Entire Section

  • PRU-EPRS 1.19 PRU-EPRS 1.19 Instructional Guidelines — Form B60 — Capital Adequacy Schedule

    Purpose

    Form B60 — Capital Adequacy Calculation is intended to calculate the Capital Resources and the Capital Requirements of an Authorised Firm in order to arrive at the overall capital adequacy position of the Authorised Firm.

    Applicability

    This form is applicable to all Categories of Authorised Firm domiciled in the DIFC (i.e. Domestic Firms). Accordingly, this form is not applicable to Authorised Firms operating through a Branch in the DIFC.

    Content

    The structure of this reporting form, which applies to all Categories of Authorised Firm, is designed first to calculate the total eligible capital resources after the appropriate amounts have been charged to cover Trading and Non Trading Book risks. It takes into account limitations on the use of different types of capital. Secondly, it provides a snapshot of the institution's capital adequacy at the reporting date by comparing the adjusted capital resources calculated as described above to the total capital requirement.

    Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
    [Amended] [VER2/04-13]

    • PRU-EPRS 1.19 Instructional Guidelines

      Item No. Item Instructional Guidelines
      B600_2110 Elements of Common Equity Tier 1 ("CET1") Capital CET1 Capital consists of the sum of the capital elements set out in PIB Rule 3.13.2 and section 3.16.
      B600_2120 Adjustments to / Deductions from CET1 Capital Adjustments to and deductions from CET1 Capital are explained in PIB Rule 3.13.5 and 13.13.7 to 3.13.19.
      B600_2210 Elements of Additional Tier 1 ("AT1") Capital Section 3.14 of the PIB module contains Rules regarding AT1 Capital.

      Elements of AT1 Capital are explained in PIB 3.14.3.
      B600_2220 Deductions from AT1 Capital Deductions from AT1 Capital are set out in PIB Rule 3.14.4 to 3.14.8.
      B600_2310 Elements of Tier 2 ("T2") Capital Section 3.15 of the PIB module contains the Rules regarding Tier 2 Capital.

      Elements of T2 Capital are explained in PIB Rules 3.15.2 - 3.15.3.
      B600_2320 Deductions from T2 Capital Deductions from T2 Capital are set out under PIB Rules 3.15.4 to 3.15.9.
      B600_2400 Base Capital Requirement ("BCR") PIB section 3.6 contains Rules regarding BCR.
      B600_2500 Expenditure Based Capital Requirement ("EBCM") Rules regarding EBCM are set out in section 3.7 of the PIB module.
      B600_2610 Credit and Counterparty Risk Capital Requirement Credit and Counterparty Risk Capital Requirement is derived from calculations in forms B10A1 and B10A2. Rules relating to calculation of Credit and Counterparty Risk Capital Requirement are set out in Chapter 4 of the PIB module.
      B600_2620 Displaced Commercial Risk Displaced Commercial Risk requirement is calculated in accordance with chapter 5 of the IFR Module. DCR is applicable to Authorised Firms managing Unrestricted PSIAs.
      B600_2630 Market Risk Capital Requirement Market Risk Capital Requirement is derived from the calculations in form B10A3.
      B600_2640 Operational Risk Capital Requirement Operational Risk Capital Requirement is applicable to Authorised Firms in Prudential Category 1, 2, 3A and 5. Operational Risk Capital Requirement is calculated in accordance with Rules in PIB section 6.11 and App6.
      Capital Conservation Buffer ("CCB") - 25% of Capital Requirement Rules relating to Capital Conservation Buffer are set out in section 3.9 of the PIB module. Capital Conservation Buffer applies to an Authorised Firm in Category 1,2,3A or 5. Where, pursuant to PIB section 3.3 or 3.4, the Risk Capital Requirement forms an Authorised Firm's Capital Requirement, then the firm is subject to a Capital Conservation Buffer requirement. The Capital Conservation Buffer requirement is equivalent to 25% of an Authorised Firm's Risk Capital Requirement and should constitute only CET1 Capital. In EPRS, this figure is system calculated in accordance with the above criteria.
      Individual Capital Requirement ("ICR") ICR applies to an Authorised Firm in Category 1, 2, 3A or 5. The DFSA may, in accordance with PIB section 10.6, at any time by written notice to an Authorised Firm:
      (a) impose an Individual Capital Requirement; or
      (b) vary or withdraw an Individual Capital Requirement.
      An Authorised Firm is required to input values in this cell only if the DFSA has imposed ICR on it. Otherwise, it should be left blank.
      Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
      [Amended] [VER2/04-13]