PRU-EPRS 1.23 PRU-EPRS 1.23 Instructional Guidelines — Form B90 — Appendix 1 — Large Exposures — Branch
Form B90A1 is intended to capture the information regarding the
Large Exposuresundertaken out of the Branchby an Authorised Firm.
This form is applicable to
Authorised Firmsoperating through a Branchin the DIFCin prudential category 1, 2, 3A and 5.
The form is designed to capture information pertaining to the
Authorised Firm's20 Largest Exposuresto Unconnected Counterpartiesand 10 Largest Exposuresto Connected Counterparties. Further details are sought in respect of these Exposuressuch as type of Counterparties, provisioning amount etc which are explained under the Instructional Guidelines section below.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
PRU-EPRS 1.23 Instructional Guidelines1. An
Authorised Firmoperating through a Branchpresence is required as part of its general systems and controls obligations, to identify and manage the Exposuresagreed and undertaken by its operations.2. The 20 largest Exposures, in absolute terms, to unconnected Counterpartiesshould be listed in the first table and the 10 largest Exposures, again in absolute terms, to Connected Counterpartiesshould be listed in the second table. Item Instructional Guidelines Twenty Largest Exposures (Unconnected) Include in this table the twenty largest Exposuresto all types of Counterpartyexcept those that are connected to the Branch.
Exposures to individual, or groups of
Closely Related Counterpartiesshould be reported in descending order by size. Exposures to individual counterparties which constitute a group of Closely Related Counterpartiesshould be reported as one aggregate Exposure. Counterparty The identity of a Counterparty, as defined in the Glossary, in this context will generally be one of the categories as set out in PIB Rule A4.11.4. Unconnected — Financial, Unconnected — Other, Government The Authorised Firmshould clarify here into what category an Exposurefalls. These are set out in detail in Rules PIB A4.11.4 to PIB A4.11.28 but for the purposes of this form, an Authorised Firmshould state whether an Exposureis to:i. an Unconnected Counterpartyor group of Closely Related Counterpartiesthat are predominantly comprised of financial businesses;ii. an Unconnected Counterpartyor group of Closely Related Counterpartiesthat are predominantly comprised of non-financial businesses;iii. Central governments and central banks. Amount of Exposureat risk For Exposuresarising in the Non-Trading Bookthe amount at risk should, with certain exceptions detailed below, be reported as the book value of the Authorised Firm'sactual or potential claims, contingent liabilities or assets.
Exposures should be calculated in accordance with internationally or
AAOFIaccepted accounting practice.
Exposuresarising in the Trading Book, all positions should be marked-to-market daily.
Where a market determined price is not readily available, the
Authorised Firmmay generate its own mark-to-market valuation. Positions should be valued in accordance with the procedures outlined in the Authorised Firm'strading book policy statement.
This is set out in more detail in Rules PIB 2.4 and PIB A4.11.10 to PIB A4.11.28.
Exposure as a percentage of company's equity The Branchshould use as the denominator the amount its head office has available as regulatory capital (e.g. financial resources). This is intended to provide the DFSAwith a guide as to the relative size and importance of the Exposurefor the Authorised Firmas a whole. Specific bad debt provision Include here the amount of specific bad debt provision that may have been made against a particular Exposure. Reduction by netting, collateral etc. As set out in PIB Rule 4.15.3 (f), the value of an Exposurecan be reduced through Credit risk Mitigation as set out in section 4.13. Exposure at reporting date after eligible set-offs Column "Amount of Exposureat risk" less the amounts in Columns "Specific bad debt provision" and "Reduction by netting, collateral & other set-offs". Amount of this Exposurefinanced by own assets or UnrestrictedPSIAs For Exposuresarising out of Islamicbusiness, this column should be used to quantify the amount of the Exposurethat is financed by the Authorised Firm'sown assets or by Unrestricted PSIAassets. Amount of this Exposurefinanced by restricted PSIAs. For Exposuresarising out of Islamicbusiness, this column should be used to quantify the amount of the Exposurethat is financed by restricted PSIAassets. Ten Largest
Include in this table the ten largest Exposuresto Connected Counterpartiesi.e. the dis-aggregated detail of all connected lending and Exposuresshould be split into different Counterpartieswithin the connected group.Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]