promise or forecast if the person knows, or is reckless as to whether, the statement is misleading, false or deceptive;
        (b) by a concealment of material facts; or
        (c) by recording or storing information that the person knows to be false or misleading in a material respect or may be materially misleading.
        2. Article 60 sets out a number of tests relating to knowledge of the person concerned. It requires that the person making or publishing a statement, promise or forecast referred to in Article 60(a), knows, or is reckless as to whether, the statement is misleading, false or deceptive. It also requires that the person recording or storing information referred to in Article 60(c) knows the information is false or misleading in a material respect or that it may be materially misleading.

        Examples of inducing another person to deal

        3. The following are specific examples of conduct that, in the DFSA's view, may contravene Article 60:
        (a) a person involved in a boiler room operation cold calls investors and as part of his high pressure sales techniques makes exaggerated claims about the prospects of shares in a company. The shares are in fact of little value, are relatively illiquid and are being sold at an inflated price;
        (b) a person, A, circulates marketing information about an InvestmentG to a small group of potential investors; the marketing information includes exaggerated claims about the potential future performance of the investment when A knows or ought to know that there is no reasonable basis for making the claims;
        (c) a person, B, offers to sell shares he owns in a Company to a number of other private investors. B discloses a range of positive information about the Company's prospects but fails to disclose other information about financial difficulties the company has recently experienced;
        (d) C, a financial adviser who is managing InvestmentsG for a client, records false or misleading information about the value of investments in the client's portfolio. His purpose is to ensure that portfolio account statements sent to the client show the value of the portfolio to be higher than its actual value, in order to induce the client to provide funds to purchase further InvestmentsG .
        The DFSAG notes that some of the above examples may also contravene other Articles such as Article 55(false or misleading statements).
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 9 Misuse of Information

        Article 61 of the Markets Law

        1. Article 61 of the Markets Law provides that:

        A person shall not, in the DIFC or elsewhere….

        engage in any activity or conduct in relation to InvestmentsG , which does not fall under Articles 58, 59 or 60………

        by using information which is not generally available to market participants…

        which, if available to a market participant, would be, or would be likely to be, regarded by him as relevant when deciding the terms on which transactions in InvestmentsG should be effected….and

        is likely to be regarded by market participants as a failure on the part of the person concerned to observe the standard of behaviour reasonably expected of a person in his position in relation to the market.
        2. Article 61 applies to certain conduct that does not fall under Articles 58, 59 or 60. In particular, it is likely to cover misuse of information:
        (a) relating to InvestmentsG to which those Articles do not apply e.g. Commodity DerivativesG ; or
        (b) where the information is relevant and not generally available but nonetheless is not “Inside InformationG ” (for example, because it is not yet sufficiently precise in nature).

        Information to which Article 61 applies

        3. The prohibition applies to information which is not generally available to market participants but which if it was available to a market participant would be likely to be regarded by him as relevant when deciding the terms on which transactions in InvestmentsG should be effected.

        When is information "generally available"?

        4. The factors set out in CMC section 6-2, paragraphs 3 to 5, relating to whether or not information is generally available for the purposes of the definition of Inside InformationG will also be relevant for the purposes of Article 61 when considering whether or not information is generally available to market participants.

        When is information "relevant"?

        5. In determining whether information, if available to a market participant, would be likely to be regarded by the market participant as relevant when deciding the terms on which transactions in an InvestmentG should be effected, the DFSA is likely to take into account factors such as:
        (a) the extent to which the information is reliable, including how near the person providing the information is, or appears to be, to the original source of that information and the reliability of that source;
        (b) if the information differs from information which is generally available and can therefore be said to be new or fresh information;
        (c) if there is no other material information which is already generally available to inform participants on the market; and
        (d) in the case of information relating to possible future developments which are not currently required to be disclosed but which, if they occur, will lead to a disclosure being made to the market, whether the information provides grounds to conclude that the possible future developments will, in fact, occur.
        6. The following are examples of information that, in the DFSA's view, could be relevant information under Article 61:
        (a) information about possible future developments relating to a Reporting EntityG , which is confidential but not yet sufficiently precise to be Inside InformationG ;
        (b) information relating to a government or central monetary authority or fiscal authority which is to be the subject of an official announcement;
        (c) information that an issuer is to be added to an index or removed from the index or that the weighting of the issuer will change on the index; and
        (d) information about an unscheduled closure of a commodity processing facility due to maintenance issues.

        Failure to meet standards of behaviour expected by market participants

        7. Article 61 requires that the activity or conduct in question is likely to be regarded by market participants as a failure on the part of the person concerned to observe the standard of behaviour reasonably expected of a person in his position in relation to the market.
        8. This requirement imports an objective test into the assessment of whether the provision is contravened. In the DFSA's view, for the purposes of the test, the market participant is a hypothetical reasonable person who regularly deals in InvestmentsG of the kind in question.
        9. In determining whether there has been a failure to meet the standards expected by market participants, the DFSAG is likely to take into account factors such as:
        (a) the characteristics of the market in question, including the users and applicable rules and codes of conduct;
        (b) if the relevant information is of a kind that has to be disclosed to the market in accordance with any legal or regulatory requirement, such as under the Markets Law, the rules of the relevant market or takeover rules;
        (c) if the relevant information is routinely the subject of a public announcement although not subject to any formal disclosure requirement, such as:
        (i) information which is to be the subject of official announcement by governments, central monetary or fiscal authorities or a regulatory body (financial or otherwise, including exchanges);
        (ii) changes to published credit ratings of issuers of InvestmentsG ; or
        (iii) changes to the constituents of a securities index; or
        (d) if conduct is based on information relating to possible future developments, if it is reasonable to believe that the information in question will subsequently become of a type within (b) or (c).

        Examples of misuse of information

        10. The following are specific examples of conduct that, in the DFSA's view, may contravene Article 61:
        (a) A, who is a director of a company (a Reporting EntityG ), has lunch with a friend, B. A tells B about a possible takeover of the company that may emerge. B uses that information to purchase shares in the company, based on the possibility that the takeover may proceed; and
        (b) A, an employee of a company (a Reporting EntityG ), is aware of contractual negotiations between the company and a customer. Business with that customer has generated a significant percentage of the company's turnover in the last five financial years. A knows that the customer has threatened to take its business elsewhere, and that the negotiations, while ongoing, are not proceeding well. A sells shares in the company based on the possibility that the customer will take his business elsewhere.
        In the above examples, the DFSAG notes that the information may not yet be sufficiently precise to be Inside InformationG (see the test in CMC section 6-2, paragraph 2). However, in the DFSA's view, if it is not Inside InformationG , then it would be information to which Article 61 applies.
        11. The following is another example of conduct that, in the DFSA's view, may contravene Article 61:

        A, an oil trader who is also a participant on a Commodity DerivativesG ExchangeG , becomes aware of a discontinuity at a storage facility of his employer. This information is not public. A reverses his positions contrary to the normal hedging practice with the aim of profiting from any resulting market disruption caused by the problem.
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 10 Specific Market Practices

        1. In this section, the DFSAG sets out some Guidance about the application of the Market AbuseG provisions to some specific market practices.

        Stock lending and collateral

        2. A stock lending or borrowing transaction or a repo or reverse repo transaction, or a transaction involving the provision of collateral, will, in the DFSA's view, not usually of itself constitute Market AbuseG .

        Short selling

        3. Short SellingG is ordinarily a legitimate market practice that, in the DFSA's view, will not usually of itself constitute Market AbuseG . In certain circumstances however, Short SellingG when combined with other additional factors may amount to Market AbuseG , for example:
        (a) if a person takes a short position in the shares of a company and then spreads false rumours about the company in order to drive down the share price;
        (b) if an InsiderG enters into a Short SaleG of an InvestmentG on the basis of Inside InformationG ; or
        (c) if a person enters into a Short SaleG of an InvestmentG without any reasonable possibility of being able to settle the short position.
        4. A person engaging in Short SellingG will also need to comply with the requirements of the relevant ExchangeG relating to Short SellingG — see AMI section 6-7.

        Price stabilisation

        5. Price StabilisationG does not constitute Market AbuseG if it is carried out in accordance with the Price Stabilisation Module — see CMC section 2-4, paragraphs 2 and 3.

        Purchase of own shares

        6. The purchase by a company of its own shares does not constitute Market AbuseG if it is carried out in accordance with certain conditions — see CMC section 2-4, paragraphs 4 and 5 and CMC section 6-7, paragraph 1(g).

        Market making and underwriting

        7. The legitimate performance of market making and underwriting functions will not usually constitute Market AbuseG — see CMC section 6-7, paragraphs 2 to 7.

        Execution of client orders

        8. The execution of an unsolicited client order will not constitute Market AbuseG if certain conditions are satisfied — see CMC section 6-7, paragraphs 8 and 9.
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

      • CMC 11 Enforcement Powers

        1. If the DFSAG considers that a person has engaged in Market AbuseG it may impose a range of different sanctions under Article 90 of the Regulatory Law, such as:
        (a) fining the person such amount as it considers appropriate;
        (b) censuring the person;
        (c) directing the person to effect restitution or to compensate any person;
        (d) requiring the person to cease or desist from the activity; or
        (e) directing the person to do an act or thing to remedy the contravention.
        2. The DFSAG may also take other types of action under the Regulatory Law against a person whom it considers has engaged in Market AbuseG such as:
        (a) taking action in respect of a LicenceG held by the person;
        (b) restricting the person from performing any functions connected with Financial ServicesG in or from the DIFCG ; or
        (c) applying to the CourtG for an order against the person.
        3. If the DFSAG proposes to take enforcement action against a person, it is required to comply with the applicable decision-making procedures in Schedule 3 to the Regulatory Law. If the DFSAG decides to take enforcement action against the person, the person may refer the matter to the FMTG for review.
        4. Further information about the DFSA's enforcement powers and decision-making procedures can be found in chapters 5, 6 and 7 of the Regulatory Policy and Process (RPP) Sourcebook.
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]

    • Prudential Returns Module (PRU) [VER4/03-15]

      Click here to view PDF.

      • PRU Introduction

        Application

        Guidance

        This SourcebookG (PRU) is relevant to a PersonG to whom PIB or PIN applies.

        1. Chapter 1 contains instructional guidelines in respect of the forms in Chapter 2.
        2. Chapter 2 contains the forms referred to in PIB.
        3. Chapter 3 contains instructional guidelines in respect of the forms in Chapter 4.
        4. Chapter 4 contains the forms referred to in PIN.

        Defined terms

        Guidance

        1. Defined terms are identified throughout the forms by the capitalisation of the initial letter of a word or each word of a phrase and are defined in the Glossary for PIB (see PIB 1.2) or in the Glossary module (GLO) of the DFSA'sG Rulebook. Unless the context otherwise requires, where capitalisation of the initial letter is not used, an expression has its natural meaning. Within this module the term EPRS has the meaning of the DFSA'sG electronic prudential reporting system.
        2. Notwithstanding the use of capitalisation for identifying defined terms, capitalisation is also used when reference is made to sections and items in the forms by quoting the title of the section or the name of the item. Take note that some of these words or phrases are not also defined terms and, therefore, will not be defined in GLO, PIB or PIN.

        All financial data reported through EPRS are to be in United States Dollars and in thousands unless stated otherwise in the specific form guidance.

        Added by (Made 3rd March 2015). [VER4/03-15]

      • PRU 1 Instructional Guidelines for PIB forms

        • PRU 1.1 Form B10A — Assets

          Purpose

          Form B10A — Assets is intended to reflect the assets of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to the Authorised FirmsG categorised under all prudential categories, excluding Authorised FirmsG in CategoryG 5.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG Assets as at the reporting date. This Form is completed in conjunction with Form B10B — Off Balance Sheet Exposures, B10C — Liabilities (Subsidiary), B10D — Equity, and B10E — Liabilities (Branch).

          Structure of the form in EPRS

          B10A — Assets is presented as a single form that captures the firm's asset base.

          Instructional Guidelines

          The DFSAG reporting templates follow closely International Financial Reporting Standards (IFRS). For this reason many of the balance sheet and income statement schedules are to be completed in line with these standards. Where there is a requirement to deviate from these standards these will be outlined in the guidance below.

          The balance sheet has been broken down into different accounting portfolios in line with the valuation methodologies adopted under IFRS. Within each accounting portfolio Firms will be required to classify all financial instruments into the respective category to reflect the underlying nature of the asset being reported.

          Where a Firm has DFSAG approval to utilise GAAP, rather than IFRS standards, then relevant GAAP may be used. However, on an annual basis a statement of reconciliation must be completed between the local GAAP and the IFRS returns.

          Added by (Made 3rd March 2015). [VER4/03-15]

          • PRU Part 1 — Accounting Portfolios

            Firms are required to identify and report each of their financial assets into each of the Accounting Portfolios. Within each Accounting Portfolio specific financial asset categories will be outlined — these categories are outlined in the next section.

            The following Accounting Portfolios will be used for financial assets:

            Item Instructional Guideline IFRS/IAS Reference
            Cash and Cash balances at Banks Include, for example, the following amounts:
            •  Notes and coins;
            •  Long positions in Gold bullion (including Tola Bars)
            •  Bank Deposits; and
            •  Money market placements.
            IAS 1.54 (i)
            IAS 7.6
            IAS 7.46
            Financial assets held for trading Include investments acquired principally for the purpose of selling or repurchasing them in the near term for short-term-profit-taking. This would include, but not be limited to, debt, equity and hybrid instruments.

            All DerivativeG positions should be reported in this accounting portfolio unless the DerivativeG is held only for the purpose of hedging. DerivativeG positions include, but are not limited to, the following instruments:
            •  Forward and FuturesG contracts in currencies, interest rates and other financial assets;
            •  Forward rate agreements;
            •  Currency and interest rate swaps;
            •  Credit DerivativesG ; and
            •  OptionG contracts on currency, interest rate and other financial assets.
            These DerivativesG should include both the exchange-traded and over-the counter versions.
            IFRS 7.8(a)(ii)
            IAS 39.9
            Financial assets designated at fair value through profit or loss Include all financial instruments which are, upon initial recognition, designated by the Firm as financial assets to be measured at fair value through profit or loss, other than trading securities included as held for trading. IFRS 7.8(a)(i)
            IAS 39.9
            Available-for-sale financial assets Include non-Derivative financial assets that are designated as available for sale by the Firm or that have not been classified under any of the other categories of investments. IFRS 7.8(d)
            IAS 39.9
            Loans and Receivables Include the amounts arising from, for example:
            •  Revolving credit facilities;
            •  Term loans (both variable and fixed rates);
            •  The book value of assets leased out under finance lease agreements;
            •  Loans made under conditional hire purchase contracts;
            •  Advances purchased by or assigned to the reporting institutions, factoring or similar arrangements;
            •  Credit card outstanding balances;
            •  Housing loans (both variable and fixed rates); and
            •  Other loans and advances.
            The items listed above are indicative examples and are not exhaustive universe of items to be reported under this item.

            The amounts reported should be gross of provisions, as specific and general provisions should be reported in the Liabilities section.
            IFRS 7.8(c)
            IAS 39.9
            Added by (Made 3rd March 2015). [VER4/03-15]

          • PRU Part 2 — Financial Asset Classification

            Within each Accounting Portfolio Firms are required to classify financial assets into financial categories. The carrying amount of financial assets shall include accrued interest in accordance with IFRS.

            Financial assets shall be distributed among the following classes of instruments for each Accounting Portfolio:

            Item Instructional Guideline IFRS/IAS Reference
            DerivativesG All DerivativesG should be reported in the Financial Assets held for trading other than DerivativesG whose sole function is to hedge an existing position of the Authorised FirmG .

            DerivativesG held for hedging purposes should be included under the section — DerivativesG hedge accounting.
            IAS 39.9
            Equity instruments - IAS 32.11
            Debt securities "Debt securities" are debt instruments held by the institution issued as securities that are not loans. This will also include government securities including Treasury bills issued by national governments or by Central BanksG on behalf of governments. Also include bills issued by other entities which are eligible for rediscounting with the central bank. N/A
            Loan and advances Debt instruments that are not debt securities.  
            Islamic contracts Receivables relating to Islamic contracts. The Authorised FirmG is required to assess the substance of the contract and align it to the closest matching instrument in IFRS for the purposes of recognition, classification, measurement and presentation. IFRS
            Added by (Made 3rd March 2015). [VER4/03-15]

          • PRU Part 3 — Summary Table

            The following is a summary of the above treatments and how it applies to the full schedule.

            Line Number Line Item Instructional Guideline
            B010A_0050T Cash and cash balances at Banks Total Calculation of B010A_00510 + B010A_00520 + B010A_00530. Refer to table in Part 1.
            B010A_00510 Cash on hand Holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
            B010A_00520 Deposits Balances receivable on demand with credit institutions. This will include long positions in Gold.
            B010A_00530 Money Market Placements Interbank placements of a short term nature (less than 3 months).
            B010A_0100T Financial assets held for trading Total Calculation of B010A_01010 + B010A_01020 + B010A_01030 + B010A_01040 + B010A_01050. Refer to Table in Part 1.
            B010A_01010 DerivativesG Refer to Table in Part 2.
            B010A_01020 Equity instruments Refer to Table in Part 2.
            B010A_01030 Debt securities Refer to Table in Part 2.
            B010A_01040 Loans and advances Refer to Table in Part 2.
            B010A_01050 Islamic ContractsG Refer to Table in Part 2.
            B010A_0150T Financial assets designated at fair value through profit or loss Total Calculation of B010A_01510 + B010A_01520 + B010A_01530 + B010A_01540. Refer to Table in Part 1.
            B010A_01510 Equity instruments Refer to Table in Part 2.
            B010A_01520 Debt securities Refer to Table in Part 2.
            B010A_01530 Loans and advances Refer to Table in Part 2.
            B010A_01540 Islamic Contracts Refer to Table in Part 2.
            B010A_0200T Available-for-sale financial assets Total Calculation of B010A_02010 + B10A_02020 + B10A_02030 + B10A_02040. Refer to Table in Part 1.
            B010A_02010 Equity instruments Refer to Table in Part 2.
            B010A_02020 Debt securities Refer to Table in Part 2.
            B010A_02030 Loans and advances Refer to Table in Part 2.
            B010A_02040 Islamic ContractsG Refer to Table in Part 2.
            B010A_0250T Loans and receivables Total Calculation of B010A_02510 + B010A_02520 + B010A_02530. Refer to Table in Part 1.
            B010A_02510 Debt securities Refer to Table in Part 2.
            B010A_02520 Loans and advances Refer to Table in Part 2.
            B010A_02530 Islamic Contracts Refer to Table in Part 2.
            B010A_0300T Held-to-maturity investments Total Calculation of B010A_03010 + B010A_03020 + B010A_03030. Refer to Table in Part 1.
            B010A_03010 Debt securities Refer to Table in Part 2.
            B010A_03020 Loans and advances Refer to Table in Part 2.
            B010A_03030 Islamic ContractsG Refer to Table in Part 2.
            B010A_03500 Derivatives — Hedge accounting Any Derivative positions which are only for hedge accounting purposes. All other Derivative positions are to be recorded under Financial Assets Held for Trading. IFRS 7.22 (b) and IAS 39.9.
            B010A_04000 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A (a).
            B010A_04500 Investments in subsidiaries, joint ventures and associates Investments in subsidiaries, joint ventures and associates to be recognised through the equity method. IAS 1.54 (e).
            B010A_0500T Tangible assets Total Calculation of B010A_05010 + B010A_05020
            B010A_05010 Property, Plant and Equipment Include, for example, the value of the following:
            •  Plant and equipment — the residual value of items leased out under an operating lease (excluding balances relating to named Ijarah assets which should be included separately under Islamic contracts).
            •  Own premises being occupied or developed for occupation by the Authorised FirmG , property (excluding property acquired/held available for sale which should be included in "Other Assets" — B010A_07000).
            •  The amounts reported here should be net of accumulated depreciation and amortisation.
            B010A_05020 Investment property Property acquired for investment purposes not occupied by the Authorised FirmG . IAS 40.5 and IAS 1.54 (b).
            B010A_05250 Account Receivables Monies due from services or products provided.
            B010A_05500 Prepayments and Security Deposits
            •  Prepayments are payments made in advance for the goods and services to be acquired (e.g. office rent payments which are accrued over the tenor duration).
            •  Security Deposits are monies deposited with a third party that are collectible at a point in time upon meeting set conditions.
            B010A_0600T Intangible assets Total Calculation of B010A_06010 + B010A_06020.
            IAS 1.54 (c).
            B010A_06010 Goodwill IFRS 3.B67 (d).
            B010A_06020 Other intangible assets IAS 38.8,118.
            B010A_06500 Tax assets IAS 1.54 (n-o).
            B010A_07000 Other assets Assets that are not financial assets and that, due to their nature, could not be classified in specific balance sheet items.
            B010A_07500 Non-current assets and disposal groups classified as held for sale IAS 1.54 (j) and IFRS 5.38.
            B010A_0000T Total Assets Sum of assets above.
            Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.2 Form B10B — Off Balance Sheet Exposures

          Purpose

          Form B10B — OBS Exposures is intended to reflect the off balance sheet exposures of the Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG categorised under all prudential categories, excluding Authorised FirmsG in Category 5.

          Content

          The form intends to capture contingent exposures that are not recorded on the balance sheet.

          Structure of the form in EPRS

          The form is presented as two linked forms:

          a. Breakdown of off-balance sheet exposures;
          b. Top 10 Committed facilities.

          Instructional Guidelines

          Form 1 — Breakdown of Off Balance Sheet Exposures

          Off Balance Sheet Exposures to be recorded here is in line with the categories defined in PIB A4.2. The amount to be recorded is the maximum credit risk exposure without taking into account any form of credit risk mitigation.

          Line Number Line Item Instructional Guideline
          B010B_40100 Direct credit substitutes These relate to the financial requirements of a CounterpartyG where the risk of loss to the Authorised FirmG on the transaction is equivalent to that arising from a direct claim on the CounterpartyG .

          Indicative examples of items to be included here are:
          •  Guarantees of a financial nature to stand behind the current obligations of customers (e.g. loan guarantees);
          •  Guarantees of leasing operations;
          •  Letters of Credit (LCs) and Standby Letters of Credit to the extent that they do not qualify for inclusion in the items "Transaction — related contingent items" or "Short-term self-liquidating trade-related contingent items" below;
          •  Guarantees of a capital nature, such as undertakings given to a non-bank financial company, which are considered as capital by the appropriate regulatory body;
          •   Acceptances granted and risk participation in bankers' acceptances. Where the Authorised Firm'sG own acceptances have been discounted by that institution the nominal value of the bills held should be deducted from the nominal amount of the bills issued under the facility and a corresponding on-balance sheet entry made.
          B010B_40200 Transaction-related contingent items These exposures relate to the on-going trading activities of a CounterpartyG where the risk of loss to the Authorised FirmG depends on the likelihood of a future event which is independent of the creditworthiness of the CounterpartyG . They are essentially guarantees that support particular non-financial obligations rather than a customer's financial obligations.

          Include here:
          •  Advance payment guarantees;
          •  Performance bonds including bid or tender bonds, warranties and indemnities (indemnities given for lost share certificates or bills of lading and guarantees of the validity of papers rather than of payment under certain conditions should be reported here);
          •   Standby LCs relating to a particular contract or to non-financial transactions (including arrangements backing, inter alia, subcontractors' and suppliers' performance, labour and materials, contracts and construction tenders/bids).
          B010B_40300 Short-term self-liquidating trade-related contingent items (applicable to both issuing and confirming banks) and commitments to underwrite debt and equity Securities Report short term self-liquidating trade related items such as documentary LCs issued by the Authorised FirmG that are collateralised by the underlying shipment (i.e. the credit provides for the Authorised FirmG to retain title to the underlying shipment). LCs issued without provision for the Authorised FirmG to retain title to the underlying shipment should be reported under direct credit substitutes (B010B_40100) above.
          B010B_40400 Note issuance facilities and revolving UnderwritingG facilities Note issuance and revolving underwriting facilities should include the Authorised Firm'sG underwriting obligations of any maturity. Where the facility has been drawn down by the borrower, and the notes are held by someone other than the Authorised FirmG , the underwriting obligation should continue to be reported at the nominal amount.
          B010B_40500 TransactionsG , other than SFTs, involving the posting of Securities held by the Authorised FirmG as CollateralG Include instances where the Firm has entered repo-style transactions (i.e. repurchase/reverse repurchase and securities lending/securities borrowing transactions).
          B010B_40600 Asset sales with recourse, where the Credit RiskG remains with the Authorised FirmG In this item, report only the sale and repurchase agreements where the asset sold is not reported on the balance sheet. Where the asset is off-balance sheet, the appropriate CounterpartyG weighting is determined by the issuer of the security and not according to the CounterpartyG with whom the transaction has been undertaken.
          B010B_40700 Other commitments with certain drawdown Other commitments with certain drawdown would include forward purchase, forward deposits and partly paid Securities.

          Loan commitments are documented commitments by the Firm to provide credit under pre-specified terms and conditions (IAS 39.BC15). This excludes DerivativesG because they can be settled net in cash or by delivering or issuing another financial instrument.

          For loan commitments, the nominal amount is the total amount that the Firm has committed to lend before applying conversion factors and credit risk mitigation techniques.

          Any other commitments that are not included in other line items above, but which have a defined drawdown date within one year.
          B010B_40800 Other commitments All other undrawn commitments are to be reported here. Include commitments that can be unconditionally cancelled at any time by the Authorised FirmG .
          B010B_40000T Total Off-Balance Sheet Exposures Sum of off balance sheet exposures recorded above.

          Form 2 — Committed Lines

          This Form intends to capture the top 10 undrawn committed lines granted by the Authorised FirmG . Committed lines are funding approved internally for utilisation by the counterparty. This is intended to provide an overview of the future potential exposures by the Authorised FirmG . The Authorised FirmG is required to categorise and rank the counterparties by the amount of Funding Available, where:

          Funding Available = Funding Line Approved - Funding Utilised.

          This includes both funded and unfunded exposures.

          Line Item Instructional Guideline
          Name of CounterpartyG A GroupG of Closely RelatedG Counterparties (PIB A4.11.5) is considered to be one CounterpartyG and is to be grouped together.
          Total Funding Line Approved Funding limits approved to the counterparty.
          Funding Utilised Total funding drawn upon by the counterparty.
          Funding Available Available funding to be utilised by the counterparty. This is Total Funding Line Approved - Funding Utilised.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.3 Form B10C — Liabilities (Domestic)

          Purpose

          Form B10C — Balance sheet is intended to reflect the liabilities of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG operating as subsidiaries categorised under all prudential categories, excluding Authorised FirmsG in Category 5.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG Financial Liabilities at the reporting date. It is completed in conjunction with Form B10A — Assets, Form B10B — Off Balance Sheet Exposures and B10D — Equity.

          Structure of the form in EPRS

          B10C — Liabilities (Domestic) is presented as a single form.

          Instructional Guidelines

          The DFSAG reporting templates follow closely International Financial Reporting Standards (IFRS). For this reason many of the balance sheet and income statement schedules are to be completed in line with these standards. Where there is a requirement to deviate from these standards these will be outlined in the guidance below.

          The balance sheet has been broken down into different accounting portfolios in line with the valuation methodologies adopted under IFRS. Within each accounting portfolio Firms will be required to classify all financial instruments into the respective category to reflect the underlying nature of the asset being reported.

          Where a Firm has DFSAG approval to utilise GAAP rather than IFRS standards then relevant GAAP may be used. However, on an annual basis a statement of reconciliation must be completed between the local GAAP and the IFRS returns.

          Added by (Made 3rd March 2015). [VER4/03-15]

          • PRU Part 1 — Accounting Portfolios

            Firms are required to identify and report each of their financial liabilities into each of the Accounting Portfolios. Within each Accounting Portfolio specific financial liability categories will be outlined — these categories are outlined in the next section.

            The following Accounting Portfolios will be used for financial liabilities:

            Item Instructional Guideline IFRS/IAS Reference
            Financial liabilities held for trading Indicative examples of liabilities to be reported under this item include liabilities arising out of positions representing the following instruments, recorded at fair value:
            •  Forward and FuturesG contracts in currencies, interest rates and other financial assets;
            •  Forward rate agreements;
            •  Currency and interest rate swaps;
            •  Credit DerivativesG ; and
            •  OptionG contracts on currency, interest rate and other financial assets.
            This item includes both exchange-traded and over-the-counter DerivativesG .
            IFRS 7.8 (e) (ii);
            IAS 39.9,
            Financial liabilities designated at fair value through profit or loss Includes all other financial liabilities designated at fair value through profit and loss on initial recognition. IFRS 7.8 (e) (i);
            IAS 39.9
            Financial liabilities measured at amortised cost All financial liabilities that are not classified at fair value through the profit and loss. IFRS 7.8 (f);
            IAS 39.47
            Deposits Liability instruments to be recorded here are those of a similar nature to Assets that would have been recorded under Cash and Cash equivalents on Form B10A — Assets.

            DepositsG due to other ClientsG and BanksG and Financial InstitutionsG . DepositsG in this context are funds that have been received that are repayable on demand, or under an agreed term with or without a penalty.

            Such liabilities include:
            •  On-demand Currency DepositsG (including Gold); and
            •   Money market placements made by the Firm of a short term nature (less than 3 months).
            -
            Added by (Made 3rd March 2015). [VER4/03-15]

          • PRU Part 2 — Financial Liabilities Classification

            Within each Accounting Portfolio Firms are required to classify the financial liabilities into financial categories. The carrying amount of financial liabilities shall include accrued interest in accordance with IFRS.

            Financial liabilities shall be distributed among the following classes of instruments for each Accounting Portfolio:

            Item Instructional Guideline IFRS/IAS
            Reference
            Derivatives and Short Positions Indicative examples of liabilities to be reported under this item include liabilities arising out of positions representing the following instruments, recorded at fair value:
            •  Forward and Futures contracts in currencies, interest rates and other financial assets;
            •  Forward rate agreements;
            •  Currency and interest rate swaps;
            •  Credit DerivativesG ; and
            •  OptionG contracts on currency, interest rate and other financial assets.
            This item includes both exchange-traded and over-the-counter DerivativesG . Also include under this item are other trading liabilities.
            IFRS 7.8 (e) (ii);
            IAS 39.9
            Debt Securities Issued Debt instruments issued as securities by the institution that are not Deposits.G These items would include:
            •  Certificates of deposits;
            •  Issued debt including for example Medium Term Notes;
            •  Hybrid contracts including embedded derivatives.
            -
            Islamic Contracts Payables relating to Islamic contracts. The Authorised FirmG is required to assess the substance of the contract and align it to the closest matching instrument in IFRS for the purposes of recognition, classification, measurement and presentation. IFRS
            Other Financial Liabilities Include all financial liabilities that may be classified under one of the Accounting Portfolios noted in Part 1, but that do not fall into any of the other Financial Liabilities Classifications in Part 2. -
            Added by (Made 3rd March 2015). [VER4/03-15]

          • PRU Part 3 — Summary Table

            The following is a summary of the above treatments and how it applies to the full schedule.

            Line Number Line Item Instructional Guideline
            B010C_1050T Financial Liabilities Held For Trading Total of Sub-Categories. Refer to Table in Part 1.
            B010C _10510 Derivatives Refer to Table in Part 2.
            B010C _10520 Short Positions Refer to Table in Part 2.
            B010C _10530 Debt Securities Issued Refer to Table in Part 2.
            B010C _10540 Islamic Contracts Refer to Table in Part 2.
            B010C _10550 Other Financial Liabilities Refer to Table in Part 2.
            B010C _1100T Financial liabilities Designated At Fair Value Through Profit Or Loss Total of Sub-Categories. Refer to Table in Part 1.
            B010C _11010 Debt Securities Issued Refer to Table in Part 2.
            B010C _11020 Islamic Contracts Refer to Table in Part 2.
            B010C _11030 Other Financial Liabilities Refer to Table in Part 2.
            B010C_1150T Financial Liabilities Measured At Amortised Cost Total of Sub-Categories. Refer to Table in Part 1.
            B010C_11510 Debt Securities Issued Refer to Table in Part 2.
            B010C_11520 Islamic Contracts Refer to Table in Part 2.
            B010C_11530 Other Financial Liabilities Refer to Table in Part 2.
            B010C_1200T Deposits Total of Sub-Categories. Refer to Table in Part 1.
            B010C_12010 Banks And Financial Institution DepositsG payable to BanksG and Credit Institutions.
            B010C_12020 Others DepositsG payable to other entities or individuals.
            B010C_12030 PSIAu DepositsG sourced through Islamic ContractsG from all types of counterparties.
            B010C_12500 Derivatives-Hedge Accounting DerivativesG held for the purposes of hedging only. This is treated in accordance with IFRS 7.22 (b) and IAS 39.9.
            B010C_13000 Fair Value Changes Of the Hedged of interest rate Risk Treated in accordance with the provisions of IAS 39.89A (b).
            B010C_1350T Provisions Provisions may relate to financial assets, receivables, employee liabilities or other. Refer to sub-categories for further guidance.
            B010C_13510 Pensions, other post-employment defined benefit obligations and other long term employee benefits Provisions made in relation to employee benefits in accordance with IAS 19.
            B010C_13520 Restructuring Future financial liabilities arising from the restructuring of the Firm. Restructuring in this context is to be viewed in accordance with IAS 37.71, 84 (a).
            B010C_13530 Pending Legal Issues And Tax Litigation Pending legal issues and tax litigation in accordance with guidance at IAS 37, Appendix C.6 and C.10.
            B010C_13540 Commitments and Guarantees given Liabilities arising out of Commitments and Guarantees provided by the Firm; this is to be recorded in accordance with the guidance at IAS 37.Appendix C.9.
            B010C_13550 Problem Credits (bad and doubtful debt) All specific and general provisions in respect of all assets, including loans and advances and other receivables.
            B010C_13560 Other Provisions Any other provisions not included above.
            B010C_14010 Current Liabilities Liabilities due within a one year term that have not been recorded elsewhere.
            B010C_14500 Tax Liabilities Tax liabilities in accordance with IAS 12.
            B010C_15100 Other Liabilities Include all other liabilities not reported elsewhere.
            B010C_15500 Liabilities Included In Disposal Groups Classified As Held For Sale Include liabilities associated with disposal groups; this is to be recorded in accordance with IFRS 5.38.
            B010C_1000T Total Liabilities Sum of above recorded liabilities.
            B010D_2000T Total Shareholders' Equity This cell is automatically populated from the B10D — Equity form.
            B010C_3000T Total Liabilities and Shareholders' Equity This cell is automatically calculated by adding the line items of Total Liabilities and Total Shareholders' Equity.
            Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.4 Form B10D — Equity

          Purpose

          Form B10D — Equity is intended to reflect the equity structure of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG operating as a domestic entity categorised under all prudential categories, excluding Authorised FirmsG in Category 5.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG issued capital and reserves. It is completed in conjunction with Form B10A — Assets, Form B10B — Off Balance Sheet Exposures and B10C — Liabilities (Domestic).

          Structure of the form in EPRS

          B10D — Equity is presented as a single form.

          Instructional Guidelines

          The DFSAG reporting templates follow closely International Financial Reporting Standards (IFRS). For this reason many of the balance sheet and income statement schedules are to be completed in line with these standards. Where there is a requirement to deviate from these standards these will be outlined in the guidance below.

          Where a Firm has DFSAG approval to utilise GAAP rather than IFRS standards then relevant GAAP can be used. However on an annual basis a statement of reconciliation must be completed between the local GAAP and the IFRS returns.

          Line Number Line Item Instructional Guideline
          B010D_2050T Capital Automatically calculated cell from sub-line items below. IAS 1.78 (e).
          B010D_20510 Paid up Capital Issued or subscribed capital of which the nominal value has fully been paid up. Include the nominal paid up value. IAS 1.78 (e).
          B010D_20520 Unpaid Capital which has been called up Issued shares that have not been paid for. IAS 1.78 (e).
          B010D_21000 Share Premium Amounts received by the Firm in excess of the nominal paid up value. IAS 1.78(e).
          B010D_21510 Equity component of compound financial instruments The equity value of a financial liability with an embedded equity conversion mechanism. IAS 32.28.
          B010D_22000 Other Equity Include other equity instruments issued that do not fit in the above line items and also equity settled share-based payment transactions. IFRS 2.10.
          B010D_2250T Accumulated Other Comprehensive Income Summation of the sub-line items below.
          B010D_22510 Tangible assets Tangible fixed assets revaluation resulting in an increase. The increase is to be recorded here. IAS 16.39-41.
          B010D_22520 Intangible assets Intangible assets revaluation resulting in an increase. The increase is to be recorded here. IAS 38.85-87.
          B010D_22530 Actuarial gains or loss on defined benefit pension plans Actuarial gains and losses to be recognised in accordance with IAS 19.
          B010D_22540 Hedge of net investments in foreign operations [effective portion] Gains and losses of the effective portion of a currency hedge for net investment exposures in foreign operations. IAS 102 (a).
          B010D_22550 Foreign currency translation Gains and losses related to currency movements when the reporting currency is different than the functional currency. IAS 21.52 (b); IAS 21.32.
          B010D_22560 Hedging derivatives. Cash flow hedges [effective portion] Gains and losses related to derivatives hedging cash flows. The effective portion of the hedge is to be recognised here. IFRS 7.23(c); IAS 39.95-101.
          B010D_22570 Available-for-sale financial assets Fair value gains and losses of financial assets available for sale.
          B010D_22580 Non-current assets and disposal groups classified as held for sale Gains and losses related to non-current assets and disposal groups classified as held for sale. IFRS 5.38.
          B010D_22590 Other  
          B010D_23000 Retained Earnings Accumulated earnings or losses carried over from B30 — Profit and Loss form.
          B010D_2400T Other Reserves Summation of both reserves recorded below.
          B010D_24010 Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates Gains or accumulated losses of investments in subsidiaries, joint ventures and associates going through the profit and loss account. IAS 28.11.
          B010D_24020 Other Include other reserves that do not fit within one of the reserve line items above.
          B010D_24500 (-) Treasury Shares The Firm's holding of its own equity instruments is to be deducted from equity. IAS 32.33-34.
          B010D_25000 Profit Or Loss Attributable To Owner Of the Parent This is to be used for the purposes of consolidating accounts.
          The profit or loss accumulated and attributed to the Authorised FirmG is to be included here. IFRS 10.22.
          B010D_25500 (-) Interim Dividends Dividends declared for distribution. IAS 32.35.
          B010D_26010 Minority Interest [Non-Controlling Interests] This is to be used for the purposes of consolidating accounts. The profit or loss accumulated and attributed to the non-controlling interests is to be included here. IFRS 10.22.
          B010D_2000T Total Shareholders Equity Summation of line items above.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.5 Form B10E — Liabilities (Branch)

          Purpose

          Form B10E — Balance sheet is intended to reflect the liabilities of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG operating as a BranchG categorised under all prudential categories, excluding Authorised FirmsG in Category 5.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG Financial Liabilities at the reporting date. It is completed in conjunction with Form B10A — Assets and Form B10B — Off Balance Sheet Exposures.

          Structure of the form in EPRS

          B10E — Liabilities (Branch) is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10C — Liabilities (Domestic). Refer to Section 1.3 for guidelines on how to complete this Form. The only difference between the forms is the breakdown of "Other Liabilities" in this form to include "Head Office Account". The "Head Office Account" is to be used as an adjuster of the liabilities due to the Head Office/Parent (e.g. retained earnings accumulated through B30 — Profit and Loss and accumulated movements of Other Comprehensive Income items as defined in B10D — Equity).

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.6 Form B20A — Assets — Islamic Financial Institutions

          Purpose

          Form B20A — Assets is intended to reflect the assets of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to an Authorised FirmG operating under a prudential category 5 license.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG Assets as at the reporting date. This Form is completed in conjunction with Form B20B — Off Balance Sheet Exposures, B20C — Liabilities (Subsidiary), B20D — Equity, and B20E — Liabilities (Branch).

          Structure of the form in EPRS

          B20A — Assets is presented as a single form that captures the Firm's asset base.

          Instructional Guidelines

          The Form is of a similar structure to Form B10A — Assets. Refer to Section 1.1 for guidance on completing this Form. This Form includes an additional column to separate assets financed through the Firm's own funds and assets financed through liabilities raised under an unrestricted profit sharing investment account (PSIAuG ).

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.7 Form B20B — Off Balance Sheet Exposures — Islamic Financial Institutions

          Purpose

          Form B20B — OBS Exposures is intended to reflect the off balance sheet exposures of the Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to an Authorised FirmG operating under a prudential category 5 license.

          Content

          The form intends to capture contingent exposures that are not recorded on the balance sheet.

          Structure of the form in EPRS

          The form is presented as two linked forms:

          a. Breakdown of off-balance sheet exposures;
          b. Top 10 Committed facilities.

          Instructional Guidelines

          The Form is of a similar structure to Form B10B — OBS Exposures. Refer to Section 1.2 for guidance on completing this Form.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.8 Form B20C — Liabilities (Domestic) — Islamic Financial Institutions

          Purpose

          Form B20C — Balance sheet is intended to reflect the liabilities of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to an Authorised FirmG operating under a prudential category 5 license.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG Financial Liabilities at the reporting date. It is completed in conjunction with Form B20A -Assets, Form B20B — Off Balance Sheet Exposures and B20D — Equity.

          Structure of the form in EPRS

          B20C — Liabilities (Domestic) is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10C — Liabilities (Domestic). Refer to Section 1.3 for guidance on completing this Form.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.9 Form B20D — Equity — Islamic Financial Institutions

          Purpose

          Form B20D — Equity is intended to reflect the Equity structure of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to an Authorised FirmG operating under a prudential category 5 license.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG issued capital and reserves. It is completed in conjunction with Form B20A — Assets, Form B20B — Off Balance Sheet Exposures and B20C — Liabilities (Domestic).

          Structure of the form in EPRS

          B20D — Equity is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B20D — Equity. Refer to Section 1.4 for guidance on completing this Form.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.10 Form B20E — Liabilities (Branch) — Islamic Financial Institutions

          Purpose

          Form B20E — Liabilities (Branch) is intended to reflect the Equity structure of an Authorised FirmG at the end of the reporting period.

          Applicability

          This form is applicable to an Authorised FirmG operating under a prudential category 5 license.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG issued capital and reserves. It is completed in conjunction with Form B20A — Assets, Form B20B — Off Balance Sheet Exposures.

          Structure of the form in EPRS

          B20E — Liabilities (Branch) is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10E — Liabilities (Branch). Refer to Section 1.4 for guidance on completing this Form.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.11 Form B20F — Analysis of Reserves Movement — Islamic Financial Institutions

          Purpose

          Form B20F — Analysis of Reserves movement is intended to capture details regarding the changes in the reserves about the Islamic Finance Business.

          Applicability

          This form is applicable to an Authorised FirmG operating under a prudential category 5 license.

          Content

          The form is designed to capture the details regarding the changes in the reserves about the Islamic Finance Business.

          Structure of the form in EPRS

          B20F- Analysis of Reserves Movement is presented on a single form.

          Instructional Guidelines

          Line Number Line Item Instructional Guideline
          B290_1010 Capital invested Total amount of capital invested by PSIAuG account holders gross of provisions.
          B290_1020 Net asset value Net amount of the initial capital invested after accounting for gains and provisions.
          B290_1030 Percentage for profit equalisation reserve The percentage used for allocation to the profit equalisation reserve.
          B290_1040 Amount of profit equalisation reserve Amount after the net asset value has been multiplied by the percentage for the profit equalisation reserve.
          B290_1050 Mudarib fee The Mudarib fee which the Authorised FirmG is entitled to receive for undertaking the investment of the funds provided by the PSIAG holders. The fee is agreed by the investment account holders and the bank before the implementation of any contract.
          B290_1060 Net amount after Mudarib fee Amount after Mudarib Fee has been deducted.
          B290_1070 Percentage of investment risk reserve Percentage that is appropriated out of the income of investment account holders, after allocating the Mudarib share, in order to meet future losses attributable to investment account holders.
          B290_1080 Amount of investment risk reserve Amount after the Net Amount after Mudarib fee is multiplied by percentage for investment risk reserve.
          B290_1090 Amount attributed to PSIAs This amount is the residual amount allocated to the PSIAG account holders after the deduction of the amounts for the profit equalisation reserve, Mudarib fee and investment risk reserves.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.12 Form B30 — Profit and Loss

          Purpose

          Form B30 — Profit and Loss statement is intended to capture the results of operations of an Authorised FirmG during the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG categorised under all prudential categories.

          Content

          The form is designed to capture information about the Authorised Firm'sG income, expenses and profit for the reporting period. The form requires the firm to break down interest revenues/expenses and capital gains/losses in line with the accounting portfolios presented on Form B10A and Form B10C; sections 1.1 and 1.3 respectively.

          Instructional Guidelines

          All figures recorded should correspond to the current reporting period only and not cumulative or year-to-date amounts (i.e. quarterly returns to reflect quarterly movements and annual returns to reflect annual movements).

          Line Number Line Item Instructional Guideline
          B030_5005T Net Interest Income This figure is calculated by EPRS.
          B030_501OT Interest income This figure is calculated by EPRS.
          B030_50105 Cash and Cash Balances at Banks Interest accrued is to be recorded against the respective accounting portfolio or line item the asset has been classified as on Form B10A — Assets.
          E.g.
          1. Interest accrued through Money Market Placements is to be presented under Cash and Cash Balances at BanksG .
          2. Interest accrued through Debt Securities classified under Financials Assets Held for Trading is to be presented under Financial assets held for trading.
          B030_50110 Financial assets held for trading
          B030_50120 Financial assets designated at fair value through profit or loss
          B030_50130 Available-for-sale financial assets
          B030_50140 Loans and receivables
          B030_50150 Held-to-maturity investments
          B030_50160 Derivatives — Hedge accounting, interest rate risk
          B030_50170 Other assets
          B030_5020T (Interest expenses) This figure is calculated by EPRS. This is the sum of Interest Expense items.
          B030_50210 (Financial liabilities held for trading) Accrued interest expense charges are to be recorded against the respective accounting portfolio or line item the liability has been classified as on Form B10C — Liabilities
          (Domestic) or Form B10E — Liabilities (Branch).
          E.g.
          1. Interest accrued on deposits from customers is to be presented under DepositsG .
          2. Interest accrued on a loan facility is to be presented under Financial Liabilities measured at amortised cost.
          B030_50220 (Financial liabilities designated at fair value through profit or loss)
          B030_50230 (Financial liabilities measured at amortised cost)
          B030_50240 (Debt securities issued)
          B030_50250 (Other Financial Liabilities)
          B030_50260 (Derivatives — Hedge accounting, interest rate risk)
          B030_50270 (Deposits)
          B030_50280 (Other liabilities)
          B030_5030T Islamic Contracts This figure is calculated by EPRS.
          B030_50310 Profits Receivable Profits generated through assets classified as Islamic ContractsG on Form B10A — Assets.
          B030_50320 (Profits Payable) Profits payable through liabilities classified as Islamic ContractsG on Form B10C — Liabilities (Domestic) or Form B10E — Liabilities (Branch).
          B030_50500 Dividend income Dividend income arising from financial assets held for trading, financial assets designated at fair value through profit or loss or available for sale financial assets. This income shall be reported separately from other gains and losses from these categories or as part of gains or losses from these categories of instruments.

          Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within "Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates".
          B030_5055T Net Fee and Commission Income This figure is calculated by EPRS.
          B030_5060T Fee and commission income This figure is calculated by EPRS. This section includes income recognised for services provided by the Authorised FirmG , which have not been directly generated from Balance sheet assets.
          B030_50610 Asset/Fund Management Activities Revenues generated through asset management and trustee services.
          B030_50620 Advisory Services Revenues generated through financial advisory services.
          B030_50630 Brokerage Activities Revenues generated from the brokerage of financial investments on behalf of Clients.
          B030_50640 Trade Finance Revenues generated from trade finance facilities. For example include fees and commissions on LCs, SBLC, guarantees. If the trade finance facility involves a funded credit portion, the accrued interest portion will be reflected in the Interest Income section above.
          B030_50645 Arranging Revenues generated through arranging/facilitating a financial-related interaction between two or more counterparties other than the Authorised FirmG .
          B030_50650 Other Other fees and commissions generated through lines not noted above (e.g. revenues generated for participation in syndications).
          B030_5070T (Fee and commission expenses) This section breaks down direct fee and commission expenses arising from each of the revenue items outlined above for services rendered to the company by third parties.
          B030_50710 (Asset/Fund Management Activities) See above.
          B030_50720 (Advisory Services)
          B030_50730 (Brokerage Activities)
          B030_50740 (Trade Finance)
          B030_50750 (Arranging)
          B030_50760 (Other)
          B030_50800 Gains or (-) losses on derecognition on financial assets and liabilities not measured at fair value, net Net gains and losses on derecognised financial assets and liabilities measured at amortised cost. IFRS 7.20 (a) (v-vi).
          B030_50900 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20 (a) (i).
          B030_51000 Gains or (-) losses on financial assets and liabilities designated at fair value, net IFRS 7.20 (a) (i).
          B030_51100 Gains or (-) losses from hedge accounting, net Gains or losses from hedge accounting portfolio in the balance sheet. The amount reported includes fair value gains and losses on the hedged instrument and hedged risk item, and gains and losses from the ineffective portion of cash flow hedges. IFRS 7.24.
          B030_51200 Gains or (-) losses on Exchange Differences, net Include in this gains or losses from exchange rate movements of items that have not been held for trading or measured at fair value. IAS 21.28, 52 (a).
          B030_51300 Gains or (-) losses on derecognition of investments in subsidiaries, JVs and associates, net Gains or losses of derecognised investments in subsidiaries, joint ventures and associates that have been accounted for under the equity method.
          B030_51400 Gains or (-) losses on derecognition of nonfinancial assets except held for sale, net IAS 1.34.
          B030_5155T Net Other Operating Income This figure is calculated by EPRS.
          B030_5150T Other Operating Income This section includes revenues generated from any other activities not included in sections above. Revenue items recorded here would be considered secondary to the Firm's core activities. This figure is divided between intergroup services and non-group services.
          B030_51500 Intergroup Services Include in this section payments received under a transfer pricing process or allocation of revenues and expenses arising from centralised regional management functions that are not allocated to any other revenue line.
          B030_51550 Other See above.
          B030_5160T (Other operating expenses) This section includes expenses generated (non-administrative) from any other activities not included in the sections above. This figure is divided between intergroup services and non-group services.
          B030_51600 (Intergroup Services) Include in this section payments under a transfer pricing process or allocation of expenses arising from centralised regional management functions that are not allocated to a specific expenditure line.
          B030_51650 (Other) See above.
          B030_5170T (Administrative expenses) Operational expenses not related directly related to the services provided.
          B030_51710 (Staff Expenses) Include, for example:
          •   Salary costs;
          •   Employer's contribution to any pension scheme; and
          •   Costs of staff benefits paid on a per capita basis such as private medical insurance.
          B030_51740 (Other administrative expenses) Include, for example:
          •   Rent; and
          •   Other overhead expenses.
          B030_51800 (Depreciation) Charges relating to depreciation/amortisation of property, plant and equipment and other tangible assets.
          B030_5190T (Provisions) or Reversal of Provisions Total provisions made to cover foreseeable measurable losses in accordance with IAS 37.
          B030_51910 (Commitments and guarantees given) Provisions relating to commitments and guarantees undertaken to other parties.
          B030_51930 (Other provisions) All other provisions.
          B030_52100 (Impairment) or reversal of impairment in financial assets not measured at FV Impairment or reversal of impairment of assets not measured at fair value. Include here, for example:
          •   Loans and receivables
          •   Debt Securities measured at amortised cost.
          IFRS 7.20 (e).
          B030_52200 (Impairment) or reversal of impairment of investments in subsidiaries, JVs and associates Impairment or reversal of impairment of investments in subsidiaries, joint venture and associates that have been accounted for under the equity method. Items to be impaired here would have been recorded under the same respective line item on Form B10A — Assets. IAS 28.40-43.
          B030_52300 (Impairment) or reversal of impairment of non-financial assets Impairment of reversal of impairment of non-financial assets such as investment properties and goodwill.
          B030_52400 Negative goodwill recognised in profit or loss IFRS 3.34.
          B030_52500 Share of the profit or (-) loss of investments in subs, JVs, and associates IAS 28.
          B030_5000T Profit or (-) Loss Before Tax from Continuing Operations This figure is calculated by EPRS.
          B030_69000 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 12.77.
          B030_6000T Profit or (-) Loss After Tax from Continuing Operations This figure is calculated by EPRS.
          B030_6500T Profit or (-) loss after tax from discontinued operations This figure is calculated by EPRS.
          B030_65500 Profit or (-) loss before tax from discontinued operations IFRS 5.33.
          B030_66000 (Tax expense or (-) income related to discontinued operations) IFRS 5.33.
          B030_7000T Profit or (-) Loss for the Reporting Period This figure is calculated by EPRS.
          B030_70100 Attributable to Non-Controlling Interests This is to be used for the purposes of consolidating accounts. The profit or loss attributed to non-controlling interests. IFRS 10.22.
          B030_70200 Attributable to owners of the parent This is to be used for the purposes of consolidating accounts. The profit or loss attributed to the Authorised FirmG is to be represented here. IFRS 10.22.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.13 Form B30 — Profit and Loss — Islamic Financial Institutions

          Purpose

          Form B40 — Profit and Loss Statement is intended to capture the results of operations of an Islamic Financial InstitutionG during the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG categorised under prudential category 5.

          Content

          The form is designed to capture information pertaining to an Islamic Financial Institution's income, expenses and profit for the reporting period.

          Instructional Guidelines

          1. All figures relating to income statement items in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
          2. The instructional guidelines below are regarding certain specific data elements in the form:

          Line Number Line Item Instructional Guideline
          Income from Jointly Financed Accounts and Mudarib Fees
          B400_1010 Income from jointly financed accounts Authorised FirmsG should include in respect of this item income earned on funds from jointly financed investment accounts (i.e. Unrestricted PSIAsG and self-financed). The income should be gross before allocating to the Unrestricted PSIAsG and the bank's Mudarib fee.
          B400_1020 Allocated to unrestricted account holders (before Mudarib fee) Authorised FirmsG should include in respect of this item the amount allocated from B40 item no. B400_1010 above to the Unrestricted PSIAsG as their share of the income. Note that this number should be entered as positive amount.
          B400_1030 Authorised Firm's Mudarib fee from managing jointly financed accounts Authorised FirmsG should include in respect of this item the amount of the Mudarib fee that they are entitled to receive for the management of the Unrestricted PSIAsG .
          B400_1040 Authorised Firm's fees from managing other (restricted) accounts Include any amounts owing to the Authorised FirmG as fees for managing PSIAR accounts.
            Net Income from Jointly Financed Accounts and Mudarib Fees This figure is calculated by EPRS.
          Income from Authorised firm's Own Funds
          B400_2010 Authorised Firm's income from its own non-financing activities Authorised FirmsG should include in respect of this item the income received from non-financing activities (e.g. Murabaha sales) that result from the employment of the Authorised Firm'sG own funds and current accounts. The income should have been generated from funds that have been employed separately from the PSIAG funds.
          B400_2020 Authorised Firm's income from its own financing and investment activities Authorised FirmsG should include in respect of this item the income received from financing and investment activities that results from the employment of the Authorised Firm'sG own funds and current accounts. The BankG is solely entitled to profits / (losses) from these activities.
          B400_2030 Net fees and commission income Authorised FirmsG should include in respect of this item the income received for services provided such as trade related letters of credit, corporate advice, investment management and trustee services, Kefala (guarantees) and indemnities.
          B400_2040 Other operating income Include income from any other source not included in any of the above.
            Total Income from Authorised firm's Own Funds This figure is calculated by EPRS.
          Expenses
          B300_3700 Staff expenses Include costs such as:
          •   Wages and salaries;
          •   Social security contributions;
          •   Contribution to any pension schemes (employer's share); and
          •   Costs of staff benefits paid.
          B300_3040 Premises and equipment costs Should include rent, property tax, lighting, heating, maintenance costs etc.
          B300_3800 Depreciation and amortisation Charges relating, for example, to depreciation / amortisation of property, plant and equipment and other amounts written off in respect of tangible and intangible fixed assets.
          B300_3060 Provision for losses on Islamic Contracts Includes provisions for bad and doubtful Islamic financing and non-financing contracts and investments.
          B300_3070 Other provisions Include here all other provisions other than for Islamic ContractsG .
          B300_3900 Other operating expenses Include all other expenses not included in any of the above.
            Total Expenses This figure is calculated by EPRS.
          B200_300T Operating profit from ordinary activities This figure is calculated by EPRS.
          B300_4100 Net income from subsidiaries and associated companies Report share of profits and losses of from subsidiaries and associated companies.
          B300_4200 Profit (loss) from extraordinary items For example: Profit or losses on sale or termination of an operation; and Profits or losses on disposal of fixed assets.
            Profit (loss) before Zakah and Tax This figure is calculated by EPRS.
          B400_3130 Zakah Include Zakah amount.
          B300_5100 Tax on profit / loss Any amount that has been or is expected to be paid in taxation.
          B300_500T Profit / (loss) after tax This figure is calculated by EPRS.
          B300_6100 Minority Interests This is to be used for the purposes of consolidating accounts. The profit or loss attributed to non-controlling interests. IFRS 10.22.
          B300_600T Net Profit / (Loss) This figure is calculated by EPRS.
          B030_51000 Dividends, and other distributions, declared or paid The amount to be distributed in the current year to shareholders out of the profits of a company.
          B030_51100 Other adjustments Any other adjustments that affect the retained profits.
          B300_700T Retained Profits / (Losses) For the Reporting Period This figure is calculated by EPRS.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.14 Form B50 — Expenditure Based Capital Minimum

          Purpose

          Form B50 — Expenditure Based Capital Minimum (EBCM) form is intended to capture the actual expenses incurred and the amount of liquid assets the Authorised FirmG maintains. The information in this form is used to assess the continued relevance of an Authorised Firm'sG EBCM and whether the Firm holds sufficient liquid assets, in accordance with PIB 3.5.3, to meet the EBCM notified to the Firm.

          Applicability

          This form is applicable to domestic Authorised FirmsG categorised under prudential categories 2, 3A, 3B, 3C and 4.

          Content

          This form is designed to capture the following:

          •   Expenses for the reporting period along with the deductions allowed as per PIB 3.7.3;
          •   Liquid assets held by the Authorised FirmG in accordance with PIB 3.5.3 at the end of the reporting period.

          Instructional Guidelines

          Refer to PIB 3.7 for further details covering the calculation of EBCM. The Firm is to report the expenses incurred related to the reporting period only (e.g. for quarterly returns this would correspond to the quarter's expense and for annual returns this would correspond to the annual expense).

          Line Number Line Item Instructional Guideline
          B500_1100 Total expenses of the AF in the normal course of business exc. exceptional items The Firm should include all expenses related to the normal course of business operations (excluding exceptional items) from the B30 — Profit and Loss schedule for the reporting period. This includes the following:
          1. Interest Expense
          2. Profits Payable
          3. Fee and Commission Expenses
          4. Other Operating Expenses
          5. Administrative Expenses.
            Less: The 8 sub-items below are expense items that may be deducted from the Total expenses figure recorded above. These deductions are listed in PIB 3.7.3.
          B500_1200 Staff bonuses Staff bonuses accrued during the reporting period except to the extent that they are non-discretionary.
          B500_1300 Employees and directors shares in profits Employee and directors' shares in profits except to the extent that they are non-discretionary.
          B500_1400 Other appropriations of profits All such appropriations except to the extent that they are automatic.
          B500_1500 Shared commissions payable which are directly related to commissions receivable Commissions that are directly related to receivables would no longer arise if the business were to cease.
          B500_1900 Fees, brokerage and other charges paid for executing, registering or clearing transactions Fees, brokerage and other charges paid to clearing houses, exchanges and intermediate brokers for the purposes of executing, registering or clearing transactions.
          B500_2000 Foreign exchange losses Losses arising from the translation of foreign currency balances.
          B500_2100 Contributions to charities Voluntary contributions made to charities.
          B500_2200 Expenses for which pre- payments or advances have been made (e.g. pre-paid rent) and the amounts have also been deducted as illiquid assets Any expenses for which pre-payments or advances have already been made to the respective claimant (e.g. prepaid rent, pre-paid communication charges) and the amount has also been deducted from capital resources as illiquid assets.
          B500_100T Total expenditure Total Expenses minus deductions above.
          B500_3000 Fraction applied The required fraction the Firm is to apply in accordance with PIB 3.7.2. When inputting the figure the Firm is required to calculate the ratio and input the resultant figure into EPRS (e.g. If a Firm is required to follow the 6/52 ratio, the Firm would then input 0.115 into EPRS).
          B500_300T Expenditure based capital minimum (based on Actual expenses) This is calculated by EPRS.
          Deductions are applied to total expenses recorded and then multiplied by the fraction.
          B500_4000 Expenditure based capital minimum (as notified to the firm) The latest EBCM that has been notified to the Firm by the DFSAG . If you are unsure of this EBCM figure then contact the DFSAG to obtain this figure.
          B500_5000T Total of liquid assets in accordance with PIB Rule 3.5.3 The amount of liquid assets held in accordance with PIB Rule 3.5.3. This is calculated by EPRS and is the sum of the sub-line items which break down the assets in accordance with the rule. This is only applicable to Firms in Category 3B, 3C and 4.
          B500_6000 Liquid assets -EBCM (should be positive for firms in Category 3B, 3C and 4) This is calculated by EPRS.
          This is only applicable to Firms in Category 3B, 3C and 4.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.15 Form B60 — Capital Resources Calculation

          Purpose

          Form B60 — Capital Resources is intended to capture the breakdown of the Firm's capital resources and its capital adequacy status.

          Applicability

          This form is applicable to domestic Authorised FirmsG categorised under all prudential categories.

          Content

          The form is designed to capture the following:

          •   Regulatory Capital Structure (CET 1, Tier 1 and Tier 2);
          •   Capital RequirementsG (Base, EBCM, Risk and Individual Capital Requirements); and
          •   Capital Adequacy status.

          Instructional Guidelines

          Line Number Line Item Instructional Guideline
            Common Equity Tier 1 Capital CET1 is to be accounted for in accordance with PIB 3.13.
          B060_1100T Capital Instruments Eligible as CET1 Capital This is calculated by EPRS.
          Capital Instruments in accordance with PIB 3.13.3. This excludes exposures to the AF's own CET1 Capital.
          B060_11100 Paid-up Capital Fully paid up CET1 Capital in accordance with PIB 3.13.3.
          B060_11300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.13.3.
          B060_1140T (-) Own CET1 Instruments This is calculated by ERPS.
          This is the addition of direct and indirect holdings of own CET1 instruments.
          B060_11410 (-) Direct holdings of CET1 instruments Total amount of Direct Holdings of CET1 instruments.
          B060_1142T (-) Indirect holdings of CET1 instruments This is calculated by EPRS.
          B060_11421 (-) Underlying exposure to own CET1 instruments included in the trading book in the form of index securities Deductions to CET1 in accordance with PIB 3.13.7.
          B060_11422 (-) CET1 instruments which the group could be contractually obliged to purchase
          B060_11423 (-) Reciprocal holdings of CET1 capital instruments with relevant entities
          B060_1150T Retained Earnings This is calculated by EPRS.
          This is the total of retained earnings eligible to be included as part of CET1.
          B060_11510 Previous years retained earnings Total accumulated retained earnings from previous financial years. Any unaudited figure is to be excluded. Dividends paid out subsequently are to be excluded from this figure.
          B060_1152T Profit or loss eligible This is calculated by EPRS.
          This accounts for the profit or loss for the current financial year.
          B060_11521 Profit or loss attributable to owners of the parent Include in here the current financial year's accumulated retained earnings recorded through Form B30 — Profit and Loss.
          B060_11522 (-) Part of interim or year-end profit not eligible Profit and loss not eligible is to be deducted (i.e. not verified by an External Auditor). PIB 3.13.4.
          B060_11610 Accumulated Other Comprehensive Income Accumulated Other Comprehensive Income. This should reconcile with the figure entered into B10D — Equity.
          B060_11700 Other Reserves Other reserves required for disclosure under IFRS. PIB 3.13.2.
          B060_11800 Minority interest given in recognition in CET1 Capital Minority interests given recognition in consolidated CET1 Capital. PIB 3.16.
          B060_11910 Adjustments to CET1 CET1 Adjustments in accordance with PIB 3.13.5.
          B060_1200T Goodwill PIB 3.13.7.
          B060_1210T Other Intangible Assets Other Intangible Assets as defined in IFRS. PIB 3.13.7.
          B060_12200 (-) Deferred tax assets that rely on future profitability and arise from temporary differences PIB 3.13.7, PIB 3.13.9.
          B060_12310 (-) Defined Benefit Pension Fund Assets PIB 3.13.7.
          B060_12400 (-) Reciprocal Cross Holdings in CET1 capital PIB 3.13.7.
          B060_12500 (-) Excess of Deduction from AT1 Items over AT1 Capital This is calculated by EPRS.
          Excess items to be deducted from CET1 after exhausting all AT1 Capital ResourcesG .
          B060_12600 (-) Qualifying Holdings Outside the Financial Sector Investments in undertakings outside the financial sector. The relevant amount is to be deducted in accordance with PIB 3.17.
          B060_12700 (-) Securitisation positions which can alternatively be subject to a 1000% risk weight Securitisation positions that would receive a 1000% risk weight in accordance with PIB 4.14.31 may, alternatively, be deducted from here.
          B060_12800 (-) Free Deliveries Free delivery transactions that have exceeded 46 business days without delivery of the Authorised Firm'sG leg are to be deducted here or subject to a 1000% risk weight. PIB A.4.6.9.
          B060_12900 (-) CET1 instruments of relevant entities where the institution does not have a significant investment PIB 3.13.7.
          B060_13100 (-) CET1 instruments of relevant entities where the institution has a significant investment PIB 3.13.7.
          B060_1000T Available CET1 Capital Resources This is calculated by EPRS and is the summation of the above items.
            ADDITIONAL TIER 1 CAPITAL Additional Tier 1 Capital is to be accounted for in accordance with PIB 3.14.
          B060_2100T Capital Instruments Eligible as AT1 Capital This is calculated by EPRS.
          Capital Instruments in accordance with PIB 3.14.3. This excludes exposures to the AF's own AT1 Capital.
          B060_21100 Paid-up Capital Fully paid up AT1 Capital in accordance with PIB 3.14.3.
          B060_21300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.14.3.
          B060_2140T (-) Own AT1 Instruments This is calculated by ERPS.
          This is the addition of direct and indirect holdings of own AT1 instruments.
          B060_21411 (-) Direct holdings of AT1 instruments Total amount of direct holdings of own AT1 instruments. PIB 3.14.45.
          B060_21421 (-) Indirect holdings of AT1 instruments Total amount of indirect holdings of AT1 instruments. PIB 3.14.45.
          B060_22000 Instruments issued by subsidiaries that are given recognition in AT1 Capital AT1 Capital issued by subsidiaries that may be recognised in consolidated AT1 Capital. PIB 3.16.7.
          B060_23000 (-) Reciprocal Cross Holdings in AT1 capital Deductions relating to reciprocal cross holding in AT1 Capital instruments of Relevant Entities. PIB 3.14.4.
          B060_24000 (-) AT1 instruments of relevant entities where the institution does not have a significant investment Deductions relating to insignificant investments in a Relevant Entity. PIB 3.14.4 (c).
          B060_25000 (-) AT1 instruments of relevant entities where the institution has a significant investment Deductions relating to significant investments in a Relevant Entity. PIB 3.14.4 (d).
          B060_26000 (-) Excess of deduction from T2 items over T2 Capital This is calculated by EPRS.
          Excess items to be deducted from AT1 after exhausting all Tier 2 Capital Resources.
          B060_27000 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Excess amount of AT1 deductions over available AT1 capital resources. This is inclusive of Tier 2 deductions that were carried over to be deducted from AT1 capital resources.
          B060_2000T Available Additional Tier 1 Capital Resources This is calculated by EPRS and is the summation of the above items.
            TIER 2 CAPITAL Additional Tier 1 Capital is to be accounted for in accordance with PIB 3.15.
          B060_3100T Capital Instruments Eligible as T2 Capital Capital Instruments in accordance with PIB 3.15.2. This excludes exposures to the AF's own Tier 2 Capital.
          B060_31100 Paid-up Capital Fully paid up T2 Capital in accordance with PIB 3.15.3.
          B060_31300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.15.3.
          B060_3140T (-) Own T2 Instruments This is calculated by ERPS.
          This is the addition of direct and indirect holdings of own T2 instruments.
          B060_3141T (-) Direct holdings of T2 instruments This is calculated by ERPS.
          Total amount of direct holdings of T2 instruments. PIB 3.15.45.
          B060_3142T (-) Indirect holdings of T2 instruments This is calculated by ERPS.
          Total amount of indirect holdings of T2 instruments. PIB 3.15.45.
          B060_32000 Instruments issued by subsidiaries that are given recognition in T2 Capital Tier 2 Capital issued by subsidiaries that may be recognised in consolidated Tier 2 Capital. PIB 3.16.4.
          B060_33000 (-) Reciprocal Cross Holdings in T2 capital Deductions relating to reciprocal cross holding in T2 Capital instruments of Relevant Entities. PIB 3.15.4.
          B060_34000 (-) T2 instruments of relevant entities where the institution does not have a significant investment Deductions relating to insignificant investments in a Relevant Entity. PIB 3.15.4 (c).
          B060_35000 (-) T2 instruments of relevant entities where the institution has a significant investment Deductions relating to significant investments in a Relevant Entity. PIB 3.15.4 (d).
          B060_36000 Excess of deduction from T2 items over T2 Capital (deducted in AT1) Excess items to be deducted from Tier 2 Capital after exhausting all Tier 2 Capital Resources.
          B060_30000T Available Tier 2 Capital Resources This is calculated by EPRS and is the summation of the above items.
          B060_0000T Total Capital Resources This is calculated by EPRS.
          This is the summation of Available CET1, AT1 and Tier 2 Capital ResourcesG .
          B060_50001 Base Capital Requirement The Base Capital RequirementG applicable to the Firm, this is dependent on the Prudential Category of the Firm. Refer to PIB 3.6 — Base Capital Requirement.
            Risk Based Capital Requirement (RBC) This is applicable to Firms in Prudential Categories of 1, 2 and 3A.
          B060_51100 Credit and Counterparty Risk Capital Requirement This is calculated by EPRS.
          This is linked to B60A — Credit Risk Overview. This is the required capital resources to be held for Credit RiskG .
          B060_51250 Displaced Commercial Risk The Firm is required to calculate the applicable Credit and Market risk charges from Islamic ContractsG . The resultant charge is to be reported here. Refer to IFR 5.
          B060_51300 Market Risk Capital Requirement This is calculated by EPRS.
          This is linked to B60B — Market Risk Overview. This is the required capital resources to be held for Market RiskG .
          B060_51400 Operational Risk Capital Requirement This is calculated by EPRS.
          This is linked to B60C — Operational Risk. This is the required capital resources to be held for Operational Risk.
          B060_63000 Individual Capital Requirement (ICR) The figure to be entered here is based upon notification from the DFSAG . The DFSAG may require Firms to hold additional capital resources in accordance with PIB 10.6. If the Firm has not received any notification then this should be left empty.
            Total Risk Based Capital Requirement This is calculated by EPRS.
          This is the summation of the above individual Risk Based Capital Requirement components.
          B060_61000 Capital Requirement — Highest of BCR, EBCM, or RBC This is calculated by EPRS.
          This is the highest of:
          1. The Base Capital RequirementG ;
          2. Expenditure Based Capital MinimumG (notified to the Firm) — Form B50;
          3. Risk Based Capital Requirement.
          B060_62000 Capital Conservation Buffer (CCB) — 25% of Capital Requirement This is calculated by EPRS.
          A Capital Conservation Buffer is automatically applied if the Risk Based Capital Requirement is the highest of the applicable risk charges. PIB 3.9.
            Total Capital Requirement This is calculated by EPRS.
          This is the summation of the Capital Requirement and the Capital Conservation Buffer.
            Resources Less Requirement (must be positive) This is calculated by EPRS.
          This is the difference between Total Capital Resources and Total Capital Requirement.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.16 Form B60A — Credit Risk Capital Requirement — Overview

          Purpose

          Form B60A is intended to give an overview of the credit risk capital requirement for an Authorised FirmG , covering the calculation of On/Off Balance Sheet Exposures, Counterparty Risk Exposures, and Securitisation Exposures.

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG , and are categorised under prudential categories 1, 2 and 3A. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form provides an overview of the AF's applicable credit risk charges calculated in accordance with PIB 4 — Credit Risk .

          Structure of the form in EPRS

          This Form is automatically calculated by EPRS. The figures are pulled through from the capital requirements calculated on forms B60A1, B60A2 and B60A3 respectively.

          Instructional Guidelines

          Line Number Line Item Instructional Guideline
          B060A_1000T Credit Risk Capital Requirement This is Calculated by EPRS.
          This is the total figure of Credit Risk Capital RequirementsG from Form B10A1— Balance Sheet Exposures.
          B060A_2000T Counterparty Risk Capital Requirements This is Calculated by EPRS.
          This is the total figure of CounterpartyG Credit Risk Capital RequirementsG from Form B10A2 — Counterparty Exposures.
          B060A_3000T Capital Requirements for Securitisation Exposures This is Calculated by EPRS.
          This is the total figure of securitisation exposures capital requirements from Form B10A3 — Securitisation.
          B060A_0000T Total Credit & Counterparty Risk Capital Requirement This is Calculated by EPRS.
          This is the summation of the above line items.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.17 Form B60A1 — Credit Risk Capital Requirement — Balance Sheet Exposures

          Purpose

          Form B60A1 is intended to capture the credit risk capital requirement of an Authorised FirmG for on and off balance sheet exposures and breakdown by applicable risk weights.

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG , and are categorised under prudential categories 1, 2, 3A and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to capture the details of the Credit Risk Capital RequirementG for on and off balance sheet exposures. Details captured include:

          •   Asset Class;
          •   ExposureG amount;
          •   Provisions;
          •   Credit Risk Mitigation;
          •   Risk Weight; and
          •   Applicable Credit Risk Requirement.

          The Authorised FirmG is to refer to PIB 4 — Credit Risk for further details on completing this form.

          Structure of the form in EPRS

          B60A1 consists of three linked forms:

          •   Credit Risk Capital Requirement — Balance Sheet Exposures;
          •   Breakdown of Total Exposures by Risk Weights;
          •   Credit Conversion for Off Balance Sheet Exposures.

          The three forms are interlinked; the Firm will need to complete all three forms to arrive at the correct capital requirement.

          Instructional Guidelines

          The Firm is required initially to break down the exposure against the relevant asset class (e.g. PSE, Corporate, Bank) in accordance with PIB 4.12. The Firm is then required to complete the following columns to arrive at the applicable capital requirement.

          The Firm is required to aggregate all their credit exposures against the category of the counterparty when completing this form.

          Column Instructional Guideline
          Original On Balance Sheet Exposure The original on balance sheet exposure against the counterparty. Not taking into account any credit risk mitigation effects or provisioning (e.g. for a loan to a corporate guaranteed by a BankG , the Firm should record the exposure against the corporate in this column). Refer to PIB 4.9 for the Methodology for measurement of ExposuresG .
          Original Off Balance Sheet Exposure (Pre-Conversion) The original off balance sheet exposure against the counterparty prior to applying the Credit Conversion Factor (e.g. for a transaction related contingent guarantee issued on behalf of a SME for a value of $1000, the $1000 would be recorded against SME). Refer to PIB 4.9 for the Methodology for measurement of ExposuresG .
          Original Off Balance Sheet Exposure (Post-Conversion) This figure is automatically populated from the Credit Conversion for Off Balance Sheet Exposures form (e.g. following the example from the previous line item, the Firm would then proceed to the Credit Conversion for Balance Exposures form and record the $1000 against the respective credit conversion factor for that exposure). If there were several exposures, then the Pre-Conversion amount is to be split accordingly across the different Credit Conversion Factors. Refer to PIB A4.2 for Credit Conversion Factors.

          The Pre-Conversion amount against a category of counterparty must match the total of the horizontal split across the different Credit Conversion Factors on the Credit Conversion for Off Balance Sheet Exposures form.
          (-) Value Adjustments and Provisions Associated with the Original ExposureG Record here specific provisions in relation to the exposure. On Balance Sheet netting against the ExposureG is to be recorded here. Refer to PIB 4.13.17 — On Balance Sheet Netting for guidance on when the Firm may utilise netting.
          Exposure Net of Value Adjustment as and Provisions This is calculated by EPRS.
          This is the summation of Original On Balance Sheet Exposures and Off Balance Sheet Exposures (Post-Conversion) minus associated provisions.
          Credit Risk Mitigation Techniques with Substitution Effects on the Exposure ExposuresG reduced through Credit Risk Mitigation Techniques that will replace the exposure from one party to the other (e.g. the original balance sheet exposure was to a corporate for $1000; this exposure is guaranteed by a Bank through a guarantee covering $800 of the exposure, the Firm is to record $800 under guarantees). Refer to PIB 4.13 for rules relating to Credit Risk Mitigation with Substitution Effects.
          Total Outflows This is calculated by EPRS.
          This is the horizontal sum of the outflow of risk through Credit Risk Mitigation Techniques with Substitution Effect.
          Total Inflows This is the inflow of risk to the respective category of counterparty (e.g. a corporate exposure of $2000 guaranteed by a banking institution for the full amount; the Firm is to record $2000 under outflows through a guarantee and record an inflow of $2000 to the banking institution line).

          The vertical sum Total Outflows should equal the vertical sum of Total Inflows.
          Net Exposure After CRM Substitution Effects This is calculated by EPRS.
          This is the summation of Exposure Net of Value Adjustments and Provisions minus Total Outflows + Total Inflows. This is to arrive at the net exposure to the category of the counterparty after applying Credit Risk Mitigation techniques with substitution effect.
          Credit Risk Mitigation Techniques Affecting the Exposure Amount Exposures reduced through Credit Risk Mitigation Techniques that will reduce the exposure amount as opposed to replacing the exposure to another party as with the substitution effect. This is defined as the Financial Collateral Comprehensive Approach (FCCA) in PIB 4.9.5.
          Financial Collateral The financial collateral value for Firms following the FCCA approach.
          (-) Volatility Maturity Forex Adjustment The deductions to be applied to the financial collateral value in the previous line item. Refer to PIB A4.3 — Collateral calculations and haircuts.
          Adjusted Collateral Value This is calculated by EPRS.
          This is the Financial Collateral value minus the haircuts.
          Fully Adjusted Exposure Value This is calculated by EPRS.
          This is the Net Exposure After CRM Substitution Effects minus the Adjusted Collateral Value.
          Risk Weighted Exposure Amount The Fully Adjusted Exposure Value is carried over to the Breakdown of Total Exposures by Risk Weights form. The Firm is then required to split this exposure across the different risk weights on the Breakdown form (e.g. if the Firm had a Fully Adjusted Exposure Value of $500 then, on the Breakdown of Total Exposures by Risk Weights form, the Firm is required to split this $500 across the different risk weights. The sum of the horizontal row is to be equal to $500).
          Of Which: ExposuresG that are rated Of the Risk Weighted Exposure amount, the Firm is to provide the amount of these exposures that were rated by a credit rating agency. Recognised ratings are defined in PIB 4.11 — Credit Quality Grade and External Credit Assessments.
          Of Which: ExposuresG that are unrated Of the Risk Weighted Exposure amount, the Firm is to provide the amount of these exposures that were not rated by a credit rating agency. Recognised ratings are defined in PIB 4.11 — Credit Quality Grade and External Credit Assessments.
          Credit Risk Capital Requirement This is calculated by EPRS.
          This is 10% of the risk weighted amount; the applicable credit risk charge (CRCOM). PIB 4.8 — CRCOM.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.18 Form B60A2 — Credit Risk Capital Requirement — Counterparty Exposures

          Purpose

          Form B10A2 is intended to capture the details of Counterparty RiskG of an Authorised FirmG in line with PIB 4.9.124.9.21 and PIB A4.6A4.8.

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG , and are categorised under prudential categories 1, 2, 3 and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to capture the counterparty risk capital requirement of an Authorised FirmG through the applicable capital charges for the counterparty risk of unsettled transactions, OTC derivatives, securities financing transactions (SFTs), and deferred settlement transactions.

          Structure of the form in EPRS

          B60A2 consists of following four linked forms:

          •   Counterparty risk on Unsettled Transactions RWA;
          •   OTC derivatives RWA;
          •   Securities financing transactions RWA; and
          •   Deferred settlement transactions RWA.

          Accordingly, all items related to the counterparty risk of unsettled transactions should be analysed in the first part, OTC derivatives in the second part, SFTs in the third part, and deferred settlement transactions in the third part.

          The main form has the links to the four linked forms and also displays the total capital requirement for counterparty risk calculated by each of the linked forms.

          Instructional Guidelines:

          Counterparty risk on Unsettled Transactions RWA:

          •   Refer to PIB A4.6 for guidance on how to account for the capital requirements for unsettled transactions and free deliveries;
          •   Refer to PIB A4.8 for guidance related to Other Counterparty Exposures;
          •   The exposure amount is to be recorded against the respective days and risk weight of that exposure.

          OTC Derivatives RWA:

          •   Refer to PIB A4.6.14 for guidance on how to account for the capital requirements related to trades in OTC derivatives;
          •   This is applicable to firms that have entered into financial derivatives in the trading and non-trading book.

          Securities financing transactions RWA:

          •   Refer to PIB 4.9.13 and PIB A4.7 for guidance on how to account for capital requirements related to SFTs;
          •   The Firm should only populate this template in the event there is a positive exposure (i.e. for repos, the value of the securities lent is greater than the value of the collateral and cash received. For reverse repos: the value of the cash given is greater than the value of the securities received);
          •   As an example of the above, consider the following SFTs of a Firm:

          Transaction Securities Sold Securities Received Cash Sent Cash Received Positive Exposure
          Repo A 100     90 10
          Repo B 70     100 0
          Repo C 50     30 20
          Reverse Repo D   60 40   0
          Reverse Repo E   40 80   40


          The Firm would then complete the table only for the positive exposures in accordance with the risk weights applicable.

          Column Amount
          1a. Market Value of Securities sold or lent
          2a. Value of the collateral and Cash Given
          100+50+80= 230
          1b. Value of the collateral and cash received
          2b. Market value of the securities bought or borrowed
          90+30+40= 160


          Deferred settlement transactions RWA:
          •   Refer to PIB A4.7 for guidance on how to account for capital requirements related to deferred settlement transactions.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.19 Form B60A3 — Credit Risk Capital Requirement — Securitisation

          Purpose

          Form B60A3 is intended to capture details related to the credit risk capital requirement for an Authorised FirmG exposed to securitised assets. This is to be completed in accordance with PIB 4.8.4, PIB 4.14 and PIB A4.10.

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG , and are categorised under prudential categories 1, 2 and 3A. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to capture the securitisation capital requirement of an Authorised FirmG and calculate the applicable capital charges for securitisation exposures, broken down by total exposures as originator, investor, or sponsor as well as outstanding positions broken down by credit quality grade.

          Structure of the form in EPRS

          B60A3 consists of one form with several columns to calculate the applicable capital requirement.

          Securitisation exposures are broken down into three categories:

          •   Originator;
          •   Investor;
          •   Sponsor.

          Instructional Guidelines

          The Firm is required to refer to PIB 4.8.4, PIB 4.14 and PIB A4.10 to capture accurately the details required within the respective columns below. These rules will include directions on how exposures and credit risk mitigants are to be recognised and measured.

          Column Instructional Guideline
          Total Amount of Securitisation Exposure Originated The exposure amount to the originated asset. The Firm is required to classify whether the assets originated are:
          •   On-Balance Sheet Items;
          •   Securitisations;
          •   Re-Securitisations;
          •   Off-Balance Sheet Items and Derivatives; or
          •   Synthetic Securitisations.
          Synthetic Securitisations — Credit Protection to the Securitised Exposures
          (-) Funded Credit Protection
          The amount of risk transferred through synthetic securitisations that are funded.
          Synthetic Securitisations — Credit Protection to the Securitised Exposures
          (-) Total Outflows
          Total outward risk transfer through synthetic securitisations which included both funded and unfunded credit protection.
          Notional Amount Retained or Repurchased of Credit Protection Exposure retained by the Firm from originations net of credit mitigation obtained through synthetic securitisations.
          Securitisation Positions
          Original Exposure Pre Conversion Factors
          Include here the exposure to securitised assets through origination, sponsorship or as an investor. For exposure through originations, this amount will be equal to the previous column.
          (-) Adjustments and Provisions Include any adjustments or provisions related to the exposures.
          Exposures Net of Value Adjustments and Provisions This is calculated by EPRS.
          This is the net difference between the Original Exposure and Adjustments and Provisions.
          Credit Risk Mitigation Techniques with Substitution Effects on the Exposure — Total Outflows Include here Credit Risk Mitigants that are subject to a substitution effect. This is to be split between unfunded credit protection and funded credit protection (e.g. financial collateral).
          Credit Risk Mitigation Techniques with Substitution Effects on the Exposure — Total Inflows Include here any risk that has been transferred to the securitised exposure through substitution effects.
          (-) Credit Risk Mitigation Techniques affecting the amount of Exposure: Financial Collateral Comprehensive Method Include the amount by which the exposure is to be adjusted after taking into consideration financial collateral accounted for through the Financial Collateral Comprehensive Approach. (FCCA).
          Breakdown of the Fully Adjusted Exposure of Off Balance Sheet Items According to Credit Conversion Factors Exposures which may be subject to Credit Conversion Factors (CCF), are required to the fully adjusted exposure (E*) across the respective conversion factors.
          Exposure Value This is the residual amount after calculations from the previous columns. This is the Firm's effective exposure to securitisations (gross of deductions from capital resources)
          Deducted from Capital Resources Include here any capital resources deducted in relation to securitised assets.
          Subject to Risk Weights This is calculated by EPRS.
          This is the exposure value that is subject to risk weighting.
          This is calculated through the difference between Exposure Value and Deducted from Capital Resources column.
          Breakdown of the Exposure Value Subject to Risk Weights The Firm is required to split the "Subject to Risk Weights" amount into the relevant Credit Quality Grade buckets after multiply amount by the applicable risk charge on PIB 4.13.31. If the Firm uses the Look-through weight, the firm is required to input the applicable risk weighted asset into the Look-Through column.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.20 Form B60B — Market Risk Capital Requirement — Overview

          Purpose

          Form B60B is intended to capture information on capital charges applicable to market risk ExposuresG of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG categorised under prudential categories 1, 2,3A and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to provide an overview of the Market Risk Capital RequirementsG the Authorised FirmG is subject to from the various risk elements. Detailed rules and guidance in respect of the Market Risk Capital RequirementsG and each of its components are contained in chapter 5 of the PIB module.

          Structure of the form in EPRS

          B60B is presented as a single form and its cells are populated automatically from the respective market risk element form. The Securities Underwriting and Collective Investment Fund Risk do not have separate forms and their capital requirements will have to be input directly into this form.

          Instructional Guidelines

          Line Number Item Instructional Guidelines
          B47_0100T Interest Rate Risk This field is automatically populated from Form B60B1 — Market Risk — Interest Rate, The total interest rate risk capital charge on that form is reflected here.
          B47_0200T Equity Risk This field is automatically populated from Form B60B2 — Market Risk — Equity. The total equity risk capital charge on that form is transferred here.
          B47_0300T Foreign Exchange Risk This field is automatically populated from Form B60B6 — Market Risk — Currency, The total foreign exchange risk capital charge on that form is transferred here.
          B47_0400T Commodities Risk This field is automatically populated from Form B60B6 — Market Risk — Options and Commodities, The total commodities risk capital charge on that form is transferred here.
          B47_0500T Options Risk This field is automatically populated from Form B60B6 — Market Risk — Options and Commodities, The total options risk capital charge on that form is transferred here.
          B47_0600T Securities Underwriting This is to be populated in accordance with PIB 5.10. Details of calculating the capital requirement are reflected in PIB A.5.8 Securities Underwriting.
          B47_0700T Collective Investment Fund Risk This is to be populated in accordance with PIB 5.9. Details of calculating the capital requirement are reflected in PIB A.5.7 Collective Investment Fund Risk Capital Requirement
          B47_0800T Internal Models This field is automatically populated from Form B60B7 — Market Risk — VaR, The total market capital charge on that form is reflected here.
          B060B_0000T Sum of Market Risk Capital Components This figure is calculated automatically as the sum of the above components. This figure is then transferred to form B60 — Capital Resources and is included under the Risk Based Capital Requirements section.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.21 Forms B60B1, B60B2 and B60B3 — Market Risk Capital Requirement — Interest Rate Risk

          Purpose

          Form B60B1 is intended to capture information on capital charges applicable to interest rate ExposuresG in the Trading BookG of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG categorised under prudential categories 1, 2, and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to calculate the interest rate risk capital charge in accordance with PIB 5.4. Details of the calculations are located in PIB A5.2.

          This form captures the general and specific risk capital charge of interest rate sensitive instruments as specified in PIB A5.2.3.

          Structure of the form in EPRS

          There are four sections on this form. The first three relate to general risk capital requirements and the last section relates to specific risk capital requirements.

          The Firm is required to use one of the methodologies to calculate the general market risk charge and to obtain the DFSA'sG approval where necessary in accordance with PIB A5.2.15. For the purposes of completing the general market risk section, the Authorised FirmG can aggregate their positions across different currencies. However, it is expected that the Authorised FirmG will calculate their general market risk on a currency by currency basis for its own records and the DFSAG may request to review this on an ad hoc basis.

          The specific risk charge is applicable in conjunction with the general market risk charge; this is in accordance with PIB A5.2.13.

          Instructional Guidelines

          Item Instructional Guidelines
          General Risk —
          Simplified
          Framework
          The gross and net positions are to be completed across the different time buckets. The respective capital risk charge is then calculated automatically once the figures are submitted.

          Further detail of the Simplified Framework is at PIB A.5.2.16
          General Risk —
          Maturity Based
          Approach
          The net positions are to be completed across the different time buckets. The respective capital risk charge is then calculated automatically and displayed in the capital requirement column. The calculation returned using this approach is presented on Form B60B2 — Maturity Approach.

          Further detail of the Maturity Method is at PIB A.5.2.17–-18
          General Risk —
          Duration Based
          Approach
          The net positions are to be completed across the different time buckets. The respective capital risk charge is then calculated automatically and displayed in the capital requirement column. The calculation returned using this approach is presented on Form B60B3 — Duration Approach.

          Further detail of the Duration Method is at PIB A.5.2.19–-22.
          Specific Risk The gross and net positions are to be completed across the categories of reference. The respective capital risk charge is then calculated automatically once the figures are submitted.

          Further detail of the Specific Risk charge is at PIB A.5.2.13.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.22 Form B60B4 — Market Risk Capital Requirement — Equity Risk

          Purpose

          Form B60B4 is intended to capture information on capital charges applicable to equity ExposuresG in the Trading BookG of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG categorised under prudential categories 1, 2, and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to calculate the equity risk capital charge in accordance with PIB 5.5. Details of the calculations are located in PIB A5.3.

          This form captures the general and specific risk capital charge of equity Exposures and similarly related instruments as specified in PIB A5.3.3. The Authorised FirmG is required to report the gross and net positions when completing this schedule; equity positions may only be netted in accordance with PIB A.5.3.19.

          Structure of the form in EPRS

          There are two sections of this form. The first follows the Standard method and the second follows the Simplified method to calculate the capital charge. The Authorised FirmG is required to use either of these approaches unless an individual net position exceeds 20% of the aggregate country portfolio. The Simplified Method must be applied to this excess portion, as stated in PIB A5.3.22.

          When completing the general market risk section or the Simplified method, the Authorised FirmG can aggregate their positions across different countries for the purpose of completing the schedule, however it is expected that the Authorised FirmG will calculate this on a country by country basis for their own records and the DFSAG may request to review this on an ad hoc basis.

          Instructional Guidelines

          Item Instructional Guidelines
          Standard Method — Specific Risk The gross and net positions are to be recorded. The respective capital risk charge is then calculated automatically once the figures are submitted.

          Further detail of the specific risk charge is at PIB A.5.3.2425.
          Standard Method — General Risk The gross and net positions are to be recorded. The respective capital risk charge is then calculated automatically once the figures are submitted.

          Further detail of the general risk charge is at PIB A.5.3.2930.
          Simplified Method The gross and net positions are to be recorded. The respective capital risk charge is then calculated automatically once the figures are submitted.

          Further detail of the Simplified Method is at PIB A.5.3.3132.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.23 Form B60B5 — Market Risk Capital Requirement — Currency

          Purpose

          Form B60B5 is intended to capture information on capital charges applicable to foreign exchange ExposuresG in the Trading BookG and Non-Trading BookG of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG categorised under prudential categories 1, 2, 3A and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to calculate the foreign exchange capital charge in accordance with PIB 5.6. Details of the calculations are located in PIB A5.4.

          This form captures the gross and net positions of each individual currency (including gold) and calculates the applicable capital charge accordingly.

          Structure of the form in EPRS

          The main form links to two subsequent forms. The first form (Individual Currency Positions) records the positions of the Authorised FirmG in every currency. The second form (Net Position in Currencies) records the gold position of the Authorised FirmG and subsequently calculates the Foreign Exchange capital charge.

          Instructional Guidelines

          Item Instructional Guidelines
          Individual Currency Positions Long and short positions in each foreign currency are to be recorded here in accordance with PIB A5.4.3.
          Net Position in Currencies Long and short positions in gold are to be recorded here. The Foreign Exchange capital charge is automatically calculated and displayed in this table. This is done in accordance with PIB A5.4.4.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.24 Form B60B6 — Market Risk Capital Requirement — Options and Commodities

          Purpose

          Form B60B6 is intended to capture information on capital charges applicable to commodities and options ExposuresG of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG categorised under prudential categories 1, 2, 3A and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to calculate the commodities and options capital risk charge in accordance with PIB 5.7 and PIB 5.8, respectively. Details of the calculations are located in PIB A5.5 and PIB A5.6 respectively.

          This form captures positions in each commodity and captures various data points that are used in the calculation of the option risk capital requirement.

          Structure of the form in EPRS

          The main form links to two subsequent forms.

          The first form (Commodities Risk Capital Requirement) records the position of the Authorised FirmG in commodities in the Trading and non-Trading Book. The respective capital charge is calculated and displayed.

          The second form (Option Risk Capital Requirement) captures the options ExposureG and requires the Firm to input manually the total applicable capital charge.

          Instructional Guidelines

          Item Sub - Item Instructional Guidelines
          Commodities Risk Capital Requirement Long and short positions in each commodity are to be recorded here in accordance with PIB A5.5.2. The applicable Commodities risk capital charge is automatically calculated and displayed in this table. The Authorised FirmG is required to follow either the Maturity Ladder approach or the Simplified Approach.
          Option Risk Capital
          Requirement — Simplified Approach
          Overview If the Authorised FirmG chooses to follow the Simplified Approach it must verify that it complies with the provisions noted in PIB A5.6.2. The details of completing this section are in PIB A5.6.3.

          The Firm is required to provide the aggregate details of all option positions when completing this table.

          When completing this section it is expected that the Authorised FirmG will have the calculations tying in to the details input below. The DFSAG may request to review this on an ad hoc basis.
          Option Risk Capital
          Requirement — Simplified Approach
          Long cash and long put or Short cash and long call For option positions matching the item description, the following data points are to be recorded:
          •   The market value of all underlying instruments is to be summed up and recorded in the first column under "Amount".
          •   The specific and general market risk charge of all the options is to be summed up and recorded under the General and Specific Risk column.
          •   The capital requirements for options risk to be recorded in the last column under capital requirement.
          Option Risk Capital
          Requirement — Simplified Approach
          Long call or Long put For option positions matching the item description, the following data points are to be recorded:
          •   The market value of all underlying instruments is to be summed up and recorded in the first column under "Amount".
          •   The specific and general market risk charge of all the options is to be summed up and recorded under the General and Specific Risk column.
          •   The capital requirements for options risk to be recorded in the last column under capital requirement.
          Option Risk Capital
          Requirement — Simplified Approach
          Option amount in the money For options against long or short cash positions, the aggregate amount of all positions in the money is to be recorded.
          Option Risk Capital
          Requirement — Simplified Approach
          Market value of options For straight long call or put options, the aggregate market value of all the options is to be recorded.
          Option Risk Capital
          Requirement — Simplified Approach
          Option Specific Risk Currency and Commodity option positions are to be recorded here in accordance with PIB A5.6.4. The capital charge will automatically be applied accordingly.
          Option Risk Capital
          Requirement —
          Delta-Plus method
          Overview If the Authorised FirmG chooses to follow the Delta-Plus approach, details on completing this section are noted in PIB A5.6.510.

          When completing this section it is expected that the Authorised FirmG will have the calculations tying in to the details input below. The DFSAG may request to review this on an ad hoc basis.
          Option Risk Capital
          Requirement —
          Delta-Plus method
          Delta Weighted Position The delta weighted position of each underlying risk element to be recorded in this column.
          Option Risk Capital
          Requirement —
          Delta-Plus method
          General and Specific Risk The general and specific charges of each risk element are to be input here.
          Option Risk Capital
          Requirement —
          Delta-Plus method
          Gamma and Vega Risk The Gamma and Vega capital charge is to be input here.
          Option Risk Capital
          Requirement —
          Delta-Plus method
          Capital Requirement The total capital requirement will have to be calculated manually by the Authorised FirmG and input here.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.25 Form B60B7 — Market Risk Capital Requirement — VAR

          Purpose

          Form B60B7 is intended to capture information where Authorised FirmsG are using the internal models approach to calculate market risk capital requirements.

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG categorised under prudential categories 1, 2, and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to calculate the market risk capital requirement in accordance with PIB 5.11. Details of the calculations are located in PIB A5.9.

          Structure of the form in EPRS

          The form breaks down the various risk element positions, highlights the applicable risk charge and requires reporting of instances of overshooting.

          Instructional Guidelines

          Item Instructional Guidelines
          Multiplication Factor x Average of previous 60 working days (VaRavg) Details to reporting these figures are supported by qualitative and quantitative standards in PIB A5.9.
          Previous Day (VaR t-1)
          Multiplication Factor (mc) x Average of previous 60 working days (VaRavg)
          Latest Available (sVaR t-1)
          Capital RequirementG This is calculated automatically in accordance with PIB A5.9.1 (12) once the required figures are submitted.
          Number of Over shootings The number of violations in accordance with PIB A5.9.1 (15).
          VaR Multiplication Factor The multiplication factor used in accordance with PIB A5.9.1 (8).
          SVaR Multiplication Factor The multiplication factor used in accordance with PIB A5.9.1 (14).
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.26 Form B60C — Operational Risk Capital Requirement

          Purpose

          Form B60C is intended to capture information on capital charges applicable to operational risks of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG which are Domestic FirmsG categorised under prudential categories 1, 2, 3A and 5. This form is not applicable to Authorised FirmsG operating through a BranchG in the DIFCG .

          Content

          The form is designed to enable Authorised FirmsG to report the capital charges applicable to the various elements of operational risks inherent in their business. Refer to PIB 6 — Operational risk for further details.

          Refer to the following provisions dependent on the approach the Firm follows:

          •   PIB A6.1 — Basic Indicator Approach;
          •   PIB A6.2 — Standardised Approach; or
          •   PIB A6.3 — Alternative Standardised Approach.

          Structure of the form in EPRS

          B60C is presented as a single form in EPRS. The Form requires the Authorised FirmG to report their revenues over the past 3 years.

          The form is divided into the three difference approaches: Basic Indicator Approach, Standardised Approach (SA) or Alternative Standardised Approaches (ASA). Firms using the Standardised Approach will be required to report their revenues broken down by eight business lines. Firms using the ASA will be required to report their 3 year average loan book for Commercial and Retail Banking lines.

          The capital requirement is obtained automatically once the relevant figures have been input.

          Instructional Guidelines

          The Firm may only use one approach at a time. For SA and ASA, the Firm is required to obtain written approval from the DFSAG before adopting the approach.

          Approach Instructional Guideline
          Basic Indicator
          Approach
          Record the Firm's last 3 year gross income in the respective column. For years with a negative gross income, this is to be recorded with the negative figure. EPRS will automatically calculate the applicable capital requirement.

          Refer to PIB A6.1 for details on what to include and exclude when calculating and reporting this figure.
          Standardised
          Approach
          Record the Firm's last 3 year gross income broken down by business lines in the respective column. Include all negative figures where applicable. EPRS will automatically calculate the applicable capital requirement.

          Refer to PIB A6.2 for details on what to include and exclude when calculating and reporting this figure.
          Alternative Standardised
          Approach
          The Firm is to complete all the gross income figures related to all business lines excluding Commercial and Retail Banking. For these two lines, the Firm is required to input the 3 year average loan book figure into the column specific to ASA. Include all negative gross income figures where applicable. EPRS will automatically calculate the applicable capital requirement.

          Refer to PIB A6.3 for details on what to include and exclude when calculating and reporting this figure.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.27 Form B70 — Large Exposures

          Purpose

          Form B70 is intended to capture information regarding the Large ExposuresG , as well as the largest ExposuresG , of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG categorised under prudential categories 1, 2, 3A and 5.

          Content

          This form is designed to capture information regarding the Authorised Firm'sG Large ExposuresG in accordance with PIB 4.15. The form seeks to capture the following:

          •   20 largest ExposuresG ;
          •   Details of the ExposureG ; and
          •   Credit Risk mitigation used against the Large ExposuresG .

          For BranchesG , this Form captures the top 20 largest exposures irrespective of the definition in PIB 4.15.

          Structure of the form in EPRS

          The form is split into two parts, Part I — Capital Resources and Part II — 20 Largest Exposures. Part II is further split into three segments covering various aspects of the largest ExposuresG .

          Part I — Capital ResourcesG are calculated by EPRS based on the data in form B60 — Capital Resources. The remaining values are to be entered manually.

          Part II — Contains three linked forms, the first linked form (Overview) is populated automatically based on the figures entered in the second and third linked forms (Exposures and Credit Risk mitigation respectively).

          Instructional Guidelines

          Item Instructional Guidelines
          Part I — Capital Resources For Domestic FirmsG , capital resources are calculated automatically from B60 Capital Resources Calculation schedule.
          For BranchesG , the firm is required to enter its Group's Capital ResourcesG .
          Part I — Parental guarantees The sum of all parental guarantees as per PIB 4.15.18. This covers all parental guarantees taken including against ExposuresG not reported on this form. This is not applicable to BranchesG .
          Part I — Sum of Connected Counterparty Exposures The sum of all ExposuresG to Connected CounterpartiesG of the Authorised FirmG . Connected CounterpartiesG is defined in PIB A4.11.7. This is not applicable to BranchesG .
          Part I — Sum of all Large Exposures after applying exemptions and deductions The sum of all Large ExposuresG (including ones not reported on this form) after applying exemptions and deductions. Exemptions and deductions similar to the columns used in the Credit RiskG mitigation form.
          Part II — Overview Contains the details of the twenty largest ExposuresG . The details of this schedule are automatically populated from the other sheets. The form automatically calculates the % of capital resources the ExposureG is before and after applying any exemptions or deductions. The Large ExposureG limits will be compared against this figure. Large ExposureG limits are noted in PIB 4.15.5.
          Part II — Exposures
          1. The top twenty largest ExposuresG ranked on a gross basis (prior to applying deductions or mitigants) are to be reported on this schedule.
          2. Closely related or Connected CounterpartiesG are to be grouped together and recorded as one CounterpartyG .
          3. If the CounterpartyG is connected to the Authorised FirmG , this column should be populated as 1, otherwise 0.
          4. The CounterpartyG name entered is to match the name of their certificate of incorporation, trading license name or the passport copy for natural persons. If the ExposureG is to several closely related CounterpartiesG , then the name of the CounterpartyG higher up the organisational chart is to be used.
          5. The sectors to be used should match one of the sector dimensions in the credit activity schedule (Form B130).
          6. The ExposuresG are recorded against the respective asset class and whether the ExposureG is a Direct or an Indirect Exposure.

          A Direct Exposure is an ExposureG recorded on an immediate borrower basis (e.g. loan to a corporate for x amount, the x amount is to be recorded to the counterparty under loans and receivables).

          An Indirect Exposure is an ExposureG that arises to a guarantor or the issuer of collateral posted or any other credit risk mitigants (e.g. credit derivatives) that is in line with PIB 4.15.12 (e.g. The Direct Exposure is a loan to a corporate for x amount, if a guarantor covers the credit risk of this loan and is in line with the rule referenced above, then this would result as an Indirect Exposure to be recorded to the guarantor under commitments and guarantees).
          7. Note that Parental Guarantees that are in line with PIB 4.15.18 that are applicable for exemption from the Large ExposureG limits are not to be included within the Indirect Exposures to the parent. They are to be summed up and reported under Part 1— Capital Resources — Parental Guarantees.
          Part II — Credit Risk mitigation
          1. Credit RiskG mitigants that are given recognition (PIB 4.15.12) are to be recorded here against the respective ExposuresG recorded in Part II — Exposures (i.e. The Credit RiskG mitigants taken against Large Exposure 1 are to be recorded here to reduce the overall ExposureG to Large Exposure 1). BranchesG are to report their credit risk mitigants without the need not check if it qualifies so in accordance with PIB 4.15.12.
          2. Parental Guarantees to reduce the ExposureG are recorded in the first column.
          3. An ExposureG that is qualified for Institutional Exemption (PIB 4.15.10), the exempted amount is to be recorded here. The rule states that the limit permissible is $100 million or 100% of Capital ResourcesG ; this is in effect granting an additional 75% to the 25% concentration limit for the latter case (e.g. A firm with capital resources of $900 million can have a maximum permissible ExposureG of $90 million with the use of this exemption. Only the portion above 25% of capital resources is to be recorded under the exemption. In this scenario only $67.5 million would be recorded under the Institutional Exemption column). In the event that the limit of $100million is less than 75% of capital resources, then only a maximum of $100 million may be recorded in this column.
          4. An ExposureG that is qualified for Connected Counterparty Exemption (PIB A4.11.9) is to be recorded in the same manner noted above in relation to Institutional Exemptions. Only the portion that exceeds 25% of Capital ResourcesG should be recorded (e.g. A firm with $60million of Capital ResourcesG has an ExposureG of $25million, only the portion that exceeds 25% should is to be recorded in this exemption. In this scenario the firm would record only $10 million under the Connected Counterparty Exemption column).
          1. Credit Risk mitigants (PIB 4.13) that qualify for substitution effect are to be recorded in the respective column. Financial collateral that is subject to the Financial Collateral Comprehensive Approach (FCCA) is to be recorded under the comprehensive approach column. Any amount recorded here will result in an Indirect Exposure to be recorded against the issuer of the collateral posted or against the guarantor of the ExposureG .
          5. Provisions and deductions from capital resources that qualify to reduce the ExposureG are to be recorded in the last column (PIB 4.15.12).
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.28 Form B80 — Liquidity

          Purpose

          Form B80 is intended to capture information regarding the Liquidity RiskG position of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG authorised under prudential categories 1 and 5.

          Content

          The form is designed to capture information regarding cash inflows and outflows and the overall liquidity position of an Authorised FirmG .

          Structure of the form in EPRS

          In EPRS the form is split into two linked forms, namely Part I — Inflows and Outflows and Part II — Calculation of Maturity Mismatches.

          Instructional Guidelines

          As set out in PIB 9.3.3, an Authorised FirmG in Category 1 or 5 should use the Maturity MismatchG approach to measure its liquidity.

          In accordance with PIB 9.3.4, an Authorised FirmG needs to complete separate returns for a business that is funded by:

          •   PSIAUs; and
          •   DepositsG .

          Liquidity reporting in individual currencies

          1. The return should be completed on the basis of all currencies combined. Currencies should be translated into USD at the closing spot mid-price on the reporting date and entered in the relevant time band. However, the DFSAG may require institutions to provide management information on positions in individual currencies in the event of difficulties either in the individual institution or with the currency in question.

          Cash flow versus maturity analysis approach

          2. The policy aim here is to ensure that institutions hold sufficient liquid assets to meet their obligations as they fall due and the DFSAG has set mismatch guidelines to help secure the policy objective. The Form B80 monitors Authorised Firms'G compliance with the limits in two ways: firstly, by including a maturity analysis of known and/or potential cash flows out to six months and, secondly, by a maturity analysis of assets and liabilities from 6 months to 5 years.
          3. Institutions should report both inflows and outflows on the same basis. Therefore, if an institution reports inflows on the cash flow basis out to three months, it should also report outflows on the cash flow basis out to three months.
          4. Items reported on a cash flow basis should include both interest and principal amounts, together with any other income relating to them. Items reported on a maturity basis should be reported at their value on the institution's books. However, any cash flows arising from these items (e.g. interest payments) within the cash flow reporting period should be included in the relevant cash flow periods. Thus cash flows (e.g. interest payments on a loan) arising from items (however reported) should be entered in the relevant cash flow time bands (i.e. those which the institution reports) when they fall due.

          Provisions

          5. Items should be reported net of specific provisions.

          Residual Maturity

          6. As set out in PIB A9.3.1, outflows (such as DepositsG and other liabilities) are to be included according to their earliest possible repayment date. In this context, the earliest repayment date means the first rollover date or the shortest period of notice required to withdraw the funds or to exercise a break clause, where applicable. Inflows (such as loans) are to be entered as occurring on the latest possible repayment date. Purely technical break facilities should be disregarded for fixed term loans. Where the Authorised FirmG has loans outstanding at the reporting date under revolving credit lines and has not received notification that they will be redrawn on maturity, the intermediate date should be taken as the maturity date.

          Time bands

          7. The time band 'Overdue' should be used to record cash flows where assets or other items giving rise to cash flows are non-performing, poorly performing or there is reasonable doubt about the certainty of receipt of inflows of related funds. Where an asset or cash flow previously reported as overdue is contractually rescheduled according to a written agreement, institutions should cease to report these items as 'overdue' and report them according to the new agreed dates for repayment.
          8. The time band 'Demand (including next day)' comprises cash flows or asset items due, available or maturing on the next business day after the reporting date. Cash flows arising or assets/liabilities maturing on a non-business day should be reported as taking place on the following business day. Funds callable at one day's notice should be entered as two-day maturity unless notice has been received or given on the reporting date.

          Netting of debts and claims

          9. All claims and liabilities should be reported gross. Authorised FirmsG should not net (or offset) claims on Counterparties or groups of Counterparties against debts owed to those Counterparties or groups of Counterparties, even where a legal right of set-off exists. Where the maturity of the claims and debts falls within the same time band, the claims and debts will automatically offset each other on the return in the calculation of the mismatch.

          Marketable securities

          10. An asset is considered to be marketable if it meets the requirements set out in PIB Section A9.3.1(2). Essentially, these are assets that could be readily converted into cash where necessary. These assets are reported under the section 'Highly liquid/marketable assets'. Authorised FirmsG should enter the full value of the marketable asset concerned in Column 'Marked to market' against the applicable discount rate in Column 'Discount currency'. The discounted value is then calculated by EPRS. Discounts are applied to reflect that an institution may realise less than the market price quoted for an asset where the institution is seeking to realise assets quickly because of liquidity problems at the firm itself, or due to general market conditions, or both.
          11. The Authorised FirmG should then allocate the discounted value of the assets to either of Columns '8 days & under' or 'Over 8 days to 1 month' determined by the length of the settlement period for the instrument in question. This reflects the length of time it would take for an Authorised FirmG to receive the proceeds of any sale. Where the settlement period for items is more than eight days, or where there are other factors which mean that funds would not be received within eight days, where the assets are sold or repod today, then the funds should be recorded as receivable in Column 'Over 8 days to 1 month'. Where settlement or other delays mean that funds would not be received within one month, then the items should be recorded in the maturity analysis section of the form.
          12. Marketable assets maturing at exactly one month should be reported in the cash flow section of the return. Authorised FirmsG may, however, include the full value of the asset in the one month time band and not discount at all during the life of the asset.
          13. Where assets have a residual maturity of less than one month, the DFSAG recognises that it is not relevant to apply automatically a discount to such assets. In general, these assets should be entered as cash flows in the relevant time bands in rows under the 'Wholesale' section of the form and no discount will be applied.
          14. Assets which do not meet the criteria to be marketable assets, or which do not otherwise qualify for inclusion in the table in PIB Rule A9.3.1(4), are non-marketable assets for the purposes of this return and should be reported in the form according to their residual maturity. This covers for example:
          a. Non-investment grade debt instruments with a Credit Quality Grade ("CQG") of 4 or higher; and
          b. Commercial paper and certificates of deposit that do not meet the definition of marketable assets.
          15. Authorised FirmsG should ensure that there is no double counting of cash flows (of principal or interest) arising from holdings of marketable assets on the form.

          Item Instructional Guidelines
          Inflows  
          Highly liquid/marketable assets As described above.
          Cash Holdings of notes and coins.
          Central govt securities — 1 year or less

          Central govt securities — 1–5 years

          Central govt securities -over 5 years
          Central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank with CQG 1, 2 or 3. Both fixed and variable rate securities should be reported. Only record those securities currently in the reporting institution's ownership.
          Non govt securities — 6 months or less

          Non govt securities — 6 months–5 years

          Non govt securities — over 5 years
          Debt instruments with CQG 1, 2 or 3. Only those securities in the reporting institution's ownership, which the institution may freely dispose of at any time with no restrictions, should be recorded. Those assets pledged to another institution or otherwise encumbered should not be included.
          Other central govt debt (active) Central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank with CQG of 4, 5 or 6. Include only that debt issued by, or fully guaranteed by, central governments and central banks with CQGs of 4, 5 or 6 that is actively traded. Only debt currently in the reporting institution's ownership should be recorded.
          Non-marketable securities Securities which the Authorised FirmG holds, or will receive, but which it cannot classify as marketable. These should be reported according to the redemption value of the asset or, alternatively, where the redemption value is unavailable or not appropriate (e.g. in the case of equities), the book value. Marketable assets maturing within one month reported at their full marked-to-market value, i.e. undiscounted, should also be reported here.
          Inter-bank Inflows arising from placements with other Financial Institutions. Include that element of committed facilities provided to the Authorised FirmG where notification of draw-down date has been given. Exclude inflows from any bank entities within the Group.
          Intragroup/related Inflows from Counterparties connected to the Authorised FirmG . Entries should be made in this item rather than any other item in the Wholesale section if any intragroup/connected Counterparties are involved.
          Corporate Inflows from non-bank, non-connected corporate Counterparties. Initial margins held at clearing houses should be entered here according to their residual maturity. Repayments from leases should also be recorded in this line.
          Govt/public sector Inflows from central governments, public sector entities, local authorities and central banks with CQGs of 1, 2 or 3.
          Govt/public sector Inflows from central governments, public sector entities, local authorities and central banks with CQGs of 4 or above.
          Repos / reverse repos Include any Transactions relating to repos and reverse repos. Authorised FirmsG should also enter any Transactions relating to stock borrowing and lending.
          Forward foreign exchange Cash flows relating to forward purchases of foreign currency, where an exchange of principal is effected at the start or maturity of the swap. The amount received should be entered in the appropriate maturity band.
          Forward sales and purchases The cash leg of any forward sales should be treated as an inflow in the time band corresponding to the date of the forward sale. For forward purchases, where the asset purchased is a marketable asset, the Authorised FirmG should report the USD equivalent discounted value of the security purchased at the maturity of the contract. Where the asset purchased is non-marketable, the institution should enter the USD equivalent discounted value of the security at the maturity of the asset.
          Swaps & FRAs For interest rate and currency swaps, enter the receipts of fixed and floating legs in the cash flow section.
          For FRAs, enter the marked-to-market receipt in the relevant time period. The amount of receipts should be derived from the contract's present value at yields prevailing at the reporting date.
          Commodities Inflows from the sale of commodities held by the Authorised FirmG .
          Trade related letters of credit Inflows arising from trade related LCs.
          Fees (incl. Mudarib) Report here fees, commissions or other income receivable by the Authorised FirmG relating to its wholesale business, according to the known date of receipt. Where the date of receipt is unknown, do not report these flows.
          Other funding sources Include here any other funding sources not included elsewhere, according to their cash flows.
          Outflows  
          Non-marketable securities Include here at residual maturity outflows, from maturing securities or debt instruments, which cannot be classified as marketable. Marketable assets maturing within one month at their full marked-to-market value, i.e. undiscounted, should also be reported here.
          Inter-bank Funds Outflows arising from placements with or from, or repayments of loans to or from, banks. Exclude from this item loans to, or placements with, or Deposits/placements from, bank entities within the Group.
          Intragroup/related Outflows of funds to Counterparties connected to the reporting institution. Entries should be made in this item rather than any other item in the Wholesale section if any intragroup/connected Counterparties are involved.
          Corporate Outflows to non-bank, non-connected, corporate Counterparties.
          Govt/public sector Report funds lent to central governments, public sector entities, local authorities and central banks with CQGs of 1, 2 or 3. Where an Authorised FirmG is required to place funds on deposit with central banks and monetary authorities, these should be entered as an outflow in the relevant time band.
          Govt/public sector Report funds lent to central governments, public sector entities, local authorities and central banks with CQGs of 4 or higher. Where an Authorised FirmG is required to place funds on deposit with central banks and monetary authorities, these should be entered as an outflow in the relevant time band.
          Repos/reverse repos Outflows related to repos or reverse repos. Also include any outflows relating to stock borrowing and lending.
          Forward foreign exchange Enter any cash flows relating to forward sales of foreign currency, where an exchange of principal is effected at the start or maturity of the swap. The amount paid should be entered in the appropriate maturity band.
          Forward sales and purchases For forward sales, the dollar equivalent discounted value of the security sold should be recorded as an outflow. The cash leg of any forward purchases should be treated as an outflow in the time band corresponding to the date of the forward purchase.
          Swaps & FRAS For interest rate and currency swaps, enter payments of fixed and floating legs in the cash flow section.
          For FRAs, enter the marked-to-market payment in the relevant time period. The amount paid should be derived from the contract's present value at yields prevailing at the reporting date.
          Commodities Outflows from the purchase of commodities held by the Authorised FirmG .
          Trade related letters of credit Outflows arising from trade related LCs.
          Dividends, tax & other costs Outflows arising from dividends, tax, etc.
          Ijarah asset purchases Outflows for commitments made for the purchase of these assets.
          Other outflows Any outflows relating to payments to any other outflows that have not previously been reported elsewhere. Also report any outflows relating to settlement accounts, using the trade date plus the settlement period to determine the appropriate time band.
          Other off-balance sheet Any outflows relating to off balance sheet items that have not been reported elsewhere.


          Calculation of Liquidity Mismatches Authorised FirmsG should monitor compliance with their liquidity mismatch guidelines each business day and should report in this section the mismatch on the reporting date, using the data from the previous parts of the return.
          Type of business Cash flow items.
          Time band The time bands for which limits are set: Sight to 8 days and sight to one month.
          Total discounted marketable assets Figure from row "Total" for "High Liquid/Marketable Assets" section Column "8 days & Under" for S-8 days and Columns "8 days & Under" plus "Over 8 days to 1 month" for S-1 month.
          Total standard inflows Figure from row "Total Wholesale Inflows", columns "Demand" and "8 days & Under" for S-8 days and Columns "Demand", "8 days & Under" plus "Over 8 days to 1 month" for S-1 month.
          Total standard outflows Figure from row "Total Wholesale Outflows", columns "Demand" and "8 days & Under" for S-8 days and Columns "Demand", "8 days & Under" plus "Over 8 days to 1 month" for S-1 month.
          Total relevant Deposits The denominator for the mismatch calculation and is obtained from Form B10C, item B010C_1200T for Domestic entities and from Form B10E, item B10C_1200T for Branches. For Deposits that have been raised through an Islamic Window or an Islamic Institution, these liabilities are to be segregated and reported in the Unrestricted PSIAG business columns.
          Mismatch as a % of total deposits As set out in PIB Rule 9.3.4, the mismatch positions should not exceed -15% or -25% for the sight — 8 days and sight — 1 month time bands, respectively.

          Additional Instructional Guidelines for Islamic Contracts

          Inflows   All inflows should be taken as occurring at the last possible contractual repayment date. The treatment of inflows for Islamic ContractsG are as follows and it is for the Authorised FirmG to determine in which of the categories the inflows should be recorded. In the event of any doubt, the institution should contact its regular supervisory contact at the DFSAG .
          Mudaraba Inflows of capital should be reported at the latest redemption date or as assets maturing at the latest possible redemption date. Profit on Mudaraba should only be reported to the extent that it is being reported at the reporting date.
          Musharaka Capital inflows on a normal Musharaka contract should be entered as occurring on the latest possible termination date and in the case of a diminishing Musharaka at the latest redemption date. Inflows on profit should only be entered if it is being distributed at reporting date.
          Murabaha Receivables Inflows reported should include instalment payments and related accrued profit at the latest possible repayment date (or assets maturing at such a date).
          Ijarah/Ijarah Muntahia Bittamleek Report all inflows occurring from Ijarah lease rentals at the last possible payment date. Where the lessee has an option to purchase the asset either during the duration of the lease or at the end of the contract, the amount to be received should be reported as an inflow at the latest possible exercise date.
          Salam and Parallel Salam Enter the amount of inflows as occurring at the latest possible delivery date. If payments are received in the form of instalments (Parallel Salam), only enter the amount of instalments occurring at their latest possible repayment date (or as an asset maturing at the latest repayment date). Enter commodity flows separately in the line market commodities.
          Istisna'a and Parallel Istisna'a Inflows should be assumed to occur at the latest possible completion date. If repayment is via instalments, inflows should be on the latest instalment date.
          Outflows   All outflows should be taken as occurring at the earliest possible contractual repayment date. In the case of a liability, assume the outflows to occur at the earliest possible maturity date. For Islamic ContractsG , outflows should only be recognised when there is already in existence a defined agreement between the parties for a particular Islamic Contract.
          Salam and Parallel Salam For Salam transactions enter amount of outflows as additional advances committed at the earliest possible drawdown date.
          Istisna'a Outflows on Istisna'a contracts are to be entered as occurring at the earliest possible drawdown date. If drawdown occurs based on percentage completion, the outflows should be assumed to occur at the earliest completion date or as a liability maturing at the earliest completion date.
          Ijarah Commitments made for the purchases of assets for Ijarah purposes should be included as outflows at the earliest date committed for the purchase.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.29 Form B90 — LCR

          Purpose

          Form B90 — LCR intends to calculate the Liquidity Coverage Ratio of an Authorised FirmG and to determine the required level of High Quality Liquid Assets.

          Applicability

          This form is applicable to Authorised FirmsG operating under prudential categories 1 and 5.

          Content

          This Form is designed to capture detailed information about the Authorised Firm'sG available unencumbered High Quality Liquid Assets as well as its cash outflows and inflows over a 30 days horizon. The Form is also used to calculate the Liquidity Coverage Ratio based on specified liquidity stress scenario.

          Structure of the form in EPRS

          B90 — LCR is presented as a single form.

          Instructional Guidelines

          The DFSAG reporting template follow closely the LCR standards of the Basel Committee on Banking Supervision as published in its January 2013 document entitled "Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools" (referred to below as "Basel III LCR"). For this reason the LCR schedule is to be completed in line with these mentioned standards. Where there is a requirement to deviate from these standards these are outlined in the guidance below.

          Line Number Line Item Instructional Guideline
          Liquidity Coverage Ratio ("LCR")
          Stock of High-Quality Liquid Assets
          A. Level 1 Assets Ref. PIB A9.2.5, A9.2.6 and Basel III LCR Section II.A.4 Paragraphs 49-50.
          B090_00110 Coins and bank notes Physical coins and bank notes held.
          B090_00120 Qualifying central bank reserves Ref. PIB A9.2.6(2)(b) and Basel III LCR Section II.A.4 Paragraph 50(b).

          Central bank reserves would include banks' overnight deposits with the central bank, and term deposits with the central bank that:
          (i) are explicitly and contractually repayable on notice from the depositing bank; or,
          (ii) that constitute a loan against which the bank can borrow on a term basis or on an overnight but automatically renewable basis (only where the bank has an existing deposit with the relevant central bank). Other term deposits with central banks are not eligible for the stock of HQLA.
          B090_00130 Qualifying marketable securities (sovereigns, CBs, PSEs, MDBs) Ref. PIB A9.2.6(2)(c) and Basel III LCR Section II.A.4 Paragraph 50(c)

          This category comprises marketable securities representing claims on or claims guaranteed by sovereigns, central banks ("CBs"), non-central government public sector entities ("PSEs"), the Bank for International Settlements, the International Monetary Fund, the European Commission, or multilateral development banks ("MDBs") satisfying all of the conditions under PIB A9.2.6(2)(c).
          B090_00140 Domestic sovereign or CBs debt (non-0% risk-weighted) Ref. PIB A9.2.6(d), (e) and Basel III LCR Section II.A.4 Paragraph 50(d) and (e).
          B090_0010T Total stock of Level 1 Assets This figure is calculated by EPRS.
          B090_00150 Adjustments to stock of Level 1 Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

          The adjustments required to the stock of Level 1 assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 1 assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2A9.2.4.
          B090_00160 Adjusted amount of Level 1 Assets This figure is calculated by EPRS.
          B. Level 2 Assets
          (Maximum 40 % of HQLA
          Ref. PIB A9.2.5 and Basel III LCR Section II.A.4 Paragraph 51.
          B1. Level 2A Assets Ref. PIB A9.2.7 and Basel III LCR Section II.A.4 Paragraph 52.
          B090_00210 Sovereign, CBs, MDBs, PSEs (20% risk weighting) Ref. PIB A9.2.7(2)(a) and Basel III LCR Section II.A.4 Paragraph 52(a).

          This category comprises marketable securities representing claims on or claims guaranteed by sovereigns, central banks ("CBs"), non-central government public sector entities ("PSEs") or multilateral development banks ("MDBs") satisfying all of the conditions under PIB A9.2.7(2)(a).
          B090_00220 Qualifying corporate debt securities rated AA- or higher Ref. PIB A9.2.7(2)(b) and Basel III LCR Section II.A.4 Paragraph 52(b).

          This category comprises corporate debt securities (including commercial paper) and covered bonds that satisfy all of the conditions under PIB A9.2.7(2)(b).

          Corporate debt securities' (including commercial paper) include only plain-vanilla assets whose valuation is readily available based on standard methods and does not depend on private knowledge, i.e. these do not include complex structured products or subordinated debt.
          B090_00230 Qualifying covered bonds rated AA- or higher Ref. PIB A9.2.7(2)(b) and Basel III LCR Section II.A.4 Paragraph 52(b).

          This category comprises covered bonds that satisfy all of the conditions under PIB A9.2.7(2)(b).

          Covered bonds are bonds issued and owned by a bank or mortgage institution and are subject by law to special public supervision designed to protect bond holders. Proceeds deriving from the issue of these bonds are be invested in conformity with the law in assets which, during the whole period of the validity of the bonds, are capable of covering claims attached to the bonds and which, in the event of the failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.
          B090_0020T Total stock of Level 2A Assets This figure is calculated by EPRS.
          B090_00240 Adjustments to stock of Level 2A Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

          The adjustments required to the stock of Level 2A assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 2A assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2A9.2.4.
          B090_00250 Adjusted amount of Level 2A Assets This figure is calculated by EPRS.
          B2. Level 2B Assets
          (Maximum 15% of HQLA)
          Ref. PIB A9.2.8 and Basel III LCR Section II.A.4 Paragraphs 53-54.
          B090_00310 Qualifying RMBS Ref. PIB A9.2.8(2)(a) and Basel III LCR Section II.A.4 Paragraph 54(a).

          This category comprises residential mortgage backed securities ("RMBS") that satisfy all of the conditions under PIB A9.2.8(2)(a).
          B090_00320 Corporate debt securities rated A+ to BBB- Ref. PIB A9.2.8(2)(b) and Basel III LCR Section II.A.4 Paragraph 54(b).

          This category comprises corporate debt securities (including commercial paper) and covered bonds that satisfy all of the conditions under PIB A9.2.8(2)(b).

          Corporate debt securities' (including commercial paper) include only plain-vanilla assets whose valuation is readily available based on standard methods and does not depend on private knowledge, i.e. these do not include complex structured products or subordinated debt.
          B090_00330 Qualifying common equity shares Ref. PIB A9.2.8(2)(c) and Basel III LCR Section II.A.4 Paragraph 54(c).

          This category comprises common equity shares that satisfy all of the conditions under PIB A9.2.8(2)(c).
          B090_0030T Total stock of Level 2B Assets This figure is calculated by EPRS.
          B090_00340 Adjustments to stock of Level 2B Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

          The adjustments required to the stock of Level 2B assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 2B assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2A9.2.4.
          B090_00350 Adjusted amount of Level 2B Assets This figure is calculated by EPRS.
          B090_00360 Adjustment to stock of HQLA due to cap on Level 2B Assets Ref. PIB A9.2.5(2)(c) and Basel III LCR Section II.A.4 Paragraph 47.

          This figure is calculated by EPRS.
          B090_00370 Adjustment to stock of HQLA due to cap on Level 2 Assets Ref. PIB A9.2.5(2)(b) and Basel III LCR Section II.A.4 Paragraphs 46 and 51.

          This figure is calculated by EPRS.
          B090_0000T Total Value of stock of Highly-Quality Liquid Assets This figure is calculated by EPRS.


          Cash Outflows Ref. PIB A9.2.13(2) and Basel III LCR Section II.B Paragraph 69.
          B090_0110T A. Retail Deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i) Paragraphs 73-74.
            Demand deposit and qualifying term deposits with residual maturity or notice period
          B090_01110 Stable Deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(a) Paragraphs 75-77.
          B090_01120 Retail — Less stable deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(b) Paragraphs 79-81.
          B090_01130 Retail — Term deposits (residual maturity > 30, no withdraw) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(b) Paragraphs 82-83.

          This category comprises outflows from term retail deposits with residual maturity greater than 30 days and with no legal right to withdraw or a withdrawal with a significant penalty.
          B090_0120T B. Unsecured Wholesale Funding Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii) Paragraphs 85-88.
          Funding from:
          B090_01210 Small business customers—Stable deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89-91.
          B090_01220 Small business customers—Less stable deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89-91.
          B090_01230 Small bus. cust. — Term deposits (residual maturity > 30 days, no withdraw) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraph 92.

          This category comprises outflows from term deposits of small business customers with residual maturity greater than 30 days and with no legal right to withdraw or a withdrawal with a significant penalty.

          Term deposits from small business customers should be treated in accordance with the treatment for term retail deposits.
          B090_01240 Operational deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(b) Paragraphs 93-103.

          This category comprises outflows from operational deposits generated by clearing, custody and cash management activities.
          B090_01250 Operational deposits covered by a deposit protection scheme Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(b) Paragraph 104.

          This category comprises outflows from operational deposits generated by clearing, custody and cash management activities fully covered by a deposit protection scheme.
          B090_01260 Cooperative banks in an institutional network Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(c) Paragraphs 105-106.

          An institutional network of cooperative banks is a group of legally autonomous banks with a statutory framework of cooperation with common strategic focus and brand where specific functions are performed by central institutions or specialised service providers.
          B090_01270 Non-financial corporates, sovereigns, CBs, MDBs & PSEs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(d) Paragraph 107.

          This category comprises all deposits and other extensions of unsecured wholesale funding from non-financial corporate customers (that are not categorised as small business customers) and (both domestic and foreign) sovereign, central bank ("CBs"), multilateral development banks ("MDBs"), and public sector sntities ("PSEs") customers that are not specifically held for operational purposes.
          B090_01280 Non-financial corp., sov., CB, MDBs & PSEs with deposit protection Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(d) Paragraph 108.

          This category comprises all deposits and other extensions of unsecured wholesale funding from non-financial corporate customers, sovereigns, central banks ("CBs"), multilateral development banks ("MDBs"), and public sector entities ("PSEs") without operational relationships if the entire amount of the deposit is fully covered by an effective deposit insurance scheme or by a public guarantee that provides equivalent protection.
          B090_01290 Other legal entity customers Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(e) Paragraphs 109-111.

          This category comprises all deposits and other extensions of unsecured wholesale funding from other legal entity customers (including banks, securities firms, insurance companies, etc), fiduciaries, beneficiaries, conduits and special purpose vehicles, affiliated entities of the bank and other entities that are not specifically held for operational purposes and not included in the prior three categories.

          All notes, bonds and other debt securities issued by the Authorised FirmG are to be included in this category regardless of the holder, unless the bond is sold exclusively in the retail market and held in retail accounts (including small business customer accounts treated as retail), in which case the instruments can be treated in the appropriate retail or small business customer deposit category.
          B090_0130T C. Secured Funding Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraphs 112-113.

          Secured funding includes those liabilities and general obligations that are collateralised by legal rights to specifically designated assets owned by the borrowing institution in the case of bankruptcy, insolvency, liquidation or resolution.

          For this category an Authorised FirmG is to consider all outstanding secured funding transactions ("SFTs") with maturities within the 30 calendar day stress horizon, including customer short positions that do not have a specified contractual maturity. The amount of outflow is to be calculated based on the amount of funds raised through the transaction, and not the value of the underlying collateral.
          B090_01310 SFTs backed by Level 1 assets or with CBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
          B090_01320 SFTs backed by Level 2A assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
          B090_01330 SFTs backed by non-Level 1 or non-Level 2A assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.

          This category comprises secured funding transactions ("SFTs") backed by non-Level 1 or non-Level 2A assets, with the domestic sovereigns, multilateral development banks, or domestic public sector entities ("PSEs") as counterparty. PSEs are limited to those that are 20% risk weighted or better.
          B090_01340 SFTs backed by RMBS eligible for inclusion in Level 2B Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
          B090_01350 SFTs backed by other Level 2B assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
          B090_01360 All other secured funding transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 115.

          This category comprises all other maturing transactions (other than those included in the prior five categories), including transactions where a bank has satisfied customers' short positions with its own long inventory.
          B090_0140T D. Additional Requirements  
          B090_01410 Derivatives cash outflows Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 116-117.

          Expected contractual derivative cash inflows and outflows are to be calculated in accordance with the Authorised Frim existing valuation methodologies. Cash flows may be calculated on a net basis (i.e. inflows can offset outflows) by counterparty, only where a valid master netting agreement exists. Liquidity requirements that would result from increased collateral needs due to market value movements or falls in value of collateral posted are to be excluded from such calculation.

          Options are to be assumed to be exercised when they are 'in the money' to the option buyer.

          Where derivative payments are collateralised by HQLA, cash outflows need to be calculated net of any corresponding cash or collateral inflows that would result, all other things being equal, from contractual obligations for cash or collateral to be provided to the Authorised FirmG , if the Authorised FirmG is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the collateral is received.
          B090_01420 Liquidity needs: financing transactions, derivatives and other contracts Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 118.

          This category comprises amounts of increased liquidity needs related to downgrade triggers embedded in financing transactions, derivatives and other contracts.

          For each contract in which "downgrade triggers" exist, the Authorised FirmG is to include the amount of collateral that would be posted for, or contractual cash outflows associated with, any downgrade up to and including a 3-notch downgrade of the Authorised Firm'sG long-term credit rating. Triggers linked to the short-term rating should be assumed to be triggered at the corresponding long-term rating in accordance with published ratings criteria.

          The impact of the downgrade should consider impacts on all types of margin collateral and contractual triggers which change re-hypothecation rights for non-segregated collateral.
          B090_01430 Valuation changes on non-Level 1 posted collat. securing derivatives Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 119.

          This category comprises amounts of increased liquidity needs related to the potential for valuation changes on non-Level 1 posted collateral securing derivative and other transactions. The value can be netted against the amount of collateral received on a counterparty basis (provided that the collateral received is not subject to restrictions on re-use or re-hypothecation).
          B090_01440 Excess collateral -derivative transactions that could be called Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 120.

          This category comprises amounts of increased liquidity needs related to excess non-segregated collateral held by the Authorised FirmG that could contractually be called at any time by the counterparty.
          B090_01450 Liquidity needs -collateral due on derivatives transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 121.

          This category comprises amounts of increased liquidity needs related to contractually required collateral on transactions for which the counterparty has not yet demanded the collateral be posted.
          B090_01460 Liquidity needs -derivative transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 122.

          This category comprises amounts of increased liquidity needs related to contracts that allow collateral substitution to non-HQLA assets.
          B090_01470 Market valuation changes on derivatives transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 123.

          This category comprises any outflow generated by increased needs related to market valuation changes, calculated by identifying the largest absolute net 30-day collateral flow realised during the preceding 24 months. Inflows and outflows of transactions executed under the same master netting agreement can be treated on a net basis. The absolute net collateral flow is based on both realised outflows and inflows.
          ABCP, SIVs, Conduits, etc.:
          B090_01480 Loss of funding on ABS, covered bonds & other struct. finan. Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 124.

          This category comprises outflows from transactions on asset-backed securities ("ABS"), covered bonds and other structured financing instruments maturing within the 30-day period, when the related instruments are issued by the Authorised FirmG itself.
          B090_01490 Loss of funding on ABCP, SIVs, SPVs, etc Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 125.

          This category comprises amounts of loss of funding on asset-backed commercial paper ("ABCP"), conduits, securities investment vehicles ("SIV"), special purpose vehicles ("SPV") and other such financing facilities, where the Authorised FirmG is exposed to risks such as, but not limited to:
          (i) the inability to refinance maturing debt; and,
          (ii) the existence of embedded derivatives or derivative-like components in within the financing arrangements co that would allow the return of assets, or that require the original asset transferor to provide liquidity within the 30-day period.
          Undrawn committed credit and liquidity facilities: Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 126-128.

          Credit and liquidity facilities only include contractually irrevocable ("committed") or conditionally revocable agreements or obligations to extend funds at a future date to retail or wholesale counterparties. These off-balance sheet facilities or funding commitments can have long or short-term maturities, with short-term facilities frequently renewing or automatically rolling-over.

          Unconditionally revocable facilities that are unconditionally cancellable by the Authorised FirmG are excluded from this category and included in "Other Contingent Funding Liabilities".

          The undrawn portion of these facilities are to be calculated net of any HQLA eligible for the stock of HQLA, if the HQLA have already been posted as collateral by the counterparty to secure the facilities or that are contractually obliged to be posted when the counterparty will draw down the facility (e.g. liquidity facility structured as a repo facility), if the Authorised FirmG is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the facility is drawn, and there is no undue correlation between the probability of drawing the facility and the market value of the collateral. The collateral can be netted against the outstanding amount of the facility to the extent that this collateral is not already counted in the stock of HQLA
          B090_01500 Credit and Liquidity Facilities: Retail and SME clients Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(a).
          B090_01510 Credit Facil.: Non-financial corporates, sovereigns and CBs, PSEs, MDBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(b).
          B090_01520 Liquidity Facil.: Non-financial corporates, sovereigns, CBs, PSEs, MDBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(c).
          B090_01530 Credit & Liquidity Facil.: Banks subject to prudential s Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(d).
          B090_01540 Credit facilities: Other financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(e).

          Other financial institutions including securities firms, insurance companies, fiduciaries and beneficiaries.

          Fiduciary is a legal entity that is authorised to manage assets on behalf of a third party. Fiduciaries include asset management entities such as pension funds and other collective investment vehicles.

          Beneficiary is a legal entity that receives, or may become eligible to receive, benefits under a will, insurance policy, retirement plan, annuity, trust, or other contract.
          B090_01550 Liquidity Facilities: Other financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(f).

          Other financial institutions including securities firms, insurance companies, fiduciaries and beneficiaries.
          B090_01560 Credit and Liquidity Facilities: Other legal entity customers Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(g).

          This category comprises committed credit and liquidity facilities provided to other legal entities including hedge funds, money market funds, special purpose entity ("SPEs") and special purpose vehicles ("SPVs"), conduits, and all other entities not included in the prior categories.

          An SPE is a corporation, trust, or other entity organised for a specific purpose, the activities of which are limited to those appropriate to accomplish the purpose of the SPE, and the structure of which is intended to isolate the SPE from the credit risk of an originator or seller of exposures.
          B090_01570 Other contractual obligations to financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 132.
          This category comprises any contractual obligations to extend funds to financial institutions within a 30-day period. Any contractual lending obligations to financial institutions not captured elsewhere should be captured in this category.
          B090_01580 Other contractual obligations to retail & non-financial corporate clients Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 133.

          If the total of all contractual obligations to extend funds to retail and non-financial corporate clients within the next 30 calendar days (not captured in the prior categories) exceeds 50% of total contractual inflows due in the next 30 calendar days from these clients, the difference is to be reported under this category.
          Other contingent funding obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 135-141.

          This category comprises contingent funding obligations which can be contractual or non-contractual and which are not lending commitments.

          Non-contractual obligations may be embedded in financial products and instruments sold, sponsored, or originated by the Authorised FirmG that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations.

          Some contingent funding obligations are explicitly contingent upon a credit or other event not always related to the liquidity events simulated in the stress scenario, but may nevertheless have potential to cause significant liquidity drains in times of stress. The Authorised FirmG is to consider which of these "other contingent funding obligations" may materialise under the assumed stress events. Authorised FirmsG are expected to use historical behaviour in determining appropriate outflows. All identified contractual and noncontractual contingent liabilities and their assumptions should be documented, along with their related triggers.
          B090_01590 Non-contr. Obligations -liquidity draws from JVs or minority investments Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 137.

          This category comprises non-contractual obligations related to potential liquidity draws from joint ventures ("JVs") or minority investments in entities which are not consolidated where there is the expectation that the Authorised FirmG will be the main liquidity provider when the entity is in need of liquidity.
          B090_01600 Trade finance-related obligations (including LCs & guarantees) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 138-139.

          This category comprises contingent funding obligations stemming from trade finance instruments. These instruments consist of trade-related obligations directly underpinned by the movement of goods or the provision of services, such as:
          •   documentary trade letters of credit ("LCs"), documentary and clean collection, import bills, and export bills; and,
          •   guarantees directly related to trade finance obligations, such as shipping guarantees.
          Lending commitments, such as direct import or export financing for non-financial corporate firms, are excluded from this category and treated under the relevant "undrawn committed credit and liquidity facilities" categories.
          B090_01610 Unconditionall y revocable "uncommitted" credit and liquidity facilities Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
          B090_01620 Guarantees & LCs unrelated to trade finance obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
          Non-contractual obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
          B090_01630 Debt-buy back requests (incl. related conduits) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

          This category comprises potential requests for debt repurchases of the Authorised FirmG own debt or that of related conduits, securities investment vehicles and other such financing facilities.
          B090_01640 Structured products Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

          This category comprises structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate demand notes.
          B090_01650 Managed funds Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

          This category comprises managed funds that are marketed with the objective of maintaining a stable value, such as money market mutual funds or other types of stable value collective investment funds.
          B090_01660 Other noncontractual obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

          This category comprises other non-contractual obligations not included in the prior three categories.
          B090_01670 Outstanding debt securities with remaining maturity > 30 days Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

          For issuers with an affiliated dealer or market maker, an amount of the outstanding debt securities (unsecured and secured, long term as well as short-term) having maturities greater than 30 calendar days is to be included, to cover the potential repurchase of such outstanding securities.
          B090_01680 Non contractual obligations — customer short positions covered by other customers' collateral Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

          This category comprises contingent obligations where an Authorised FirmG has internally matched client assets against other clients' short positions where the collateral does not qualify as Level 1 or Level 2, and the Authorised FirmG may be obligated to find additional sources of funding for these positions in the event of client withdrawals.
          B090_01690 Other contractual cash outflows Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 141 and Section II.B.2(i) Paragraph 147.

          This category comprises any other contractual cash outflows within the next 30 calendar days, such as outflows to cover unsecured collateral borrowings, uncovered short positions, dividends or contractual interest payments. Outflows related to operating costs, however, are not to be considered for LCR calculation.
          B090_0100T Total Cash Outflows This figure is calculated by EPRS.


          Cash Inflows Ref. PIB A9.2.13(3), Basel III LCR Section II.B Paragraph 69 and Basel III LCR Section II.B.2 Paragraphs 142-143.

          Cash inflows to be considered include only contractual inflows (including interest payments) from outstanding exposures that are fully performing and for which the Authorised FirmG has no reason to expect a default within the 30-day time horizon. Contingent inflows are not included in total net cash inflows.
          Secured lending (incl. reverse repos and securities borrowing), with the following as collateral:
          B090_02110 Level 1 assets Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(i) Paragraphs 145-148.
          B090_02120 Level 2A Assets
          B090_02130 Level 2B Assets — eligible RMBS
          B090_02140 Level 2B Assets — Other assets
          B090_02150 Margin lending backed by all other collateral
          B090_02160 All other assets
          B090_02170 Credit or liquidity facilities provided to the reporting bank Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(ii) Paragraphs 149.
          B090_02180 Operational deposits held at other financial institutions Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 156-157.

          This category comprises operational deposits held at other financial institutions (including deposits held at centralised institution of a network of co-operative banks) for operational purposes such as for clearing, custody, and cash management purposes.
          Other inflows by counterparty Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 150-152.

          Inflows to be considered are limited to receivables that are fully performing and contractually due within a 30-day horizon.

          Inflows should only be taken at the latest possible date, based on the contractual rights available to counterparties. Inflows from loans that have no specific maturity (i.e. have non-defined or open maturity) are not be included; therefore, no assumptions to be applied as to when maturity of such loans would occur. An exception to this would be minimum payments of principal, fee or interest associated with an open maturity loan, provided that such payments are contractually due within 30 days. These minimum payment amounts are to be captured as inflows in the relevant category below.
          B090_02190 Amounts receivable from retail counterparties Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 153.

          This category comprises amounts receivable from retail and small business customers that are fully performing and contractually due within a 30-day horizon.
          B090_02200 Amounts receivable from non-financial wholesale counterparties Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraph 154.

          This category comprises amounts receivable from non-financial wholesale counterparties (including non-financial corporates, sovereigns, multilateral development banks, and public sector entities) from transactions other than those listed in the inflow categories above. These includes all payments (including interest payments and instalments) that are fully performing and contractually due within the 30-day horizon.
          B090_02210 Amounts receivable from financial institutions Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 154-155.

          This category comprises amounts receivable from financial institutions, from transactions other than those listed in the two inflow categories above. These includes all payments (including interest payments and instalments) that are fully performing and contractually due within the 30-day horizon. It includes, among others, payments from interbank, money market placements and deposits (e.g. nostro accounts) which meet the prescribed criteria.

          Inflows from securities maturing within 30 days not included in the stock of HQLA should be included.
          B090_02220 Net derivative receivables Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 158-159.

          Where derivatives are collateralised by HQLA, cash inflows are to be calculated net of any corresponding cash or contractual collateral outflows that would result, all other things being equal, from contractual obligations for cash or collateral to be posted by the Authorised FirmG , given these contractual obligations would reduce the stock of HQLA.
          B090_02230 Other contractual cash inflows Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraph 160.
          B090_0200T Total Cash Inflows This figure is calculated by EPRS.
          B090_0300T Total Net Cash Outflows Ref. PIB A9.2.13(1) and Basel III LCR Section II.B Paragraph 69.

          This figure is calculated by EPRS.
          B090_0400T Liquidity Coverage Ratio ("LCR") Ref. PIB 9.3.5 and Basel III LCR Section II Paragraph 22.

          This figure is calculated by EPRS.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.30 Form B120 — Interest Rate Risk in the Non-Trading Book

          Purpose

          Form B120 is intended to capture information regarding an Authorised Firm'sG exposure to interest rate risk in the Non-Trading BookG , also known as the banking book.

          Applicability

          This form is applicable to Authorised FirmsG authorised under prudential categories 1 and 2.

          Content

          The form is designed to capture the interest rate risks arising from maturity and repricing mismatches.

          Form B120 (also known as Interest Rate Gap Report or Gap Analysis) distributes an Authorised Firm'sG assets, liabilities and off-balance sheet positions into time bands based on either the next repricing or maturity date (whichever first).

          The form also capture details of the sensitivity of an Authorised Firm'sG earning to interest rate risk.

          Structure of the form in EPRS

          B120 is presented with four linked forms:

          a. USD
          b. EUR
          c. Open
          d. Other Currencies

          The Firm is required to prepare a separate report for each significant currency. A currency is considered significant if the aggregate assets denominated in that currency amount to 5% or more of the Authorised Firm'sG total assets. The only significant currencies currently collected separately are USD, EUR and "Open". The Open classification is to report the Firm's highest significant currency other than USD or EUR.

          All other significant and non-significant currencies are to be grouped up and recorded under Other Currencies.

          Instructional Guidelines

          Item Instructional Guidelines
          Assets held in the Trading BookG To reconcile with asset items reported under B010A_0100T — Financial Assets Held For Trading in Form B10A.
          Assets held in the Non-Trading BookG Total of this category is to reconcile with the total of all asset items reported in Form B10A excluding "Financial Assets Held For Trading".
          Liabilities held in the Trading BookG To reconcile with liability items reported under B010C_01050T — Financial Liabilities Held For Trading in Form B10C or Form B10E, as applicable.
          Liabilities held in the Non-Trading BookG Total of this category to reconcile with all liability items reported in Form B10C or Form B10E, as applicable, excluding "Financial Liabilities Held For Trading".
          Asset/Liabilities Gap This is automatically calculated by ERPS. Interest rate-sensitive liabilities held in the Non-Trading BookG in each time band are subtracted from the corresponding interest rate-sensitive assets held in the Non-Trading BookG to produce a repricing "gap" for that time band.
          Interest Rate Gap This is automatically calculated by EPRS. Off-Balance Sheet exposure in each time band is added to the Assets/Liabilities Gap of the same time band to produce an interest rate "gap" for that time band.
          Cumulative Gap This is automatically calculated by EPRS. The Cumulative Gap in each time band, the Interest Rate Gap of that time band is added to the Cumulative Gap of the previous time band. For the first time band "Up to 1 month" the Cumulative Gap is equal to the Interest Rate Gap of that time band.
          Earnings at Risk This is automatically calculated by EPRS. The Cumulative Gap in each time band is multiplied by an assumed change in interest rates of 200 basis points, i.e.2% parallel shift of the yield curve, to yield an approximation of the change in net interest income that would result from such an interest rate movement. An Authorised FirmG should ensure compliance with PIB Rule 7.2.3, where applicable.
          1. The horizontal total of every line item is to reconcile with the respective figures reported on Forms B10A, B10B, B10C, B10D and B10E where applicable.
          2. Assets, liabilities and off-balance sheet positions are to be reported into time bands based on either the next repricing date or the residual term to maturity, whichever first.
          3. Some assets and liabilities might have uncertain repricing dates, either where there is no stated contractual maturity or where the behavioural maturity differs from the contractual maturity. These instruments might include current accounts, sight deposits and non-maturity deposits, as well as items whose actual residual term might varies from the contractual term, such as saving deposits which can be withdrawn, often without penalty, or loans which allow prepayment or extension without any penalty fee, interest or other additional fees, etc. For these assets and liabilities, the recording in the time bands should correspond as closely to the actual behaviour as possible.
          4. An Authorised FirmG might adopt a conservative approach when reporting assets and liabilities with uncertain repricing dates by recording all these positions in the first time band. Yet an Authorised FirmG can make assumptions about the likely timing of payments and withdrawals on these positions and "spread" the balances across time bands accordingly. Such assumptions should depend on the judgment, historical experience and statistical data of each Authorised FirmG .
          5. An Authorised FirmG should carefully consider its assumptions. Such assumptions should be fully documented and frequently reviewed. Irrespective of the assumptions used, core deposits should be slotted according to an assumed maturity of no longer than six months.
          6. Non-rate sensitive assets, liabilities or off-balance sheet positions (such as "Property, Plant, and Equipment", "Goodwill", etc.) are to be reported in the "Non Rate Sensitive" column.
          7. A negative, or liability-sensitive, gap occurs when liabilities exceed assets (including off-balance sheet positions) in a given time band. This means that an increase in market interest rates could cause a decline in net interest income. Conversely, a positive, or asset-sensitive, gap implies that an Authorised Firm'sG net interest income could decline as a result of a decrease in the level of interest rates.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.31 Form B130 — Credit Activity

          Purpose

          Form B130 — This form is designed to capture the details of the credit activity of Authorised FirmsG carried out by way of business, on the dimensions of both outstanding credit at the end of the reporting period and fresh credit delivery (disbursements) during the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG licensed to carry out the financial service of Providing CreditG . Such authorised firms are likely to be included in prudential categories 1, 2 and 5. This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form seeks to collect information on the Loans and Advances book of the firm.

          Structure of the form in EPRS

          B130 is presented with two sections. The first section records the outstanding amount at the end of the reporting period and the disbursements provided during the period against four dimensions:

          •   1st Dimension: Credit Product — split between funded and unfunded;
          •   2nd Dimension: Category (type) of counterparty;
          •   3rd Dimension: Sector of the counterparty; and
          •   4th Dimension: Country of the counterparty.

          The second section records the maturity profile breakdown of the credit activity.

          Instructional Guideline

          1. The total amount recorded on this form is to be equal to the sum of B10A — Assets, Loans and Receivables, B010A_0250T plus B10B — OBS Exposures, Total Off-Balance Sheet Exposures, B010B_4000T.
          2. The Firm must select all the related dimensions to the transaction (or similar transactions) to be able to populate this form (e.g. a Firm has financed a project of a SME in the Manufacturing industry over a 4 year tenor). The Firm would have to input the data in the Funded Product section under Project Finance, and will then have to select the next three dimensions that match this situation. If there are similar facilities with the same characteristics then they are to be grouped.
          3. The maturity profile breakdown does not relate to the four dimensions mentioned above. This breakdown relates to the total credit activity recorded in the first section.
          4. The total of the first section is to match the total of the second section
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.32 Form B140 — Exposures in Arrears and Provisions

          Purpose

          Form B140 is intended to capture the exposures in arrears and provisions taken by an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG licensed to carry out the financial service of Providing CreditG and Dealing in Investments and Principal. Such authorised firms are likely to be included in prudential categories 1, 2 and 5. This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form is designed to capture the details of exposures in arrears and provisions, including the details of problem loans, movement in provisions for impairment, and movement in provisions for impairment by credit classification (standard, special mention, substandard, doubtful, loss).

          Structure of the form in EPRS

          Form B140 consists of three linked sub-forms dealing with

          •   "Details of problem loans";
          •   "Movement in provisions for impairments"; and
          •   "Movement in provisions for impairment — Part II".

          "Details of problem loans" covers exposures in arrears broken down into different time brackets: overdue for less than 30 days, between 30 and 59 days, etc., in respect of various categories of ExposuresG (counterparties, asset types, etc.).

          "Movement in provisions for impairments" covers movements in the specific and general provisions, as well as total provisions in respect of various categories of ExposuresG , due to charges from P&L, write-offs, and recoveries.

          "Movement in provisions for impairments — Part II" covers movements in provisions broken down by the credit classification of Exposures (standard, special mention, substandard, doubtful, loss).

          Instructional Guidelines

          Sub-Form Instructional Guideline
          Details of Problem Loans The Firm should include here all exposures in arrears and any provisions recorded against them.

          ExposuresG in arrears include any receivables due that have not been paid on the due date (e.g. Interest Payments, Account Receivables and Principal payments).

          The Firm is to avoid "evergreening" in its report. PIB 4.5.7.
          Movement in provisions for impairment
          •   Opening Balance: Report the provisions as at the end of the previous period.
          •   Charge from Profit and Loss: The additional provisions that management considers adequate to reduce the recorded investment in the firm's books net of other movements. The amount of provisions should be the same as recorded on the profit and loss statement.
          •   Write-offs: The reduction of provisions due to a write-off of the corresponding investment.
          •   Recoveries: The increase of provisions due to funds recovered from an investment that had previously been provisioned.
          •   Other: Include and specify any other credit related adjustments to provisions occurring during the period.
          •   Closing Balance: This item is calculated by EPRS as the opening balance adjusted by the items in 'Charge from P&L", 'Write offs, 'Recoveries' and 'Other adjustments'.
          Movement in provisions for impairment — Part 2 The Firm is required to classify and categories their credit exposures in accordance with the guidance in PIB 4.5.4.
          The Firm is to avoid "evergreening" in its report. PIB 4.5.7.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.33 Form B150 — Loans Restructured

          Purpose

          Form B150 is intended to capture the Firm's credit exposures that have been subject to a change in the obligations of the counterparty.

          Applicability

          This form is applicable to Authorised FirmsG licensed to carry out the financial service of Providing CreditG and Dealing in Investments and PrincipalG . Such authorised firms are likely to be included in prudential categories 1, 2 and 5. This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The Form is intended to capture details related to transactions that counterparties have restructured due to their inability to satisfy the original contractual obligations. This captures all restructured transactions during the reporting period irrespective of when the initial exposure to the client has taken place.

          Structure of the form in EPRS

          B150 — Restructured Loans is presented on a single form. The form captures exposures on a transactional basis per counterparty. Details of the transaction before and after the restructuring are collected.

          Instructional Guidelines

          Column Instructional Guideline
          Counterparty CounterpartyG name — the counterparty name entered is to match the name of their certificate of incorporation, trading license name or the passport copy for natural persons.
          Category of Exposure CounterpartyG type (Corporate, SME, HNWI, etc.). The full list is obtainable from the Category dimension on Form B130.
          Product Type Product type (Term Debt, Project Finance, etc.) The full list is obtainable from Form B130.
          Geography Country the counterparty is domiciled in.
          Amount Amortised amount subject to the restructuring.
          Tenure Duration of the facility.
          YTM Yield to maturity or effective interest.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.34 Form B160 — Investment Activity

          Purpose

          Form B160 — Investment Activity is intended to capture the details of the investments held by an Authorised FirmG on its own account, i.e. on its own balance sheet at the end of the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG licensed to carry out the financial service of Providing CreditG and Dealing in Investments and PrincipalG . Such authorised firms are likely to be included in prudential categories 1, 2 and 5. This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form is designed to capture information about the investments carried on an Authorised Firm'sG balance sheet. Specifically, the form captures the detailed breakdown of investments across different classes of assets, the sector and the geographical distribution of investments. The form seeks to obtain the value of direct exposures to investments and the value of exposures to derivatives in respect of the relevant underlying investments.

          Investments held by an Authorised FirmG as part of its Client Assets must not be included in this form.

          The following general factors must be considered while using the guidelines given below to complete the form.

          a. Authorised firms are expected to determine the classification of their investments for reporting on the basis of the economic import of the investment and its risk-return profile rather than on the basis of specific nomenclature for the transaction/product involved.
          b. In cases where the investments are made in special-purpose vehicles or structured products, the nature and characteristics of the underlying assets or cash-flow streams should be considered while determining its sector and geographical classification.

          Structure of the form in EPRS

          B160 is a single form with three dimensions:

          •   1st Dimension: Product;
          •   2nd Dimension: Country; and
          •   3rd Dimension: Sector of the counterparty.

          The outstanding amount at the end of the reporting period is to be reported against the above dimensions and whether the exposure is through a direct or indirect exposure.

          Instructional Guidelines

          1. The total amount recorded on this form is to be equal to the sum of the following elements from Form B10A — Assets:
          a. B010A_0050T — Cash and Cash Balances at Banks (excluding cash on hand)
          b. B010A_0100T — Financial Assets Held for Trading
          c. B010A_0150T — Financial Assets Designated at Fair Value through Profit or Loss
          d. B010A_0200T — Available for Sale Financial Assets
          e. B010A_04500 — Investments in Subsidiaries, Joint Ventures and Associates
          and Form B10C — Liabilities (Domestic)
          a. B010C_10510 — Financial Liabilities Held for Trading — Derivatives
          b. B010C_10520 — Financial Liabilities Held for Trading — Short Positions
          and any other Derivative Positions that are recorded under Financial Liabilities Designated at Fair Value through P&L.
          2. The Firm must select all the related dimensions to the transaction (or similar transactions) to be able to populate this form (e.g. a Firm is long on an equity derivative of a publicly listed entity with an UAE counterparty in the Financial Services Industry). The Firm would have to input the data in the Derivative column under Public listed entities, and would then have to select the next two dimensions that match this situation (i.e. Country is UAE and Sector is Financial Services).
          3. When selecting the geographical location, the Firm is to select the geographical location of the counterparty. An exception to this is when the Firm remits the funds through an entity to purchase the asset it seeks. In this situation, the Firm's risk and reward is tied to the asset and the exposure is to be treated as an exposure to the asset and not the entity the assets are being channelled through (e.g. a Firm purchases Government Securities through a SPV and the risk and reward of the Government Security is directly tied to the Firm's equity movement, the Firm is to then treat this exposure as a Direct Exposure to the Government Security).
          4. For derivative positions, the Firm is to look through to the underlying asset and record the exposure amount against the asset in the Derivative Column (e.g. a Firm sold a call position on a mortgage backed security, the fair value of the position is to be recorded against mortgage backed securities in the derivative column).
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.35 Form B170 — Investment Fair Value

          Purpose

          Form B170 — Financial Instruments at Fair Value is intended to capture details of the valuation of financial assets and liabilities measured at fair value.

          Applicability

          This form is applicable to any Authorised FirmG in Category 1, 2, 3A and 5. This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The Form intends to capture the level of reliability of the fair value assigned to an asset or a liability. Assets measured at fair value are to be categorised as Level 1, Level 2 or Level 3 assets. This is in accordance with the Fair Value hierarchy in IFRS 7.

          Structure of the form in EPRS

          The Form carries over the accounting portfolios from Form B10A — Assets and B10C/E — Liabilities. The Firm is required to split the line items recorded across Level 1, Level 2 and Level 3 types of measurement. The Form records the Opening Balance, the movement during the period, and the closing balance.

          Instructional Guidelines

          The sum of the Accumulated Change in Fair Value for a line item is to be equal to the amount recorded for the respective line item on the Asset or Liability sheet (e.g. on Form B10A — Assets, the Firm has recorded 2000 against Islamic ContractsG Held for Trading; the sum of the Level 1, Level 2, and Level 3 columns in the accumulated change is to be equal to 2000).

          Column Instructional Guideline
          Fair Value Hierarchy The amount recorded in the Fair Value Hierarchy column is to be equal to the closing balance of the previous quarter.
          Change in Fair Value for the Period The movement through P&L and Other Comprehensive Income for every line item is to be recorded here. Include as well any new items recognised.
          Accumulated Change in Fair Value This is the closing balance for the current reporting period. Each line item here is to be equal to the closing balance reported on Form B10A — Assets and Form B10C/E — Liabilities.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.36 Form B180 — FX Exposure

          Purpose

          Form B180 is intended to capture foreign exchange Exposures in the Trading BookG and Non-Trading BookG of an Authorised FirmG .

          Applicability

          This form is applicable to Authorised FirmsG which are categorised under prudential categories 1, 2, 3A and 5.

          Content

          This form captures the gross and net positions of each individual currency (includes domestic currency).

          Structure of the form in EPRS

          B180 is presented on a single form. The form records the positions of the Authorised FirmG in every currency.

          Instructional Guidelines

          Item Instructional Guidelines
          Individual Currency Positions Long and short positions in each currency are to be recorded here in accordance with PIB A5.4.3.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.37 Form B190 — Funding Schedule

          Purpose

          Form B190 — Funding Schedule is designed to capture the details of fund raising activity of Authorised FirmsG carried out by way of business, on both dimensions of outstanding amount at the end of the reporting period and fresh funding inflows during the reporting period.

          Applicability

          This form is applicable to Authorised FirmsG in prudential categories 1, 2 and 5, including Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form is intended to capture information about the outstanding amount of funding received by an Authorised FirmG through:

          •   Deposits, if the firm is licensed to carry out the financial service of Accepting Deposits;
          •   Profit Sharing Investment Account on unrestricted basis ("PSIAu"), if the firm is licensed to carry out the financial service of Managing a PSIAu; and,
          •   All other type of funds owed by and reported on the Authorised Firm'sG balance sheet.

          The form also captures the amount of funding raised by the Firm during the reporting period. Specifically the form captures the detailed break-up of funding across:

          a. different types of fund providers;
          b. geographic diversification of fund providers; and
          c. maturity of funds received.

          Authorised FirmsG are required to report all Deposits which meet the definition provided in Appendix 1 of the GEN module of the DFSAG Rulebook. All funds raised by the Authorised FirmG other than Deposits and PSIAu are to be reported under "Other".

          Structure of the form in EPRS

          B190 is presented on a single form with three dimensions. The first dimension seeks data on funds received by the Authorised FirmG by type of fund providers. The second section seeks classification of the data across countries from which funds have been received, while the third section seeks the data on the maturity of the funds received by the Authorised FirmG .

          Authorised FirmsG are required to disclose the total outstanding funds at the end of the reporting period and the total funding raised during the reporting period. The total outstanding funds reported under each section should be the same and should be equal to the total figures reported in Form B10C/E — Liabilities and B20C/E — Liabilities.

          Instructional Guidelines

          1. 1st Dimension: Classification of Funding by type of Fund Providers. The different types of Fund Providers for which data is to be reported are listed in the title column, which should be self-explanatory, except for the following specific points.
          a. B190_1010 — Individuals: This refers to all the individual fund providers, including depositors, who have made Deposits or provided other type of funding on their own name. Include also Deposits made by or funding received from personal investment vehicles of individual investors which usually take, but are not limited to, the form of trusts, investment companies.
          b. B190_1050 — Sovereign, sub-sovereign entities and PSEs: Include funding raised, including Deposits received, from sovereign governments, emirate/state/provincial governments, municipal authorities, agencies of the government which do not represent sovereign risk. Also include funding received from corporate entities which are wholly or majority owned by federal/state governments.
          2. 2nd Dimension: Classification of Funding by Country. User will choose the appropriate country from Custom 1 dimension "Country Code".
          3. 3rd Dimension: Classification of Funding by Maturity. User will choose the appropriate maturity category from Custom 3 dimension "Maturity".
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.38 Form B200 — Funding Concentration

          Purpose

          Form B200 — Funding Concentration is designed to capture the Firm's funding concentration in respect of CounterpartyG , Product and Currency. The form also captures credit facilities available for utilisation by counterparties of the firm.

          Applicability

          This form is applicable to Authorised FirmsG in prudential categories 1, 2 and 5, including Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form captures details in the concentration levels in the following:

          •   CounterpartyG (Counterparty Name, Maturity Bucket);
          •   Product (Product Name, Maturity Bucket); and
          •   Currency (Currency, Maturity Bucket).

          The Form also captures details of the aggregate funded credit lines approved by the Firm for its client base.

          Structure of the form in EPRS

          B200 is split into four different linked forms:

          •   B200 — Funding Concentration — CounterpartyG
          •   B200 — Funding Concentration — Product
          •   B200 — Funding Concentration — Currency
          •   B200 — Funding Lines.

          Instructional Guidelines

          Data to be reported relates to the closing balance at the end of the reporting period.

          Form Instructional Guideline
          Funding Concentration — Counterparty
          •   The Firm is required to report separately on each row a group of closely related counterparties (PIB A4.11.5) that provide funding to the Authorised FirmG of an amount equal to or greater than 1% of the Authorised Firm'sG total assets.
          •   The counterparty name entered is to match the name of their certificate of incorporation, trading license name or the passport copy for natural persons. If the exposure is to several closely related counterparties, then the name of the counterparty highest up the organisational chart is to be used.
          •   Funding provided from the counterparty is to be split horizontally across the different maturity buckets.
          Funding Concentration — Product
          •   The Firm is required to report each of the liability products used that provide a funding of greater than 1% of the Authorised Firm'sG total assets.
          •   The Product Names to be used are:
          •   Deposits
          •   Money Market Placements
          •   Fixed Income Instruments
          •   Other.
          •   Funding by product is to be split horizontally across the different maturity buckets.
          Funding Concentration — Currency
          •   The Firm is required to report separately on each of the currency liabilities that is greater than 5% of the Authorised Firm'sG Total Assets.
          •   Funding by currency is to be split horizontally across the different maturity buckets.
          Funding Lines This form captures funded credit lines (include all product types of funded exposures) approved by the Authorised FirmG to be granted to related and non-related counterparties. Include here revocable and non-revocable lines of credit.
          •   Total Funding Line Approved: The internal credit limits approved by the Authorised Firm'sG relevant credit authority.
          •   Funding Utilised: Funding that is utilised by the counterparty (owed back to the Authorised FirmG ).
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.39 Form B210 — Wealth Management

          Purpose

          Form B210 — Wealth Management Activity is designed to capture data regarding wealth management activity of Authorised FirmsG , including both business arising out of accounts booked in the DIFCG and accounts booked elsewhere.

          Applicability

          This form is applicable to Authorised FirmsG licensed to undertake Wealth Management activity who Manage Assets, Manage a PSIAG (restricted), Advise on Financial Products or Credit, or Arrange Transactions in Investments or Credit. This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form is intended to capture information about the number of Clients, net new assets during the reporting period and the total assets under management of the Authorised FirmG . The form captures the composition of these data both for accounts booked in the DIFCG and for accounts booked elsewhere. The form seeks classification of the data across discretionary and non-discretionary investment accounts as well as across domicile of the Clients. The form also seeks to collect information on the booking destination of the accounts (for any accounts that are not booked in the DIFCG ).

          Authorised firms are required to report all data on wealth management assets under management in USD equivalent, including any assets denominated in other currencies. Authorised FirmsG are required to report all accounts of their Clients, including accounts booked outside the DIFCG and for which the firm provides only investment advisory or arranging services.

          Structure of the form in EPRS

          B210 is presented on one form and consists of three sections. The first section seeks the composition of data between discretionary and non-discretionary accounts, while the second section seeks classification of the data across broad geographical segments of the Client base. The third section seeks data on accounts booked other than in the DIFCG , to be classified across the different booking centres where such accounts are booked.

          The first three columns relate to accounts booked in the DIFCG and seek data on number of accounts, net new assets added during the reporting period and the total assets under management on the reporting date. The next three columns seek the same data on accounts booked in centres other than in the DIFCG .

          Instructional Guidelines

          Section Instructional Guideline
          Wealth Management Activity Wealth Management Activity split between Discretionary and Non-Discretionary Accounts.
          Customers — by their Domicile Customers are to be reported by their country of domicile.
          Destination of accounts booked outside DIFCG Total figures reported here should be equal to the total figures reported in Accounts Booked Elsewhere for Wealth Management Activity.


          Column Instructional Guideline
          No. of Customers The cumulative number of customers.
          Net New Assets The movement of AUM for the reporting period.
          Assets Under Management The cumulative AUM figure.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.40 Form B220 — Fund and Account Management Services

          Purpose

          This form is designed to capture data regarding discretionary asset management and related fund, trust and account services covering both the business arising out of services provided in the DIFCG and services arranged from the DIFCG .

          Applicability

          This form is applicable to Authorised FirmsG licensed to undertake discretionary asset management and related services including Managing AssetsG , Managing a PSIAG (restricted), Providing Trust ServicesG , Providing or Arranging Custody, Advising on Financial Products or CreditG or Arranging Credit or Deals in InvestmentsG , Acting as Trustee of a Fund and Fund Administration. This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          This form captures details about accounts managed on a discretionary basis, custody Services, Trust Services, Fund Trustees, Fund Administration and Client AssetsG .

          The form seeks to capture the data in respect of services provided in the DIFCG as well as services arranged from the DIFCG .

          Structure of the form in EPRS

          Form B220 comprises of three different sections and 14 linked forms.

          Section 1 — (To be completed on a Quarterly and Annual Basis)

          •   Overview
          •   Domestic Fund Activity
          •   Acting as a Trustee of a Fund and Fund Administration Activity.

          Section 2 — (To be completed on an Annual Basis only)

          •   Managing AssetsG of a DIFCG Domiciled Investment Vehicle
          •   Managing assets of a Foreign Domiciled Investment Vehicle
          •   Fund Administration
          •   Acting as a Trustee of a Fund
          •   Assets under Custody and Client AssetsG held with third party Custodians.

          Section 3 — CIR Forms — (To be completed on an Annual Basis only)

          •   Marketing and Selling of Foreign Funds
          •   Marketing and Selling of Designated Funds
          •   Marketing and Selling of Other Foreign Fund
          •   Recommendation-Based Offers of Units of Foreign Funds
          •   Offers of Units of Foreign Funds that meet Exempt Fund Criteria
          •   Offers of Units of Foreign Funds that meet Qualified Investor Fund Criteria
          •   Marketing and Selling of Domestic and External Funds.

          Instructional Guidelines

          Form B220 — Overview

          Column Instructional Guideline
          No. of Customers The cumulative number of customers.
          Net New Assets The movement of AUM for the reporting period.
          Assets Under Management The cumulative AUM figure.
          Service Provided or Arranging Service provided is if the financial service is being provided by the DIFCG entity.
          Arranging is if the financial service has been arranged by a different party to provide.


          Row Instructional Guideline
          Discretionary Asset Management
          •   Accounts managed on a discretionary basis are to be recorded here.
          •   Discretionary Portfolio Mandates for HNWI is to match the total amount recorded for discretionary accounts on Form B210- Wealth Management.
          •   If the private account being managed relates to a HWNI or an Institutional Client or any of the other categories present, then this is to be recorded against the underlying customer and not under private account.
          Holding or Controlling Client Assets Include here the total number of Client AssetsG held or controlled by the Authorised FirmG (COB 6.11.4). This includes the following: Client AssetsG that are:
          1. Directly held by the Authorised FirmG .
          2. Held in an account in the name of the Authorised FirmG .
          3. Held by a Person, or in an account in the name of a Person, controlled by the Authorised FirmG .

          Form B220 — Domestic Fund Activity

          This form is designed to capture data regarding all types of Collective Investment FundsG ("CIF") being operated by Authorised FirmsG . This scope of this form is restricted to CIFsG classified as Domestic FundsG under the Collective Investment Law 2010 ("CI Law") and the Rules in the CIR module of the DFSAG Rulebook. This form is applicable to Authorised FirmsG licensed to operate CIFsG registered in the DIFCG , including Authorised FirmsG operating as a BranchG in the DIFCG .

          Form B220 — Acting as a Trustee of a Fund and Fund Administration Activity

          This Form is designed to capture data about acting as a trustee of CIFsG and fund administration activity. The scope of this form includes all CIFsG for which the services referred to above are being provided, irrespective of whether the CIFsG are recognised or registered with the DFSAG . This form is applicable to Authorised FirmsG licensed to act as a trustee to a CIFG and to Authorised FirmsG licensed to provide fund administration services to CIFsG or to other investment vehicles. These include Authorised FirmsG operating as a BranchG in the DIFCG . Authorised FirmsG need to complete only the sections of the form which are applicable to them.

          Form B220 — Managing Assets of a DIFC Domiciled Investment Vehicle, Managing assets of a Foreign Domiciled Investment Vehicle, Fund Administration, Acting as a Trustee of a Fund, Assets under Custody and Client AssetsG held with third party Custodians

          These forms are an Annual reporting requirement only i.e. to be submitted with a firm's annual EPRS return.

          The purpose of the form is to capture investment vehicle data regarding discretionary asset management and related fund, trust and account services covering only business arising from services provided by the Firms situated in the DIFCG .

          It is not intended to capture information on discretionary asset management and related services that were only 'arranged' by Firms in the DIFCG , except where Arranging CustodyG has been provided.

          Form Instructional Guideline
          Managing Assets of a DIFCG Domiciled Investment Vehicle List here the different collective investment schemes incorporated in the DIFCG where its assets are managed by the Authorised FirmG . This includes collective investment schemes that are structured through an account with a custodian based in the DIFCG .

          For vehicles incorporated in the DIFCG , or accounts booked in the DIFCG that relate to individual members or joint account holders, aggregate all the data and enter the DIFCG Domiciled Client Name as "Aggregated Individual Clients".

          Column Items:

          DIFCG Domiciled Name: The counterparty name entered is to match the name of their certificate of incorporation, trading license name or the passport copy for natural persons.

          Nature of Investment Objectives — Select one of the following: Long Equity, Long Fixed Income, Long Equity & Fixed Income, Property, Hedge, Private Equity, Commodities, Money Market, Other.

          Assets Under Management: The ending balance for the period.

          Net Movement of AUM in Period + or (-): Net movement of AUMs during the financial year.

          Performance (net of fees) YTD%: Year to Date performance of the account.

          Benchmark Performance YTD: Include the YTD% of the performance benchmark.

          Conventional/Islamic Fund (C or I): Select C or I.

          Open to Public/Retail Clients?: Select Y or N.

          Fund Listed on a regulated exchange?: Select Y or N.
          Managing assets of a Foreign Domiciled Investment Vehicle List here the different collective investment schemes incorporated outside the DIFCG where its assets are managed by the Authorised FirmG . This includes collective investment schemes that are structured through an account with a custodian based outside the DIFCG .

          For vehicles incorporated outside the DIFCG , or accounts booked outside the DIFCG that relate to individual members or joint account holders, aggregate all their data and enter the Foreign Domiciled Client Name as "Aggregated Individual Clients".

          For the column entries, refer to the row on "Managing Assets of a DIFCG Domiciled Investment Vehicle".
          Fund Administration Include here all Funds, Trusts and Accounts that the Authorised FirmG provides Fund Administration Services to.

          Domicile: Include the domicile Country of the vehicle/account that is subject to administration.

          For the other column entries, refer to the row on "Managing Assets of a DIFCG Domiciled Investment Vehicle".
          Acting as a Trustee of a Fund List all Trusts where the Authorised FirmG acts as a Trustee of the Fund.

          For the column entries, refer to the row on "Managing Assets of a DIFC Domiciled Investment Vehicle".
          Client Assets held with third party Custodians If COB 6.11 — Client AssetsG is applicable to the Firm then this form is applicable as well. The only exclusion is where the Firm has arranged for custody of client assets and the Authorised FirmG has no form of control over the custody account that has been arranged (i.e. issuing instructions affecting the account).

          Include here all Client AssetsG and Client Monies that are held in custody with the Authorised FirmG or held in an account with another entity/custodian and where the Authorised FirmG has control over the account.

          Country: Country of the Custodian.

          Net flow of Assets: Net flow of assets during the reporting period.

          Form B220 — Marketing and Selling of Foreign Funds, Marketing and Selling of Designated Funds, Marketing and Selling of Other Foreign Fund, Recommendation Based Offers of Units of Foreign Funds, Offers of Units of Foreign Funds that meet Exempt Fund Criteria, Offers of Units of Foreign Funds that meet Qualified Investor Exempt Fund Criteria, Marketing and Selling of Domestic and External Funds.

          The CIR annual Fund Marketing Form is an Annual reporting requirement only i.e. to be submitted with a firm's annual EPRS return. These are the same forms that are represented on AFN — 6 — CIR Forms.

          The purpose of the form is to capture information about firms who have marketed CIFsG during the year, which rule the firm has utilised for marketing the fund (CIR rulebook 'Marketing' refers), the name, domicile and type of fund marketed.

          This form applies to any firm who has offered (marketed or sold) either a Domestic or Foreign Collective Investment FundG to a prospective or existing unit holder.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.41 Form B230 — Dealing Overview & Personnel

          Purpose

          This form is designed to capture certain transaction and personnel-related data of the DIFCG operations of all DFSAG Authorised FirmsG .

          Applicability

          This form is applicable to the DIFCG operations of all DFSAG Authorised FirmsG .

          Structure

          Form B230 is presented on a single form.

          Instructional Guidelines

          Figures are to be entered in actual and not thousands.

          Line Item Instructional Guideline
          Total Error Trades recorded Report the total number of all transactions resulting from erroneous order entry and/or a system malfunction. This includes transactions where the execution occurred outside DIFCG but the cause of the error was attributed to the DIFCG entity.
          Total Matched Principal Error Trades that resulted in a principal position Report the total number of all transactions where a Matched Principal buy (sell) fails to be immediately offset with a matched principal sell (buy); and a long (short) position is reflected in the Firm's principal book. This includes transactions that are executed and booked outside DIFCG , but that originated from the DIFCG entity.
          Total of agency Error Trades that resulted in a principal position Report the total number of all transactions resulting from erroneous order entry and/or a system malfunction, where the Authorised FirmG effects the transaction on behalf of its client and the error results in the booking of a principal position. This includes transactions where the execution occurred outside DIFCG but the cause of the error was attributed to the DIFCG entity, and the position is identified as a DIFCG position.
          Total limit breaches recorded Report the total number of all transactions affected by the DIFCG entity where a transaction limit (e.g. contract size, quantity, notional) was breached. This total should not include instances where a limit extension was granted prior to the breach.
          Total limit extensions granted during the quarter Report the total number of all transactions affected by the DIFCG entity for which a transaction limit (e.g. contract size, quantity, notional) extension was granted.
          Total principal settlement fails Report the total number of all transactions where the Authorised FirmG failed to deliver securities or pay owed funds by the settlement date.
          Total counterparty settlement fails Report the total number of all transactions where a counterparty failed to deliver securities or pay owed funds by the settlement date.
          Total number of brokers/sales people Report the total number of all individuals who engage in the sale of financial products/instruments, and/or the transmission of instructions for the transfer of financial assets/instruments, in any financial market, on behalf of a client's account. This includes those individuals providing advice to clients.
          Total number of traders Report the total number of all individuals who engaged in the transfer of financial assets/instruments in any financial market, on behalf of the DIFCG , or a related entity's principal account.
          Total number of support staff Report the total number of all individuals who provide administrative and clerical support. This includes: (1) individuals located in another location, but who provide support to the DIFCG entity; and (2) individuals located within the DIFCG entity but who provide support to other group entities.
          Total number of complaints lodged against the Firm Report the total number of complaints related to trading and brokerage lodged against the Firm. Include those complaints lodged by the clients of the DFSAG entity even if the final party to the complaint was a non-DIFC entity (i.e. parent or sister company withiin the group).
          Total number of products offered Report the total number of all financial products offered by the Authorised FirmG . This includes all products offered in an arranging, executing, or introducing capacity. Products are to be differentiated on a granular level to the following equivalence (e.g. a derivative structure that hedges a position using one leg is different than a derivative structure that hedges a position using two legs).
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.42 Form B240 — Dealing and Arranging

          Purpose

          This form is designed to capture data on all Executing, Arranging, and principal trading activity of an Authorised FirmG , including Execution of client orders, Arranging the Execution of client orders with other market intermediaries, and Execution of orders for the Authorised Firm'sG own (principal) account. This includes inter-desk transactions. This does not include money market, certificates of deposit, or other similar deposit products.

          Applicability

          This form is applicable to the DIFCG operations of all DFSAG Authorised FirmsG .

          Content

          This form is designed to capture information about the number of transactions; the value of transactions; and the number, type, and domicile of clients. This form captures the composition of these data for Executing and Arranging activity and includes transactions booked within the DIFCG and transactions booked outside the DIFCG .

          Structure of the form in EPRS

          B240 — Dealing and Arranging comprises of 7 linked forms.

          Instructional Guidelines

          Form Instructional Guideline
          Executing Exchange Traded (client) Seeks data on client transactions Executed by the Authorised FirmG on an Exchange.
          Executing OTC (client) Seeks data on client transactions Executed by the Authorised FirmG in over-the-counter products.
          Arranging Exchange Traded (client) Seeks data on client transactions Arranged by the Authorised FirmG on an Exchange.
          Arranging OTC (client) Seeks data on client transactions Arranged by the Authorised FirmG in over-the-counter products
          Exchange Traded (principal) Seeks data on transactions Executed on Exchange for an Authorised Firm'sG own (principal) account, where the transaction is booked to the DIFCG entity.
          Over-The-Counter (principal) Seeks data on transactions Executed over-the-counter for an Authorised Firm'sG own (principal) account, where the transaction is booked to the DIFCG entity.
          Client Classification Seeks data on the distribution of the Authorised Firm'sG client base, according to type and residence.
          1. All reported figures must correspond to the current reporting period.
          2. All value calculations should be in USD.
          3. The terms "Execute" and "Arrange" have the meanings provided in the GENG and Glossary Modules (GLO) of the DFSAG Rulebook.
          4. Value calculations:
          a. Shares/physical = no. of shares x trade price per share
          b. Bonds/sovereign bonds/debentures = monetary value (trade price + accrued interest) x no of bonds/sovereign bonds/debentures traded
          c. Sukuk = monetary value (trade price + accrued profit) x no of sukuk traded
          d. Options = multiplier x strike price x no. of option contracts traded
          e. Futures/Forwards = multiplier x traded price x no. of futures/forwards traded
          f. Swaps = notional amount of protection bought or sold
          g. FX Options/Futures/Forwards = the value of the dominant currency multiplied by the appropriate product formula. (see (c) & (d) for the product formula).
          5. Value calculations should not include the Executing/Arranging firm's transaction commissions/fees.
          6. For Matched Principal activity, the buy is equal to one transaction and the sell is equal to one transaction. Therefore, each Matched Principal deal is equal to two transactions. Where the principal side of each transaction is booked outside DIFCG , two Matched Principal transactions will be reported as "Executing Exchange Traded Products (client)" or "Executing OTC Products (client)." Where the principal leg of each transaction is booked within the DIFCG , two Matched Principal transactions will be reported as noted and two principal trades will be reported as "Principal Transactions — Exchange Traded" or "Principal Transactions — OTC"
          7. For Arranging activity, the buy and sell together are equal to one transaction. Therefore, each arranged deal is equal to one transaction. The "No. of clients" for each deal is the sum of the clients on the buy side and the clients on the sell side.
          8. "Principal Transactions — Exchange Traded" and "Principal Transaction — OTC" includes:
          a. transactions that are client facing and transactions that are not client facing;
          b. principal transactions that are booked within the DIFCG ; and
          c. Error Trades that result in a principal position booked within the DIFCG .
          9. "Principal Transactions — Exchange Traded" and "Principal Transactions — OTC" does not include principal transactions that are booked outside the DIFCG .
          10. Client Classification section:
          a. HNWIs: include all high net worth individuals and any of the personal investment vehicles, like trusts, investment companies, etc. used by such clients to manage their wealth.
          b. Institutional clients: include all wholesale investors who are not identified as a separate category in this section of the form. This would include, but is not limited to, pension funds, private investment/holding companies, corporate entities, insurers and their insurance funds/cells.
          c. CIFsG : include CIFsG of all types, irrespective of whether they are recognised by the CI Law or Rules of the DFSAG .
          d. Classification by Client Residence: the classification in this section is intended to be mutually exclusive. For example, information on accounts of clients residing in the GCC & MENA should not include the accounts of clients residing in the UAE or in the DIFCG .
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.43 Form B250 — Outward Remittance

          Purpose

          Form B250 — This form is designed to capture data on outward remittances made by Authorised FirmsG .

          Applicability

          This form is applicable to Authorised FirmsG carrying out banking business. This involves Authorised FirmsG licensed to undertake Accepting Deposits and Providing Credit and Authorised FirmsG classified under prudential category 5 and licensed to manage unrestricted PSIAsG . This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form is intended to capture information about the remittances made to a specified set of countries/regions and to the "rest of world" over the reporting period. The form seeks data on remittances classified according to the purpose of the remittance. Authorised FirmsG are required to report data relating to all remittances made by them, both on their own account and those made for the benefit of their Clients or on the instructions of their Clients.

          Structure of the form in EPRS

          B250 is a single form which seeks data on outward remittances made to the different countries/regions listed in the columns. The data are to be provided across different purposes for which the remittances are made.

          The form has two sections — the first covers trade related remittances and the second covers non-trade related remittances.

          Instructional Guidelines

          The data being sought in the form are self-explanatory given the description provided in the title column, except for the following specific point.

          B30_010: Include all trade related remittances, including but not limited to payments on behalf of Clients for all trade finance transactions, payments to suppliers/sellers and trade credit related remittances to banks.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.44 Form B260 — Inward Remittance

          Purpose

          Form B260 — This form is designed to capture data on inward remittances received by Authorised FirmsG .

          Applicability

          This form is applicable to Authorised FirmsG carrying out banking business. This involves Authorised FirmsG licensed to undertake Accepting DepositsG and Providing CreditG and Authorised FirmsG classified under prudential category 5 and licensed to manage unrestricted PSIAsG . This includes Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form is intended to capture information about the remittances received from a specified set of countries/regions and from the rest of world over the reporting period. The form seeks data on remittances classified according to the purpose of the remittance. Authorised FirmsG are required to report data relating to all remittances received by them, both for their own account and those received on their Client accounts.

          Structure of the form in EPRS

          B260 is a single form which seeks data on inward remittances received from the different countries/regions listed in the columns. The data are to be provided across different purposes for which the remittances are made.

          The form has two sections — the first covers trade related remittances and the second covers non-trade related remittances.

          Instructional Guidelines

          The data being sought in the form are self-explanatory given the description provided in the title column, except for the following specific point.

          B30_010: Include all trade related remittances, including but not limited to payments on behalf of Clients for all trade finance TransactionsG , payments from suppliers/sellers and remittances from banks related to trade credit.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.45 Form B270 — Insurance Brokerage

          Purpose

          The purpose of Form B270 is to collect data about insurance brokerage activities of Authorised FirmsG .

          Applicability

          This form is applicable to all Authorised FirmsG licensed to perform the activities of insurance intermediation or insurance management, including Authorised FirmsG operating as a BranchG in the DIFCG .

          Content

          The form is intended to capture information about Gross Written PremiumsG (GWP) of Non-life and Life insurance policies which are intermediated by Authorised FirmsG . The information sought on intermediated GWP is broken down by Classes of insurance business as defined in the GENG Rules. Some of these Classes of insurance business are further broken down by subclasses of insurance commonly used in the industry.

          Structure of the form in EPRS

          B270 has two linked forms. The first form seeks data on GWP amounts in US Dollars for Non-Life and Life Insurance policies brokered by the reporting authorised firm. The second form relates to Insurance MoniesG and is to be submitted by those Firms which deal with Insurance MoniesG as set out in COB 7.12.

          Instructional Guidelines

          Form Instructional Guideline
          B270 — Overview GWP figures brokered are to be entered against the respective class of insurance.

          Insurance Monies

          Report all Insurance MoniesG that are in accordance with COB 7.12. (Note that this includes premiums received and claim monies).

          Held in Account: The amount held at the end of the reporting period.

          Flow through period: The gross figure of monies that has flown through the account in the reporting period.

          Held in Account from previous reporting periods: All Insurance MoniesG that were reported in previous reporting periods and is still held with the firm (e.g. On 31st March of 2014, the Firm has received $1000 of premiums from a Client and did not remit the funds onwards on that day, the Firm would include the $1000 within the "Held in Account" figure for their Q1 reporting. On 30th June 2014, the $1000 received on received on 31st March still remains with the Firm, this $1000 figure is to be reported in Q2 2013 under "Held in Account from Previous Reporting Periods" in addition to "Held in Account". This $1000 would continue to be reported in all subsequent reports to the DFSAG as long as it continues to be held with the firm.
          B270 — Insurance Monies This is to be reported on an Annual Basis only.

          Include here all Insurance MoniesG that are defined in COB 7.12 (Note that this includes premiums received and claim monies).

          Bank Name: The bank name that the insurance monies account is held at.

          Country: The country the bank is registered in.

          Amount: The amount held at the end of the reporting period.

          Gross Flow: The gross amount of insurance monies (include premiums and claim monies) that has entered the bank account.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.46 Form B280 — Staffing and Conduct

          Purpose

          Form B280 is designed to capture high level statistics in relation to the firm's staff, its clients, as well as the firm's complaints, regulatory breach and suspicious transaction experience.

          Applicability

          The form applies to all Authorised FirmsG in the DIFCG .

          Content

          The information sought is factual numbers and current status (where applicable). Complaints are further broken down into high level types.

          Structure of the Form in EPRS

          The form is split into 6 sections:

          •   Staffing (Total of all staff at reporting period end, with breakdown between the functions required);
          •   Clients (Total of all the firm's clients as at reporting date broken down by client type categories);
          •   Complaints (Outcome of complaints raised during the reporting period. If recorded as pending, then the decision of whether it is upheld or rejected is to be reported in the relevant subsequent reporting periods);
          •   Complaints (Received during the period reported only);
          •   Breaches (Open and Closed during the reporting period); and
          •   Suspicious Activities Reports (Recorded during the reporting period only).

          It is further split into five business sectors with firms expected to complete the column that best represents their activities.

          Instructional Guidelines

          •   Figures are to be entered in actuals and not in thousands
          •   Staff shared between different businesses lines are to be recorded in the "Other" column.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.47 Form B290 — Related Party Schedule

          Purpose

          The purpose of Form B290 is to break down the Authorised Firm'sG balance sheet to see what items are attributed to Related Parties.

          Applicability

          This form is applicable to all Authorised FirmsG .

          Content

          The form is intended to capture the breakdown of Form B10 — Assets and B10C/E — Liabilities split between amounts that are attributed to Related Parties and amounts that are attributed to Non-Related Parties.

          Structure of the form in EPRS

          B290 is presented on a single Form. The form replicates the Asset and Liability line items from B10A — Assets and B10C/D — Liabilities. The firm is required to split the amounts recorded from the line items of the respective forms into the two columns of "Related Party & Group Companies" and "Others".

          Instructional Guidelines

          The figure entered into Forms B10A — Assets, B10C — Liabilities (Domestic) and B10E-Liabilities (Branch) is to be equal to the Total amount recorded on this form (e.g. a firm has recorded $3000 under B010A_00520 Deposits on Form B10A — Assets. On this form the firm would have to record whether that deposit was placed with a related party on a non-related party).

          For items such as Fixed Assets, which may not necessarily be attributed to Related PartyG or Other, this is to be recorded under Related PartyG .

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.48 B300 — Leverage Ratio

          Purpose

          Form B300 is intended to capture the information, and enable the calculation of the Leverage Ratio (LR) of an Authorised FirmG .

          Applicability

          Form B300 is required to be completed by Authorised FirmsG in prudential categories 1, 2 and 5. Values reported in this Form should be determined at the end of period (e.g. quarter end). This form only applies to Domestic FirmsG .

          Content

          The form is designed to capture information regarding the LR regulatory elements.

          Structure of the form in EPRS

          In EPRS the form is split into four exposure measure sub categories:

          (i) on-balance sheet exposures;
          (ii) derivative exposures;
          (iii) securities financing transaction exposures; and
          (iv) other off-balance sheet exposures.

          Instructional Guidelines

          1. The value of exposures for the purposes of the Exposure Measure must be calculated in accordance with IFRS, subject to specific adjustments highlighted in PIB Rule 3.18.3.
          2. Authorised FirmsG are required to disclose and detail the source of material differences between their total balance sheet assets (net of on-balance sheet derivative and SFT assets) as reported in their financial statements and their on-balance sheet exposures in line 1 of the form.
          3. The Form on EPRS will require the data to be submitted for each month end during the quarter.

          Material periodic changes in the LR

          4. Authorised FirmsG are required to explain the key drivers of material changes in their Basel III LR observed from the end of the previous reporting period to the end of the current reporting period (whether these changes stem from changes in the numerator and/or from changes in the denominator).

          Scope of consolidation

          Line Number Instructional Guidelines
          On Balance Sheet Exposures
          B300_91200 Firms must include all on-balance sheet assets in their Exposure Measure including on-balance sheet derivative collateral and collateral for securities financing transactions (SFTs) but excluding on-balance sheet derivative and SFT assets that are included in lines 4 — 15 below.
          B300_91100 In this line exclude asset items that are deductions from the Firm s Tier 1 capital. The deductions included must be in accordance with the requirements of PIB 3.12. Liability items, such as gains/losses due to changes in own credit risk on fair valued liabilities, must not be deducted from the measure of exposure.
          B300_9100T Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 and 2) This is calculated by EPRS.
          Derivative Exposures
          B300_92050 Derivative exposures, not covered by an eligible netting agreement, are reported here and must include both the exposure arising from the Derivative and the counterparty credit risk. Firms must include the derivative exposures as the Replacement cost (RC) associated with all derivatives transactions plus an add-on for Potential Future Exposure (PFE). The RC should be reported on this line.

          Guidance for this element is included at section 1 below. If the Firm has eligible netting contracts in place these must meet the guidance included in section 2 below.
          B300_92100 'Add-on' amount for all derivative exposures according to section 1 should be reported here.
          B300_92200 Grossed-up amount for collateral. With regard to collateral provided, Firms must gross up the exposure measure by the amount of any derivatives collateral provided where the provision of that collateral has reduced the value of their balance sheet assets.
          B300_92300 Deductions of receivables assets from cash variation margin provided in derivatives transactions according to section 10, reported as negative amounts.
            Report here exempted trade exposures associated with a CCPG leg of derivatives transactions resulting from client-cleared transactions. These transactions include where a Firm acting as clearing member offers clearing services to clients, the clearing member's trade exposures to the CCPG that arise when the clearing member is obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that the CCPG defaults, must be captured by applying the same treatment that applies to any other type of derivatives transactions. If the clearing member, based on the contractual arrangements with the client, is not obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that a qualified CCPG defaults, the clearing member need not include the trade exposures to the qualified CCPG in this line. Reported as negative amounts.
          B300_92300 Adjusted effective notional amount (i.e. the effective notional amount reduced by any negative change in fair value) for written credit derivatives.

          The effective notional amount of a written credit derivative may be reduced by any negative change in fair value amount that has been incorporated into the calculation of Tier 1 capital with respect to the written credit derivative. The resulting amount may be further reduced by the effective notional amount of a purchased credit derivative on the same reference name, provided:
          •   the credit protection purchased is on a reference obligation which ranks pari-passu with or is junior to the underlying reference obligation of the written credit derivative in the case of single name credit derivatives; and
          •   the remaining maturity of the credit protection purchased is equal to or greater than the remaining maturity of the written credit derivative.
          B300_92400 This line should include adjusted effective notional offsets of written credit derivatives in line 9 above and deducted add-on amounts relating to written credit derivatives. Reported as negative amounts.

          Firms may deduct the individual PFE add-on amount relating to a written credit derivative (which is not offset in line 9 and whose effective notional amount is included in the exposure measure) from their gross add-on included in line 5.
          B300_9200T Total derivative exposures (sum of lines 4 to 10)
          Securities Financing Transaction Exposures
          B300_93100 Gross SFT assets with no recognition of any netting other than novation with qualified CCPs. This line should remove securities received as determined by section 16(a) and adjusting for any sales accounting transactions as determined by section 17.
          B300_93100 Cash payables and cash receivables of gross SFT assets netted according to section 16 (a), reported as negative amounts
          B300_93200 Measure of counterparty credit risk for SFTs as determined by section 16(b).
          B300_93300 Agent transaction exposure amount determined according to section 18 and 19.
          B300_9300T Total securities financing transaction exposures (sum of lines 12 to 15)
          Other Off-Balance Sheet Exposures
          B300_94100 Total off-balance sheet exposure amounts on a gross notional basis, before any adjustment for credit conversion factors according to section 20.
          B300_94200 Reduction in gross amount of off-balance sheet exposures due to the application of credit conversion factors in section 20.
          B300_9400T Off-balance sheet items (sum of lines 17 and 18)
          Capital and Total Exposures
          B300_9500 Tier 1 capital — The capital measure for the LR is the Tier 1 capital of the risk-based capital as set out in chapter 3 of PIB module. The capital measure used is the Tier 1 capital measure applying at that time under the risk-based framework.
          B300_9000T Total exposures (sum of lines 3, 11, 16 and 19)
          Basel III LR
          B300_90100 Basel III LR for the quarter expressed as a percentage and calculated in accordance with PIB Chapter 3.

          Additional Instructional Guidelines for Line Items

          Derivative exposures

          1. For DerivativeG exposures not covered by eligible bilateral netting contracts the amount to be included in the exposure measure is determined as follows:

          Exposure measure = RC + Add-on

          where:

          RC = the replacement cost of the contract (obtained by marking to market), where the contract has a positive value.

          Add-on = an amount for PFE over the remaining life of the contract calculated by applying an add-on factor to the notional principal amount of the derivative. Add on factors are included at section 21.

          Reporting of Bilateral netting positions:

          2. When an eligible bilateral netting contract is in place the RC for the set of derivative exposures covered by the contract will be the net replacement cost. An eligible bilateral netting must include the following:
          a. Firm s may net transactions subject to novation under which any obligation between a Firm and its counterparty to deliver a given currency on a given value date is automatically amalgamated with all other obligations for the same currency and value date, legally substituting one single amount for the previous gross obligations.
          b. Firms may net transactions subject to any legally valid form of bilateral netting not covered in (a), including other forms of novation.
          c. There must be no walkaway clauses included in the netting agreement.
          d. To use (a) or (b) the Firm must be in a position to demonstrate to the DFSAG that it has:
          (i) a netting contract or agreement with the counterparty that creates a single legal obligation, covering all included transactions, such that the Firm would have either a claim to receive or obligation to pay only the net sum of the positive and negative mark-to-market values of included individual transactions in the event a counterparty fails to perform due to any of the following: default, bankruptcy, liquidation or similar circumstances;
          (ii) written and reasoned legal opinions that, in the event of a legal challenge, the relevant courts and administrative authorities would find the Firm's exposure to be such a net amount under:
          1- the law of the jurisdiction in which the counterparty is established and, if the foreign branch of a counterparty is involved, then also under the law of jurisdiction in which the branch is located;
          2- the law that governs the individual transactions; and
          3- the law that governs any contract or agreement necessary to effect the netting
          (iii) procedures in place to ensure that the legal characteristics of netting arrangements are kept under review in the light of possible changes in relevant law.
          3. Credit exposure on bilaterally netted forward transactions will be calculated as the sum of the net mark-to-market replacement cost, if positive, plus an add-on based on the notional underlying principal. The add-on for netted transactions (ANet) will equal the weighted average of the gross add-on (AGross) and the gross add-on adjusted by the ratio of net current replacement cost to gross current replacement cost (NGR). This is expressed through the following formula:

          ANet = 0.4 . AGross + 0.6 . NGR . AGross

          where:

          NGR = level of net replacement cost/level of gross replacement cost for transactions subject to legally enforceable netting agreements

          AGross = sum of individual add-on amounts (calculated by multiplying the notional principal amount by the appropriate add-on factors of all transactions subject to legally enforceable netting agreements with one counterparty.
          4. For the purposes of calculating potential future credit exposure to a netting counterparty for forward foreign exchange contracts and other similar contracts in which the notional principal amount is equivalent to cash flows, the notional principal is defined as the net receipts falling due on each value date in each currency. The reason for this is that offsetting contracts in the same currency maturing on the same date will have lower potential future exposure as well as lower current exposure.

          Cash variation Margin

          5. In the reporting of derivative exposures for the purpose of the LR, the cash portion of variation margin exchanged between counterparties may be viewed as a form of pre-settlement payment only if the following conditions are met:
          a. For trades not cleared through a qualifying central counterparty the cash received by the recipient counterparty is not segregated.
          b. Variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of derivatives positions.
          c. The cash variation margin is received in the same currency as the currency of settlement of the derivative contract.
          d. Variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the derivative subject to the threshold and minimum transfer amounts applicable to the counterparty.
          e. Derivatives transactions and variation margins are covered by a single master netting agreement between the legal entities that are the counterparties in the derivatives transaction. The MNA must explicitly stipulate that the counterparties agree to settle net any payment obligations covered by such a netting agreement, taking into account any variation margin received or provided if a credit event occurs involving either counterparty. The MNA must be legally enforceable and effective in all relevant jurisdictions, including in the event of default and bankruptcy or insolvency.
          6. If the conditions in para 5 are met, the cash portion of variation margin received may be used to reduce the RC portion of the leverage ratio exposure measure, and the receivables assets from cash variation margin provided may be deducted from the leverage ratio exposure measure as follows:
          a. In the case of cash variation margin received, the receiving Firm may reduce the RC (but not the add-on portion) of the exposure amount of the derivative asset by the amount of cash received if the positive mark-to-market value of the derivative contract(s) has not already been reduced by the same amount of cash variation margin received under the Firm's operative accounting standard.
          b. In the case of cash variation margin provided to a counterparty, the posting Firm may deduct the resulting receivable from its LR exposure measure, where the cash variation margin has been recognised as an asset on the Firm s balance sheet.
          Cash variation margin should not be used to reduce the PFE amount (including the calculation of the net-to-gross ratio (NGR).

          Reporting of Collateral positions

          7. Treatment of related collateral: collateral received in connection with derivative contracts has two countervailing effects on leverage:
          a. It reduces counterparty exposure; but
          b. It can also increase the economic resources at the disposal of the Firm, as the Firm can use the collateral to leverage itself.
          8. Collateral received in connection with derivative contracts does not necessarily reduce the leverage inherent in a Firm's derivatives position, which is generally the case if the settlement exposure arising from the underlying derivative contract is not reduced. As a general rule, collateral received may not be netted against derivative exposures whether or not netting is permitted under the Firm's operative accounting or risk-based framework. Hence, when calculating the exposure amount by applying sections 1 to 4 above, a Firm must not reduce the exposure amount by any collateral received from the counterparty.
          9. Treatment of cash variation margin: in the treatment of derivative exposures for the purpose of the LR, the cash portion of variation margin exchanged between counterparties may be viewed as a form of pre-settlement payment, if the following conditions are met:
          a. For trades not cleared through a qualifying central counterparty (QCCP)1 the cash received by the recipient counterparty is not segregated.
          b. Variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of derivatives positions.
          c. The cash variation margin is received in the same currency as the currency of settlement of the derivative contract.
          d. Variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the derivative subject to the threshold and minimum transfer amounts applicable to the counterparty.
          e. Derivatives transactions and variation margins are covered by a single master netting agreement (MNA)23 between the legal entities that are the counterparties in the derivatives transaction. The MNA must explicitly stipulate that the counterparties agree to settle net any payment obligations covered by such a netting agreement, taking into account any variation margin received or provided if a credit event occurs involving either counterparty. The MNA must be legally enforceable and effective in all relevant jurisdictions, including in the event of default and bankruptcy or insolvency.
          10. If the conditions in section 9 are met, the cash portion of variation margin received may be used to reduce the replacement cost portion of the LR exposure measure, and the receivables assets from cash variation margin provided may be deducted from the LR exposure measure as follows:
          a. In the case of cash variation margin received, the receiving Firm may reduce the replacement cost (but not the add-on portion) of the exposure amount of the derivative asset by the amount of cash received if the positive mark-to-market value of the derivative contract(s) has not already been reduced by the same amount of cash variation margin received under the Firm's operative accounting standard.
          b. In the case of cash variation margin provided to counterparty, the posting Firm may deduct the resulting receivable from its LR exposure measure, where the cash variation margin has been recognised as an asset under the Firm's operative accounting framework.
          c. Cash variation margin may not be used to reduce the PFE amount (including the calculation of the net-to-gross ratio (NGR).
          11. Treatment of clearing services: where a Firm acting as clearing member (CM)4 offers clearing services to clients, the clearing member's trade exposures5 to the central counterparty (CCPG ) that arise when the clearing member is obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that the CCPG defaults, must be captured by applying the same treatment that applies to any other type of derivatives transactions. However, if the clearing member, based on the contractual arrangements with the client, is not obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that a QCCP defaults, the clearing member need not recognise the resulting trade exposures to the QCCP in the LR exposure measure.
          12. Where a client enters directly into a derivatives transaction with the CCPG and the CM guarantees the performance of its clients' derivative trade exposures to the CCPG , the Firm acting as the clearing member for the client to the CCPG must calculate its related LR exposure resulting from the guarantee as a derivative exposure as set out in sections 9 to 16, as if it had entered directly into the transaction with the client, including with regard to the receipt or provision of cash variation margin.
          13. Additional treatment for written credit derivatives: in addition to the CCR exposure arising from the fair value of the contracts, written credit derivatives create a notional credit exposure arising from the creditworthiness of the reference entity. The Committee therefore believes that it is appropriate to treat written credit derivatives consistently with cash instruments (e.g. loans, bonds) for the purposes of the exposure measure.
          14. In order to capture the credit exposure to the underlying reference entity, in addition to the above CCR treatment for derivatives and related collateral, the effective notional amount6 referenced by a written credit derivative is to be included in the exposure measure. The effective notional amount of a written credit derivative may be reduced by any negative change in fair value amount that has been incorporated into the calculation of Tier 1 capital with respect to the written credit derivative. The resulting amount may be further reduced by the effective notional amount of a purchased credit derivative on the same reference name7 provided:
          a. the credit protection purchased is on a reference obligation which ranks pari-passu with or is junior to the underlying reference obligation of the written credit derivative in the case of single name credit derivatives8; and
          b. the remaining maturity of the credit protection purchased is equal to or greater than the remaining maturity of the written credit derivative.
          15. Since written credit derivatives are included in the exposure measure at their effective notional amounts, and are also subject to add-on amounts for PFE, the exposure measure for written credit derivatives may be overstated. Firms may therefore choose to deduct the individual PFE add-on amount relating to a written credit derivative (which is not offset according to section 13 and whose effective notional amount is included in the exposure measure) from their gross add-on in sections 9 to 11.9

          Securities financing transaction exposures

          16. SFT's should include where the Firm is acting as principal the sum of the amounts in sections (i) and (ii) below:
          a. Gross SFT assets10 recognised for accounting purposes (i.e. with no recognition of accounting netting), adjusted as follows:
          (i) excluding the value of any securities received under an SFT, where the Firm has recognised the securities as an asset on its balance sheet; and
          (ii) cash payables and cash receivables in SFTs with the same counterparty may be measured net. This can only be reported in this manner if all the following criteria are met:
          1 — Transactions have the same explicit final settlement date;
          2- The right to set off the amount owed to the counterparty with the amount owed by the counterparty is legally enforceable both currently in the normal course of business and in the event of: (i) default; (ii) insolvency; and (iii) bankruptcy; and
          3- The counterparties intend to settle net, settle simultaneously, or the transactions are subject to a settlement mechanism that results in the functional equivalent of net settlement, that is, the cash flows of the transactions are equivalent, in effect, to a single net amount on the settlement date. To achieve such equivalence, both transactions are settled through the same settlement system and the settlement arrangements are supported by cash and/or intraday credit facilities intended to ensure that settlement of both transactions will occur by the end of the business day and the linkages to collateral flows do not result in the unwinding of net cash settlement.11
          b. A measure of CCR calculated as the current exposure without an add-on for PFE, calculated as follows:
          (i) Where a qualifying MNA is in place, the current exposure is the greater of zero and the total fair value of securities and cash lent to a counterparty for all transactions included in the qualifying MNA (∑Ei), less the total fair value of cash and securities received from the counterparty for those transactions (∑Ci). This is illustrated in the following formula:

          E* = max {0, [∑Ei∑Ci]}
          (ii) Where no qualifying MNA is in place, the current exposure for transactions with a counterparty must be calculated on a transaction by transaction basis: that is, each transaction i is treated as its own netting set, as shown in the following formula:

          Ei* = max {0, [EiCi]}
          17. Sale accounting transactions - where sale accounting is achieved for an SFT, the Firm must reverse all sales-related accounting entries, and then calculate its exposure as if the SFT had been treated as a financing transaction (i.e. the Firm must include the sum of amounts in subsections (i) and (ii) of section 16 for such an SFT) for the purposes of determining its exposure measure.
          18. Firm acting as agent — this should include a Firm acting as agent, where the Firm provides an indemnity or guarantee to only one of the two parties involved, and only for the difference between the value of the security or cash its customer has lent and the value of collateral the borrower has provided. In this situation, the Firm is exposed to the counterparty of its customer for the difference in values rather than to the full exposure to the underlying security or cash of the transaction. Where the Firm does not own/control the underlying cash or security resource, that resource cannot be leveraged by the Firm.
          19. Where a Firm acting as agent in an SFT provides an indemnity or guarantee to a customer or counterparty for any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided, then the Firm will be required to calculate its exposure measure by applying only section 16 (b). This treatment only applies where the Firm acting as agent in an SFT and providing an indemnity or guarantee to a customer or counterparty will be considered eligible for this treatment only if the Firm's exposure to the transaction is limited to the guaranteed difference between the value of the security or cash its customer has lent and the value of the collateral the borrower has provided. In situations where the Firm is further economically exposed (i.e. beyond the guarantee for the difference) to the underlying security or cash in the transaction, a further exposure equal to the full amount of the security or cash must be included.

          Off-balance sheet items

          20. This section explains the incorporation of OBS items as defined in the PIB module into the LR exposure measure. In the risk-based capital framework, OBS items are converted under the standardised approach into credit exposure equivalents through the use of the corresponding CCF. For the purpose of determining the exposure amount of OBS items for the LR, the CCFs set out in chapter 4 of PIB must be applied to the notional amount.

          Add-on factors for determining potential future exposure

          21. The following add-on factors apply to financial derivatives, based on residual maturity:

          Interest rates FX and gold Equities Precious metals except gold Other commodities
          One year or less 0.0% 1.0% 6.0% 7.0% 10.0%
          Over one year to five years 0.5% 5.0% 8.0% 7.0% 12.0%
          Over five years 1.5% 7.5% 10.0% 8.0% 15.0%
          1. For contracts with multiple exchanges of principal, the factors are to be multiplied by the number of remaining payments in the contract.
          2. For contracts that are structured to settle outstanding exposures following specified payment dates and where the terms are reset such that the market value of the contract is zero on these specified dates, the residual maturity would be set equal to the time until the next reset date. In the case of interest rate contracts with remaining maturities of more than one year that meet the above criteria, the add-on is subject to a floor of 0.5%.
          3. Forwards, swaps, purchased options and similar derivative contracts not covered by any of the columns in this matrix are to be treated as "other commodities".
          4. No potential future credit exposure would be calculated for single currency floating / floating interest rate swaps; the credit exposure on these contracts would be evaluated solely on the basis of their mark-to-market value.
          The following add-on factors apply to single-name credit derivatives:
            Protection buyer Protection seller
          Total return swaps    
          "Qualifying" reference obligation 5% 5%
          "Non-qualifying" reference obligation 10% 10%
          Credit default swaps    
          "Qualifying" reference obligation 5% 5%**
          "Non-qualifying" reference obligation 10% 10%**
          There will be no difference depending on residual maturity.

          ** The protection seller of a credit default swap shall only be subject to the add-on factor where it is subject to closeout upon the insolvency of the protection buyer while the underlying is still solvent. The add-on should then be capped to the amount of unpaid premiums.

          1 A QCCP is defined as in Annex 4, Section I, A. General Terms of the BCBS document International Convergence of Capital Measurement and Capital Standards: A Revised Framework — Comprehensive Version, June 2006 as amended.

          2 A Master MNA may be deemed to be a single MNA for this purpose.

          3 To the extent that the criteria in this section include the term "master netting agreement", this term should be read as including any "netting agreement" that provides legally enforceable rights of offsets. This is to take account of the fact that for netting agreements employed by CCPs, no standardisation has currently emerged that would be comparable with respect to OTC netting agreements for bilateral trading.

          4 For the purposes of this section, a clearing member (CM) is defined as in Annex 4, Section I, A. General Terms of the BCBS document International Convergence of Capital Measurement and Capital Standards: A Revised Framework — Comprehensive Version, June 2006 as amended.

          5 For the purposes of sections 11 and 12, "trade exposures" includes initial margin irrespective of whether or not it is posted in a manner that makes it remote from the insolvency of the CCPG .

          6 The effective notional amount is obtained by adjusting the notional amount to reflect the true exposure of contracts that are leveraged or otherwise enhanced by the structure of the transaction.

          7 The effective notional amount of a written credit derivative may be reduced by any negative change in fair value reflected in the Firm's Tier 1 capital provided the effective notional amount of the offsetting purchased credit protection is also reduced by any resulting positive change in fair value reflected in Tier 1 capital. Where a Firm buys credit protection through a total return swap (TRS) and records the net payments received as net income, but does not record offsetting deterioration in the value of the written credit derivative (either through reductions in fair value or by an addition to reserves) reflected in Tier 1 capital, the credit protection will not be recognised for the purpose of offsetting the effective notional amounts related to written credit derivatives.

          8 For tranched products, the purchased protection must be on a reference obligation with the same level of seniority.

          9 In these cases, where effective bilateral netting contracts are in place, and when calculating in accordance with section 3, AGross may be reduced by the individual add-on amounts (i.e. notionals multiplied by the appropriate add-on factors) which relate to written credit derivatives whose notional amounts are included in the LR exposure measure. However, no adjustments must be made to NGR. Where effective bilateral netting contracts are not in place, the PFE add-on may be set to zero.

          10 For SFT assets subject to novation and cleared through qualified CCPs, "gross SFT assets recognised for accounting purposes" are replaced by the final contractual exposure, given that pre-existing contracts have been replaced by new legal obligations through the novation process.

          11 This latter condition ensures that any issues arising from the securities leg of the SFTs do not interfere with the completion of the net settlement of the cash receivables and payables.

          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.49 Internal Risk Assessment Process (IRAP) and Internal Capital Adequacy Assessment Process (ICAAP)

          1. The DFSAG has issued detailed rules and guidance regarding its approach to Supervisory Review and Evaluation Processes (SREP) in PIB Chapter 10 and Appendix 10. As part of this framework, an Authorised FirmG in PIB Category 1, 2, 3A, 3B, 3C or 5 is required to provide an up-to-date IRAP and, if applicable, an ICAAP, to the DFSAG annually (within four months of the Firm's Financial year end).
          2. The DFSAG is providing the following suggested template which can be used as guidance for this submission. While the use of this template is not mandatory, the submitted document should address the elements contained in the template. Before submission to the DFSAG the document must be reviewed and approved by the Firm's Governing BodyG . The level of detail in the IRAP and ICAAP document will vary based on the size and complexity of the Firm. Supplementary information, such as policies, risk management frameworks and processes, can be referred to by way of appendices.
          3. The overarching approach comprises three steps as set out in PIB Chapter 10. Not all of the steps are applicable to all Firms. The application of the sections is set out in PIB 10.1 and is summarised below:
          a. IRAP must be completed by a Firm in PIB Category 1, 2, 3A, 3B, 3C and 5;
          b. ICAAP must be completed by a Firm in PIB Category 1, 2, 3A and 5; and
          c. SREP will apply to both a Firm completing an IRAP and ICAAP.
          4. Following submission of the IRAP and ICAAP, the DFSAG will conduct a SREP to review and evaluate the assessments carried out by a Firm under its IRAP and ICAAP. Following this review, the DFSAG may engage with a Firm to discuss specific aspects or the Firm's risk profile in certain areas. For a Firm required to complete the ICAAP, this may also include the DFSAG imposing an ICR on the Firm after the SREP review. The SREP will be structured to provide consistency of treatment to all Firms, taking into consideration risk profile, business strategy and management. The SREP does not constitute a parallel or secondary IRAP or ICAAP, rather its purpose is to review and evaluate the completeness and consistency of IRAP and ICAAP of a Firm.

          Suggested Format for IRAP and ICAAP assessments Applicable for IRAP Applicable for ICAAP
          1 Executive Summary
          2 Background
          3 Structure and Governance
          4 Statement of Risk Appetite
          5 Internal Risk Assessment Process
          6 Capital planning    
          7 Liquidity Planning    
          8 Stress testing and scenario analysis
          9 Integration, review and Approval
          5. Fundamentally, the SREP process aims to develop a meaningful and detailed assessment by a Firm of its own risks, and foster a meaningful interaction and dialogue between the DFSAG and Firms to enhance understanding and consider any remedial actions that may be required to reduce a firms risk profile and meet prudential requirements on an on-going basis.

          1. Executive Summary The Executive Summary should provide an overview of the IRAP and ICAAP methodology and the results. It should include:
          a. a brief overview of the Firm's business strategy and risk appetite;
          b. commentary on the most material risks faced by the Firm, why the level of risk is acceptable and whether mitigating actions are planned or in progress;
          c. an assessment of the adequacy of the Firm's risk management processes including governance framework;
          d. a summary of the financial position of the Firm, balance sheet structure and projected profitability;
          e. an assessment of whether the Firm considers its capital and financial resources as adequate given the size and complexity of its business; and
          f. a summary of the main findings of the ICAAP analysis (where applicable), and whether the Firm has adequate Capital Resources over its planning horizon.
          2. Background This section should provide a high level overview of the process the Firm has taken when conducting its IRAP (and if applicable its ICAAP). It should include a brief description of the review, challenge and approval process of the IRAP and, if applicable, the ICAAP.

          It should include details of the Firm's risk management framework together with the business planning and capital management process utilised in the assessment. It should also provide details covering relevant policies and systems used by the Firm to identify, manage, and monitor its risks according to its risk appetite.
          3. Structure and Governance This section should include information regarding the following:
          a. updated group structure (legal and operational);
          b. internal organisation including staffing, reporting lines, Governing BodyG , and operational committees;
          c. details of oversight from other group control functions;
          d. background on key senior management and Directors;
          e. summary of financial products and business lines in operation, including a breakdown of profitability by business line; and
          f. details of the internal audit framework and audit work conducted during the period. This should also outline key audit findings and management actions taken.
          4. Statement of Risk Appetite This section should provide a high level overview of the Firm's risk appetite. It should also set out the frequency of review of the risk appetite by senior management and the Governing BodyG .

          The DFSAG appreciates that risk appetite will vary significantly between Firms considering the nature, scale and complexity of their business, including the nature of the Licence permissions. For example, Firms undertaking balance sheet risks will have materially different risk appetites than Firms engaging in advisory or pure brokerage business. Risk appetite may also vary across business lines and across risk types. Nevertheless, all Firms should set a risk appetite to provide a cornerstone for the Firm's risk management framework and business strategy.
          5. Internal Risk Assessment Process (IRAP) This section should provide a concise description of the Firm's risk identification process and outline how the Firm identifies material risk areas. While we have highlighted certain key risks below Firms should consider all specific risks applicable to their business.

          Key risks which should be considered as part of an IRAP include:
          a. Credit RiskG ;
          b. Market RiskG ;
          c. Operational Risk;
          d. Interest rate risk in the non-trading book;
          e. Concentration Risk;
          f. Funding risk;
          g. Liquidity risk;
          h. Business/Strategic risk;
          i. Reputation risk;
          j. Conduct of business risk;
          k. Money LaunderingG risk;
          l. Sanctions risks;
          m. Regulatory risks;
          n. Displaced Commercial Risk (where a firm conducts Islamic Financial Business involving a Profit Sharing Investment AccountG ); and
          o. Any other risks identified.
          Not all risk factors will have a quantifiable financial capital charge but these should nonetheless be considered with regards to appropriate mitigations and management actions to minimise any potential implications. For example, conduct and AML risks may lead to significant regulatory or other fines and penalties; and consequently will require appropriate systems and controls.

          The Firm can utilise a separate appendix to provide further detail on the risk assessment and quantification methodology, including:
          a. the Firm's definition of each of the key risks listed above and any others considered key based on the Firm's risk profile;
          b. how the Firm determines the materiality of each key risk;
          c. the Firm's business plan and strategy to deal with such risks
          d. a description of how each material risk is then quantified for capital allocation purpose, including detailed methodology to specify data, assumptions and calculations; and
          e. details of any stress testing and scenario analysis conducted to determine impact results on capital requirement.
          At a minimum, the DFSAG expects a Firm in PIB Category 1, 2 or 5 to provide a Pillar II capital allocation to cover IRRBB, Liquidity and Credit Concentration Risk.
          6. Capital planning This section should outline the Firms capital needs, anticipated capital expenditures, desired capital level and external capital sources and must be in line with the Firms desired strategic objectives and business plan. It should include the analysis conducted on the Firm's capital position and whether it is appropriate for the nature, scale and complexity of the business, including the refection of the perceived risks in section 5 above.

          This section should include:
          a. the Firm's "baseline" capital forecasts (at least quarterly, based on the annual business plan);
          b. a 3-year summary forecast capital position, particular focus should be made on the next 12 month period; and
          c. a description of the Firm's capital planning and management process, including an outline of how ICAAP is incorporated into this process.
          The Firm should also include in this analysis details of the implications of DFSAG or other capital requirements. For example the analysis should include:
          a. the Firm's assessment as to how it will maintain a capital "cushion" in order to meet regulatory capital requirements; and
          b. explicit disclosure of the Firm's capital targets and other regulatory obligations being introduced.
          Where relevant, Financial Group ICAAP considerations will typically take into account the risks to which the Firm is exposed due to its membership of a broader corporate group. Examples to be considered include:
          1. contagion, Counterparty Risk, reputational risk and risks related to operational dependencies such as shared functions and systems; and
          2. an assessment of the level of Group resources to consider transferability of capital intergroup and stress testing availability of such capital under a range of market conditions.
          7. Liquidity Planning This section should summarise how Liquidity RiskG is managed (as distinct from any capital set aside to cover losses incurred in a liquidity stress). In particular, it would set out the key assumptions and conclusions from stress testing of cash flows undertaken to manage the risk.

          It would generally be helpful for the ICAAP to include as appendices the following, where relevant:
          a. an organisation chart that covers liquidity and funding risk management delegated authorities and reporting lines within the firm;
          b. asset‐liability committee (ALCO) papers and samples of management information used day to day in Treasury operations;
          c. liquidity and funding policy documentation including limit breach policy documentation;
          d. internal audit reports relating to Treasury departments (if applicable);
          e. liquidity stress testing documentation;
          f. an explanation of intra‐group liquidity arrangements, especially if operating in several countries. This is particularly important for Firms operating as subsidiaries and should include any restrictions on the ability of the Group to provide liquidity to the DIFCG Firm;
          g. number, scale and timeline of commitments whether formal or informal towards:
          i. off‐balance sheet financing vehicles or other exposures;
          ii. market counterparties (including margin or collateral obligations); or
          iii. towards clients;
          h. analysis of sources of liquidity, including details of specific funding risks or market liquidity risks; and
          i. detailed contingency funding plans.
          Any material impact of Liquidity Risk on capital such as scenarios relating to ratings downgrades or material increases in cost of a liquidity stress should be included in the stress and scenario testing outlined in the next section.
          8. Stress & Scenario testing This is a key element of the IRAP and ICAAP assessments and should focus on the assumptions utilised realistically to stress test a Firm's financial position. The DFSAG does not stipulate specific stress test criteria or scenarios given the broad nature of business models in operation and scale and complexity of Firms. However, the following are suggested guidelines to be utilised:

          Using the "baseline" projections, the Firm should use stress-tests to consider how it would perform under stressed conditions. This section should:
          a. set out the stress tests undertaken and the rationale for their choice;
          b. summarise the methodology and assumptions used in each scenario tested;
          c. summarise how the Firm would manage its business and capital so as to ensure that minimum regulatory requirements are met at all times;
          d. where mitigating actions are relied upon, provide the results of the stress tests on both gross and net of controls, and credible management action basis; and
          e. provide explicit disclosure of the linkage between the stress and scenario testing done as part of ICAAP and the Firm's stress testing programme.
          Management actions following the stress tests should be outlined, with consideration to:
          a. quantitative impact of those actions;
          b. sensitivity analysis/testing of management actions; and
          c. justification of why these mitigating actions are plausible.
          At a minimum, the DFSAG expects each Firm to include the following stress tests in its ICAAP analysis:
          a. a standardised (200 basis points) interest rate shock (a single factor test);
          b. downturn in its credit quality or an equivalent credit stress scenario which is relevant to the Firm's business lines (a single factor test); and
          c. a scenario that in management's view would most likely cause a breach of DFSAG target capital levels (a reverse engineered scenario test).
          For Firms without material Credit RiskG , ensure that suitable tests are completed to reflect other relevant risks such as operational or reputation risk. For example, a Firm undertaking asset management services could run a stress test assuming a 30% loss of AuM or the loss of its largest client.
          9. Integration, Review and Approval This section should include information regarding:
          a. the role of the Governing BodyG in approving the conceptual design of the IRAP and where applicable ICAAP. This should include reference to its scope, methodologies and objectives;
          b. the review by the Governing BodyG and senior management and other control functions such as risk management, compliance and internal audit;
          c. how the review has been used by the Firm and how it is embedded in the decision making, business planning and risk management processes;
          d. how results have been integrated into risk limit setting and monitoring;
          e. any significant changes made in the current process as compared to previous IRAP/ICAAP processes; and
          f. a list of all the relevant documents and policies used in the preparation, review, approval and implementation of ICAAP (these can be included as appendices).
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 1.50 B100 — Declaration by Authorised Firms

          Purpose

          The purpose of the B100 Form is for the Authorised Form to confirm that the returns submitted have been printed and signed by the directors in accordance with PIB 2.3.5.

          Applicability

          This form is applicable to all Authorised FirmsG .

          Content

          The Form intends to capture the confirmation that the returns have been signed by the directors.

          For Annual Returns, the Form captures the number of days the Annual ReturnG submitted pertains to.

          Structure of the form in EPRS

          B100 is presented on a single form with two data points to be collected.

          Instructional Guidelines

          Line Item Instructional Guideline
          Confirmation Once the returns to be submitted have been signed by the directors in accordance with PIB 2.3.5 then the Firm is required to enter "1" into the data field. The returns may not be submitted unless this step is completed.
          Annual Return If the return being submitted is an Annual ReturnG , the Firm is required to enter the number of days the Annual ReturnG pertains to.
          Added by (Made 3rd March 2015). [VER4/03-15]

      • PRU 2 PIB Forms

        Please click here to download PIB Forms B10–B300 in PDF format.

      • PRU 3 Instructional Guidelines for PIN Forms

        • PRU 3.1 Form IN10 — Statement of Financial Position

          1. The 'Statement of Financial Position' provides the DFSAG with the necessary information on assets, liabilities and capital to undertake an assessment of an Insurer'sG financial position and performance and facilitate assessing compliance with the minimum capital requirements.

          App10

          2. PIN section 5.3 deals with the recognition and measurement of assets and liabilities on this form.

          App11

          3. The instructional guidelines in this section provide instructions as to the completion of specific lines on the form. Instructions that are provided in respect of a particular category of current assets or liabilities are normally applicable also (with the appropriate changes) to the corresponding category of non-current assets or liabilities, and vice versa.

          App12

          4. The completion of this form requires InsurersG to make estimates, for example, in assigning assets and liabilities as current or non-current. As an example, the settlement date of outstanding claims, particularly IBNR, is often uncertain. An InsurerG may make a reasonable estimate of the amount that is expected to be settled within twelve months, and record that amount as a current liability, with the balance being recorded as non-current. A similar approach would be acceptable for the assets representing reinsurance and other recoveries that would not normally become due and receivable until the underlying claim has been settled.

          App13

          5. InsurersG are required to disclose the amount included in certain totals with respect to parties RelatedG to the InsurerG . These disclosures exclude amounts due to or from the InsurerG under Contracts of InsuranceG .

          App14

          6. This form is required for each reporting unit in respect of which the InsurerG must prepare a ReturnG , except for a DIFC Business ReturnG .
          7. Assets and liabilities must be reported as current or non-current. Current assets and liabilities are those expected to mature or be realised within a twelve-month period from the date as at which the return is drawn up. Where an asset or a liability includes elements that are current as well as elements that are non-current, the asset or liability must be separated into the current and non-current components, if necessary by means of an estimate.

          Structure of the form in the EPRS

          8. IN10 is a single form which has three sections. The first section seeks information on assets of an InsurerG with further classification into current and non-current assets. In a similar vein, the second section seeks information on liabilities of an InsurerG with further classification into current and non-current liabilities. The third section covers the equity of an InsurerG .

          Section Instructional Guidelines
          Cash and Liquid Assets This section includes only cash and liquid assets. InsurersG must have regard to the following principles:
          a. Item N100_1120 includes only deposits available within 24 hours that are used by the InsurerG for daily purposes of liquidity and operations. Deposits that form part of the Insurer'sG investments are reported under section Investments (Current) or section Receivables; and
          b. Bank overdrafts must be reported at item N100_3630, not netted against any of the items under this section unless there is a legal right of offset.
          Receivables This section includes only receivables. In completing this item, InsurersG must have regard to the following principles:
          a. Receivables must be stated net of any provision for doubtful debt or impairment of asset;
          b. Recoveries other than reinsurance includes items such as subrogation or salvage recoveries in respect of claims that have been paid;
          c. Premiums Receivable includes instalment premiums on General InsuranceG contracts that are not yet due for payment. It also includes premiums on General InsuranceG contracts that have been entered into but not yet recorded. It does not include premiums on Long-Term Insurance contracts that are not yet due for payment;
          d. Amounts due under reinsurance contracts includes amounts due and receivable under reinsurance contracts, including premiums due from cedants and deposits retained by cedants, as well as amounts due from reinsurers in respect of recoveries against claims that have been paid. Where there is a legal right of set-off, an InsurerG may report the working balance on an account with a cedant or reinsurer as a net receivable or payable amount. However, if there is no legal right of set-off, amounts must be recorded gross as receivables and payables;
          e. Expected reinsurance and other recoveries on outstanding claims includes amounts in respect of reinsurance and other recoveries in respect of claims that have been incurred but not paid, up to the date to which the return is drawn up. This includes reinsurance and other recoveries in respect of IBNR. Because of the uncertainty of the outcome of outstanding claims and IBNR, it is necessary to estimate at least a part of this balance. The basis on which the estimate is made must be consistent with the basis of estimation of the related liability, reported at item N100_3300;
          f. Reinsurance and other recoveries in respect of claims that have not yet been incurred are reported at item N100_1260. It is necessary to estimate this balance. The basis on which the estimate is made must be consistent with the basis of estimation of the related liability, reported at item N100_3400; and
          g. Where, in determining the amounts to be reported at item N100_1240 or N100_1250, an InsurerG has made or considered making a provision for doubtful debt in respect of recoveries due or potentially due from a reinsurer, the InsurerG must take into account the potential need to make a provision when determining any estimate to be included at item N100_1250 or N100_1260.
          It is common practice for InsurersG to account for their exposures on General InsuranceG contracts in force by means of an unearned premium provision, an asset representing deferred reinsurance expense and (where necessary) a premium deficiency reserve. InsurersG are referred to the instructional guidelines to item Premium liabilities under general insurance contracts (N100_3400). An insurer that uses an unearned premium provision and premium deficiency reserve as a proxy for Premium LiabilitiesG may record its deferred reinsurance expense at item N100_1260 (for the current portion) and item N100_2160 (for the non-current portion).
          Investments An Insurer'sG current investments are reported in this section. This section does not include derivatives used to hedge investments reported here. Hedging derivatives are included under "Other Current Assets". InsurersG must have regard to the following principles when completing this section:
          a. Investments that are strategic in nature must be assumed to be non-current, and must be reported under sections — Investments (other than RelatedG entities ) or under section Investments in Related entities; and
          b. DepositsG that are of the nature of security deposits, or retentions under contracts, are not reported as PSIAsG at item N100_1310, but are reported as receivables.
          Investments that take the form of mudaraba or musharaka contracts must be reported in accordance with their nature. A contract that takes the form of a collective investment, where the InsurerG is one of several investors providing capital to a mudarib who then provides the capital to the entrepreneur, should be reported as a collective investment (where it does not fall to be reported as a PSIA). Where however, a contract of mudaraba or musharaka is entered into by an InsurerG as an investment directly with an entrepreneur, or through a mudarib with the InsurerG as sole rab ul mal, the investment should be reported as a contract of mudaraba or musharaka as appropriate.
          Deferred Tax Assets Deferred tax assets that are current assets are reported under this section. InsurersG must have regard to the following principles when completing this section:
          a. Netting off of deferred tax assets and liabilities is permitted only where both the asset and the liability relate to the same tax to which the InsurerG is subject, and are expected to crystallise in the same taxation period; and
          b. Amounts that represent refunds due from taxation authorities, that are not contingent on earning future taxable income, are not deferred tax assets but are receivables.
          Other Current Assets This section includes current assets that do not fall to be reported under other items. In completing this item, InsurersG must have regard to the following principles:
          a. Acquisition costs in respect of General InsuranceG business must not be deferred, as the basis on which the Premium LiabilityG is determined requires immediate expensing of acquisition costs; and
          b. Item N100_1520 does not include deferred reinsurance expense, as item N100_1260 stands in place of this asset.
          Total Current Assets This item is calculated by EPRS as the sum of the total for all 5 preceding sections — cash & liquid assets, receivables, current investments, deferred tax assets and other current assets classified as current assets. The total of amounts due from, balances with or investments in RelatedG parties that form a part of the total of current assets, excluding the amounts due under insurance contracts is reported against the memo item — Current assets representing amounts due from, balances with or investments in related parties, excluding amounts due under insurance contracts reports.
          Receivables (non-current) In completing this section, InsurersG should have regard to the principles set out in this section for the equivalent categories of current assets.
          Investments (other than related entities) In completing this section, InsurersG should have regard to the principles set out in this section for the equivalent categories of current assets.
          Investments in Related Entities In this section, investments in RelatedG parties must be recognised and measured in accordance with the principles of PIN chapter 5. PIN Rule 5.7 requires an InsurerG to make allowance for any minimum capital requirement or equivalent to which a SubsidiaryG or AssociateG is subject in the jurisdiction in which it is incorporated.
          Plant and Equipment In this section, an InsurerG must exclude any properties of the InsurerG , whether or not occupied. Properties must be reported at item N100_1360 or N100_2260 as appropriate.
          Intangible Assets In this section, an InsurerG must report intangible assets after deducting any amortisation or impairment charge in respect of those assets.
          Deferred Tax Assets In completing this section (non-current deferred tax assets) InsurersG should have regard to the principles set out in this section for the equivalent categories of current assets.
          Other Assets In completing this section (other non-current assets) InsurersG should have regard to the principles set out in this section for the equivalent categories of current assets.
          Total Non-Current Assets This item is calculated by EPRS as the sum of the total for all 7 preceding sections — receivables, investments, investments in related entities, plant & equipment, intangible assets, deferred tax assets and other assets classified as Non-Current Assets.
          The total of amounts due from, balances with or investments in RelatedG parties that form a part of the total of non-current assets, excluding the amounts due under insurance contracts is reported against the memo item — current assets representing amounts due from, balances with or investments in related parties, excluding amounts due under insurance contracts reports.
          Total Assets This item is calculated by EPRS and must equal the total of current assets and non-current assets.
          Amounts due on reinsurance contracts N100_3200 must include premiums payable but not yet due for payment under the terms of reinsurance contracts, and deposits withheld from reinsurers. Other items attributable to reinsurance contracts such as the reinsurer's portion of recoveries and salvage and commissions due to reinsurers must also be included under this item.
          Outstanding Claims Provision (including IBNR) Item N100_3300 reports the current portion of the Insurer'sG provision for outstanding claims. This item must be completed having regard to the following principles:
          a. The liability must represent the estimated cost to the InsurerG of settling claims which it has incurred at the reporting date but which have not been finalised. The liability is in respect of both direct business and inward reinsurance business and must take into account unpaid claims, unreported claims, adjustments for claims development and the direct and indirect claims settlement costs that the InsurerG expects to incur in settling its outstanding claims;
          b. In the case of Long-Term Insurance BusinessG , this item must include all claims liabilities in respect of Contracts of InsuranceG that are no longer included in the calculation of the net policy benefits at item N100_3500;
          c. The liability must be stated without deducting reinsurance and other recoveries (these are disclosed as an asset as reinsurance receivables);
          d. The requirements for recognition and measurement of this liability are set out in PIN Rules 5.4 and 5.6; and
          e. The liability does not include any amounts for catastrophe reserve, equalisation reserve or similar provisions that an InsurerG may be required to maintain to satisfy regulatory requirements in a jurisdiction other than the DIFCG .
          Premium liabilities under General Insurance contracts This item represents the current portion of the cost of providing insurance service over the unexpired period of General InsuranceG contracts in force at the balance date. This item must be completed having regard to the following principles:
          a. The Premium LiabilityG reported is required to cover the value of future claims payments and associated direct and indirect settlement costs arising during the unexpired portion of the contracts in question;
          b. This item must be recorded without deducting reinsurance and other recoveries (these are disclosed as an asset as reinsurance receivables); and
          c. The requirements for recognition and measurement of this liability are set out in PIN Rule 5.4.
          As stated in the Guidance to PIN Rule 5.4.7, it is common practice for InsurersG to account for their exposures on General InsuranceG contracts in force by means of an unearned premium provision and (where necessary) a premium deficiency reserve. Where the aggregate of the unearned premium provision and the premium deficiency reserve (both gross of reinsurance) can be shown to be not less than the amount of Premium LiabilityG determined in accordance with PIN Rule 5.4, an InsurerG may use that aggregate as a proxy for Premium LiabilityG for the purposes of recording items N100_3400 and N100_4250 on this form.
          Net policy benefits under Long-Term insurance contracts in force This item represents the net value of future Policy BenefitsG under Long-Term InsuranceG contracts that are in force as at the date to which the return is made up. The amount reported here must be determined in accordance with PIN Rule 5.6.
          Provisions This section, must be completed having regard to the following principles:
          a. A provision must be made at item N100_3810 in respect of dividends payable out of past and current year profit, to the extent that profit has been recognised;
          b. Employee entitlements at item N100_3820 include annual leave, gratuity, accrued allowances, staff housing and loan benefits, healthcare, pension and other employee entitlements; and
          c. A provision must be made at item N100_3830 in respect of any costs that the InsurerG expects to incur as a result of restructuring, including severance, termination and redundancy payments, and integration costs.
          Total Current Liabilities This item is calculated by EPRS as the sum of the total for all 9 preceding sections — N100_3100, N100_3200, N100_3300, N100_3400, N100_3500, total borrowings, total tax liability, total provisions and total other liabilities classified as current liabilities.
          The total of amounts due to RelatedG parties, other than amounts due under insurance contracts is reported against the memo item under this section.
          Amounts due on reinsurance contracts In completing this item, InsurersG should have regard to the principles set out in these instructional guidelines for the equivalent categories of current liabilities.
          Outstanding Claims Provision (including IBNR) In completing this item, InsurersG should have regard to the principles set out in these instructional guidelines for the equivalent categories of current liabilities.
          Premium liabilities under General Insurance contracts In completing this item, InsurersG should have regard to the principles set out in these instructional guidelines for the equivalent categories of current liabilities.
          Net policy benefits under Long-Term Insurance contracts in force In completing this item, InsurersG should have regard to the principles set out in these instructional guidelines for the equivalent categories of current liabilities.
          Provisions In completing this item, InsurersG should have regard to the principles set out in these instructional guidelines for the equivalent categories of current liabilities.
          Loan Capital and Hybrid Securities This section includes all loan capital and hybrid securities that have been issued by the InsurerG and have a residual term to maturity of more than one year. Any loan capital or hybrid securities that have a residual term to maturity of less than one year should be reported as Borrowings, under Current Liabilities.
          Total Non-Current Liabilities This item is calculated by EPRS as the sum of the total for all 10
          preceding sections — N100_4100, N100_4150, N100_4200, N100_4250, N100_4300, total borrowings, total tax liability, total provisions, total other liabilities and total loan capital & hybrid securities classified as non-current liabilities.
          The amount of non-current liabilities representing amounts due to RelatedG parties, other than amounts due under insurance contracts and included under Non-current liabilities is reported against the memo item — N100_410M.
          The interest of RelatedG parties in loan capital or hybrid securities issued by the InsurerG is reported against the memo item —N100_420M.
          Total Liabilities This item is calculated by EPRS and must equal the sum of total current liabilities assets and total non-current liabilities.
          Net Assets This item is calculated by EPRS and must equal total assets less total liabilities.
          Equity In completing this section, InsurersG must have regard to the following principles:
          a. Total Equity must be equal to Net Assets;
          b. Hybrid securities and loan capital are reported under loan capital and hybrid securities and, not under this section;
          c. Item N100_7100 is not used in a Fund ReturnG ;
          d. Item N100_7300 is used only in a Fund ReturnG , to record amounts of capital transferred into the Long-Term Insurance FundG ; and
          e. Where an InsurerG makes use of item N100_7600, the InsurerG must state in a Supplementary NoteG the nature of the amount recorded at this item.
          InsurersG must record at item N100_700M the amount included at item N100_7100 meeting the following descriptions:
          a. in the case of a Global ReturnG of an InsurerG that is not a Protected Cell CompanyG , the amount of ordinary share capital meeting the description at PIN Rule A3.5.1(d);
          b. in the case of a Global ReturnG of an InsurerG that is a Protected Cell CompanyG , the amount of ordinary share capital meeting the description at PIN Rule A5.5.1(e); and
          c. in the case of a Cell ReturnG , the amount of ordinary share capital meeting the description at PIN Rule A5.10.1(d).
          No amount must be recorded at item N100_700M in the case of a Fund ReturnG .

          An InsurerG must provide the following information in a Supplementary NoteG to this form:
          a. any amount included in Total Equity that is not available to meet the Insurance LiabilitiesG of the InsurerG ;
          b. the amount and details of any guarantees (apart from guarantees arising under Contracts of InsuranceG ) given by the InsurerG ;
          c. the amount and details of any contingent liabilities existing as at the date to which the return is made up; and
          d. where the amount of item N100_7400 is not equal to the sum of items N100_7400 and N100_7500 for the comparative reporting period, a reconciliation of the differences. This applies only when the form forms a part of the Annual Regulatory ReturnG .
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 3.2 Form IN20 — Statement of Calculation of Capital Adequacy

          1. This form summarises the capital adequacy position of the InsurerG so far as concerns the reporting unit for which it is prepared (Global, Cell, or Fund).

          App15

          2. The same form is used for all types of ReturnG , although in the calculation of the capital requirements applicable to different InsurersG and to their CellsG and Long-Term Insurance FundsG , different terminology is used. The terms on the face of the form need to be replaced with the specific equivalent terms from the relevant section (as set out below in the interpretation table), depending on the nature of the InsurerG and the type of ReturnG .

          App16

          3. This form lists a number of adjustments to arrive at the figure to be compared to the minimum capital requirement applicable to the reporting unit. The purpose of these adjustments is to remove significant anomalies that may arise due to the flexibility available to InsurersG in selecting their accounting bases. Therefore, not all of these adjustments will be applicable to all InsurersG . An item must not be added to the base capital figure if it is already included in the base capital figure because of the accounting basis adopted.

          App17

          4. The effect of the instructions, in line with the Rules in PIN, on the ReturnG of a Takaful InsurerG is to exclude from equity any element of equity that is not available to participate in the surpluses or deficits of the Insurance BusinessG of the Takaful InsurerG , either directly or by loan to the Insurance FundG . Loans that have been made from the Owners' Equity to the Insurance FundG are included in base capital without restriction, while amounts that are available for loan are treated as hybrid capital.

          App18

          5. This form is required for each reporting unit in respect of which the InsurerG must prepare a ReturnG , except for a DIFC Business ReturnG . A Global ReturnG for a BranchG must be submitted in writing as set out in PIN Rule 6.5.
          6. InsurersG must follow the requirements of PIN chapter 4 when preparing this form.
          7. For the purposes of this form, the meaning that must be given to each of the terms set out in the leftmost column of the interpretation table below for each type of ReturnG is contained in the column headed by that type of ReturnG .
          8. Where a term does not apply to a type of ReturnG , this is denoted by the characters 'N/A' and this item must be left blank on the form.

          Structure of the form in the EPRS

          9. IN20 is a simple form which covers all the items in a single section.

          Section Instructional Guidelines
          Base Capital Base Capital, represents the starting-point for the calculation of the capital resources of the InsurerG to be compared to the minimum capital requirement applicable to the InsurerG . This section must be completed having regard to the following principles:
          a. Item N200_1110, Equity, must be equal to Total Equity reported on form IN10, less debt-financed equity reported at item N100_700M on form IN10;
          b. Item N200_1120, must be equal to the amount of Owners' EquityG in a Takaful InsurerG that is available for loan to the Insurance FundG . It does not include any amount of loans made from Owners' EquityG to the Insurance FundG and not repaid. This item applies only to Takaful InsurersG ;
          c. Any amount recorded at item N200_1131 must not exceed the amount recorded at item N100_4810 on form IN10;
          d. Any amount recorded at item N200_1132 must not exceed the amount recorded at item N100_4820 on form IN10;
          e. Item N200_1133 may only be used by a Takaful InsurerG . This item must equal item N200_1120; and
          f. Item N200_1134 may not exceed the amount total equity reported on form IN10.
          Adjustments to Base Capital in Accordance with PIN Adjustments to Base Capital in Accordance with PIN, must be completed having regard to the following principles:
          a. Amounts referred to under Additions to Base Capital (where not included in capital) must not be reported if those amounts are included at item N200_1134;
          b. Amounts referred to under Subtractions from Base Capital must not be reported if those amounts are excluded from item N200_1134;
          c. N200_1211 — minority interests in subsidiaries, applies only where an InsurerG excludes from its equity an amount representing minority interests in a controlled entity that is not accounted for as an investment;
          d. Item N200_1212, liability for dividends to be paid in the form of shares, applies only where an Insurer has recorded as a liability a provision for dividends that are to be paid by issuing shares. This item does not apply to a Fund ReturnG ;
          e. Item N200_1221 applies to the liability referred to in PIN Rule A3.4.3(a) and equivalent provisions in PIN Rules A5.4.3(a), A5.8.3(a) and A7.4.2(a). This item does not apply to a Fund Return;
          f. Item N200_1222 applies only to a ReturnG of a Takaful InsurerG . This item represents amounts of Owners' EquityG that are not available for loan to the Insurance FundG or to participate in surpluses or deficits of the Insurance FundG ;
          g. Item N200_1223 represents investments of the InsurerG or by any SubsidiaryG of the InsurerG in the total base capital of the InsurerG ;
          h. Item N200_1224 represents the amount of any tax on capital gains, that was not recognised as a liability on form IN10, and that would be incurred by the InsurerG if the investments reported on form were realised at the values shown on that form;
          i. Item N200_1225 must be equal to the amount of any deferred acquisition costs included on form IN10, whether as a separate asset or as a reduction from liabilities;
          j. Item N200_1226 must be equal to the sum of total deferred tax assets under both current and non-current assets on form IN10;
          k. Item N200_1227 must be equal to the sum of any asset recorded on form IN10 and representing the value of in-force Long-Term Insurance BusinessG ;
          l. Item N200_1228 must be equal to the total intangible assets recorded on form IN10 and not otherwise excluded from base capital;
          m. Item N200_1229 applies only to a ReturnG of a Takaful InsurerG . This item represents any amount of Zakah or charity fund of a Takaful InsurerG that is not otherwise excluded from base capital;
          n. Item N200_1231 must be equal to the amount reported as total plant & equipment on form IN10; and
          p. Item N200_1232 must record the amount of any other assets, not otherwise excluded from base capital, that are not available to meet the Insurance LiabilitiesG of the InsurerG recorded on form IN10.
          This section, adjustments to base capital in accordance with PIN would normally be expected to include assets that are subject to mortgages or other charges, or than cannot for some other reason be realised for the benefit of policyholders.
          Adjusted Equity This item is calculated by EPRS and must equal the total of base capital and net adjustments to base capital in accordance with PIN referred above.
          Hybrid
          Capital
          Adjustment
          Item N200_1410, Hybrid capital adjustment before DFSAG approval, must be calculated as the amount by which the sum of items N200_1131 to N200_1134 exceeds 15/85 of the amount arrived at by deducting item N200_1120 from item N200_1110.

          Item N200_1420, additional hybrid capital approved by DFSA, may only be used to record additional amounts of hybrid capital that have been approved in writing by the DFSA, in accordance with PIN Rules A3.5.2, A5.5.4, A5.10.4 or A7.5.3. The amount under this item may not exceed the amount of item N200_1410.

          Item N200_1410 deducts hybrid capital that would normally be inadmissible because it exceeds the prescribed percentage. Item N200_1420 reinstates hybrid capital that had been disallowed by item N200_1410.. Item N200_1420 does not show the total amount of admissible hybrid capital, only that portion that exceeds the 15% ceiling.
          Adjusted
          Capital
          Resources
          This item is calculated by EPRS and must equal the total of adjusted equity and net hybrid capital adjustment, which is the difference between items N200_1410 and N200_1420.
          Minimum
          Capital
          Requirement
          This section sets out the components of the Minimum Capital RequirementG applicable to the reporting unit of the InsurerG in respect of which the ReturnG is completed. For each reporting unit, the components must be calculated in accordance with the chapter applicable to that reporting unit.
          Absolute
          minimum
          requirement
          applicable to reporting unit
          Absolute minimum requirement applicable to reporting unit, must be interpreted in accordance with the interpretation table below.
          Applicable
          result
          This item is calculated by EPRS and must equal the higher of the amounts reported under calculated capital requirement and Absolute minimum requirement applicable to reporting unit.
          Capital
          adequacy
          result
          This item is calculated by EPRS and must equal Adjusted Capital Resources less applicable result as calculated in item N100_4000.


              Meaning of term for each type of Return
          App19 Section no. App20 Term used in form Global Return (all Insurers except Protected Cell Companies) Global Return (Protected Cell Companies) Cell Return Fund Return
          1. Base Capital Base capital as defined in PIN Rule A3.3.1 App21
          Base non-cellular capital as defined in PIN Rule A5.3.1
          App22
          Base cellular capital as defined in PIN Rule A5.7.1
          Base fund capital as defined in PIN Rule A7.3.2
          3. Adjusted Equity AE as defined in PIN Rule A3.2.1 App23
          ANE as defined in PIN Rule A5.2.1
          App24
          ACE as defined in PIN Rule A5.6.1
          AFE as defined in PIN Rule A7.2.1
          4. Hybrid Capital Adjustment HCA as defined in PIN Rule A3.2.1 App25
          HNCA as defined in PIN Rule A5.2.1
          App26
          HCCA as defined in PIN Rule A5.6.1
          FHCA as defined in PIN Rule A7.2.1
          5. Adjusted Capital Resources ACR as defined in PIN Rule A3.2.1 App27
          ANCR as defined in PIN Rule A5.2.1
          App28
          ACCR as defined in PIN Rule A5.6.1
          AFCR as defined in PIN Rule A7.2.1
          6. Minimum Capital Requirement MCR as defined in PIN Rule A4.2.1 App29
          MSCR as defined in PIN Rule A6.2.2
          App30
          MSCR as defined in PIN Rule A6.2.2
          MFCR as defined in PIN Rule A8.2.1
          6.1 Default risk component DRC as defined in PIN Rule A4.2.1 App31
          DRC as defined in PIN Rule A6.2.2
          App32
          DRC as defined in PIN Rule A6.2.2
          DRC as defined in PIN Rule A8.2.1
          6.2 Investment volatility risk component IVRC as defined in PIN Rule A4.2.1 App33
          IVRC as defined in PIN Rule A6.2.2
          App34
          IVRC as defined in PIN Rule A6.2.2
          IVRC as defined in PIN Rule A8.2.1
          6.3 Off-balance sheet asset risk component OARC as defined in PIN Rule A4.2.1 App35
          OARC as defined in PIN Rule A6.2.2
          App36
          OARC as defined in PIN Rule A6.2.2
          OARC as defined in PIN Rule A8.2.1
          6.4 Off-balance sheet liability risk component OLRC as defined in PIN Rule A4.2.1 App37
          OLRC as defined in PIN Rule A6.2.2
          App38
          OLRC as defined in PIN Rule A6.2.2
          OLRC as defined in PIN Rule A8.2.1
          6.5 Concentration risk component CRC as defined in PIN Rule A4.2.1 App39
          CRC as defined in PIN Rule A6.2.2
          App40
          CRC as defined in PIN Rule A6.2.2
          CRC as defined in PIN Rule A8.2.1
          6.6 Size factor adjustment SFAC as defined in PIN Rule A4.2.1 App41
          SFAC as defined in PIN Rule A6.2.2
          App42
          SFAC as defined in PIN Rule A6.2.2
          SFAC as defined in PIN Rule A8.2.1
          6.7 Underwriting risk component URC as defined in PIN Rule A4.2.1 App43
          N/A
          App44
          URC as defined in PIN Rule A6.2.2
          N/A
          6.8 Reserving risk component RRC as defined in PIN Rule A4.2.1 App45
          N/A
          App46
          RRC as defined in PIN Rule A6.2.2
          N/A
          6.9 Long-Term Insurance risk component LIRC as defined in PIN Rule A4.2.1 App47
          N/A
          App48
          LIRC as defined in PIN Rule A6.2.2
          LIRC as defined in PIN Rule A8.2.1
          6.10 Asset management risk component AMRC as defined in PIN Rule A4.2.1 App49
          AMRC as defined in PIN Rule A6.2.2
          App50
          AMRC as defined in PIN Rule A6.2.2
          AMRC as defined in PIN Rule A8.2.1
          7. Absolute minimum requirement applicable to reporting unit The amount set out in PIN Rule A4.2.3, applicable to the Insurer App51
          The amount set out in PIN Rule A6.2.4 or, if higher, the MSCR as defined in PIN Rule A6.2.2 plus any amount that must be added to that amount pursuant to PIN Rule A6.2.6
          App52
          The amount set out in PIN Rule A6.2.5
          The amount set out in PIN Rule A8.2.3
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 3.3 Form IN30 — Statement of Financial Performance

          1. This form summarises the financial performance of the InsurerG .
          2. This form is required for each reporting unit in respect of which the InsurerG must prepare a ReturnG , except for a DIFC Business ReturnG . A Global ReturnG for a BranchG must be submitted in writing as set out in PIN Rule 6.5.
          3. This form must agree with other forms in the ReturnG (where those forms are prepared for the same reporting unit) in the following respects:
          a. Item N300_0110 must agree to Total Gross Written Premiums in part I of form IN40;
          b. Item N300_0120 must agree to Total Gross Written Premiums in part II of form IN40;
          c. Item N300_0210 must agree to Total Reinsurance Ceded in part I of form IN40;
          d. Item N300_0220 must agree to Total Reinsurance Ceded in part II of form IN40
          e. Item N300_0410 must agree to Total Gross Claims Paid reported in part I of form IN50
          f. Item N300_0420 must agree to Total Gross Claims Paid reported in part II of form IN50
          g. Item N300_0510 must agree to Total Reinsurance and other recoveries received in respect of paid claims reported in part I of form IN50
          h. Item N300_0520 must agree to Total Reinsurance and other recoveries received in respect of paid claims reported in part II of form IN50
          i. Item N300_1010 must agree to the sum of Total Commissions and Brokerage reported in both parts I & II of form IN80
          j. Item N300_1020 must agree to the sum of Total Other Acquisition Costs reported in both parts I & II of form IN80
          k. Item N300_1310 must agree to Total Other Investment Income less total changes in value reported in form IN70; and
          l. Item N300_1320 must agree to Total changes in value reported in form IN70.
          4. Movements in Insurance Liabilities (Gross): Under this section, an InsurerG must report the amount of the movement in the balance of Insurance LiabilitiesG over the reporting period.
          5. Movements in Recoveries Against Insurance Liabilities: Under this section, an InsurerG must report the amount of the movement in the balance of reinsurance and other recoveries in respect of Insurance LiabilitiesG over the reporting period.
          6. Insurance Liabilities are reported gross of reinsurance and other recoveries. Reinsurance and other recoveries that are recorded in respect of Insurance LiabilitiesG are reported as assets. An increase in Insurance LiabilitiesG is reported on this form as an expense. In the same manner, an increase in the reinsurance and other recoveries in respect of Insurance LiabilitiesG is recorded as revenue.
          7. The other expenses disclosed at item N300_1040 must be only those attributable to a Long-Term Insurance FundG . Expenses that are not so attributable are disclosed at item N300_1050. By virtue of PIN Rule 3.5.5, expenses that do not relate to the Insurer'sG Long-Term Insurance BusinessG may not be attributed to a Long-Term Insurance FundG .
          8. An InsurerG must present the following information in a Supplementary NoteG to this form:
          a. the amount if any included in item N300_1120 that represents other operating income receivable from RelatedG parties, and a description of the nature of that income;
          b. the amount if any included in item N300_1330 that represents investment expenses payable to RelatedG parties; and
          c. where item N300_1800 18 does not agree to form IN10 item N100_7500, a reconciliation showing the differences between the two figures.

          Net Income Before Taxation: This item is calculated by EPRS and must equal the total of operating income and net investment income reported above.

          Net Income After Taxation: This item is calculated by EPRS and must equal net income before taxation less tax expenses.

          Net Income After Dividends: This item is calculated by EPRS and must equal net income after taxation less dividend in respect of current reporting period.

          Structure of the form in the EPRS

          9. IN30 is a simple form which covers all the items in a single section.
          Added by (Made 3rd March 2015). [VER4/03-15]

        • PRU 3.4 Form IN40 — Statement of Premiums and Reinsurance Expense

          1. This form is required for each reporting unit in respect of which the InsurerG must prepare an Annual Regulatory ReturnG , except for the Global ReturnG of an InsurerG that is a Protected Cell CompanyG . A Global ReturnG for a BranchG must be submitted in writing as set out in PIN Rule 6.5.
          2. A Protected Cell CompanyG is prevented by COBG from carrying on Insurance BusinessG other than through a CellG . Because this form would always be blank for such a company in its Global ReturnG , there is no need for it to submit the form or to complete a Supplementary NoteG to explain its absence.
          3. An InsurerG must record premiums and reinsurance premiums relating to its Insurance BusinessG on this form as follows:
          a. An InsurerG that is carrying on General Insurance BusinessG must complete part I of this form;
          b. An InsurerG that is carrying on Long-Term Insurance BusinessG must complete part II of this form;
          c. Subject to d. an InsurerG that is carrying on Long-Term Insurance BusinessG and General Insurance BusinessG of Class 1 or Class 2 may elect either to record the General Insurance BusinessG in part I of this form, or to include that business in Class I on part II of this form. An InsurerG may not, between successive ReturnsG , change its election without the written approval of the DFSAG ; and
          d. A DIFC Incorporated InsurerG undertaking Direct Long-Term Insurance businessG and General Insurance BusinessG of Class 1 or Class 2 that is Direct business must record that General Insurance BusinessG as Direct Long-Term Insurance BusinessG in Class I.
          4. An InsurerG must record its Gross Written PremiumG for the reporting period in respect of different classes of business and for different types of insurance contracts, using the first table in parts I & II of this form.
          5. An InsurerG must record the reinsurance premium ceded for the reporting period in respect of different classes of business and for different types of insurance contracts, using the second table in parts I & II of this form. Reinsurance premiums recorded as ceded must be