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) [VER47/03-19]

      Click here to view the full AFN Module [VER46/02-19]

      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 CF Applying for Authorisation — Crowdfunding Supplement

      Click here to view AUT PFS Public Fund Supplement.

      The AUT EFF form has been deleted - please click here to log onto the DFSA ePortal and submit online the FUND form.

      The AUT QIFM form has been deleted - applicants must email DFSAAuthorisationEnquiries@dfsa.ae to get access to the DFSA ePortal to submit online the FUND MANAGER form.

      The AUT QIF form has been deleted - please click here to log onto the DFSA ePortal and submit online the FUND form.

      Click here to view AUT EFM External Fund Manager Form.

      The AUT EXF form has been deleted - please click here to log onto the DFSA ePortal and submit online the FUND form.

      The AUT REP form has been deleted - Representative Office applicants must email DFSAAuthorisationEnquiries@dfsa.ae to get access to the DFSA ePortal to submit online the AUT REP form

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

      The AUT IND1 form has been deleted - please click here to log onto the DFSA ePortal and submit online the Authorised Individual status or Principal Representative Application.

      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.

      The AUT IND4 form has been deleted - please click here to log onto the DFSA ePortal and submit online the Authorised Individual status or Principal Representative Application.

      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.

      The SUP6 form has been deleted - please click here to log onto the DFSA ePortal and submit online the Applying to withdraw a licence form.

      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.

      The DNF1 form has been deleted. Applicants for registration as a DNFBP must email DFSAAuthorisationEnquiries@dfsa.ae to get access to the DFSA ePortal to submit online the DNF1 form.

      The DNF2 form has been deleted — please click here to log onto the DFSA ePortal and submit online the DNF2 form.

      The AML form has been deleted — please click here to log onto the DFSA ePortal and submit online the 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

      Click here to log onto the DFSA ePortal and submit online the PASSPORT Fund Passporting form.

    • Code of Market Conduct (CMC) [VER3/08-17]

      • 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);
          (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; and
          (e) a company is seeking to raise funds on a Crowdfunding PlatformG , through the offer of SharesG to investors. The company creates false financial statements to give potential investors the impression that it has significant assets and income, to help it to obtain funding.
          Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]
          [Amended] DSFA GM12/2017 (Made 14th June 2017). [VER3/08-17]

        • 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;
        (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); and
        (c) an investor on a Crowdfunding PlatformG has invested in SharesG of a company using the platform. After holding the SharesG for a period of time he decides to sell the SharesG as he doubts whether the company will be successful. However, there is no market for the SharesG and so he is unable to exit the investment. He therefore posts misleading information on the platform forum suggesting that the company is about to make a significant breakthrough (which will make its SharesG valuable).
        Derived from GM9/2014 (Made 1st January 2015). [VER1/01-15]
        [Amended] DSFA GM12/2017 (Made 14th June 2017). [VER3/08-17]

      • 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 6-3 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 6-1 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 6-7 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 7-3 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 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 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) [VER5/02-19]

      Click here to view PDF.

      • PRU Introduction

        Application

        Guidance

        This Sourcebook (PRU) is relevant to a Person to whom PIB or PIN applies.

        •   Chapter 1 contains instructional guidelines in respect of the forms in Chapter 2.
        •   Chapter 2 contains the forms referred to in PIB.
        •   Chapter 3 contains instructional guidelines in respect of the forms in Chapter 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 submitted through EPRS are to be reported in United States Dollars (USD) AND in Thousands ('000) unless stated otherwise in the specific form guidance.

      • PRU 1 Instructional Guidelines for PIB Forms

        • 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 CategoriesG , excluding Authorised FirmsG in Category 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 — Liabilities (Domestic), Form B10B — Liabilities (BranchG ), B10C — Equity, B10D — OBS ExposuresG .

          Structure of the form in EPRS

          Form 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)G . 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.

          • 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 CategoriesG will be outlined — these CategoriesG 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 BanksG Include, for example, the following amounts:
            •   Notes and coins;
            •   Long positions in Gold bullion
            •   Bank DepositsG ; 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 Futures contracts in currencies, interest rates and other financial assets;
            •   Forward rate agreements;
            •   Currency and interest rate swaps;
            •   Credit DerivativeG s; and
            •   Option contracts on currency, interest rate and other financial assets.

            These DerivativeG s should include both the exchange-traded and over-the counter versions.

            IFRS 9.
            Appendix A
            Non-trading financial assets mandatorily at fair value through profit or loss Include non-DerivativeG financial instruments which are mandatorily designated at fair value through profit or loss. IFRS 7.8(a)(ii);
            IFRS 9.4.1.4
            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);
            IFRS 9.4.1.5
            Financial assets designated at fair value through other comprehensive income Include non-DerivativeG financial instruments that qualify for and designated to be measured at fair value through other comprehensive income. IFRS 7.8(h);
            IFRS 9.4.1.2A
            Financial Assets at Amortised Cost 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. Specific and general provisions should be reported in the Liabilities section.

            IFRS 7.8(f);
            IFRS 9.4.1.2

          • Part 2 — Financial Asset Classification

            Within each Accounting Portfolio Firms are required to classify financial assets into financial CategoriesG . 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
            DerivativeG s All DerivativeG s should be reported in the Financial Assets held for trading other than DerivativeG s whose sole function is to hedge an existing position of the Authorised FirmG .

            DerivativeG s held for hedging purposes should be included under the section — DerivativeG s hedge accounting.
            IFRS
            9.Appendix A
            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 negotiable bills issued by other entities. 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

          • 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 BanksG Calculated by EPRS. Summation of the sub-line items.
            B010A_00510 Cash on hand Holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
            B010A_00520 Cash Balances at Central BanksG Cash balances at the Central BankG . Include cash held for reserve requirements.
            B010A_00530 Money Market Placements Interbank placements.

            This excludes money market debt securities (e.g. commercial paper and certificate of deposit). They are to be reported in their respective financial asset category.
            B010A_00540 DepositsG All form of DepositsG made with other financial institutions (i.e. demand and fixed DepositsG ). This includes:
            •   Nostro balances
            •   Islamic contracts that are similar in substance to a conventional deposit.
            •   Long positions in Gold.
            B010A_0100T Financial Assets Held for Trading Refer to Table in Part 1.
            Calculated by EPRS. Summation of the sub-line items.
            B010A_01010 DerivativeG s 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 Contracts Refer to Table in Part 2.
            B010A_0120T Non-trading financial assets mandatorily at fair value through profit or loss Refer to Table in Part 1.
            Calculated by EPRS. Summation of the sub-line items.
            B010A_01210 Equity instruments Refer to Table in Part 2.
            B010A_01220 Debt securities Refer to Table in Part 2.
            B010A_01230 Loans and advances Refer to Table in Part 2.
            B010A_01240 Islamic Contracts Refer to Table in Part 2.
            B010A_0150T Financial Assets Designated at Fair Value through Profit or Loss Refer to Table in Part 1.
            Calculated by EPRS. Summation of the sub-line items.
            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 Financial Assets at Fair Value through Other Comprehensive Income Refer to Table in Part 1.
            Calculated by EPRS. Summation of the sub-line items.
            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 Contracts Refer to Table in Part 2.
            B010A_0250T Financial Assets at Amortised Cost Refer to Table in Part 1.
            Calculated by EPRS. Summation of the sub-line items.
            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_03500 DerivativeG s — Hedge accounting Any DerivativeG positions which are only for hedge accounting purposes. All other DerivativeG positions are to be recorded under Financial Assets Held for Trading. IFRS 9.6.2.1
            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 Calculated by EPRS. Summation of the sub-line items.
            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 DepositsG
            •   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 DepositsG are monies deposited with a third party that are collectible at a point in time upon meeting set conditions.
            B010A_0600T Intangible assets Calculated by EPRS. Summation of the sub-line items..
            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 GroupG s classified as held for sale IAS 1.54 (j) and IFRS 5.38.
            B010A_0000T Total Assets Sum of assets above.

        • 1.2 Form B10B — Liabilities (Domestic)

          Purpose

          Form B10B — Liabilities (Domestic) 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 CategoriesG , 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 B10C — Equity and B10D — OBS ExposuresG .

          Structure of the form in EPRS

          Form B10B — Liabilities (Domestic) is presented as a single form.

          Instructional Guidelines

          The DFSAG reporting templates follow closely International Financial Reporting Standards (IFRS)G . 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.

          • 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 CategoriesG will be outlined — these CategoriesG 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 Futures contracts in currencies, interest rates and other financial assets;
            •   Forward rate agreements;
            •   Currency and interest rate swaps;
            •   Credit DerivativeG s; and
            •   Option contracts on currency, interest rate and other financial assets.

            This item includes both exchange-traded and over-the-counter DerivativeG s.

            IFRS 7.8 (e) (ii);
            IFRS 9.BA.6
            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);
            IFRS 9.4.2.2
            Financial liabilities measured at amortised cost All financial liabilities that are not classified at fair value through the profit and loss. IFRS 7.8 (g);
            IFRS 9.4.2.1
            DepositsG 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 Clients and BanksG and Financial Institutions. 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 funding.
            -

          • Part 2 — Financial Liabilities Classification

            Within each Accounting Portfolio Firms are required to classify the financial liabilities into financial CategoriesG . 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
            DerivativeG s 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 DerivativeG s; and
            •   Option contracts on currency, interest rate and other financial assets.
            This item includes both exchange-traded and over-the-counter DerivativeG s. Also include under this item are other trading liabilities.
            IFRS 9.Appendix A; IFRS 9.BA7(b)
            Debt Securities Issued Debt instruments issued as securities by the institution that are not DepositsG . These items would include:
            •   Certificates of DepositsG ;
            •   Issued debt including for example Medium Term Notes;
            •   Hybrid contracts including embedded DerivativeG s.
            -
            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. -

          • 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
            B010B_1050T Financial Liabilities Held For Trading Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
            B010B _10510 DerivativeG s Refer to Table in Part 2.
            B010B _10520 Short Positions Refer to Table in Part 2.
            B010B _10530 Debt Securities Issued Refer to Table in Part 2.
            B010B _10540 Islamic Contracts Refer to Table in Part 2.
            B010B _10550 Other Financial Liabilities Refer to Table in Part 2.
            B010B _1100T Financial liabilities Designated At Fair Value Through Profit Or Loss Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
            B010B _11010 Debt Securities Issued Refer to Table in Part 2.
            B010B _11020 Islamic Contracts Refer to Table in Part 2.
            B010B _11030 Other Financial Liabilities Refer to Table in Part 2.
            B010B_1150T Financial Liabilities Measured At Amortised Cost Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
            B010B_11510 Debt Securities Issued Refer to Table in Part 2.
            B010B_11520 Islamic Contracts Refer to Table in Part 2.
            B010B_11530 Other Financial Liabilities Refer to Table in Part 2.
            B010B_1200T DepositsG Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
            B010B_12010 BanksG And Financial Institution DepositsG payable to BanksG and Credit Institutions.
            B010B_12020 Others DepositsG payable to other entities or individuals.
                 
            B010B_12500 DerivativeG s-Hedge Accounting DerivativeG s held for the purposes of hedging only. This is treated in accordance with IFRS 9.6.2.1.
            B010B_13000 Fair Value Changes of the Hedged Items in Portfolio Hedge of Interest Rate Risk Treated in accordance with the provisions of IAS 39.89A(b), IFRS 9.6.5.8.
            B010B_1350T Provisions Provisions may relate to financial assets, receivables, employee liabilities or other. Refer to sub-CategoriesG for further guidance.
            B010B_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.
            B010B_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).
            B010B_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.
            B010B_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.
            B010B_13550 Problem Credits All specific and general provisions in respect of all assets, including loans and advances and other receivables.
            B010B_13560 Other Provisions Any other provisions not included above.
            B010B_14010 Current Liabilities Liabilities due within a one year term that have not been recorded elsewhere.
            B010B_14500 Tax Liabilities Tax liabilities in accordance with IAS 12.
            B010B_15100 Other Liabilities Include all other liabilities not reported elsewhere.
            B010B_15500 Liabilities Included In Disposal GroupG s Classified As Held For Sale Include liabilities associated with disposal GroupG s; this is to be recorded in accordance with IFRS 5.38.
            B010B_1000T Total Liabilities Sum of liabilities.
            B010C_2000T Total Shareholders' Equity This cell is automatically populated from the B10C — Equity form.
            B010B_3000T Total Liabilities and
            Shareholders' Equity
            This cell is automatically calculated by adding the line items of Total Liabilities and Total Shareholders' Equity.

        • 1.3 Form B10B — Liabilities (Branch)

          p>Purpose

          Form B10B — Liabilities (BranchG ) 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 CategoriesG , 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 B10D — OBS ExposuresG .

          Structure of the form in EPRS

          Form B10B — Liabilities (BranchG ) is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10B — Liabilities (Domestic). Refer to Section 1.2 for guidelines on how to complete this Form. The difference between these forms is the introduction of the "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. Profits accumulated through B40A — Profit and Loss and, accumulated movements of Other Comprehensive Income items as defined in B40B — Statement of Other Comprehensive Income).

        • 1.4 Form B10C — Equity

          Purpose

          Form B10C — 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 CategoriesG , 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-Liabilities (Domestic), Form B10D — OBS ExposuresG .

          Structure of the form in EPRS

          Form B10C — Equity is presented as a single form.

          Instructional Guidelines

          The DFSAG reporting templates follow closely International Financial Reporting Standards (IFRS)G . 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
          B010C_2050T Capital Automatically calculated cell from sub-line items below. IAS 1.78 (e).
          B010C_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).
          B010C_20520 Unpaid Capital which has been called up Issued shares that have not been paid for. IAS 1.78 (e).
          B010C_21000 Share Premium Amounts received by the Firm in excess of the nominal paid up value. IAS 1.78(e).
          B010C_21510 Equity component of compound financial instruments The equity value of a financial liability with an embedded equity conversion mechanism. IAS 32.28.
          B010C_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.
          B010C_2250T Accumulated Other
          Comprehensive Income
          This is calculated by EPRS through summation of the sub-line items.
          B010C_22510 Tangible assets Accumulated tangible fixed assets revaluation. IAS 16.39-41.
          B010C_22520 Intangible assets Accumulated intangible assets revaluation. IAS 38.85-87.
          B010C_22530 Actuarial gains or loss on defined benefit pension plans Accumulated actuarial gains and losses to be recognised in accordance with IAS 19.
          B010C_22531 Share of other recognised income and expense of investments in subsidiaries, joint ventures and associates IAS 1.IG6; IAS 28.10.
          B010C_22532 Fair value changes of equity instruments measured at fair value through other comprehensive income Accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income.
          IAS 1.7(d); IFRS 9 5.7.5, B5.7.1;
          B010C_22533 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income Accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income.
          IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C;
          B010C_22534 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] Accumulated fair value changes of hedged equity instruments measured at fair value through other comprehensive income.
          IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57
          B010C_22535 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] Accumulated fair value changes of hedging instruments designated to hedge equity instruments. IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57
          B010C_22536 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their Credit RiskG Accumulated gains and losses recognised in other comprehensive income and related to own Credit RiskG for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently. IAS 1.7(f); IFRS 9 5.7.7;
          B010C_22540 Hedge of net investments in foreign operations [effective portion] Accumulated gains and losses of the effective portion of a currency hedge for net investment ExposuresG in foreign operations. IAS 102 (a).
          B010C_22550 Foreign currency translation Accumulated gains and losses related to currency movements when the reporting currency is different than the functional currency. IAS 21.52 (b); IAS 21.32.
          B010C_22560 Hedging DerivativeG s. Cash flow hedges [effective portion] Accumulated gains and losses related to DerivativeG s hedging cash flows. The effective portion of the hedge is to be recognised here. IFRS 7.23(c); IAS 39.95-101.
          B010C_22565 Fair value changes of debt instruments measured at fair value through other comprehensive income Accumulated fair value gains and losses of debt instruments measured at fair value through other comprehensive income. IFRS 9.5.5.
          B10C_22575 Hedging instruments [non-designated elements] Accumulated changes in fair value of the non-designated elements of a hedging instrument. IFRS 9.6.5.15, IFRS 9.6.5.16
          B010C_22590 Other Accumulated gains and losses items to be reported under other comprehensive income that do not fit within of the line items above.
          B010C_23000 Retained Earnings Accumulated net profit or loss retained from previous financial years.
          B010C_23100 Revaluation Reserves IFRS 1.30, D5-D8; Annex V.Part 2.28
          B010C_2400T Other Reserves Calculated by EPRS through summation of the sub-line items.
          B010C_24010 Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates Accumulated Gains or losses of investments in subsidiaries, joint ventures and associates going through the profit and loss account. IAS 28.11.
          B010C_24020 Other Accumulated reserves that do not fit within one of the reserve line items above.
          B010C_24500 (-) Treasury Shares The Firm's holding of its own equity instruments is to be deducted from equity. IAS 32.33-34.
          B010C_25000 Profit Or Loss Attributable To Owner Of the Parent Accumulated profits or losses carried over from B40A — Profit and Loss form for the current financial year.

          If consolidating the accounts of subsidiaries, include only the profit or loss attributable to shareholders of the Authorised FirmG . IAS 1.81B (b)(i).
          B010C_25500 (-) Interim Dividends Dividends declared for distribution. IAS 32.35.
          B010C_26010 Minority Interest [Non-Controlling Interests] Amount of equity attributable to minority interests in the subsidiaries of the Authorised FirmG . IAS 1.81B (b)(i).
          B010C_2000T Total Shareholders Equity Summation of line items above.

        • 1.5 Form B10D — Off Balance Sheet Exposures

          Purpose

          Form B10D — OBS ExposuresG is intended to reflect the off balance sheet ExposuresG of the Authorised FirmG at the end of the reporting period.

          Applicability

          This Form is applicable to Authorised FirmsG categorised under all Prudential CategoriesG , excluding Authorised FirmsG in Category 5.

          Content

          The Form intends to capture contingent ExposuresG that are not recorded on the balance sheet.

          Structure of the form in EPRS

          Form B10D — Off Balance Sheet ExposuresG is presented as a single form.

          Instructional Guidelines

          Off Balance Sheet ExposuresG to be recorded here is in line with the CategoriesG defined in PIB A4.2. The amount to be recorded is the maximum Credit RiskG exposure without taking into account any form of Credit RiskG mitigation.

          Line Number Line Item Instructional Guideline
          B010D_40100 Direct credit substitutes These relate to the financial requirements of a CategoriesG where the risk of loss to the Authorised FirmG on the transaction is equivalent to that arising from a direct claim on the CategoriesG . 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.
          B010D_40200 Transaction — related contingent items These ExposuresG relate to the on-going trading activities of a CategoriesG 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 CategoriesG . 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).
          B010D_40300 Short-term self-liquidating trade-related contingent items
          (applicable to both issuing and confirming BanksG ) 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 (B010D_40100) above.
          B010D_40400 Note issuance facilities and revolving Underwriting 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.
          B010D_40500 Transactions, other than SFTs, involving the posting of Securities held by the Authorised FirmG as Collateral Include instances where the Firm has entered repo-style transactions.
          B010D_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 CategoriesG weighting is determined by the issuer of the security and not according to the CategoriesG with whom the transaction has been undertaken.
          B010D_40700 Other commitments with certain drawdown Other commitments with certain drawdown would include forward purchase, forward DepositsG 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 DerivativeG s 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 RiskG mitigation techniques.

          Any other commitments that are not included in other line items above, but which have a defined drawdown date within one year.
          B010D_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 .
          B010D_40000T Total Off-Balance Sheet ExposuresG Sum of off balance sheet ExposuresG recorded above.

        • 1.6 Form B20A — Assets — Islamic Financial Institutions

          Purpose

          Form B20A — Assets — IFI 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 — Liabilities — IFI, B20C — Equity — IFI, B20D — OBS ExposuresG — IFI, and B20E — Analysis of Reserves Movement.

          Structure of the form in EPRS

          Form B20A — Assets — IFI 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 (PSIAu).

        • 1.7 Form B20B — Liabilities (Domestic) — Islamic Financial Institutions

          Purpose

          Form B20B — Liabilities (Domestic) — IFI 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 of the Authorised Firm'sG financial liabilities. It is completed in conjunction with Form B20A — Assets — IFI, Form B20C — Equity — IFI and B20D — OBS ExposuresG — IFI.

          Structure of the form in EPRS

          Form B20B — Liabilities (Domestic) — IFI is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10B — Liabilities (Domestic). Refer to Section 1.2 for guidance on completing this Form.

        • 1.8 Form B20B — Liabilities (Branch) — Islamic Financial Institutions

          Purpose

          Form B20B — Liabilities (BranchG ) 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 financial liabilities. It is completed in conjunction with Form B20A — Assets, Form B20D — Off Balance Sheet ExposuresG — IFI.

          Structure of the form in EPRS

          Form B20B — Liabilities (BranchG ) — IFI is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10B — Liabilities (BranchG ). Refer to Section 1.3 for guidance on completing this Form.

        • 1.9 Form B20C — Equity — Islamic Financial Institutions

          Purpose

          Form B20C — 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, B20B — Liabilities (Domestic) and Form B20D — Off Balance Sheet ExposuresG — IFI.

          Structure of the form in EPRS

          Form B20DC — Equity — IFI is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10C — Equity. Refer to Section 1.4 for guidance on completing this Form.

        • 1.10 Form B20D — Off Balance Sheet Exposures — Islamic Financial Institutions

          Purpose

          Form B20B — OBS ExposuresG is intended to reflect the off balance sheet ExposuresG 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 ExposuresG that are not recorded on the balance sheet.

          Structure of the form in EPRS

          Form B20D — Off Balance Sheet ExposuresG — IFI is presented as a single form.

          Instructional Guidelines

          The Form is of a similar structure to Form B10D — OBS ExposuresG . Refer to Section 1.5 for guidance on completing this Form. This Form includes an additional column to separate contingent ExposuresG financed through the Firm's own funds or through liabilities raised under an unrestricted profit sharing investment account (PSIAu).

        • 1.11 Form B20E — Analysis of Reserves Movement — Islamic Financial Institutions

          Purpose

          Form B20E — 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

          Form B20E — Analysis of Reserves Movement is presented as a single form.

          Instructional Guidelines

          Line Number Line Item Instructional Guideline
          B020E_1010 Capital invested Total amount of capital invested by PSIAu account holders gross of provisions.
          B020E_1020 Net asset value Net amount of the initial capital invested after accounting for gains and provisions.
          B020E_1030 Percentage for profit equalisation reserve The percentage used for allocation to the profit equalisation reserve.
          B020E_1040 Amount of profit equalisation reserve Amount after the net asset value has been multiplied by the percentage for the profit equalisation reserve.
          B020E_1050 Mudarib fee The Mudarib fee which the Authorised FirmG is entitled to receive for undertaking the investment of the funds provided by the PSIA holders. The fee is agreed by the investment account holders and the bank before the implementation of any contract.
          B020E_1060 Net amount after Mudarib fee Amount after Mudarib Fee has been deducted.
          B020E_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.
          B020E_1080 Amount of investment risk reserve Amount after the Net Amount after Mudarib fee is multiplied by percentage for investment risk reserve.
          B020E_1090 Amount attributed to PSIAs This amount is the residual amount allocated to the PSIA account holders after the deduction of the amounts for the profit equalisation reserve, Mudarib fee and investment risk reserves.
          B020E_1110 Opening Balance (Profit Equalisation Reserve) Opening balance of Profit Equalisation Reserve
          B020E_1115 Additions Positive movement of PER
          B020E_1120 Withdrawals Negative movement of PER
          B020E_1130 Closing balance (Profit Equalisation Reserve) Closing balance of Profit Equalisation Reserve for the period.
          B020E_1210 Opening Balance (Investment Risk Reserve) Opening balance of Investment Risk Reserve
          B020E_1215 Additions Positive movement of IRR
          B020E_1220 Withdrawals Negative movement of IRR
          B020E_1130 Closing balance (Investment Risk Reserve) Closing balance of Investment Risk Reserve for the period.

        • 1.12 Form B30 — Related Party Schedule (Domestic / Branch)

          Purpose

          The purpose of Form B30 — Related Party Schedule 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 B10A/B20A — Assets and B10B/B20B Liabilities between amounts that are attributed to related parties and amounts that are attributed to non-related parties.

          Structure of the form in EPRS

          Form B30 is presented as a single Form. The Form replicates the asset and liability line items from asset and liability schedules. The firm is required to split the amounts recorded from the line items of the respective forms into the two columns of "Related Party & GroupG Companies" and "Others".

          Instructional Guidelines

          1. For the purposes of Form B30 — Related Party Schedule, related parties is as defined in International Accounting Standard (IAS) 24.
          2. The figures entered into Forms B10A/B20A — Assets, B10B/B20B — Liabilities (including total shareholder equity for Domestic FirmsG ) is to be equal to the total amount recorded on this Form (e.g. a firm has recorded $3,000 under B010A_00530 Money Market Placements on Form B10A — Assets. Form B30 would provide the split if the amount is receivable from a related party or a non-related party).
          3. For items such as Fixed Assets, which may not necessarily be attributed as a receivable from a related party, this is to be recorded under the Related Party and GroupG Companies column.
          4. For the shareholder's equity line item, minority interests are to be recorded in the 'Other' column.

        • 1.13 Form B40A — Profit and Loss

          Purpose

          Form B40A — 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 the Authorised FirmsG categorised under all Prudential CategoriesG , excluding Authorised FirmsG in Category 5.

          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 — Assets and Form B10B — Liabilities.

          Structure of the form in EPRS

          Form B40A — Profit and Loss is presented as a single form.

          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
          B040A_5005T Net Interest Income This is calculated by EPRS through summation of the sub-line items.
          B040A_5010T Interest income This is calculated by EPRS through summation of the sub-line items.
          B040A_50105 Cash balances at BanksG  
          B040A_50110 Financial assets held for trading Interest accrued is to be recorded against the respective accounting portfolio 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 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.
          B040A_50110 Non-trading financial assets mandatorily at fair value through profit or loss
          B040A_50120 Financial assets designated at fair value through profit or loss
          B040A_50130 Financial Assets at Fair Value through Other
          Comprehensive Income
          B040A_50140 Financial Assets at Amortised Cost
          B040A_50160 DerivativeG s — Hedge accounting, interest rate risk
          B040A_50170 Other Assets
          B040A_5020T (Interest expenses) This is calculated by EPRS as the sum of Interest Expense items.
          B040A_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 (BranchG ).

          E.g.
          1. Interest accrued on DepositsG 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.
          B040A_50220 (Financial liabilities designated at fair value through profit or loss)
          B040A_50230 (Financial liabilities measured at amortised cost)
          B040A_50260 (DerivativeG s — Hedge accounting, interest rate risk)
          B040A_50270 (DepositsG )
          B040A_50280 (Other liabilities)
          B040A_5030T Islamic Contracts This is calculated by EPRS as the sum of Profits receivable and payable.
          B040A_50310 Profits Receivable Profits generated through assets classified as Islamic Contracts on Form B10A — Assets.
          B040A_50320 (Profits Payable) Profits payable through liabilities classified as Islamic Contracts on Form B10C — Liabilities (Domestic) or Form B10E — Liabilities (BranchG ).
          B040A_50500 Dividend income Dividend income arising from financial assets held for trading, Non-trading financial assets mandatorily at fair value tor through profit or loss or financial assets at fair value through other comprehensive income. This income shall be reported separately from other gains and losses from these CategoriesG .

          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".
          B040A_5055T Net Fee and Commission Income This is calculated by EPRS. This is calculated through the difference between Fee and Commission Income and Fee and Commission Expense.
          B040A_5060T Fee and commission income This is calculated by EPRS. This is calculated through the summation of the subline items. This section includes income recognised for services provided by the Authorised FirmG .
          B040A_50610 Asset/Fund Management Activities Revenues generated through asset management and trustee services.
          B040A_50620 Advisory Services Revenues generated through financial advisory services.
          B040A_50630 Brokerage Activities Revenues generated from the brokerage of financial investments on behalf of Clients.
          B040A_50640 Trade Finance Commissions generated from commitments and guarantees extended to Clients. This includes for example:
          •   Performance bonds
          •   Letters of Credit
          •   Export Bill Collection
          •   Financial Guarantees
          B040A_50645 Arranging Revenues generated through the arrangement of financial products and services for Clients.
          B040A_50650 Other Other fees and commissions generated through other financial services.
          B040A_5070T Fee and commission Expenses This is calculated by EPRS. This is calculated through the summation of the subline items. This section includes expenses directly associated with services provided by the Authorised FirmG .
          B040A_50710 Asset/Fund Management Activities Expenses generated through asset management and trustee services.
          B040A_50720 Advisory Services Expenses generated through financial advisory services.
          B040A_50730 Brokerage Activities Expenses generated from the brokerage of financial investments on behalf of Clients.
          B040A_50740 Trade Finance Expenses associated with commitments and guarantees extended to Clients. This includes for example:
          •   Performance bonds
          •   Letters of Credit
          •   Export Bill Collection
          •   Financial Guarantees
          B040A_50750 Arranging Expenses generated through the arrangement of financial products and services for Clients.
          B040A_50660 Other Other expenses generated through other financial services.
          B040A_50900 Gains or (-) losses on financial assets and liabilities held for trading, Net IFRS 7.20(a)(i); IFRS 9.5.7.1;
          Include gains and losses in the re-measurement and derecognition of financial instruments held for trading.
          B040A_50920 Gains or (-) losses on Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.5.7.1;
          Include gains and losses in the re-measurement and derecognition of financial instruments mandatorily designated at fair value through profit or loss.
          B040A_51000 Gains or (-) losses on financial assets and liabilities designated at fair value, Net IFRS 7.20(a)(i); IFRS 9.5.7.1;
          Include gains and losses in the re-measurement and derecognition of financial instruments designated at fair value through profit or loss.
          B040A_51100 Gains or (-) losses from hedge accounting, net IFRS 9
          Includes gains and losses on hedging instruments and on hedged items including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It includes the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge.
          B040A_51200 Gains and (-) losses on exchange differences, net IAS 21.28, 52 (a)
          B040A_51300 Gains or derecognition on financial assets and liabilities not measured at fair value, net IAS 1.34.
          B040A_51400 Gains or (-) losses on derecognition of non-financial assets other than held for sale, net IAS 1.34.
          B040A_5155T Net Other Operating Income This is calculated by EPRS.
          B040A_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 interGroupG services and non-GroupG services.
          B040A_51500 InterGroupG 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.
          B040A_51550 Other See above.
          B040A_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 interGroupG services and non-GroupG services.
          B040A_51600 (InterGroupG 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.
          B040A_51650 (Other) See above.
          B040A_5001T Gross Profit This is calculated by EPRS. Summation of the net income of the different revenue streams.
          B040A_5170T (Administrative expenses) Operational expenses not related directly related to the services provided.
          B040A_51720 (Salaries and allowances) Include non-variable component of staff related expenses. For example:
          •   Base salary and allowances;
          •   Employer's contribution to any pension scheme; and,
          •   Costs of staff benefits paid on a per capita basis such as private medical insurance.
          B040A_51730 (Bonuses and commissions) Include variable based compensation.

          For example (non-exhaustive list):
          •   Commissions associated with the sale of a product or service; and,
          •   Performance based compensation.
          B040A_51740 (Other administrative expenses) Include, for example:
          •   Rent; and,
          •   Other overhead expenses.
          B040A_5180T (Depreciation) Charges relating to depreciation/amortisation of property, plant and equipment and other tangible assets.
          B040A_5185T Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A;

          This figures is calculated by EPRS. This is calculated through the summation of the sub-line items.

          Gains and losses arising from adjustments to the gross carrying amount of financial assets due to renegotiated cash flows obligations.
          B040A_51851 Financial assets at fair value through other comprehensive income IFRS 7.35J
          B040A_51851 Financial assets at amortised cost IFRS 7.35J
          B040A_5190T (Provisions) or Reversal of Provisions Total provisions made to cover foreseeable measurable losses in accordance with IAS 37.
          B040A_51910 (Commitments and guarantees given) Provisions relating to commitments and guarantees undertaken to other parties.
          B040A_51930 (Other provisions) All other provisions.
          B040A_52100 (Impairment) or reversal of impairment in financial assets not measured at FV through profit or loss Impairment or reversal of impairment of assets not measured at fair value. This includes impairments on Financial assets designated at fair value through other comprehensive income and Financial assets measured at amortised cost. IFRS 7.20 (e).
          B040A_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.
          B040A_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.
          B040A_52400 Negative goodwill recognised in profit or loss IFRS 3.34.
          B040A_52500 Share of the profit or (-) loss of investments in subs, JVs, and associates IAS 28.
          B040A_5000T Profit or (-) Loss Before Tax from Continuing Operations This is calculated by EPRS.
          B040A_69000 Tax expense or (-) income related to profit or loss from continuing operations IAS 12.77.
          B040A_6000T Profit or (-) Loss After Tax from Continuing Operations This is calculated by EPRS.
          B040A_6500T Profit or (-) loss after tax from discontinued operations This is calculated by EPRS.
          B040A_65500 Profit or (-) loss before tax from discontinued operations IFRS 5.33.
          B040A_66000 (Tax expense or (-) income related to discontinued operations) IFRS 5.33.
          B040A_7000T Profit or (-) Loss for the Reporting Period This is calculated by EPRS.
          B040A_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. IAS 1.81B (b)(i).
          B040A_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 controlling interests are to be represented here. IAS 1.81B (b)(ii).

        • 1.14 Form B40B — Statement of Comprehensive Income

          Purpose

          Form B40B — Statement of Comprehensive Income is intended to capture the results of Other Comprehensive Income and Profit and Loss of an Authorised FirmG during the reporting period.

          Applicability

          This Form is applicable to the Authorised FirmsG categorised under all Prudential CategoriesG , excluding Authorised FirmsG in Category 5.

          Content

          The Form is designed to capture details about the Authorised Firm'sG Other Comprehensive Income for the reporting period.

          Structure of the form in EPRS

          Form B40B — Statement of Comprehensive Income is presented as a single form.

          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
          B040B_10000 Profit or (-) loss for the reporting period This is calculated by EPRS. This value is carried over from Form B30 — Profit and loss.
          - Items that will not be reclassified to profit or loss Non-editable field. Acts as a classification header for items that will not be reclassified to profit or loss schedule. IAS 1.82A(a)(i).
          B040B_20000 Tangible assets IAS 1.7, IG6; IAS 16.39-40.
          B040B_20100 Intangible assets IAS 1.7; IAS 38.85-86.
          B040B_20200 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c).
          B040B_20300 Share of other recognised income and expense of entities accounted for using the equity method IFRS 5.38.
          B040B_20400 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d).
          B040B_2050T Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net This is calculated by EPRS and is the sum of the sub-line items which tracks the price movement of the hedged and hedging instruments. IFRS 9.5.7.5;.6.5.3; IFRS 7.24C.
          B040B_20510 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] Positive fair value changes are to be recorded in positive and vice versa for negative movements. IFRS 9.5.7.5;.6.5.8(b).
          B040B_20520 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] Positive fair value changes are to be recorded in positive and vice versa for negative movements. IFRS 9.5.7.5;.6.5.8(a).
          B040B_20600 Fair value changes of financial liabilities measured at fair value through profit or loss attributable to changes in their Credit RiskG IAS 1.7(f).
          B040B_20700 Income tax relating to items that will not be reclassified IAS 1.91(b).
          - Items that may be reclassified to profit or loss. A non-editable field. Acts as a classification header for items that may be reclassified to profit or loss schedule. Items that may be transferred to profit or loss are to be recorded separately through:
          •   Valuation gains or (-) losses taken to equity
          •   Amount transferred to profit or loss. (Profits transferred are to be entered in positive)
          •   Other reclassifications

          IAS 1.82A(a)(ii).

          B040B_2080T Hedge of net investments in foreign operations [effective portion] This includes the effective portion of currency translation hedges for investments in foreign operations.

          IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); IAS 1.IG6;IFRS 9.6.5.13(a); IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14.
          B040B_2090T Foreign currency translation Gains and losses related to currency movements when the reporting currency is different than the functional currency.

          IAS 1.7, IG6; IAS 21.52(b); IAS 21.32, 38-47; IAS 1.7, 92-95; IAS 21.48-49.
          B040B_2100T Cash flow hedges [effective portion] Gains and losses related to DerivativeG s hedging cash flows. The effective portion of the hedge is to be recognised here.

          IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),
          B040B_2110T Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c);
          B040B_21020T Debt instruments at fair value through other comprehensive income Impairments related to such instruments are to be recorded in Profit and Loss under 'Impairment or (-)

          reversal of impairment on financial assets not measured at fair value through profit or loss'.

          IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4;
          IFRS 7.20(a)(ii); IAS 1.92-95, IFRS 9.5.6.7
          B040B_21030T Non-current assets and disposal GroupG s held for sale IFRS 5.38.
          B040B_21400 Share of other recognised income and expense of Investments in subsidiaries, joint ventures and associates IAS 1.IG6; IAS 28.10
          B040B_21500 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b),
          B040B_2000T Other comprehensive Income for the reporting period This is calculated by EPRS. IAS 1.7, 81A(a).
          B040B_3000T Total comprehensive income for the reporting period This is calculated by EPRS. This is the summation of Other Comprehensive Income and Profit and Loss for the reporting period. IAS 1.7, 81A(a).
          B040B_30000 Attributable to minority interest [Non-controlling interest] This is to be used for the purposes of consolidating accounts. The profit or loss attributed to non-controlling interests. IAS 1.83(b)(i).
          B040B_30100 Attributable to owners of the parent This is to be used for the purposes of consolidating accounts. The profit or loss attributed to the controlling interests. IAS 1.83(b)(ii).

        • 1.15 Form B50A — Profit and Loss — Islamic Financial Institutions

          Purpose

          Form B50A — Profit and Loss Statement is intended to capture the results of operations of an Islamic Financial Institution 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.

          Structure of the form in EPRS

          Form B50A — Profit and Loss — IFI is presented as a single form.

          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 Form is of a similar structure to Form B40A — Profit and Loss. Refer to Section 1.13 for guidelines on how to complete this Form. The main difference between both these Forms is the removal if the Interest category and the inclusion of a Profit category.
          3. Fee and commission generated through PSIAr is to be reported under brokerage activities.
          4. Fee and commission generated through PSIAu is to be reported under asset and fund management activities.

        • 1.16 Form B50B — Statement of Comprehensive Income — Islamic Financial Institutions

          Purpose

          Form B50B — Statement of Comprehensive Income is intended to capture the results of Other Comprehensive Income and Profit and Loss of an Authorised FirmG 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 about the Authorised Firm'sG Other Comprehensive Income for the reporting period.

          Structure of the form in EPRS

          Form B50B — Statement of Comprehensive Income — IFI is presented on a single form.

          Instructional Guidelines

          1. 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).
          2. The Form is of a similar structure to Form B40B — Other Comprehensive income. Refer to Section 1.14 for guidelines on how to complete this Form.

        • 1.17 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 2.3.4.

          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 Return submitted pertains to.

          Structure of the form in EPRS

          From B100 is presented as 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 Return, the Firm is required to enter the number of calendar days the Annual Return pertains to.

        • 1.18 Form B110 — Capital Ratios

          Purpose

          Form B110 — Capital Ratios is intended to capture the breakdown of the Firm's capital resources and its conformity to the minimum capital component limits.

          Applicability

          This Form is applicable to domestic Authorised FirmsG categorised under Prudential CategoriesG 1, 2, 3A and 5.

          Content

          The Form is designed to capture the following:

          •   Minimum applicable CET1, Tier 1 and total capital ratios.
          •   The Firm's capital component structure with respect with the minimum applicable capital ratios.

          Majority of the Form is automatically calculated by EPRS. The Firm must specify the breakdown of capital component limits communicated to them by the DFSAG to meet their Individual Capital Requirement (if applicable).

          Instructional Guidelines

          Line Number Line Item Instructional Guideline
          B110_1000
          B110_1100
          B110_1200
          B110_1300
          Risk Exposure Amount This is calculated by EPRS. A breakdown of the risk weighted assets by category of risk:
          •   Credit
          •   Market
          •   Displaced Commercial Risk
          •   Operational Risk
          B110_2000
          B110_2100
          B110_2200
          Applicable Capital Buffers This is calculated by EPRS. A breakdown of the applicable capital buffers to the Firm:
          •   Capital Conservation Buffer
          •   Countercyclical Buffer
          •   HLA Capital Buffer
          B110_3000
          B110_3100
          B110_3200
          Individual Capital Requirement Breakup of the minimum CET1 and Tier 1 limits applicable to meet the Individual Capital Requirement (if applicable) as communicated through by the DFSAG .
          B110_4000
          B110_4100
          B110_4200
          Target Capital Ratios This is calculated by EPRS. Displays the applicable minimum Firm specific capital ratios.
          B110_5000
          B110_5100
          B110_5200
          B110_5300
          B110_5400
          B110_5500
          Capital Ratios This is calculated by EPRS. Displays the Firms different capital resources as a percentage of risk weighted assets.

        • 1.19 Form B120 — Capital Resources

          Purpose

          Form B120 — 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 all domestic Authorised FirmsG categorised under all Prudential CategoriesG .

          Content

          The Form is designed to capture the following:

          •   Regulatory Capital Structure (CET 1, Tier 1 and Tier 2);
          •   Capital Requirements (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.
          B120_1100T Capital Instruments Eligible as CET1 Capital This is calculated by EPRS.
          Capital Instruments in accordance with . This excludes ExposuresG to the AF's own CET1 Capital.
          B120_11100 Paid-up Capital Fully paid up CET1 Capital in accordance with PIB 3.13.3.
          B120_11300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.13.3.
          B120_1140T (Own CET1 Instruments) This is calculated by ERPS.
          The total of direct and indirect holdings of own CET1 instruments in accordance with (e)–(h).
          B120_11410 (Direct holdings of CET1 instruments) Total amount of Direct Holdings of CET1 instruments.
          B120_1142T (Indirect holdings of CET1 instruments) Total amount of Indirect Holdings of CET1 instruments.
          B120_1150T Retained Earnings This is calculated by EPRS.
          This is the total of retained earnings eligible to be included as part of CET1.
          B120_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.
          B120_1152T Profit or loss eligible This is calculated by EPRS.

          This accounts for the profit or loss for the current financial year.
          B120_11521 Profit or loss of current financial year Include in here the current financial year's accumulated profit or loss recorded through Form B40A — Profit and Loss.
          B120_11522 (Part of interim or year-end profit not eligible) Profits not eligible are to be deducted (i.e. not verified by an External Auditor). PIB 3.13.4.
          B120_11610 Accumulated Other Comprehensive Income Accumulated Other Comprehensive Income. This should reconcile with the figure entered into B10D — Equity.
          B120_11700 Other Reserves Other reserves required for disclosure under IFRS. PIB 3.13.2.
          B120_11800 Minority interest given in recognition in CET1 Capital Minority interests given recognition in consolidated CET1 Capital. PIB 3.16.
          B120_11910 (Adjustments to CET1) CET1 Adjustments in accordance with PIB 3.13.5.
          B120_1200T (Goodwill) This is calculated by EPRS as a summation of sub-line items associated with Goodwill as defined by IFRS. PIB 3.13.7 (b).
          B120_1210T (Other Intangible Assets) This is calculated by EPRS as a summation of sub-line items associated with Other Intangible Assets as defined by IFRS. PIB 3.13.7 (b).
          B120_12200 (Deferred tax assets that rely on future profitability and arise from temporary differences) PIB 3.13.7, PIB 3.13.9.
          B120_12310 (Defined Benefit Pension Fund Assets) PIB 3.13.7.
          B120_12400 (Reciprocal Cross Holdings in CET1 capital) PIB 3.13.7.
          B120_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 Resources.
          B120_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.
          B120_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.
          B120_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.
          B120_12900 (CET1 instruments of relevant entities where the institution does not have a significant investment) PIB 3.13.7.
          B120_13100 (CET1 instruments of relevant entities where the institution has a significant investment) PIB 3.13.7.
          B120_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
          B120_2100T Capital Instruments Eligible as AT1 Capital This is calculated by EPRS.
          Capital Instruments in accordance with PIB 3.14.3. This excludes ExposuresG to the AF's own AT1 Capital.
          B120_21100 Paid-up Capital Fully paid up AT1 Capital in accordance with PIB 3.14.3.
          B120_21300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.14.3.
          B120_2140T (Own AT1 Instruments) This is calculated by ERPS.
          This is the addition of direct and indirect holdings of own AT1 instruments.
          B120_21411 (Direct holdings of AT1 instruments) Total amount of direct holdings of own AT1 instruments. PIB 3.14.4-5.
          B120_21421 (Indirect holdings of AT1 instruments) Total amount of indirect holdings of AT1 instruments. PIB 3.14.4-5.
          B120_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.
          B120_23000 (Reciprocal Cross Holdings in AT1 capital) Deductions relating to reciprocal cross holding in AT1 Capital instruments of Relevant Entities. PIB 3.14.4.
          B120_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).
          B120_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).
          B120_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.
          B120_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.
          B120_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.
          B120_3100T Capital Instruments Eligible as T2 Capital Capital Instruments in accordance with PIB 3.15.2. This excludes ExposuresG to the AF's own Tier 2 Capital.
          B120_31100 Paid-up Capital Fully paid up T2 Capital in accordance with PIB 3.15.3.
          B120_31300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.15.3.
          B120_3140T (Own T2 Instruments) This is calculated by ERPS.
          This is the addition of direct and indirect holdings of own
          T2 instruments.
          B120_31410 (Direct holdings of T2 instruments) Total amount of direct holdings of T2 instruments. PIB 3.15.4-5.
          B120_31420 (Indirect holdings of T2 instruments) Total amount of indirect holdings of T2 instruments. PIB 3.15.4-5.
          B120_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.
          B120_33000 (Reciprocal Cross Holdings in T2 capital) Deductions relating to reciprocal cross holding in T2 Capital instruments of Relevant Entities. PIB 3.15.4.
          B120_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).
          B120_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).
          B120_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.
          B120_30000T Available Tier 2 Capital Resources This is calculated by EPRS and is the summation of the above items.
          B120_0000T Total Capital Resources This is calculated by EPRS.
          This is the summation of Available CET1, AT1 and Tier
          2 Capital Resources.
          B120_50001 Base Capital Requirement The Base Capital Requirement 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 CategoriesG of 1, 2, 3A and 5.
          B120_51100 Credit and CategoriesG Risk Capital Requirement This is calculated by EPRS.
          This is linked to B60A — Credit RiskG Overview. This is the required capital resources to be held for Credit RiskG .
          B120_51250 Displaced Commercial Risk The Firm is required to calculate the applicable Credit and Market risk charges from Islamic Contracts. The resultant charge is to be reported here. Refer to IFR 5.
          B120_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
          Risk.
          B120_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.
          - Total Risk Based Capital Requirement This is calculated by EPRS.
          This is the summation of the above individual Risk
          Based Capital Requirement components and multiped
          by 1.25.
          B120_62000 Capital Conservation Buffer (CCB) — 2.5% of RWA. This is calculated by EPRS.
          A Capital Conservation Buffer is automatically applied if the Risk Based Capital Requirement is applicable. PIB 3.9.
          B120_63000 Countercyclical Capital Buffer (CCyB) — Firm Specific (% of RWA) The Firm is required to input the applicable CCyB charges calculated in accordance with PIB 3.9A.
          B120_64000 HLA Capital Buffer — Firm Specific (% of RWA) The Firm is required to input the applicable HLA Capital calculated in accordance with PIB 3.9B.
          B120_65000 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.
          B120_66000 Total Capital Buffer + Individual Capital Requirement The total amount of added capital requirements as a result of applicable capital buffer's and the individual capital requirement.
          B120_67000 Total Capital Requirement This is calculated by EPRS. The applicable capital charge is the highest of the Base Capital Requirement, Expenditure Based Capital Minimum or Risk Based Capital Requirement (including applicable capital buffers).

        • 1.20 Form B130 — Credit Risk — Overview

          Purpose

          Form B130 is intended to give an overview of the Credit RiskG capital requirement for an Authorised FirmG , covering the calculation of On/Off Balance Sheet ExposuresG , CategoriesG Risk ExposuresG , and Securitisation ExposuresG .

          Applicability

          This Form is applicable to Authorised FirmsG which are Domestic FirmsG , and are categorised under Prudential CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised FirmsG operating through a BranchG in the DIFC.

          Content

          The Form provides an overview of the AF's applicable Credit RiskG charges calculated in accordance with PIB 4 — Credit RiskG .

          Structure of the form in EPRS

          Form B130 — Credit RiskG — Overview is automatically calculated by EPRS. The figures are pulled through from the capital requirements calculated on Forms B130A, B130B and B130C respectively.

          For Category 5 entities, an extra column is added to capture Credit RiskG capital requirements for ExposuresG funded through PSIAu. Category 5 entities are required to split the credit ExposuresG between own funds and PSIAu.

          Instructional Guidelines

          Line Number Line Item Instructional Guideline
          B130_1000T Credit RiskG Capital Requirement This is calculated by EPRS.
          This is the total figure of Credit RiskG Capital Requirements from Form B130A — Balance Sheet ExposuresG .
          B130_2000T CategoriesG Risk Capital Requirements This is calculated by EPRS.
          This is the total figure of CategoriesG Credit RiskG Capital Requirements from Form B130B — CategoriesG ExposuresG .
          B130_3000T Capital Requirements for Securitisation ExposuresG This is calculated by EPRS.
          This is the total figure of securitisation ExposuresG capital requirements from Form B130C — Securitisation.
          B130_0000T Total Credit & CategoriesG Risk Capital Requirement This is calculated by EPRS.
          This is the summation of the above line items.

        • 1.21 Form B130A — Credit Risk Capital Requirement — Balance Sheet Exposures

          Purpose

          Form B130A is intended to capture the Credit RiskG capital requirement of an Authorised FirmG for on and off balance sheet ExposuresG and breakdown by applicable risk weights.

          Applicability

          This Form is applicable to Authorised FirmsG which are Domestic FirmsG , and are categorised under Prudential CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised FirmsG operating through a BranchG in the DIFC.

          Content

          The Form is designed to capture the details of the Credit RiskG Capital Requirement for on and off balance sheet ExposuresG . Details captured include:

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

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

          Structure of the form in EPRS

          Form B130A consists of the following three linked Forms:

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

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

          For Category 5 entities, the Firm is required to select the appropriate custom dimension to differentiate between ExposuresG funded through own funds and PSIAu.

          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 ExposuresG against the category of the CategoriesG when completing this Form.

          Column Instructional Guideline
          Original On Balance Sheet Exposure The original on balance sheet exposure against the CategoriesG . Not taking into account any Credit RiskG mitigation effects or provisioning (e.g. for a loan to a corporate guaranteed by a Bank, 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 CategoriesG 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 ExposuresG Form (e.g. following the example from the previous line item, the Firm would then proceed to the Credit Conversion for Balance ExposuresG Form and record the $1000 against the respective credit conversion factor for that exposure). If there were several ExposuresG , 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 CategoriesG must match the total of the horizontal split across the different Credit Conversion Factors on the Credit Conversion for Off Balance Sheet ExposuresG Form.
          (-) Value Adjustments and Provisions Associated with the Original Exposure Record here specific provisions in relation to the exposure. On Balance Sheet netting against the Exposure is to be recorded here. Refer to .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 ExposuresG and Off Balance Sheet ExposuresG (Post-Conversion) minus associated provisions.
          Credit RiskG Mitigation Techniques with Substitution Effects on the Exposure ExposuresG reduced through Credit RiskG 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 RiskG Mitigation with Substitution Effects.
          Total Outflows This is calculated by EPRS.
          This is the horizontal sum of the outflow of risk through
          Credit RiskG Mitigation Techniques with Substitution Effect.
          Total Inflows This is the inflow of risk to the respective category of CategoriesG (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 CategoriesG after applying Credit RiskG Mitigation techniques with substitution effect.
          Credit RiskG Mitigation Techniques Affecting the Exposure Amount ExposuresG reduced through Credit RiskG 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 ExposuresG 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 ExposuresG 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 ExposuresG 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 ExposuresG 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 RiskG Capital Requirement This is calculated by EPRS.
          This is 8% of the risk weighted amount; the applicable Credit RiskG charge (CRCOM). PIB 4.8 — CRCOM.

        • 1.22 Form B130B — Credit Risk Capital Requirement — Counterparty Exposures

          Purpose

          Form B130B is intended to capture the details of CategoriesG Risk of an Authorised FirmG in line with PIB 4.9.124.9.21 and A4.8.

          Applicability

          This Form is applicable to Authorised FirmsG which are Domestic FirmsG , and are categorised under Prudential CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised FirmsG operating through a BranchG in the DIFC.

          Content

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

          Structure of the form in EPRS

          Form B130B consists of following four linked Forms:

          •   CategoriesG risk on Unsettled Transactions RWA;
          •   OTC DerivativeG s RWA;
          •   Securities financing transactions RWA; and
          •   Deferred settlement transactions RWA.

          Accordingly, all items related to the CategoriesG risk of unsettled transactions should be analysed in the first part, OTC DerivativeG s 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 CategoriesG risk calculated by each of the linked Forms.

          For Category 5 entities, the Firm is required to select the appropriate custom dimension to differentiate between ExposuresG funded through own funds and PSIAu.

          Instructional Guidelines:

          CategoriesG 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 CategoriesG ExposuresG ;
          •   The exposure amount is to be recorded against the respective days and risk weight of that exposure.

          OTC DerivativeG s RWA:

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

          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:

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

          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
          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.

        • 1.23 Form B130C — Credit Risk Capital Requirement — Securitisation

          Purpose

          Form B130C is intended to capture details related to the Credit RiskG 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 CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised FirmsG operating through a BranchG in the DIFC.

          Content

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

          Structure of the form in EPRS

          Form B130C is presented as a single form with several columns to calculate the applicable capital requirement.

          Securitisation ExposuresG are broken down into three CategoriesG :

          •   Originator;
          •   Investor;
          •   Sponsor.

          For Category 5 entities, the Firm is required to select the appropriate custom dimension to differentiate between ExposuresG funded through own funds and PSIAu.

          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 ExposuresG and Credit RiskG 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 DerivativeG s; or
          •   Synthetic Securitisations.
          Synthetic Securitisations — Credit Protection to the Securitised ExposuresG (-) Funded Credit Protection The amount of risk transferred through synthetic securitisations that are funded.
          Synthetic Securitisations — Credit Protection to the Securitised ExposuresG (-) 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 ExposuresG .
          ExposuresG 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 RiskG Mitigation Techniques with Substitution Effects on the Exposure — Total Outflows Include here Credit RiskG 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 RiskG 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 RiskG 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 ExposuresG 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.

        • 1.24 Form B140 — Market Risk Capital Requirement — Overview

          Purpose

          Form B140 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 CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised FirmsG operating through a BranchG in the DIFC.

          Content

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

          Structure of the form in EPRS

          Form B140 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.

          For Category 5 entities, an extra column is added to capture market risk capital requirements of ExposuresG funded through PSIAu.

          Instructional Guidelines

          Line Number Item Instructional Guidelines
          B140_0100T Interest Rate Risk This field is automatically populated from Form B140A — Market Risk — Interest Rate, The total interest rate risk capital charge on that form is reflected here.
          B140_0200T Equity Risk This field is automatically populated from Form B140D — Market Risk — Equity. The total equity risk capital charge on that form is transferred here.
          B140_0300T Foreign Exchange Risk This field is automatically populated from Form B140E — Market Risk — Currency, The total foreign exchange risk capital charge on that form is transferred here.
          B140_0400T Commodities Risk This field is automatically populated from Form B140F — Market Risk — Options and Commodities, The total commodities risk capital charge on that form is transferred here.
          B140_0500T Options Risk This field is automatically populated from Form B140F — Market Risk — Options and Commodities, The total options risk capital charge on that form is transferred here.
          B140_06000 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.
          B140_07000 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
          B140_08000 Internal Models This field is automatically populated from Form B140G — Market Risk — VaR, The total market capital charge on that form is reflected here.
          B140_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 B120 — Capital Resources and is included under the Risk Based Capital Requirements section.

        • 1.25 Forms B140A, B140B & B140C — Market Risk Capital Requirement — Interest Rate Risk

          Purpose

          The Forms are intended to capture information on capital charges applicable to interest rate ExposuresG in the Trading BookG of an Authorised FirmG .

          Applicability

          These Forms are applicable to Authorised FirmsG which are Domestic FirmsG categorised under Prudential CategoriesG 1, 2 and 3A. These Forms are not applicable to Authorised FirmsG operating through a BranchG in the DIFC.

          Content

          The Forms are 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.

          These Forms 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

          Firm 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 CategoriesG 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.

        • 1.26 Form B140D — Market Risk Capital Requirement — Equity Risk

          Purpose

          Form B140D 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 CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised FirmsG operating through a BranchG in the DIFC.

          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 ExposuresG 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 in Form B140D. 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.

          For Category 5 entities, the FirmG is required to select the appropriate custom dimension to differentiate between ExposuresG funded through own funds and PSIAu.

          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.5.3.24-25.
          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.5.3.29-30.
          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.5.3.31-32.

        • 1.27 Form B140E — Market Risk Capital Requirement — FX Risk

          Purpose

          Form B140E 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 Firm'sG which are Domestic FirmG s categorised under Prudential CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised Firm'sG operating through a BranchG in the DIFC.

          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

          Form B140E links to two subsequent forms.

          The first Form (Individual Currency Positions) records the positions of the Authorised FirmG in every foreign currency.

          The second Form (Net Position in Currencies) records the gold position of the Authorised FirmG and subsequently calculates the Foreign Exchange capital charge.

          For Category 5 entities, the FirmG is required to select the appropriate custom dimension to differentiate between FX ExposuresG of its own funds and PSIAu.

          Instructional Guidelines

          Item Instructional Guidelines
          Individual Currency Positions Long and short positions in each foreign currency are to be recorded here in accordance with .
          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.

        • 1.28 Form B140F — Market Risk Capital Requirement — Options and Commodities

          Purpose

          Form B140F 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 Firm'sG which are Domestic FirmG s categorised under Prudential CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised Firm'sG operating through a BranchG in the DIFC.

          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

          Form B140F 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 BookG . The respective capital charge is calculated and displayed.

          The second Form (Option Risk Capital Requirement) captures the options Exposure and requires the FirmG to input manually the total applicable capital charge.

          For Category 5 entities, the FirmG is required to select the appropriate custom dimension to differentiate between ExposuresG funded through own funds and PSIAu.

          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 FirmG 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 A5.6.5-10.
          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.

        • 1.29 Form B140G — Market Risk Capital Requirement — VAR

          Purpose

          Form B140G is intended to capture information where Authorised Firm'sG are using the internal models approach to calculate market risk capital requirements.

          Applicability

          This Form is applicable to Authorised Firm'sG which are Domestic FirmG s categorised under Prudential CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised Firm'sG operating through a BranchG in the DIFC.

          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

          Form B140G breaks down the various risk element positions, highlights the applicable risk charge and requires reporting of instances of overshooting.

          For Category 5 entities, the FirmG is required to select the appropriate custom dimension to differentiate between ExposuresG funded through own funds and PSIAu.

          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 Requirement The component VaR capital requirement to the risk category applicable without taking into account adjustments due to overshooting.
          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).
          Incremental Risk Charge The incremental risk charge calculated in accordance to PIB A5.9.2.
          Other Risks Any other risks not specifically captured in the other risk CategoriesG .
          Total Capital Requirement The total applicable capital requirement after taking into account adjustment attributed to overshooting.

        • 1.30 Form B150 — Operational Risk Capital Requirement

          Purpose

          Form B150 is intended to capture information on capital charges applicable to operational risks of an Authorised FirmG .

          Applicability

          This Form is applicable to Authorised Firm'sG which are Domestic FirmG s categorised under Prudential CategoriesG 1, 2, 3A and 5. This Form is not applicable to Authorised Firm'sG operating through a BranchG in the DIFC.

          Content

          The Form is designed to enable Authorised Firm'sG 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 FirmG 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

          Form B150 is presented as a single form. 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). FirmG s using the Standardised Approach will be required to report their revenues broken down by eight business lines. FirmG s 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 FirmG may only use one approach at a time. For SA and ASA, the FirmG is required to obtain written approval from the DFSAG before adopting the approach.

          Approach Instructional Guideline
          Basic Indicator Approach Record the FirmG '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 FirmG '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 FirmG is to complete all the gross income figures related to all business lines excluding Commercial and Retail Banking. For these two lines, the FirmG 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.

        • 1.31 Form B180 — Expenditure Based Capital Minimum

          Form B180 — Expenditure Based Capital Minimum (EBCM) 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 FirmG 's EBCM and whether the FirmG holds sufficient liquid assets, in accordance with PIB 3.5.3, to meet the EBCM notified to the FirmG .

          Applicability

          This Form is applicable to domestic Authorised Firm'sG categorised under Prudential CategoriesG 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 FirmG 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
          B180_1100 Total expenses of the AF in the normal course of business exc. exceptional items The FirmG should include all expenses related to the normal course of business operations (excluding exceptional items) from the B40A — 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.

          This is automatically calculated by EPRS.

            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.
          B180_1200 Staff bonuses Staff bonuses accrued during the reporting period except to the extent that they are non-discretionary.
          B180_1300 Employees and directors shares in profits Employee and directors' shares in profits except to the extent that they are non-discretionary.
          B180_1400 Other appropriations of profits All such appropriations except to the extent that they are automatic.
          B180_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.
          B180_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.
          B180_2000 Foreign exchange losses Losses arising from the translation of foreign currency balances.
          B180_2100 Contributions to charities Voluntary contributions made to charities.
          B180_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. pre-paid rent, pre-paid communication charges) and the amount has also been deducted from capital resources as illiquid assets.
          B180_100T Total expenditure Total Expenses minus deductions above.
          B180_3000 Fraction applied The required fraction the FirmG is to apply in accordance with PIB 3.7.2. When inputting the figure the FirmG is required to calculate the ratio and input the resultant figure into EPRS (e.g. If a FirmG is required to follow the 6/52 ratio, the FirmG would then input 0.115 into EPRS).
          B180_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.
          B180_4000 Expenditure based capital minimum (as notified to the FirmG ) The latest EBCM that has been notified to the FirmG by the DFSAG . If you are unsure of this EBCM figure then contact the DFSAG to obtain this figure.
          B180_5000 Total of liquid assets in accordance with PIB Rule 3.5.3 The amount of liquid assets held in accordance with PIB 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 FirmG s in Category 3B, 3C and 4.
          B180_6000 Liquid assets — EBCM (should be positive for FirmG s in Category 3B, 3C and 4) This is calculated by EPRS.
          This is only applicable to FirmG s in Category 3B, 3C and 4.

        • 1.32 Form B190 — Leverage Ratio

          Purpose

          Form B190 is intended to capture the information, and enable the calculation of the Leverage Ratio (LR) of an Authorised FirmG .

          Applicability

          Form B190 is required to be completed by Authorised Firm'sG in Prudential CategoriesG 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 FirmG s.

          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 CategoriesG :

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

          Instructional Guidelines

          1. The value of ExposuresG 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 Firm'sG are required to disclose and detail the source of material differences between their total balance sheet assets (net of on-balance sheet DerivativeG and SFT assets) as reported in their financial statements and their on-balance sheet ExposuresG 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 Firm'sG 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 ExposuresG
          B190_91200 FirmG s must include all on-balance sheet assets in their Exposure Measure including on-balance sheet DerivativeG collateral and collateral for securities financing transactions (SFTs) but excluding on-balance sheet DerivativeG and SFT assets that are included in lines 4 — 15 below.
          B190_91100 In this line exclude asset items that are deductions from the FirmG 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 RiskG on fair valued liabilities, must not be deducted from the measure of exposure.
          B190_9100T Total on-balance sheet ExposuresG (excluding DerivativeG s and SFTs). This is calculated by EPRS.
          DerivativeG ExposuresG
          B190_92050 DerivativeG ExposuresG , not covered by an eligible netting agreement, are reported here and must include both the exposure arising from the DerivativeG and the CategoriesG Credit RiskG . FirmG s must include the DerivativeG ExposuresG as the Replacement cost (RC) associated with all DerivativeG s 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 FirmG has eligible netting contracts in place these must meet the guidance included in section 2 below.
          B190_92100 'Add-on' amount for all DerivativeG ExposuresG according to section 1 should be reported here.
          B190_92200 Grossed-up amount for collateral. With regard to collateral provided, FirmG s must gross up the exposure measure by the amount of any DerivativeG s collateral provided where the provision of that collateral has reduced the value of their balance sheet assets.
          B190_92210 Deductions of receivables assets from cash variation margin provided in DerivativeG s transactions according to section 10, reported as negative amounts.
          B190_92220 Report here exempted trade ExposuresG associated with a CCP leg of DerivativeG s transactions resulting from client-cleared transactions. These transactions include where a FirmG acting as clearing member offers clearing services to clients, the clearing member's trade ExposuresG to the CCP 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 CCP defaults, must be captured by applying the same treatment that applies to any other type of DerivativeG s 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 CCP defaults, the clearing member need not include the trade ExposuresG to the qualified CCP in this line. Reported as negative amounts.
          B190_92300 Adjusted effective notional amount (i.e. the effective notional amount reduced by any negative change in fair value) for written credit DerivativeG s.

          The effective notional amount of a written credit DerivativeG 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 DerivativeG . The resulting amount may be further reduced by the effective notional amount of a purchased credit DerivativeG 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 DerivativeG in the case of single name credit DerivativeG s; and
          •   the remaining maturity of the credit protection purchased is equal to or greater than the remaining maturity of the written credit DerivativeG .
          B190_92400 Adjusted effective notional offsets of written credit DerivativeG s in B190_92300 and deducted add-on amounts relating to written credit DerivativeG s. Reported as negative amounts.

          FirmG s may deduct the individual PFE add-on amount relating to a written credit DerivativeG (which is not offset in B190_923000 and whose effective notional amount is included in the exposure measure) from their gross add-on included in B190_92100.
          B190_9200T Total DerivativeG ExposuresG . This is calculated by EPRS.
          Securities Financing Transaction ExposuresG
          B190_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.
          B190_93150 Cash payables and cash receivables of gross SFT assets netted according to section 16 (a), reported as negative amounts
          B190_93250 Measure of CategoriesG Credit RiskG for SFTs as determined by section 16(b).
          B190_93300 Agent transaction exposure amount determined according to section 18 and 19.
          B190_9300T Total securities financing transaction ExposuresG . This is calculated by EPRS.
          Other Off-Balance Sheet ExposuresG
          B190_94100 Total off-balance sheet exposure amounts on a gross notional basis, before any adjustment for credit conversion factors according to section 20.
          B190_94200 Reduction in gross amount of off-balance sheet ExposuresG due to the application of credit conversion factors in section 20.
          B190_9400T Off-balance sheet items. This is calculated by EPRS.
          Capital and Total ExposuresG
          B190_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.
          B190_9000T Total ExposuresG . This is calculated by EPRS.
          Basel III LR
          B190_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

          DerivativeG ExposuresG

          1. For DerivativeG ExposuresG 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 DerivativeG . 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 DerivativeG ExposuresG covered by the contract will be the net replacement cost. An eligible bi-lateral netting must include the following:
          a. FirmG s may net transactions subject to novation under which any obligation between a FirmG and its CategoriesG 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. FirmG s 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 FirmG must be in a position to demonstrate to the DFSAG that it has:
          (i) a netting contract or agreement with the CategoriesG that creates a single legal obligation, covering all included transactions, such that the FirmG 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 CategoriesG 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 FirmG 's exposure to be such a net amount under:
          1 - the law of the jurisdiction in which the CategoriesG is established and, if the foreign BranchG of a CategoriesG is involved, then also under the law of jurisdiction in which the BranchG 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 CategoriesG .
          4. For the purposes of calculating potential future credit exposure to a netting CategoriesG 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 DerivativeG ExposuresG 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 CategoriesG the cash received by the recipient CategoriesG is not segregated.
          b. Variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of DerivativeG s positions.
          c. The cash variation margin is received in the same currency as the currency of settlement of the DerivativeG contract.
          d. Variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the DerivativeG subject to the threshold and minimum transfer amounts applicable to the CategoriesG .
          e. DerivativeG s transactions and variation margins are covered by a single master netting agreement between the legal entities that are the counterparties in the DerivativeG s 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 CategoriesG . 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 FirmG may reduce the RC (but not the add-on portion) of the exposure amount of the DerivativeG asset by the amount of cash received if the positive mark-to-market value of the DerivativeG contract(s) has not already been reduced by the same amount of cash variation margin received under the FirmG 's operative accounting standard.
          b. In the case of cash variation margin provided to a CategoriesG , the posting FirmG may deduct the resulting receivable from its LR exposure measure, where the cash variation margin has been recognised as an asset on the FirmG 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 DerivativeG contracts has two countervailing effects on leverage:
          a. It reduces CategoriesG exposure; but
          b. It can also increase the economic resources at the disposal of the FirmG , as the FirmG can use the collateral to leverage itself.
          8. Collateral received in connection with DerivativeG contracts does not necessarily reduce the leverage inherent in a FirmG 's DerivativeG s position, which is generally the case if the settlement exposure arising from the underlying DerivativeG contract is not reduced. As a general rule, collateral received may not be netted against DerivativeG ExposuresG whether or not netting is permitted under the FirmG 's operative accounting or risk-based framework. Hence, when calculating the exposure amount by applying sections 1 to 4 above, a FirmG must not reduce the exposure amount by any collateral received from the CategoriesG .
          9. Treatment of cash variation margin: in the treatment of DerivativeG ExposuresG 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 CategoriesG (QCCP)1 the cash received by the recipient CategoriesG is not segregated.
          b. Variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of DerivativeG s positions.
          c. The cash variation margin is received in the same currency as the currency of settlement of the DerivativeG contract.
          d. Variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the DerivativeG subject to the threshold and minimum transfer amounts applicable to the CategoriesG .
          e. DerivativeG s transactions and variation margins are covered by a single master netting agreement (MNA)23 between the legal entities that are the counterparties in the DerivativeG s 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 CategoriesG . 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 FirmG may reduce the replacement cost (but not the add-on portion) of the exposure amount of the DerivativeG asset by the amount of cash received if the positive mark-to-market value of the DerivativeG contract(s) has not already been reduced by the same amount of cash variation margin received under the FirmG 's operative accounting standard.
          b. In the case of cash variation margin provided to CategoriesG , the posting FirmG may deduct the resulting receivable from its LR exposure measure, where the cash variation margin has been recognised as an asset under the FirmG '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 FirmG acting as clearing member (CM)4 offers clearing services to clients, the clearing member's trade ExposuresG 5 to the central CategoriesG (CCP) 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 CCP defaults, must be captured by applying the same treatment that applies to any other type of DerivativeG s 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 ExposuresG to the QCCP in the LR exposure measure.
          12. Where a client enters directly into a DerivativeG s transaction with the CCP and the CM guarantees the performance of its clients' DerivativeG trade ExposuresG to the CCP, the FirmG acting as the clearing member for the client to the CCP must calculate its related LR exposure resulting from the guarantee as a DerivativeG 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 DerivativeG s: in addition to the CCR exposure arising from the fair value of the contracts, written credit DerivativeG s 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 DerivativeG s 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 DerivativeG s and related collateral, the effective notional amount6 referenced by a written credit DerivativeG is to be included in the exposure measure. The effective notional amount of a written credit DerivativeG 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 DerivativeG . The resulting amount may be further reduced by the effective notional amount of a purchased credit DerivativeG 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 DerivativeG in the case of single name credit DerivativeG s8; and
          b. the remaining maturity of the credit protection purchased is equal to or greater than the remaining maturity of the written credit DerivativeG .
          15. Since written credit DerivativeG s 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 DerivativeG s may be overstated. FirmG s may therefore choose to deduct the individual PFE add-on amount relating to a written credit DerivativeG (which is not offset according to section Error! Reference source not found. 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 ExposuresG

          16. SFT's should include where the FirmG 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 FirmG has recognised the securities as an asset on its balance sheet; and
          (ii) cash payables and cash receivables in SFTs with the same CategoriesG 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 CategoriesG with the amount owed by the CategoriesG 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 CategoriesG for all transactions included in the qualifying MNA (ΣEi), less the total fair value of cash and securities received from the CategoriesG for those transactions (ΣCi). This is illustrated in the following formula:

          E* = max {0, [ΣEi − ΣCi]}
          (ii) Where no qualifying MNA is in place, the current exposure for transactions with a CategoriesG 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, [Ei - Ci]}
          17. Sale accounting transactions — where sale accounting is achieved for an SFT, the FirmG 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 FirmG 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. FirmG acting as agent — this should include a FirmG acting as agent, where the FirmG 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 FirmG is exposed to the CategoriesG 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 FirmG does not own/control the underlying cash or security resource, that resource cannot be leveraged by the FirmG .
          19. Where a FirmG acting as agent in an SFT provides an indemnity or guarantee to a customer or CategoriesG 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 FirmG will be required to calculate its exposure measure by applying only section 16 (b). This treatment only applies where the FirmG acting as agent in an SFT and providing an indemnity or guarantee to a customer or CategoriesG will be considered eligible for this treatment only if the FirmG '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 FirmG 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 DerivativeG s, 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 ExposuresG 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 DerivativeG 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 DerivativeG s:
            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.

          4For 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.

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

          6The 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.

          7The effective notional amount of a written credit DerivativeG may be reduced by any negative change in fair value reflected in the FirmG '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 FirmG 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 DerivativeG (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 DerivativeG s.

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

          9In 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 DerivativeG s 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.

          10For 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.

        • 1.33 Form B210 — Liquidity

          Purpose

          Form B210 is intended to capture information regarding the Liquidity Risk position of an Authorised FirmG .

          Applicability

          This Form is applicable to Authorised Firm'sG authorised under Prudential CategoriesG 1 and 5.

          Content

          The Form is designed to capture information regarding encumbered assets, future contractual cash flows both on and off balance sheet as well as contingent outflows and the overall liquidity position of an Authorised FirmG .

          Structure of the form in EPRS

          In EPRS the form is split into three linked forms:

          1. Inflows and Outflows
          2. Mismatch Ratio
          3. Encumbered Assets

          Instructional Guidelines

          As set out in PIB 9.3.3, an Authorised FirmG in Category 1 or 5 should use the Maturity Mismatch 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 complete the form in individual significant currencies in the event of difficulties either in the individual institution or with the currency in question.
          2. The reported cash outflows and inflows includes future cash flows from all on- and off-balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported.
          3. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as bonuses, dividends and rents which are to be reported as "Other".
          4. Contractual flows shall be allocated across time buckets according to their residual maturity, with days referring to calendar days.

          Residual Maturity

          5. FirmG s should apply a conservative approach in determining contractual maturities of flows, including all of the following:
          a) Where an option to defer payment or receive an advance payment exists, the option is presumed not to be exercised where it would advance inflows to the frim or defer outflows from the FirmG .
          b) all demand and at sight DepositsG shall be reported in the overnight maturity bucket;
          c) open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket according to the notice period;
          d) Retail term DepositsG with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a significant penalty exceeding the loss of interest.
          e) Where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years maturity bucket and notify the DFSAG .
          6. Interest outflows and inflows from all on and off balance sheet instruments should all be included in the relevant time buckets under the relevant headings.
          7. Foreign Exchange ('FX') swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets.

          Time Bands

          8. 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.
          9. The time band 'Demand/Overnight comprises cash flows or asset items due, available or maturing on the next business day after the reporting date. Cash flows arising on a non-business day should be reported as taking place on the following business day. .

          Netting of Cash Flows

          10. Except for part 3 "Liquid Assets and Funding Capacity", where netting is required (see 14 below), cash outflows and inflows shall be reported on a gross basis with a positive sign in the relevant time bucket. Authorised Firm'sG should not net (or offset) claims on Counterparties or GroupG s of Counterparties against debts owed to those Counterparties or GroupG s of Counterparties, even where a legal right of set-off exists. Where the maturity of offsetting cash inflows and outflows falls within the same time band, the flows will automatically offset each other on the return in the calculation of the mismatch.
          11. Liquid Assets and Funding Capacity "Liquid Assets and Funding Capacity" section shall represent the stock of unencumbered assets and other funding sources which are contractually and practically available to the FirmG at the reporting date to meet net cash outflows. These include:
          a) High Quality Liquid Assets (HQLA) as defined in PIB A9.2.1 to A9.2.9 to be reported in items B210_ 01100 to B210_01550 of the Form, depending on their characteristics.
          b) Less liquid (Non HQLA eligible) assets that are either marketable and/or eligible for repo facilities with a Central BankG should be included in items B210_01100 to B210_01700 of the Form. These assets are likely to include "Non HQLA" eligible corporate bonds and Asset Backed Securities and securities issued by financial institutions.
          c) Undrawn secured committed facilities are reported by the type of security required. Only the undrawn portion of the facilities should be reported under item B210_0180T.
          d) The undrawn unsecured committed facilities should be reported by type of provider (GroupG or other). Similarly only the undrawn portion should be reported.
          12. For the "Liquid Assets and Funding Capacity" section, securities outflows and inflows shall be reported on a net basis per maturity bucket with a positive sign if they represent inflows and a negative sign if they represent outflows. For cash flows, the amounts due shall be reported.
          13. The stock of securities should be reported under the column "initial stock" at current market value. Contractually agreed securities flows shall be reported at current market value in the contractual maturity bucket. The corresponding cash inflows should be reported in item B210_25000under the cash inflow section as per their contractual maturity.
          14. Flows arising on credit and liquidity lines shall be reported using the contractual available amounts and in the time bucket as per the agreed tenor of the facility.

          Repos, reverse repo and re-hypothecation

          15. FirmG s are required to report all contractually committed cash flows from a transaction as well as the change in the stock of liquid assets as a result. For example, where a FirmG enters into a one year repo transaction value T+2 using a US Treasury Bill, the cash inflow should be reported in "up to 2 days" bucket, the security outflow should be reported in item B210_01320 under the same time bucket as a negative amount being the market value of the Treasury Bill. A cash outflow should be reported in item B210_21100 in the "9 month up to 1 year bucket" and a security inflow should be reported in item B210_01320 in the same time bucket to reflect the contractual commitment to unwind the repo in one year's time.
          16. Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the "Liquid Assets and Funding Capacity" in the same item used to record the reception of the collateral.

          Form 1 — Inflows and Outflows

          Line Number Item Instructional Guidance
          Part 1 OUTFLOWS The total amount of cash outflows should be reported in the following sub- CategoriesG below:
          B210_1100T Liabilities resulting from securities issued Cash outflows arising from debt securities issued by the reporting FirmG (i.e. own issuances).
          B210_11000 Unsecured debt instruments The amount of cash outflows resulting from securities issued reported in line B210_1000T, which is unsecured debt issued by the FirmG (e.g Bonds, Medium Term Notes, Certificates of DepositsG ...)
          B210_11200 Securitisations due The amount of cash outflows resulting from securities issued, reported in line B210_1100T, where the debt is secured against the FirmG 's assets. Covered Bonds are included in this item.
          B210_11300 Other securities The amount of cash outflows resulting from securities issued reported in line B210_1100T, other than those reported in B210_11000 and B210_11300.
          B210_1200T Collateralised Liabilities Total amount of all cash outflows arising from secured borrowing and capital market driven transactions.

          Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the part 3 (Liquid assets and funding capacity).
          B210_12100 Level 1 Tradable Assets The amount of cash outflows reported in item B120_1200T which is collateralized by tradable assets and reserves at Central BanksG that would meet the requirements of LCR Level 1 asset as per PIB A9.2.6.
          B210_12200 Level 2A Tradable assets The amount of cash outflows reported in item B120_1200T which is collateralized by assets that meet the requirements of .
          B210_12300 Level 2B Tradable Assets The amount of cash outflows reported in item B120_1200T which is collateralized by assets that meet the requirements of .
          B210_12400 Other Tradable Assets The amount of cash outflows reported in item B120_1200T which is collateralized by tradable assets not reported in items B210_12100, B210_12200, and B210_12300.
          B210_12500 Other Assets The amount of cash outflows reported in item B120_1200T which is collateralized by non-tradable assets.
          B210_1300T Uncollateralised Liabilities Cash outflows arising from all uncollateralized liabilities. Do not report here any outflows reported in items B120_1000T or B210_1200T

          DepositsG (or unsecured liabilities) shall be reported according to their earliest possible contractual maturity date. DepositsG that can be withdrawn immediately without notice ('sight DepositsG ') or non-maturity DepositsG shall be reported in the 'overnight/demand' bucket.

          DepositsG held as a collateral against loans are to be reported in the same maturity bucket as the loans, provided that there is a clear and enforceable contractual relationship that links the customer's right to withdraw the deposit to the repayment of the loan.
          B210_13100 Stable Retail DepositsG The amount of cash outflows reported in item B210_1300T, that are stable DepositsG from natural persons or retail SMEs in accordance with the Guidance in PIB A9.2.15.
          B210_13200 Other Retail DepositsG The amount of cash outflows reported in item B210_1300T that are less stable DepositsG from natural persons or retail SMEs in accordance with the Guidance in PIB A9.2.15.
          B210_13300 Operational DepositsG The amount of cash outflows reported in item B210_1300T that are operational DepositsG in accordance with the Guidance in PIB A9.2.15.
          B210_13400 Non-operational DepositsG from credit institutions The amount of cash outflows reported in item B210_1300T, that are non-operational DepositsG by credit institutions.
          B210_13500 Non-operational DepositsG from other financial customers The amount of cash outflows reported in item B210_1300T, that are non-operational DepositsG from financial customers excluding those reported in B210_13400.
          B210_13600 Non-operational DepositsG from central BanksG , sovereigns or PSEs The amount of cash outflows reported in item B210_1300T that are non-operational DepositsG placed by central BanksG , sovereigns or non-financial Public Sector Enterprises.
          B210_13700 Non-operational DepositsG from non-financial corporates The amount of cash outflows reported in item B210_1300T that are non- operational DepositsG placed by non-financial corporates.
          B210_13800 Non-operational DepositsG from other counterparties The amount of cash outflows reported in item B210_1300T, that are non- operational DepositsG not reported in items B210_13400 to B210_13700.
          B210_14000 FX-swaps maturing Total amount of cash outflows resulting from the maturity of FX-swap transactions such as the exchange of principal amounts at the end of the contract. The cash inflows are to be reported under item B210_23000.
          B210_15000 Other DerivativeG s amount payables Total amount of cash outflows resulting from DerivativeG contracts payable positions with the exception of outflows resulting from maturing FX swaps which are reported in item B210_14000.

          The total amount should reflect settlement amounts and unsettled margin calls as of the reporting date.

          Refer to points (m) to (p) under the "Instructional Guidelines" at the beginning of this Form for further details on DerivativeG treatments.
          B210_16000 Other outflows Total amount of all other cash outflows, not reported elsewhere in this section. Contingent outflows shall not be reported here but in part 4.
          B210_1000T Total outflows Calculated by EPRS from the sum of outflows reported in items B210_1100T to B210_16000.
          Part 2 Cash Inflows The total amount of cash inflows should be reported in the following sub- CategoriesG below:
          B210_2100T Monies from lending against securities and capital market driven transactions Report the amount of cash inflows from lending against securities and capital market driven transactions in the time bucket where it is to be received contractually.

          Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the section 3 (Liquid assets and funding capacity).
          B210_21100 Level 1 tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by Level 1 tradable assets that meet the requirements in .
          B210_21200 Level 2A tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by Level 2A tradable assets that meet the requirements in .
          B210_21300 Level 2B tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by Level 2B tradable assets that meet the requirements in .
          B210_21400 Other tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by tradable assets not reported in items B210_21100 to B210_21400 above.
          B210_21500 Other assets The amount of cash inflows reported in item B210_2100T which is collateralized by non-tradable assets.
          B210_2200T Monies due from loans and advances Report all cash inflows from loans and advances in the time bucket where they are contractually due to be received. Past due items as at the reporting date should be reported in the overdue column.

          Cash inflows shall be reported at the latest contractual date for repayment. For revolving credit facilities with no specific maturity, the used portion of the facility is assumed to roll-over, an exception to this is the principals and interest or fee payments to be reported in the time buckets where they are contractually due.

          Any undrawn balances should be treated as committed facilities and reported in part 4 of the Form under item B210_0210T "Outflows from committed facilities".
          B210_22100 Retail customers The amount of cash inflows reported in item B210_2200T that is due from natural persons or retail SMEs as per the guidance in PIB A9.2.15).
          B210_22200 Non-financial corporates The amount of cash inflows reported in item B210_2200T, which is due from non-financial corporates.
          B210_22300 Credit institutions The amount of cash inflows reported in item B210_2200T which is due from credit institutions.
          B210_22400 Other financial customers The amount of cash inflows reported in item B210_2200T, which is due from financial customers other than those reported in Item B210_22300.
          B210_22500 Central BanksG , Sovereigns and PSE The amount of cash inflows reported in item B210_2200T, which is due from Central BanksG , Sovereigns and Public Sector Enterprises.
          B210_22600 Other counterparties The amount of cash inflows reported in item B210_2200T, which derives from other counterparties not referred to in items B210_22100 to B210_22500 above.
          B210_23000 FX-swaps maturing Total amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as the exchange of principal amounts at the end of the contract.

          Include the maturing notional value of cross-currency swaps, FX spot and forward transactions in the applicable time buckets of the template.
          B210_24000 Other DerivativeG s amount receivables Total amount of contractual cash inflows resulting from DerivativeG s receivables positions from DerivativeG contracts with the exception of inflows resulting from maturing FX swaps reported in item B210_23000.

          The total amount shall include settlement amounts including unsettled margin calls as of the reporting date. Please refer to the DerivativeG instructions in points (m) to (p) under the "Instructional Guidelines" at the beginning of this Form for further details on DerivativeG s treatments.
          B210_25000 Securities in own Investment portfolio maturing or sold The amount of inflows from the principal and interest repayments expected from the securities held, reported in the time bucket corresponding to their residual contractual maturity. This item shall include cash inflows from maturing securities reported in section 3 "Liquid Assets and Funding Capacity". The interest on the securities shall be reported in the time bucket when it is contractually due to be received. Therefore, in the time bucket where a security matures, it shall be reported as securities outflow in section 3 and as a cash inflow here.
          B210_26000 Other inflows Total amount of all other cash inflows, not reported in items B210_2100T to B210_25000 above. Contingent inflows shall not be reported here but in part 4 of this Form.
          B210_2000T Total inflows This item is calculated by EPRS from the sum of data items reported in B210_2100T to B210_26000.
          B210_0000T Net contractual gap Calculated by EPRS by taking the total Inflows reported in item B210_2000T less total outflows reported in item B210_1000T.
          B210_0020T Cumulative net contractual gap Calculated by EPRS being the cumulative net contractual gap reported in item B210_0000T from the reporting date to the relevant time bucket.
          Part 3 Liquid Assets and Funding Capacity This section contains information on the development of a FirmG 's holdings of assets with varying degrees of liquidity, as well as on the facilities contractually committed to the institution.

          Tradable assets, are those assets traded in large, deep and active repo or cash markets characterised with low levels of concentration.

          Only report in this section unencumbered assets that are available to the FirmG to convert into cash at any time to meet its net cash outflows during the time horizon.

          Assets that the FirmG received as a collateral in reverse repo and Secured Financing Transactions can be considered as part of the available liquid assets if they are under the direct control of the FirmG and are contractually available for re-hypothecation.

          Where a FirmG has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security outflow at the start of the transaction and as an inflow in the maturity bucket where the repo transaction matures. Correspondingly, a cash inflow shall be reported in item B210_2100T and an outflow from the maturing repo shall be reported in the relevant cash outflow bucket in item B120_1200T.

          Collateral swaps shall be reported as contractual inflows and outflows of securities in section 3 in accordance with the relevant maturity bucket in which these swaps mature.

          Maturing securities in section 3 should be reported based on their contractual maturity. When a security matures or is sold, it should be removed from the asset category it was initially reported in and treated as an outflow of securities, and the resultant cash inflow shall be reported in item B210_25000.

          All security values shall be reported in the relevant maturity bucket at current market values.
          B210_01100 Coins and bank notes Total amount of coins and banknotes held at the FirmG
          B210_01200 Withdrawable Central BankG reserves The total amount of the reserve shall be reported as an initial stock. The amount of the reserve that can be withdrawn from the reserve should be reported as an outflow in the maturity bucket 'overnight' only to the extent it can be operationally and practically withdrawn.

          Future changes to withdrawable reserves due contractual drawdowns and paybacks on or against the reserves should be reported in the relevant maturity buckets in this item.

          Cash inflow is to be reported in item B210_22500 if it is not yet received as at the reporting date.

          Report the cash outflow to the Central BankG in the relevant maturity bucket under item B210_12100.

          Securities representing claims on or guaranteed by central BanksG shall not be reported here.
          B210_0130T Level 1 tradable assets Report the market value (no haircuts) of tradable assets that qualify as Level 1 tradable assets by meeting the requirements in . as initial stock and contractual future contractual movement of these securities in the relevant time bucket.
          B210_01310 Level 1 Central BankG The amount reported in item B210_0130T which is assets representing claims on or guaranteed on central BanksG (e.g. Central BankG issued CDs).
          B210_01320 Level 1 (CQG 1) The amount reported in item B210_0130T, which is assets representing claims on or guaranteed by an entity that is assigned a Credit Quality Grade (CQG) 1 as per PIB 4.11 other than that reported in B210_01310.
          B210_01330 Level 1 (CQG 2, CQG3) The amount reported in item B210_0130T other than those reported in items B210_01310 and B210_01320 which is assets representing claims on or guaranteed by an issuer or a guarantor that is assigned a Credit Quality Grade 2 or 3 as per PIB 4.11.
          B210_01340 Level 1 (CQG 4 +) The amount reported in item B210_0130T other than those reported in items B210_01310 to B210_01330 which is assets representing claims on or guaranteed by an issuer or a guarantor that is assigned a Credit Quality Grade 4 or lower as per PIB 4.11.
          B210_01350 Other Level 1 Assets The amount reported in item B210_0130T which is not reported in items B210_01310 to B210_01330.
          B210_0140T Level 2A tradable assets The market value (no haircuts) of tradable assets that qualify as Level 2A tradable assets by meeting the requirements in .
          B210_01410 Level 2A corporate bond The amount reported in item B210_0140T which is corporate bonds.
          B210_01420 Level 2A covered bonds The amount reported in item B210_0140T which is covered bonds.
          B210_01430 Level 2A Government/public sector The amount reported in item B210_0140T which is assets representing claims on or guaranteed by central governments, central BanksG , regional governments, local authorities or public sector entities.
          B210_01440 Other Level 2A The amount in item B210_0140T other than what is reported in Items B210_01410 to B210_01430.
          B210_0150T Level 2B tradable assets The market value (no haircuts) of tradable assets that qualify as Level 2B tradable assets by meeting the requirements in .
          B210_01510 Level 2B Asset Backed Securities The amount reported in item B210_0150T which is asset backed securities.
          B210_01520 Level 2B covered bonds The amount reported in item B210_0150T which is covered bonds.
          B210_01530 Level 2B corporate bonds The amount reported in item B210_0150T which is corporate debt securities.
          B210_01540 Level 2B shares The amount reported in item B210_0150T which is shares.
          B210_01550 Other Level 2B The amount reported in B210_0150T which is Level 2B assets that are not included in items B210_01410 to B210_01540.
          B210_0160T Other tradable assets The market value of tradable assets other than those reported in items B210_0130T, B210_0140T and B210_0150T. A tradable asset has the following characteristics:
          •   Regularly quoted prices
          •   Regularly traded
          •   The asset can readily be sold, including by a repurchase agreement, either on an exchange or in a deep and liquid market for payment in cash.
          •   Settlement is in accordance to a prescribed timetable rather than a negotiated one.
          B210_01610 Other tradable assets — Investment (CQG 1 to 3) The amount reported in item B210_0160T which is an asset representing a claim on or guaranteed by an entity that is assigned a credit quality grade 1 to 3 (Investment Grade) in line with PIB 4.11.
          B210_01620 Other tradable assets — Non Investment Grade (CQG 4 to 6) The amount reported in item B210_0160T which is an asset representing a claim on or guaranteed by an entity that is assigned a credit quality grade 4, 5 or 6 (non-investment grade) in line with PIB 4.11.
          B210_01700 Non-tradable assets eligible for Central BankG Repo The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of a Central BankG to which the DIFC FirmG has direct access to (if any).
          B210_0180T Undrawn unsecured committed facilities received Total amount of unsecured undrawn committed facilities extended to the FirmG . Only report here contractually irrevocable facilities.

          A draw down or other change on the contractually available amount of credit and liquidity lines should reduce the available limit reported in this item, corresponding contractual cash flows should be reported in parts 1 and 2 of this Form depending on the CategoriesG .
          B210_01810 Unsecured from intraGroupG The amount reported in B210_01810T where the CategoriesG is a GroupG member or the Head Office.
          B210_01820 Unsecured from non-GroupG counterparties The amount reported in B210_01820T other than the amount provided by GroupG members in B210_01810.
          B210_0100T Net change of Liquid Assets and Funding Capacity Calculated by EPRS as the sum of items in B210_01100 to B210_0180T in a given time bucket.
          B210_0010T Cumulative Liquid Assets and Funding Capacity Cumulative amount of Liquid Assets and Funding Capacity in item B210_0100T from the reporting date to the relevant time bucket.
          Part 4 CONTINGENCIES This section contains information on contractual contingent outflows.
          B210_0210T Outflows from committed facilities FirmG s should report as an outflow the maximum amount from committed non-cancellable facilities that can be contractually drawn in a given time period. For revolving credit facilities, only the undrawn portion of the existing facilities should be reported.
          B210_02110 Committed credit facilities The amount reported in item B210_02110T, which relates to committed non-cancellable Credit Facilities.
          B210_02120 Liquidity facilities The amount reported in item B210_02120T, which relates to committed non-cancellable liquidity Facilities.
          B210_02300 Outflows due to downgrade triggers Report here the contractual effect of a 3 notch downgrade in the FirmG 's external credit. This item will include additional collateral that needs to be posted as per contractual agreements.
          Part 5 MEMORANDUM ITEMS Information required in this section is supplementary to the information collected in other parts of the form and includes intra-GroupG flows and behavioral analysis for FirmG s with retail CategoriesG where assumptions have been agreed with the DFSAG .
          B210_03100 IntraGroupG outflows (excluding FX) Report the sum of outflows excluding Foreign Exchange flows reported in item B210_03100, where the CategoriesG is a member of the same GroupG as the reporting FirmG .
          B210_03200 IntraGroupG inflows (excluding FX) Report the sum of all inflows excluding Foreign Exchange flows reported in item B210_03200, where the CategoriesG is a member of the same GroupG as the reporting FirmG .
          B210_03300 Behavioral outflows from Retail items This line item applies only to FirmG s using behavioral assumptions for retail outflows as agreed with the DFSAG .

          Redistribute the amount reported in items B210_13100 and B210_13200 into the time buckets according to the behavioral maturity on a 'business as usual' basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, 'business as usual' means conservative estimates based on historical data analysis without a "severe" liquidity stress scenario. The distribution should reflect the conservative 'stickiness' of the retail DepositsG .
          This item does not reflect business plan assumptions and therefore shall not include information relating to new business activities.

          Allocation across the time buckets should follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.
          B210_03400 Behavioral inflows from Retail products This line item applies only to FirmG s using behavioral assumptions for retail inflows as agreed with the DFSAG .

          Redistribute the amount reported in item B210_22100 into the time buckets according to the behavioral maturity on a 'business as usual' basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, 'business as usual' means conservative estimates based on historical data analysis without a "severe" liquidity stress scenario.

          The item does not consider new business activities.

          Allocation across the time buckets should follow the granularity used for internal purposes. Therefore, not all time buckets must necessarily be filled in.
          B210_03500 Behavioral draw-downs of retail committed facilities This line item applies only to FirmG s using behavioral assumptions for retail committed facilities as agreed with the DFSAG .

          Redistribute the amount reported in item B210_0210T relating to retail facilities into the time buckets according to the behavioral level of draw-downs and resulting liquidity needs on a 'business as usual' basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, 'business as usual' means conservative estimates based historical data analysis without a severe "liquidity stress scenario".

          The item does not reflect business plan assumptions and therefore shall not consider new business activities.

          Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.

          Form 2 — Calculation of Mismatch Ratio

          Item Number Calculation of Liquidity Mismatch Ratio

          Authorised Firm'sG should monitor compliance with their liquidity mismatch ratios each business day. EPRS calculates the mismatch ratio using data from the Maturity Mismatch Leader and inputs from the FirmG as explained below.
          B210_2010 to B210_2070 Discount the eligible liquid assets using the haircuts provided for each (see PIB A9.3 for more details) and input the discounted amount in the relevant column (i.e. Non-Islamic and self-financed business or Islamic assets relevant to unrestricted PSIA business).

          Only include eligible assets from the mismatch leader that are reported in line items: B210_01100, B210_01200, B210_0130T, B210_0140T, B210_0150T, B210_0160T.
          B210_2000 Where the reporting FirmG does not have an Islamic window, input in this cell the cumulative net contractual cash flow gap relevant to the time bucket (i.e. (6 to 8 days) or (14 up to 30 days) from Item B210_0020T in the inflows and outflows schedule.

          FirmG s that have retail DepositsG /PSIA, should adjust the Cumulative net contractual Cash flow gap above using the behavioural assumptions that are reported in Items B210_03300 and B210_03400 as agreed with the DFSAG .

          Where a FirmG is operating an Islamic window, calculate the net cumulative cash flows separately for "Non Islamic and self-financed business" and "Unrestricted PSIA Business" and report them in the relevant column.
          B210_3000 The FirmG needs to input the potential outflows from contingent items based on the likelihood that the conditions necessary for triggering the outflows are being fulfilled within the applicable mismatch ratio period.

          FirmG s with Retail contingent facilities should adjust the amount reported with the behavioural flows as agreed with the DFSAG as per memorandum item B210_03500.

          Input the amount with a negative sign under the relevant type of business and time bucket.
          B210_4000 The cell is calculated automatically by adding the Eligible Liquid assets after discounting in item B210_200T and, the "Cumulative net contractual Cash flow gap" in item B210_2000 and the "Contingent outflows likely to be triggered" in item B210_3000.
          B210_5000 Input the relevant deposit or PSIA base as per PIB 9.3.11
          B210_6000 The cell is calculated automatically by dividing the amount of "Relevant Liabilities adjusted for Liquid Assets" in item B210_4000 by the "Total Deposit or PSIA Base" reported in item B210_5000 as per the formula in PIB 9.3.11 (2).
            FirmG s licensed to accept retail DepositsG and provide retail loans should approach the DFSAG to agree behavioural assumptions for these CategoriesG . The agreed assumptions should be used to complete memorandum items B210_03300 and B210_03400. The Mismatch ratio with behavioural assumptions will then be used for the purpose of complying with PIB 9.3.11.
          Mismatch as a % of total DepositsG As set out in PIB Rule 9.3.11, the mismatch positions should not exceed -15% for the sight — 8 days. FirmG s are encouraged to set other limits for various maturity buckets and/or items to ensure a diversified and prudent funding base in line with its own risk appetite.

          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 Contracts are as follows and it is for the Authorised FirmG to determine in which of the CategoriesG 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).
          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 Contracts, 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.

          Form 3 — Encumbered Assets

          This Form is in two parts, the first part intends to capture the following as at the reporting date:

          1. Pledged or encumbered assets by category
          2. Assets available to be encumbered/pledged
          3. Portion of assets eligible to be used in Central BankG facilities.

          The second part of the Form captures the collateral received by the Authorised FirmG . It further seeks to identify the portion of this collateral that can be re-used by the FirmG to secure its own positions (re-hypothecated) and how much has already been re-used.

          All amounts should be reported as per the carrying value of the asset/collateral.

          Section Instructional Guideline
          Part 1
          DepositsG and Money Market placements Under the column "Encumbered/Pledged" report the amount of encumbered and pledged assets next to the relevant asset category.

          An encumbered assets is an asset that is not free of legal, regulatory, contractual or other restrictions on the ability of the Authorised FirmG to liquidate, sell, transfer, or assign the asset. For example, due to the asset being used for backing securities or covered bonds or pledged in securities financing transactions or collateral swaps. A pledged asset is an asset made available either explicitly or implicitly to secure, collateralise or credit-enhance any transaction, or designated to cover operational costs.

          Under the column "Available for Encumbrance" report next to the relevant asset category, the amount that the Authorised FirmG has the legal right as well as the operational set up to assign, pledge or encumber the asset in favour of a 3rd party to secure future funding.

          Under the column "Central BankG Eligible assets", report next to the relevant asset category, the portion of the assets reported in the column "Available for Encumbrance" that are eligible to for use as a collateral/security under a Central BankG liquidity facility offered in a business as usual scenario.
          Loans and advances
          Equity instruments
          Debt securities
          Other assets
           
          Part 2
          DepositsG In the column "Collateral Received" The amount of all the collateral received by the Authorised FirmG should be reported next to the relevant collateral category type on the left.

          In the column "Of which: Eligible for Rehypothecation" The Authorised FirmG should identify and report the portion of the amount reported under "Collateral Received" above where it has rehypothecation rights. An asset received as a collateral is eligible for rehypothecation if the Authorised FirmG has the full contractual rights and operational ability to liquidate, sell, transfer, or assign the asset to a 3rd party.

          In the column "Of which: Rehypothecated" The Authorised FirmG should report the portion of the amount reported under ""Of which: Eligible for Rehypothecation" above, where the FirmG has already rehypothecated (used) the collateral. For example to raise secured funding.

        • 1.34 Form B220 — Liquidity Coverage Ratio

          Purpose

          Form B220 — Liquidity Coverage Ratio (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 Firm'sG operating under Prudential CategoriesG 1 and 5.

          Content

          This Form is designed to capture detailed information about the Authorised FirmG 's 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

          Form B220 — 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.
          B220_00110 Coins and bank notes Physical coins and bank notes held.
          B220_00120 Qualifying Central BankG reserves Ref. PIB A9.2.6(2)(b) and Basel III LCR Section II.A.4 Paragraph 50(b).

          Central BankG reserves would include BanksG ' overnight DepositsG with the Central BankG , and term DepositsG with the Central BankG 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 BankG ). Other term DepositsG with central BanksG are not eligible for the stock of HQLA.
          B220_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 BanksG ("CBs"), non-central government public sector entities ("PSEs"), the Bank for International Settlements, the International Monetary Fund, the European Commission, or multilateral development BanksG ("MDBs") satisfying all of the conditions under PIB A9.2.6(2)(c).
          B220_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).
          B220_0010T Total stock of Level 1 Assets This figure is calculated by EPRS.
          B220_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 A9.2.2.
          B220_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.
          B220_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 BanksG ("CBs"), non-central government public sector entities ("PSEs") or multilateral development BanksG ("MDBs") satisfying all of the conditions under PIB A9.2.7(2)(a).
          B220_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.
          B220_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.
          B220_0020T Total stock of Level 2A Assets This figure is calculated by EPRS.
          B220_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 A9.2.2.
          B220_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.
          B220_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).
          B220_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.
          B220_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).
          B220_0030T Total stock of Level 2B Assets This figure is calculated by EPRS.
          B220_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.
          B220_00350 Adjusted amount of Level 2B Assets This figure is calculated by EPRS.
          B220_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.
          B220_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.
          B220_06000 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.
          B220_0110T
          A. Retail DepositsG
          Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i) Paragraphs 73–74.
            Demand deposit and qualifying term DepositsG with residual maturity or notice period within 30 days.
          B220_01120 Stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(a) Paragraphs 75–77.
          B220_01130 Retail — Less stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(b) Paragraphs 79–81.
          B220_01140 Retail — Term DepositsG (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 DepositsG with residual maturity greater than 30 days and with no legal right to withdraw or a withdrawal with a significant penalty.
          B220_0120T
          B. Unsecured Wholesale Funding
          Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii) Paragraphs 85–88.
          Funding from:
          B220_01210 Small business customers — Stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89–91.
          B220_01220 Small business customers — Less stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89–91.
          B220_01230 Small bus. cust. — Term DepositsG (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 DepositsG 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 DepositsG from small business customers should be treated in accordance with the treatment for term retail DepositsG .
          B220_01240 Operational DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(b) Paragraphs 93–103.

          This category comprises outflows from operational DepositsG generated by clearing, custody and cash management activities.
          B220_01250 Operational DepositsG 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 DepositsG generated by clearing, custody and cash management activities fully covered by a deposit protection scheme.
          B220_01260 Cooperative BanksG 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 BanksG is a GroupG of legally autonomous BanksG with a statutory framework of cooperation with common strategic focus and brand where specific functions are performed by central institutions or specialised service providers.
          B220_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 DepositsG 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 BankG ("CBs"), multilateral development BanksG ("MDBs"), and public sector sntities ("PSEs") customers that are not specifically held for operational purposes.
          B220_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 DepositsG and other extensions of unsecured wholesale funding from non-financial corporate customers, sovereigns, central BanksG ("CBs"), multilateral development BanksG ("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.
          B220_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 DepositsG and other extensions of unsecured wholesale funding from other legal entity customers (including BanksG , securities FirmG s, 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 CategoriesG .

          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.
          B220_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.
          B220_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.
          B220_01320 SFTs backed by Level 2A assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
          B220_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 BanksG , or domestic public sector entities ("PSEs") as CategoriesG . PSEs are limited to those that are 20% risk weighted or better.
          B220_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.
          B220_01350 SFTs backed by other Level 2B assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
          B220_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 CategoriesG ), including transactions where a bank has satisfied customers' short positions with its own long inventory.
          B220_0140T
          D. Additional Requirements
           
          B220_01410 DerivativeG s cash outflows Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 116–117.

          Expected contractual DerivativeG 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 CategoriesG , 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 DerivativeG 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.
          B220_01420 Liquidity needs: financing transactions, DerivativeG s 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, DerivativeG s 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 FirmG 's 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.
          B220_01430 Valuation changes on non-Level 1 posted collat. securing DerivativeG s 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 DerivativeG and other transactions. The value can be netted against the amount of collateral received on a CategoriesG basis (provided that the collateral received is not subject to restrictions on re-use or re-hypothecation).
          B220_01440 Excess collateral — DerivativeG 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 CategoriesG .
          B220_01450 Liquidity needs — collateral due on DerivativeG s 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 CategoriesG has not yet demanded the collateral be posted.
          B220_01460 Liquidity needs — DerivativeG 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.
          B220_01470 Market valuation changes on DerivativeG s 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.:
          B220_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.
          B220_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 DerivativeG s or DerivativeG -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 CategoriesG to secure the facilities or that are contractually obliged to be posted when the CategoriesG 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
          B220_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).
          B220_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).
          B220_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).
          B220_01530 Credit & Liquidity Facil.: BanksG subject to prudential supervision Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(d).
          B220_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 FirmG s, 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.
          B220_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 FirmG s, insurance companies, fiduciaries and beneficiaries.
          B220_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 CategoriesG .
          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 RiskG of an originator or seller of ExposuresG .
          B220_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.
          B220_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 CategoriesG ) 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 Firm'sG are expected to use historical behaviour in determining appropriate outflows. All identified contractual and non-contractual contingent liabilities and their assumptions should be documented, along with their related triggers.
          B220_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.
          B220_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 FirmG s, are excluded from this category and treated under the relevant "undrawn committed credit and liquidity facilities" CategoriesG .

          B220_01610 Unconditionally revocable "uncommitted" credit and liquidity facilities Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
          B220_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.
          B220_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.
          B220_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.
          B220_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.
          B220_01660 Other non-contractual 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 CategoriesG .
          B220_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.
          B220_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.
          B220_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.
          B220_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 ExposuresG 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. revere repos and securities borrowing), with the following as collateral:
          B220_02110 Level 1 assets Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(i) Paragraphs 145–148.
          B220_02120 Level 2A Assets
          B220_02130 Level 2B Assets — eligible RMBS
          B220_02140 Level 2B Assets — Other assets
          B220_02150 Margin lending backed by all other collateral
          B220_02160 All other assets
          B220_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.
          B220_02180 Operational DepositsG 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 DepositsG held at other financial institutions (including DepositsG held at centralised institution of a network of co-operative BanksG ) for operational purposes such as for clearing, custody, and cash management purposes.
          Other inflows by CategoriesG 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.
          B220_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.
          B220_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 BanksG , and public sector entities) from transactions other than those listed in the inflow CategoriesG above. These includes all payments (including interest payments and instalments) that are fully performing and contractually due within the 30-day horizon.
          B220_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 CategoriesG 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 DepositsG (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.
          B220_02220 Net DerivativeG receivables Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 158–159.

          Where DerivativeG s 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.
          B220_02230 Other contractual cash inflows Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraph 160.
          B220_02240 Adjustment to net cash inflows to not excess 75% of net cash outflows Ref. PIB A9.2.13(1).

          This field is automatically calculated by EPRS as an adjuster to limit Total Cash Inflows at 75% of Total Cash Outflows.
          B220_0200T Total Cash Inflows This figure is calculated by EPRS.
          B220_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.
          B220_05000 Liquidity Coverage Ratio ("LCR") Ref. PIB 9.3.5 and Basel III LCR Section II Paragraph 22.

          This figure is calculated by EPRS.

        • 1.35 Form B230 — Net Stable Funding Ratio

          Purpose

          Form B230 — NSFR intends to calculate the net Stable Funding Ratio of an Authorised FirmG and to determine the required level of Stable Funding to support its activities.

          Applicability

          This Form is applicable to DIFC incorporated Authorised Firm'sG operating under Prudential CategoriesG 1 and 5.

          Content

          This Form is designed to capture detailed information about the Authorised FirmG 's Available Stable Funding (ASF) as well as Required Stable Funding (RSF). The Form is also used to calculate the Net Stable Funding Ratio based on the factors assigned to both ASF and RSF.

          Structure of the form in EPRS

          Form B230 — NSFR is presented as a single form.

          Instructional Guidelines

          The DFSAG reporting template follows closely the NSFR and LCR standards of the Basel Committee on Banking Supervision. The NSFR standard as published in its October 2014 document titled "Basel III: The Net Stable Funding Ratio" (referred to as "Basel III NSFR"). The LCR standard as published in 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 NSFR 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.

          Instructional Guidelines

          Line Num. Line Item Instructional Guideline
          A) Net Stable Funding Ratio "NSFR"
          1 Capital base before deductions (excluding capital instruments with < 1 year maturity) Tier 1 and 2 capital (as per PIB 3.12.1 and 3.15.2), before the application of capital deductions and excluding the proportion of Tier 2 instruments with residual maturity of less than one year.
          2 "Stable" (as defined in the LCR) demand and/or term DepositsG from retail and small business customers "Stable" non-maturity (demand) DepositsG and/or term DepositsG provided by retail customers and small business customers that are considered stable in line with PIB A9.2.15 & and Basel III LCR paragraphs 75 to 78, should be reported in this row under the relevant column as per their contractual maturity.

          Term DepositsG , regardless of the residual contractual maturity, which may be withdrawn early without entailing a withdrawal penalty significantly greater than the loss of interest should be reported in the <6 months column.
          3 "Less Stable" (as defined in the LCR) demand and/or term DepositsG from retail and SME customers "Less Stable" non-maturity (demand) DepositsG and/or term DepositsG provided by retail customers and small business customers that are less stable in line with the LCR treatment in PIB A9.2.15 & and Basel III LCR paragraphs 79 to 81, should be reported in this row under the relevant column as per their contractual maturity.

          Term DepositsG , regardless of the residual contractual maturity, which may be withdrawn early without entailing a withdrawal penalty significantly greater than the loss of interest should be reported in the <6 months column.
          4 Funding from non-financial corporates (secured and unsecured) Non-maturity and/or term DepositsG provided by non-financial corporates (excluding small business customers) should be reported in this row under the relevant column as per their contractual maturity. Include secured and unsecured funding.
          5 Funding from sovereigns/PSEs/ MDBs (secured and unsecured) Secured and unsecured non-maturity DepositsG and/or term DepositsG provided by sovereigns, public sector entities (PSEs), and multilateral development BanksG (MDBs) should be reported in this row under the relevant column as per their contractual maturity.
          6 Unsecured funding from other legal entities (including financial institutions & Central BanksG ) that meets the definition of Operational deposit (as defined in the LCR) Unsecured funding provided by other legal entities not listed above (including financial institutions and Central BanksG ) that meet the definition of operational DepositsG under PIB A9.2.15 and paragraphs 93–104 of Basel III LCR standard should be reported in this row under the relevant column as per their contractual maturity.
          7 All other funding and liabilities not mentioned above All other funding and liabilities not mentioned above should be reported in this row under the relevant column as per their contractual maturity.

          This section should include DerivativeG liabilities based on the replacement cost for DerivativeG contracts (obtained by marking to market) where the contract has a negative value. When an eligible bilateral netting contract is in place that meets the conditions as specified in B300 "Leverage Ratio", the replacement cost for the set of DerivativeG ExposuresG covered by the contract will be the net replacement cost.
          The value reported here should be gross of variation margin posted. That is, it should represent DerivativeG liabilities prior to the deduction of variation margin posted.
          B) Required Stable Funding ( RSF)
          The required amount of stable funding is calculated by first assigning the carrying value of an institution's assets to the CategoriesG below. The amount assigned to each category is to be multiplied by an RSF factor and the total RSF is the sum of the weighted amounts. The carrying value of an asset item should generally be recorded by following its accounting value, i.e. net of specific provisions.

          The Form requires BanksG to allocate their assets to specific Required Stable Funding (RSF) CategoriesG according to:
          (i) their remaining maturity;
          (ii) whether they are unencumbered or encumbered; and,
          (iii) if they are encumbered, the duration of the encumbrance.

          Assets that are deducted from capital should be reported in the relevant asset CategoriesG .

          Treatment of maturity

          •   All assets should be allocated to the appropriate columns based on their residual maturity or liquidity value.
          •   When determining the maturity of an instrument, investors are assumed to exercise any option to extend maturity.
          •   For assets with options exercisable at the bank's discretion, BanksG should assume to meet investor's expectation for the purpose of the NSFR and include these assets in the corresponding RSF category.
          •   If there is a contractual provision with a review date to determine whether a given facility or loan is renewed or not, options by a bank not to renew should generally be assumed not to be exercised when there may be reputational concerns.
          •   For amortised loans, the portion of any loan or claim that comes due in a given time bucket has to be assigned to the corresponding maturity and is subject to the corresponding RSF factor.

          Treatment of DerivativeG s payables and DerivativeG s receivables

          DerivativeG liabilities are calculated based on the replacement cost for DerivativeG contracts (obtained by marking to market) where the contract has a negative value. When an eligible bilateral netting contract is in place that meets the conditions as specified in the instruction to Form B300 "the leverage ratio" and paragraphs 8 and 9 of the annex of the Basel III leverage ratio framework, the replacement cost for the set of DerivativeG ExposuresG covered by the contract will be the net replacement cost. In calculating NSFR DerivativeG liabilities, collateral posted in the form of variation margin in connection with DerivativeG s contracts, regardless of the asset type, must be deducted from the negative replacement cost amount.

          DerivativeG assets are calculated based on the replacement cost for DerivativeG contracts (obtained by marking to market) where the contract has a positive value. When an eligible bilateral netting contract is in place that meets the conditions as specified in the instruction to Form B300 "the leverage ratio" and paragraphs 8 and 9 of the annex of the Basel III leverage ratio framework, the replacement cost for the set of DerivativeG ExposuresG covered by the contract will be the net replacement cost. In calculating NSFR DerivativeG s assets, collateral received in connection with DerivativeG s contracts may not offset the positive replacement cost amount, regardless of whether or not netting is permitted under the bank's operative accounting or risk-based framework, unless it is received in the form of cash variation margin and meets the conditions as specified in the instruction to Form B190 "the leverage ratio" and paragraph 25 of the Basel III Leverage ratio framework. Any remaining balance sheet liability associated with (a) variation margin received that does not meet the criteria above or (b) initial margin received, may not offset DerivativeG assets and should be assigned a 0% ASF factor and not reported in this Form.

          1 Reserves and Central BankG securities with less than 6 months to maturity Include in this row coins and banknotes currently held and immediately available to meet obligations.

          Total amount held in Central BankG reserves (including required and excess reserves) including BanksG ' overnight DepositsG with the Central BankG and term DepositsG with the Central BankG . Also, include in this category securities issued by the Central BankG that have less than 6 months to maturity.
          2 Loans to financial institutions secured by Level 1 collateral and where the bank has the ability to freely re-hypothecate the received collateral for the life of the loan Report performing loans to all financial institutions secured by level 1 LCR assets (as defined in PIB A9.2.6) that are freely available for the bank to re-hypothecate in the relevant category based on their encumbrance status.

          The carrying amount of the loan/facility should be reported in the columns commensurate to its remaining maturity (<6 months, between 6months and one year or over 1 year)
          2.1 Unencumbered & Encumbered for less than 6 months Report performing loans that meet 2 above which are unencumbered or encumbered for less than 6 months
          2.2 Remaining period of encumbrance 6 months to < 1 year Report performing loans that meet 2 above which are encumbered for a remaining period between 6 and 12 months.
          2.3 Remaining period of encumbrance 1 year Report performing loans that meet 2 above which are encumbered for a remaining period over 1 year.
          3 All other secured and unsecured loans to financial institutions, of which: All loans to financial institutions that do not meet the requirement in 2 (i.e. unsecured, or secured with assets other than LCR level 1 assets, or secured with level 1 LCR assets that cannot be rehypothecated).

          The loans should be reported in the relevant category based on their residual encumbrance as in 2 above.

          The carrying amount of the loan/facility should be reported in the columns commensurate to its remaining maturity (<6 months, between 6months and one year or over 1 year)
          4 Securities eligible as Level 1 HQLA in the LCR Report all securities that meet the definition of level 1 HQLA in in the in the relevant category based on the remaining encumbrance as in 2 above.

          The carrying amount of the security should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year or over 1 year)
          5 Securities eligible as Level 2A HQLA in the LCR Report all securities that meet the definition of level 2A HQLA in PIB 9.2.7 in the in the relevant CategoriesG based on the remaining encumbrance as in 2 above.

          The carrying amount of the security should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year or over 1 year).
          6 Securities eligible as Level 2B HQLA in the LCR Report all securities that meet the definition of level 2B HQLA in in the relevant CategoriesG based on the remaining encumbrance under:
          1. Unencumbered or residual encumbrance less than 1 year, and 2. Encumbrance beyond one year.
          The carrying amount of the security should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year or over 1 year)
          7 DepositsG held at financial institutions for operational purposes DepositsG held at financial institutions, including BanksG subject to prudential supervision, for operational purposes, as defined in under PIB A9.2.15 and the LCR standard paragraphs 93 to 104 should reported in the below CategoriesG based on the remaining encumbrance as in 6 above.

          The carrying amount of the deposit should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year or over 1 year)

          Note: — Non-operational DepositsG held at other financial institutions should be included with loans to financial institutions in 3 above.
          8 Loans to non-financial corporate clients with a residual maturity of less than one year Performing loans to non-financial corporate clients having a residual maturity of less than one year and a risk weight greater than 35% under should be reported in the relevant category based on encumbrance levels as in 6 above.

          The carrying amount of the loan should be reported in the columns commensurate to its remaining maturity (<6 months, or between 6 months and one year)
          9 Loans to central BanksG with a residual maturity of less than one year Performing loans to central BanksG having a residual maturity of less than one year that do not qualify to meet local reserve requirements should be reported in the relevant category based on their encumbrance as in 2 above.

          Balances (including term placements) that qualify toward reserve requirements should be reported in item 1 above.

          The carrying amount of the loan should be reported in the columns commensurate to its remaining maturity (<6 months, or between 6 months and one year)
          10 Loans to sovereigns, PSEs, MDBs with a residual maturity of less than one year; of which: Performing Loans to sovereigns, Public Sector Entities, and Multilateral Development BanksG (MDB) with a residual maturity of less than one year should be reported in in the relevant category based on their encumbrance as in 6 above.

          The carrying amount of the loan should be reported in the columns commensurate to its remaining maturity (<6 months, or between 6 months and one year).
          11 Residential mortgages of any maturity that would qualify for 50% or lower risk weight under PIB 4.12.17 Performing residential mortgages of any maturity that would qualify for the 50% or lower risk weight under PIB 4.12.17 should be reported in the relevant category based on their encumbrance as in 6 above.

          Balances for floating rate loans where the borrower may repay the loan in full and without penalty charges at the next rate reset date should be considered as having an effective residual maturity of greater than one year.

          The carrying amount of the loan should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year, over 1 year )
          12 Other loans, excluding loans to financial institutions, with a residual maturity of one year or greater that would qualify for 35% under PIB 4.12. All other performing loans, excluding loans to financial institutions, with a residual maturity of one year or more, that would qualify for the 35% or lower risk weight under PIB 4.12 should be reported in the relevant category based on their encumbrance as in 6 above.

          The carrying amount of the loan should be reported in the columns commensurate to its remaining maturity (over 1 year).
          13 Loans to retail and small business customers with a residual maturity of less than one year Performing Loans to retail clients (e.g. natural persons) and small business customers (as defined in PIB 9.2.15 and LCR Standard paragraphs 89–91) having a residual maturity of less than one year should be reported in the relevant category based on their encumbrance as in 6 above.

          The carrying amount of the loan should be reported in the columns commensurate to its remaining maturity (<6 months or between 6 months and one year)
          14 Performing loans not reported in above CategoriesG with risk weights greater than 35% under PIB 4.12. Performing loans, not captured by one of the above CategoriesG , with a greater than 35% risk weight under PIB 4.12, having a residual maturity of less than one year should be reported in the relevant category based on their encumbrance as in 6 above.

          The carrying amount of the loan should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year, and above one year)
          15 Non-HQLA exchange traded equities; of which: Exchange traded equities that do not qualify as Level 2B assets as per paragraph 54(c) of the Basel III LCR standards and PIB 9.2.8. Should be reported in the relevant category based on their remaining encumbrance as in 6 above, under the column ">= 1 year".
          16 Non-HQLA securities Performing Securities that do not meet the LCR HQLA definition as per PIB 9.2.6 to PIB 9.2.9 should be reported in the relevant category based on their encumbrance as in 6 above.

          The carrying amount of the security should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year, and one year and above).
          17 Physical traded commodities including gold Total balance of physical traded commodities including gold should be reported in the relevant category based on their remaining encumbrance (as in 6 above), under the column ">= 1 year".
          18 Other short-term unsecured instruments and transactions with a residual maturity of less than one year Report the balances of other short-term unsecured instruments with outstanding maturities of less than one year not reported elsewhere in the Form. The carrying amount should be reported in the relevant category based on the remaining encumbrance (as in 6 above) and under the columns commensurate to its remaining maturity (<6 months, between 6 months and one year).
          19 Defaulted securities and non-performing loans All defaulted securities and non-performing loans should be reported in this line under the column relevant to the remaining maturity of the loan/security.
          20 NSFR DerivativeG assets Report DerivativeG assets net of DerivativeG liabilities if DerivativeG assets are greater than DerivativeG liabilities

          DerivativeG assets and DerivativeG liabilities should be calculated according to the treatment outline at the beginning of this section
          21 NSFR DerivativeG liabilities The value reported in this item equals 20% of DerivativeG liabilities before deducting variation margin posted.
          22 Initial margin posted for DerivativeG contracts and cash or other assets provided to the default fund of a CCP All cash, securities or other assets posted as Initial Margin (IM) for DerivativeG contracts or a default fund of a Central CategoriesG

          For OTC transactions, any fixed independent amount a bank was contractually required to post at the inception of the DerivativeG s transaction should be considered as initial margin, regardless of whether any of this margin was returned to the bank in the form of Variation Margin (VM) payments.

          For centrally cleared transactions, the amount of initial margin should reflect the total amount of margin posted (IM and VM) less any mark-to-market losses on the applicable portfolio of cleared transactions.
          23 Items deducted from regulatory capital Includes all items deducted from regulatory capital as per PIB 3.12 to 3.15
          24 Trade date receivables The amount of receivables arising from sales of financial instruments, foreign currencies and commodities that (i) are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction, or (ii) have failed to, but are still expected to, settle.
          25 Interdependent assets Report here that assets that meet the conditions of interdependent assets and liabilities in the column associated with the residual maturity. Interdependence requires that the liability cannot fall due while the asset remains on the balance sheet and the liability cannot be used to fund any other asset.

          Ensure that any liabilities associated with these assets are not included in part "A" of this Form "Available Stable Funding"
          26 All other assets not included in above CategoriesG Include the carrying value of all other assets not included in the above CategoriesG in the column relevant to their residual maturity.

        • 1.36 Form B240 — Funding Schedule

          Purpose

          Form B240 — Funding Schedule is designed to capture the outstanding amount of fund raising activity of Authorised Firm'sG carried out by way of business, at the end of the reporting period.

          Applicability

          This Form is applicable to Authorised Firm'sG in Prudential CategoriesG 1, 2 and 5, including Authorised Firm'sG operating as a BranchG in the DIFC.

          Content

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

          •   DepositsG , if the Authorised FirmG is licensed to carry out the Financial Service of Accepting DepositsG ;
          •   Profit Sharing Investment Account on unrestricted basis ("PSIAu"), if the Authorised FirmG is licensed to carry out the Financial Service of Managing a PSIAu; and,
          •   All other type of funding owed by and reported on the Authorised FirmG 's balance sheet.

          Specifically the Form captures the detailed break-up of funding across:

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

          Structure of the form in EPRS

          Form B240 consists of two linked sub-forms dealing with:

          •   Form 1: Funding from UAE
          •   Form 2: Funding from Other Countries

          Both Forms comprise of four similar dimensions. The "Funding from UAE" Form collects similar data but on a more granular level.

          1. First dimension seeks data on funds received by the Authorised FirmG by the type of fund provider;
          2. Second dimension seeks the products used to acquire the funds;
          3. Third dimension seeks classification of the funds across the countries the fund providers reside in; and,
          4. Fourth dimension seeks the residual maturity of the funds received.

          Authorised Firm'sG are required to disclose the total outstanding funds at the end of the reporting period. The total outstanding funds reported under each section are to reconcile with the respective liability figures reported in Form B10B — Liabilities and B20B — Liabilities — IFI.

          Instructional Guidelines

          Form Instructional Guideline
          Forms 1:
          Funding from UAE
          •   Category of Fund Provider: The category of fund providers can be referenced from Form B340: Credit Activity Schedule. This Form however contains an extra category for 'Related Parties', where a related party takes on the definition as defined by IFRS (IAS 24). Any exposure from a related party is to be categorised under this header, superseding the other CategoriesG .
          •   Funding Product:
          1. DepositsG : include DepositsG received under the following CategoriesG :
          a. Operating Accounts: current accounts used by the client for:
          •   securities trading;
          •   trade finance payments and collections; or,
          •   as a settlement account to repay a loan extended by the FirmG or to service loan interests.
          Funding maturity in this category is set to the "less than 6 months" category.
          b. Margin Accounts: DepositsG held in an account where funds are pledged for leveraged purchases/transactions by the client e.g. margin against traded securities, margin against trade finance transactions, etc.
          c. Collateral Accounts: DepositsG held as collateral by the FirmG (excluding DepositsG held in a margin account) against any form of financing provided by the FirmG to the client where recourse is directly contracted to the collateralised deposit (include also those known as cash collateral).
          d. Interbank: DepositsG received through the interbank market for liquidity management purposes (e.g. overnight DepositsG ). DepositsG /current accounts held for other BanksG used for settlement purposes (also those known as Vostro) are not to be included in this category.
          e. Other Demand DepositsG : include the other demand DepositsG (without a set maturity date) that do not meet the description of any of the above CategoriesG . DepositsG /current accounts held for other BanksG /financial institution used for settlement purposes (also those known as Vostro) are to be included in this category.
          f. Other Term DepositsG : include the other term DepositsG (with a stipulated maturity date) that do not meet the description of any of the above CategoriesG .
          2. Repurchase Agreements: funding raised through the sale of assets with an agreement to purchase them back.
          3. Term Debt: funding raised through a loan facility (e.g. bilateral loans).
          4. Debt Securities: funding raised through the issuance of negotiable instruments e.g. Certificates, Commercial Papers, Medium Term Notes, Bonds, Sukuk, etc.
          5. PSIAu: funding raised through profit sharing investment accounts on an unrestricted basis.
          6. Other Funding: Any other form of funding that does not fit within one of the above classifications.
          •   Funding Maturity: Other than the products specifically clarified above, the funding maturity is to be accounted for on a transactional level basis.
          •   Country: The country the fund provider resides in. Note to not double (or triple) count funding raised between the "UAE", "DIFC" and "Other UAE Financial Free Zones"; each of these is considered as a separate jurisdiction.
          •   The FirmG must select all the related dimensions associated with a transaction (or similar transactions) to correctly populate this Form (e.g. a FirmG has received a 1 year term deposit from a Non-Financial Corporation incorporated in country X). The FirmG is required to select all the dimensions corresponding to this transaction and input the amount under the column corresponding to the relevant product description. If there are other facilities with the same characteristics then they are to be GroupG ed.
          Form 2:
          Funding from Other Countries
          This Form follows a similar structure to "Funding from UAE" Form.
          •   Category of Fund Provider: The same guidance remains applicable as above.
          •   Funding Product: The same guidance remains applicable as above. Note that DepositsG are only required to be categorised either as 'Interbank' (if raised by BanksG ), 'Other Demand' or 'Other Term' DepositsG .

        • 1.37 Form B250 — Funding Concentration

          Purpose

          Form B250 — Funding Concentration is designed to capture the FirmG 's funding concentration in respect of CategoriesG and Currency.

          Applicability

          This Form is applicable to Authorised Firm'sG in Prudential CategoriesG 1, 2 and 5, including Authorised Firm'sG operating as a BranchG in the DIFC.

          Content

          The Form captures details in the concentration levels by:

          •   CategoriesG (CategoriesG Name, Maturity Bucket)
          •   Currency (Currency, Maturity Bucket)

          Structure of the form in EPRS

          Form B250 is split into two different linked forms:

          •   B250 — Funding Concentration — CategoriesG
          •   B250 — Funding Concentration — Currency

          Instructional Guidelines

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

          Form Instructional Guideline
          Funding Concentration — CategoriesG
          •   The FirmG is required to report separately on each row a GroupG 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 FirmG 's total assets.
          •   The CategoriesG 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 CategoriesG highest up the organisational chart is to be used.
          •   Funding provided from the CategoriesG is to be split horizontally across the different maturity buckets.
          Funding Concentration — Currency
          •   The FirmG is required to report separately on each of the currency liabilities that is greater than 5% of the Authorised FirmG 's Total Assets.
          •   Funding by currency is to be split horizontally across the different maturity buckets.

        • 1.38 Form B260 — Interest Rate Risk in the Non-Trading Book

          Form B260 is intended to capture information regarding an Authorised FirmG 's exposure to interest rate risk in the Non-Trading BookG , also known as the banking book.

          Applicability

          This Form is applicable to Authorised Firm'sG authorised under Prudential CategoriesG 1 and 2.

          Content

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

          Form B260 (also known as Interest Rate Gap Report or Gap Analysis) distributes an Authorised FirmG 's 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 FirmG 's earning to interest rate risk.

          Structure of the form in EPRS

          Form B260 is presented with four linked forms:

          a. USD
          b. EUR
          c. Renminbi
          d. Open
          e. Open
          f. Open
          g. Open

          The FirmG is required to prepare a separate report for each significant currency. For the purpose of IRRNTB, a currency is considered significant if the aggregate assets denominated in that currency amount to 5% or more of the Authorised FirmG 's total assets. Three forms are present to capture significant currency ExposuresG in USD, EUR and RMB. The other open forms are to capture any other material currency exposure other than USD, EUR and RMB.

          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" and "DerivativeG Hedge Accounting".
          Asset Hedging DerivativeG s — Notional Amount Include the notional amount of the DerivativeG s hedging the assets against each time bucket. This amount will offset the assets subject to interest rate risk for that specific time bucket for the purposes of calculating the Assets/Liabilities Gap.
          Liabilities held in the Trading BookG To reconcile with liability items in Form B10B reported under B010B_01050T — Financial Liabilities Held For Trading.
          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" and "DerivativeG Hedge Accounting"
          Liability Hedging DerivativeG s — Notional Amount Include the notional amount of the DerivativeG s hedging the liabilities against each time bucket. This amount will offset the liabilities subject to interest rate risk for that specific time bucket for the purposes of calculating the Assets/Liabilities Gap.
          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 and B10D 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 DepositsG and non-maturity DepositsG , as well as items whose actual residual term might varies from the contractual term, such as saving DepositsG 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, only 50% of wholesale core DepositsG may be slotted in accordance to behavioural assumptions, with the average maturity not exceeding 4 years. Up to 80% of core retail DepositsG may be slotted over an average maturity period not exceeding 5 years. A FirmG may decide to not apply behavioural assumptions to its core DepositsG and report them all in the up to 1 month time bucket.
          6. Core DepositsG are non-maturity DepositsG that are unlikely to be repriced even under significant changes in the interest rate environment (i.e. non-core DepositsG are to all be reported in the up to 1 month time bucket.)
          7. 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.
          8. 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 FirmG 's net interest income could decline as a result of a decrease in the level of interest rates.

        • 1.39 Form B270 — Currency Exposures

          Purpose

          Form B270 is intended to capture currency ExposuresG in the Trading BookG and Non-Trading BookG of an Authorised FirmG .

          Applicability

          This Form is applicable to Authorised Firm'sG which are categorised under Prudential CategoriesG 1, 2, 3A and 5.

          Content

          This Form captures the gross and net positions of each individual currency (includes base currency).

          Structure of the form in EPRS

          Form B270 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.

        • 1.40 Form B280A — Outward Remittances

          Purpose

          Form B280 — This Form is designed to capture data on outward remittances made by Authorised Firm'sG .

          Applicability

          This Form is applicable to Authorised Firm'sG carrying out banking business. This involves Authorised Firm'sG licensed to undertake Accepting DepositsG and Providing Credit and Authorised Firm'sG classified under Prudential Category 5 and licensed to manage unrestricted PSIAs. This includes Authorised Firm'sG operating as a BranchG in the DIFC.

          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 Firm'sG 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

          Form B280A 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 followed by 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.

          B280_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 BanksG .

        • 1.41 Form B280B — Inward Remittances

          Purpose

          Form B280B — This Form is designed to capture data on inward remittances received by Authorised Firm'sG .

          Applicability

          This Form is applicable to Authorised Firm'sG carrying out banking business. This involves Authorised Firm'sG licensed to undertake Accepting DepositsG and Providing Credit and Authorised Firm'sG classified under Prudential Category 5 and licensed to manage unrestricted PSIAs. This includes Authorised Firm'sG operating as a BranchG in the DIFC.

          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 Firm'sG 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

          B280B 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 followed by 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.

          B280_010: Include all trade related remittances, including but not limited to payments on behalf of Clients for all trade finance Transactions, payments from suppliers/sellers and remittances from BanksG related to trade credit.

        • 1.42 Form B310 — Large Exposures

          Purpose

          Form B310 is intended to capture information regarding Large ExposuresG of a Domestic entity, as well as the largest ExposuresG of an Authorised FirmG .

          Applicability

          This Form is applicable to Authorised Firm'sG categorised under Prudential CategoriesG 1, 2, 3A and 5.

          Content

          This Form is designed to capture information regarding the Authorised FirmG 's Large ExposuresG in accordance with PIB 4.15. The Form seeks to capture the following:

          •   20 largest ExposuresG ;
          •   Details of the Exposure; and
          •   Credit RiskG mitigation used against the Large ExposuresG

          For Domestic entities, if the number of Large ExposuresG in accordance with PIB 4.15 is less than is 20, then the largest 20 ExposuresG are to be recorded, irrespective of the definition in PIB 4.15.

          For Branches, this Form captures the top 20 largest ExposuresG 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 ExposuresG . Part II is further split into three segments covering various aspects of the largest ExposuresG .

          Part I — Capital Resources are calculated by EPRS based on the data in Form B120 — 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 (ExposuresG and Credit RiskG mitigation respectively).

          Instructional Guidelines

          Item Instructional Guidelines
          Part I — Capital Resources For Domestic FirmG s, capital resources are calculated automatically from B60 Capital Resources Calculation schedule.
          For Branches, the FirmG is required to enter its GroupG 's Capital Resources.
          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 Branches.
          Part I — Sum of Connected CategoriesG ExposuresG The sum of all ExposuresG to Connected Counterparties of the Authorised FirmG . Connected Counterparties is defined in PIB A4.11.7. This is not applicable to Branches.
          Part I — Sum of all Large ExposuresG 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 Exposure is before and after applying any exemptions or deductions. The Large Exposure limits will be compared against this figure. Large Exposure limits are noted in PIB 4.15.5.
          Part II — ExposuresG
          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 Counterparties are to be GroupG ed together and recorded as one CategoriesG .
          3. If the CategoriesG is connected to the Authorised FirmG , this column should be populated as 1, otherwise 0.
          4. The CategoriesG 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 CategoriesG 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). In the event that the Exposure is to several closely related counterparties in different sectors, then the sector with the highest exposure is to be recorded.
          6. The ExposuresG are recorded against the respective asset class and whether the Exposure is a Direct or an Indirect Exposure.
          •   A Direct Exposure is an Exposure recorded on an immediate borrower basis (e.g. loan to a corporate for x amount, the x amount is to be recorded to the CategoriesG under loans and receivables).
          •   An Indirect Exposure is an Exposure that arises to a guarantor or the issuer of collateral posted or any other Credit RiskG mitigants (e.g. credit DerivativeG s) that is in line with PIB 4.15.12 (e.g. a FirmG receives collateral and/or a guarantee covering a Direct Exposure, the collateral will be recorded as an Indirect Exposure to the issuer of the collateral, and the guarantee will be recorded as an Indirect Exposure towards the Guarantor).
          7. For Domestic entities, Parental Guarantees that are in line with PIB 4.15.18 that are applicable for exemption from the Large Exposure limits are not to be included within the Indirect ExposuresG to the parent. They are to be summed up and reported under Part 1- Capital Resources — Parental Guarantees.
          Part II — Credit RiskG 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 — ExposuresG (i.e. The Credit RiskG mitigants taken against Large Exposure 1 are to be recorded here to reduce the overall Exposure to Large Exposure 1).
          2. Parental Guarantees to reduce the Exposure are recorded in the first column.
          3. An Exposure 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 Resources; this is in effect granting an additional 75% to the 25% concentration limit for the latter case (e.g. A FirmG with capital resources of $900 million can have a maximum permissible Exposure 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 Exposure that is qualified for Connected CategoriesG 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 Resources should be recorded (e.g. A FirmG with $60million of Capital Resources has an Exposure of $25million, only the portion that exceeds 25% should is to be recorded in this exemption. In this scenario the FirmG would record only $10 million under the Connected CategoriesG Exemption column).

          Credit RiskG mitigants (PIB 4.13) that qualify for substitution effects 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 Exposure.
          5. Provisions and deductions from capital resources that qualify to reduce the Exposure are to be recorded in the last column (PIB 4.15.12).

        • 1.43 Form B320