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  • PRU-EPRS 1 PRU-EPRS 1 Instructional Guidelines

    • PRU-EPRS 1.1 PRU-EPRS 1.1 Instructional Guidelines — Form B10 — Balance Sheet

      Purpose

      Form B10The Balance sheet is intended to reflect the financial position of an Authorised Firm at the end of the reporting period.

      Applicability

      This form is applicable to Authorised Firms categorised under prudential categories 1, 2, 3A, 3B, 3C and 4. This form is not applicable to Authorised Firms operating through a Branch in the DIFC and Authorised Firms managing Unrestricted PSIAs. Instead, Authorised Firms managing Unrestricted PSIAs should use form B20 and Branches should use form B90 along with the respective appendices.

      Content

      The form is designed to capture information pertaining to the Authorised Firm's on-balance sheet and off-balance sheet assets, liabilities and shareholders' equity at a given point in time.

      Structure of the form in EPRS

      B10 is presented as a single form.

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

      • PRU-EPRS 1.1 Instructional Guidelines

        Item / Section No. Item / Section Instructional Guidelines
        On Balance sheet items
        B100_0110 Cash in hand & Gold bullion Include, for example, the following amounts:
        •  Notes and coins; and
        •  Long positions in Gold bullion (including Tola Bars).
        B100_0120 Balances with the Central Banks Amounts placed with central banks including funds required to be placed on deposit with central banks and monetary authorities.
        B100_0130 Money market placements Include Deposits on call and other money market placements with banks or other money market participants.
        B100_0140 Treasury bills and other eligible bills Treasury bills issued by national governments or by Central Banks on behalf of governments. Also include bills issued by other entities, which are eligible for rediscounting with the central bank.
        B100_0211 Derivative financial instruments The assets reported here should include, but are not limited to, 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 Derivatives; and
        •  Option contracts on currency, interest rate and other financial assets.
        These Derivatives should include both the exchange-traded and over-the-counter versions.

        Derivatives held for hedging purposes should be included under section B100_030T.
        B100_0212 Other Financial instruments (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.
        B100_0220 Other financial instruments — Designated at fair value through profit and loss Include all financial instruments which are, upon initial recognition, designated by the entity as financial assets to be measured at fair value through profit or loss other than the trading securities included in B100_0211 and B100_0212.
        B100_0230 Available-for-sale Include non-Derivative financial assets that are designated as available for sale by the firm or that have not been classified under any of the other categories of investments.
        B100_024011 01.2.5 Held-to-maturity Include non-Derivative financial assets with fixed or determinable payments and fixed maturities that the firm has a positive intention and ability to hold to maturity.
        B100_0310 and B100_0320 Derivatives — Hedge accounting -Fair value hedges -Cash flow hedges Include all the Derivative instruments held for the purposes of hedging. Derivatives held for trading should be accounted for under B100_0211.
        B100_040T Loans and advances Under this section include the amounts arising from, for example:
        •  Revolving credit facilities;
        •  Credit card outstanding balances;
        •  Housing loans (both variable and fixed rates);
        •  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; and
        •  Other loans and advances.
        The items listed above are indicative examples and are notexhaustive universe of items to be reported under this item.

        The amounts reported should be gross of provisions (as specific and general provisions should be reported in the Liabilities section of the balance sheet) and net of interest receivable.
        B100_0510 Murabaha and Istisna'a receivables Report here all receivables relating to Murabaha and Istisna'a contracts. Refer to FAS 2 and FAS 10 of AAOIFI respectively.
        B100_0520 Ijarah assets and receivables Include Ijarah assets net of depreciation/amortisation and Ijarah receivables. Refer to FAS 8 of AAOIFI.
        B100_0530 Mudaraba Financing Financing provided on a Mudaraba basis should be reported here. Refer to FAS 3 of AAOIFI.
        B100_0540 Musharaka Financing Report financing provided on a Musharaka basis. Refer to FAS 4 of AAOIFI. Investment in the Share capital of another company should be reported under "Other investments", under B100_0550.
        B100_0550 Other investments Include any other investments undertaken through Islamic Contracts, including Parallel Istisna'a assets (refer FAS 10 of AAOIFI) and capital provided on Salam contracts (refer FAS 7 AAOIFI).
        B100_0700 Fixed assets 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 B100_0520); and
        •  Own premises being occupied or developed for occupation by the Authorised Firm, property (excluding property acquired / held available for sale which should be included in "Other Assets", B100_0920).
        The amounts reported here should be net of accumulated depreciation and amortisation.
        B100_ 0810 Goodwill Include amounts relating to any purchased goodwill.
        B100_0820 Other intangible assets Included, for example:
        •  Capitalised development costs;
        •  Brand names, trademarks and similar rights; and
        •  Licences and exchange seats which may be held as part of the Authorised Firm's trading requirement.
        Off Balance sheet items
        B100_1010 Direct credit substitutes These relate to the financial requirements imposed by a Counterparty where the risk of loss to the Authorised Firm on the Transaction is equivalent to that arising from a direct claim on the Counterparty. The indicative examples of items to be Included here are
        •  Guarantees of a financial nature to stand behind the current obligations of Clients (e.g. loan guarantees);
        •  Guarantees of leasing operations;
        •  Letters of credit and Stand-by letters of credit to the extent that they do not qualify for inclusion in item B100_1030 "Trade related contingents" 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. Guarantees given to a company not connected to the reporting institution should be risk weighted at 100% and those for connected companies should be deducted from the reporting institution's capital base; and
        •  Acceptances granted and risk participation in bankers' acceptances. Where the Authorised Firm's 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.
        B100_1020 Transaction related contingents These Exposures relate to the on-going trading activities of a Counterparty where the risk of loss to the Authorised Firm depends on the likelihood of a future event which is independent of the creditworthiness of the Counterparty. They are essentially guarantees that support particular non financial obligations rather than a Client's financial obligations. Include here:
        •  Advance payment guarantees; and
        •  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);
        Stand-by letters of credit relating to a particular contract or to non-financial Transactions (including arrangements backing, inter alia, subcontractors' and supplier's performance, labour and materials, contracts and construction tenders / bids).
        B100_1030 Trade related contingents Report short term self-liquidating trade related items such as documentary letters of credit issued by the Authorised Firm that are collateralised by the underlying shipment i.e. the credit provides for the Authorised Firm to retain title to the underlying shipment. letters of credit issued without provision for the Authorised Firm to retain title to the underlying shipment should be reported under direct credit substitutes above.
        B100_1040 Sale and Repurchase Agreements 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 Counterparty weighting is determined by the issuer of the security and not according to the Counterparty with whom the Transaction has been undertaken.
        B100_1050 Forward Assets Purchases The appropriate Counterparty weighting should be determined by the asset to be purchased and not the Counterparty with whom the contract has been entered into. Include commitments for loans and other on-balance sheet items with definitive drawdown schedules. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.
        B100_1060 Forward Deposits Placed Relates to agreements between two parties whereby one will pay and the other receive an agreed rate of interest on a Deposit to be placed by one with the other at some pre-determined rate in the future. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.
        B100_1070 Uncalled partly- paid shares and securities Include under this item calls with specific dates. If there is no specific date for a call, the item should be included as a long term commitment under item no. B100_1122 "Other Commitments".
        B100_1080 NIF's and RUF's Note issuance and revolving underwriting facilities should include the Authorised Firm's 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 Firm, the underwriting obligation should continue to be reported at the nominal amount.
        B100_1090 Endorsement of Bills These should be reported at the full nominal amount, less any amount for bills which the Authorised Firm currently holds but had previously endorsed.
        B100_1111 & B100 1122 Other commitments All other undrawn commitments are to be reported here, divided into commitments of maturity under and over one year.
        B100_1110 Assets funded by restricted PSIAs Total amount of assets managed under Restricted PSIA by the Authorised Firm.
        B100_210T Deposits In this section, identify and report Deposits due to banks and Financial Institutions in item no B100_2110. All other Deposits are to be reported as Deposits due to other Clients — item no B100_2120.
        B100_2310 Provisions for bad and doubtful debts All specific and general provisions in respect of all assets, including loans and advances and other receivables should be reported under this section. Exclude provisions against Islamic Contracts which should be reported in item no B100_2640.
        B100_2400 Derivative financial instruments — held for trading The indicative examples of liabilities to be reported under this item include, but are not limited to, 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 Derivatives; and
        •  Option contracts on currency, interest rate and other financial assets.
        The term includes both exchange-traded and over-the-counter Derivatives. Also include under this item other trading liabilities.
        B100_260T Liabilities arising from Islamic Contracts Liabilities arising from Islamic Contracts include advances received against Salam contracts (defined in Para 3 and 19 of FAS 7 issued by AAOIFI and Ijarah investment payables (refer to FAS 8 of AAOIFI). Report any provisions against Islamic Contracts in item B100_2640.
        B100_3100 Liabilities relating to Restricted PSIA Include under this section, off-balance sheet liabilities related to restricted PSIA investments.
        B100_4110 Ordinary Shares Include in respect of this item the amount of ordinary Share capital issued, reported at nominal paid up value. Do not report the unpaid element of partly paid Shares or authorised but unissued Share capital. Authorised Firms should exclude holdings in their own Shares.
        B100_4120 Preference Shares Report the value of the preference Shares issued, which rank above ordinary Shares in the event of liquidation.
        B100_4130 Partnership Capital and other Include here other types of equity which have the same properties of permanent Share capital. This could include partnership capital accounts, capital items for unincorporated associations etc.
        B100_4200 Share premium account Any amounts received by the Authorised Firm in excess of the nominal paid up value.
        B100_4310 Asset revaluation reserve Include in this item, reserves arising from the revaluation of assets for which it has been necessary to set up this reserve.
        B100_4320 Goodwill reserve Include reserves arising from purchased goodwill or other situations for which it has been necessary to set up this or any other reserve.
        B100_4330 Investment Risk reserve Prudential category 5 Authorised Firms should include in respect of this item the amount 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. Refer also to FAS 11 of AAOIFI.
        B100_4340 Profit Equalisation Reserve Prudential category 5 Authorised Firms should include in respect of this item the amount appropriated out of the Mudaraba income, before allocating the Mudarib share, in order to maintain a certain level of investment returns for investment account holders and to increase owners' equity. Refer also to FAS 11 of AAOIFI.
        B100_4350 General Reserve Include here all the reserves which have not been reported under any of the above categories in the section "Reserves" — B100_430T.
        B100_430T Total Reserves This is calculated by EPRS and is calculated by adding the items. B100_4310 + B100_4320 + B100_4330 + B100_4340+ B100_4350.
        B100_4500 Minority Interests Report amounts attributable to minority shareholders from the overall equity figure.
        B100_400T Total shareholders' equity This is calculated by EPRS as the sum of items B100_430T, B100_410T, B100_4200 and B100_4400 less B100_4500.
        B100_500T Total liabilities and shareholders' equity This is calculated by the EPRS as the sum of items B100_200T and B100_400T.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.2 PRU-EPRS 1.2 Instructional Guidelines — Form B10 — Appendix 1 — Details of Non-Trading Book Assets

      Purpose

      Form B10A1 is intended to capture the information regarding the calculation of risk weighted assets ("RWA") in the Non-Trading Book of an Authorised Firm.

      Applicability

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

      Content

      The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book of an Authorised Firm and calculate the applicable capital charge.

      Structure of the form in EPRS

      B10A1 consists of following three linked forms

      On Balance Sheet items RWA;
      Off Balance sheet items RWA; and
      • Securitisation Exposures RWA.

      Accordingly, all on-balance sheet items should be analysed in the first linked form, off balance sheet items in the second linked form, and Securitisation Exposures in the third linked form.

      The main form has the links to the three linked forms and also displays the total RWA calculated by each of the linked forms. The main form also calculates the total Non-Trading Book Risk Weighted Asset (NTB RWA) and the CRCOM applicable to the Authorised Firm.

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

      • PRU-EPRS 1.2 Instructional Guidelines

        1. In order to complete this Form Authorised Firms should refer to the detailed Rules and guidance set out in PIB Chapter 4 and Appendix 4 to understand the rationale behind risk weighting of assets in the NTB and the relevant Rules for risk weighting.
        2. Form B10A1 is a simple form requiring the Authorised Firm to report its total on-balance sheet Exposures 'E' into each of the Credit Risk Weight % buckets. The Form will automatically calculate the RWA. Firms should complete the categorisation of Credit Risk Exposures in accordance with PIB 4.10 before reporting the total Exposures 'E' in the second column of the Form.
        3. PIB Section A4.10 contains detailed Rules on classifying Credit Risk Exposures ("CR Exposures") and section 4.12 contains detailed Rules for the application of Risk Weights for each category of CR Exposure. If an Authorised Firm is uncertain as to where to classify a particular Exposure, it should contact the DFSA for guidance.
        4. Detailed guidance is provided at PIB section 4.9 in order to calculate the value of E to be reported in this Form. E should be reported net of any individual impairment and incorporating any changes required to incorporate the effect of acceptable Credit Risk mitigations as set out in PIB section 4.13.
        5. On-balance sheet items Form: Analyse each of the on-balance sheet items and classify them into various risk weight categories as per the applicable PIB Rules referred above. The applicable risk weight categories are listed for each of the asset groups at PIB 4.12. The total value of assets classified into a particular risk weight category should be entered in the second column — titled "Exposure - E", against the respective risk weight percentages.
        6. Off-balance sheet items Form: The second linked form which deals with off-balance sheet items provides for entry of the aggregate amount of off-balance sheet items classified into categories representing a specific Credit Conversion Factor ("CCF"). Each CCF is dealt with in a separate table. All the off-balance sheet items should be analysed and classified on the basis of the CCF applicable to them in accordance with PIB A4.2. These are then analysed and classified into the various risk weights as per the Rules in PIB Section 4.12 and in line with the guidance provided above. The aggregate Non-Trading Book amount for that particular CCF is then classified in to those pertaining to different risk weight categories. The RWA is calculated automatically by the form.
        7. Securitisation Exposure Form – this form has two further linked forms. The first Form sets out details of the Securitisation Exposures ("SE"). Details of the calculation of SE are set out in detail in PIB 4.8.4. Authorised Firms are required to report total Exposures (SE) in the second column corresponding to the appropriate risk weight as determined by PIB section 4.14.
        8. The second linked form calculates the RWA for securitisations with early amortisation provisions. This form has purposely been left in free form as the Authorised Firm will be required to manually calculate both its investors interest and the applicable RWA. The applicable Rules for the calculation of these provisions are set out at PIB section 4.14.51.
        9. Capital charge on the Non-Trading Book assets (i.e. CRCOM) is derived by multiplying the sum of risk weighted assets from the Non-Trading Book by 10%. The main form of B10A1 indicates the total Non-Trading Book risk weighted assets and the resultant CRCOM. CRCOM thus calculated is used in Form B60 for the purposes of calculating capital adequacy.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.3 PRU-EPRS 1.3 Instructional Guidelines — Form B10 — Appendix 2 — Details of Counterparty Risk Exposures

      Purpose

      Form B10A2 is intended to capture the details regarding the Counterparty Risk of an Authorised Firm.

      Applicability

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

      Content

      The form is designed to capture the data on Counterparty Risk Exposures arising from Unsettled Transactions, OTC Derivative trades, Securities Financing Transactions and Deferred Settlement Transactions included in the trading and Non-Trading Book of an Authorised Firm. The form enables the calculation of amount at risk, weighted amount and the applicable Capital Requirement for Counterparty Risk.

      Structure of the form in EPRS

      B10A2 consists of four linked forms covering the main sections of this form dealing with "Counterparty Risk on Unsettled Transactions RWA", "OTC Derivatives RWA”, ”Securities Financing Transactions RWA" and "Deferred Settlement Transactions RWA". In each of the linked forms, “Exposure” and other information required are to be provided in the respective columns and the weighted amounts are calculated as per the applicable Risk Weight and multiplier, where it applies. The total Risk Weighted Assets for Counterparty Risk reported in the linked forms will be displayed as a result on the main form.

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

      • PRU-EPRS 1.3 Instructional Guidelines

        1. The details for calculating the Exposures on these risks are set out in PIB Sections A4.6 — A4.8 of the DFSA Rulebook.

        2. The total Capital Requirement for Counterparty Risk is the sum of the capital charges arising from Unsettled Transactions, OTC Derivatives, securities financing transactions, deferred settlement transactions. The total Capital Requirement for Counterparty Risk calculated in this Appendix will be summed up with the Capital Requirement calculated in appendix B10A1 and reflected under the Risk Based Capital Requirement in Form B60.

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

    • PRU-EPRS 1.4 PRU-EPRS 1.4 Instructional Guidelines — Form B10 — Appendix 3 — Market Risk in the Trading Book

      Purpose

      Form B10A3 is intended to capture information on capital charges applicable to market risk Exposures in the Trading Book of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms categorised under prudential categories 1 and 2. This form is not applicable to the Authorised Firms operating through a Branch in the DIFC, Islamic Financial Institutions IFIs and Authorised Firms managing PSIAs.

      Content

      The form is designed to enable Authorised Firms to report the capital charges applicable to the various elements of market risk Exposures in their Trading Book and the resultant capital charge for market risk i.e. Market Risk Capital Requirement.

      Structure of the form in EPRS

      B10A3 is presented as a single form in the EPRS.

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

      • PRU-EPRS 1.4 Instructional Guidelines

        Item No. Item Instructional Guidelines
        B103_1100, B103_1200, B103_1400, B103_1500, B103_1600 B103_1700 Various components of Market Risk Capital Requirement Detailed Rules and Guidance in respect of the Market Risk Capital Requirement and each of its components are contained in chapter 5 of the PIB module.

        Total of Market Risk Capital Requirement reflected in this form is transferred to form B60 and shown in B600_2630 – Market Risk Capital Requirement.

        The DFSA acknowledges that even for Authorised Firms with relatively straightforward Exposures on the trading books, the underlying calculations for various market risks can be detailed and complex. The DFSA requires Authorised Firms to report only the summary capital charge for various elements of market risk recognised in the Rules under PIB Chapter 5 of the DFSA Rulebook. However, the DFSA expects Authorised Firms to maintain detailed audit trails that substantiate the capital charges reported in this form. Authorised Firms are also reminded that they should make this information available for review as and when required.

        In the event of any uncertainty, Authorised Firms are advised to contact their supervisor for clarity. Authorised Firms are expected to review the material set out Appendix 5 of the PIB module with care given the multiplicity of methods that can be used to calculate the capital requirement on Interest Rate Risk, Equity Risk, FX Risk, Commodities Risk, Options Risk, Securities Underwriting Risk and Collective Investment Fund Risk.

        Where Authorised Firms intend to use internally developed market risk models for the purposes of valuing positions and calculating capital requirements, particular attention is drawn to PIB Section A5.9 and the qualitative criteria.

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

    • PRU-EPRS 1.5 PRU-EPRS 1.5 Instructional Guidelines — Form B10 — Appendix 4 — Calculation of the DCR

      Purpose

      Form B10A4 is intended to reflect the data on different elements of an Authorised Firm's Displaced Commercial Risk (DCR) Capital Requirement.

      Applicability

      This form is applicable to Authorised Firms falling under prudential category 5. Note that the DCR only applies in respect of Unrestricted PSIA accounts.

      Content

      The form is designed to capture the credit and market risk capital requirements pertaining to the assets of both restricted and Unrestricted PSIA accounts and calculate the Displaced Commercial Risk capital charge in respect of the PSIAs managed by an Authorised Firm as per applicable PIB Rules.

      Structure of the form in EPRS

      The form does no allow any manual data entry. The values required for completion of this form are directly sourced from the detailed appendices relating to CRCOM, Counterparty Risk Capital Requirement and Market Risk Capital Requirement pertaining to the restricted and Unrestricted PSIA businesses (Appendices B20A2, B20A3, B20A5, B20A6 and B20A7 respectively) that precede this form. So, Authorised Firms are advised to complete the appendices referred above before attempting to complete this form.

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

      • PRU-EPRS 1.5 Instructional Guidelines

        DCR is defined in Chapter 5 of IFR Module. Authorised Firms are advised to refer to that Module to understand why DCR arises and how it is calculated. Authorised Firms are reminded that DCR only applies in respect of Unrestricted PSIA assets. As noted earlier, this Appendix aggregates totals from the detailed appendices that precede this form.

        Item No. Item Instructional Guidelines
        B104_010T PSIACOM Credit PSIACOM Credit comprised CRCOM and CPCOM calculated on PSIA assets. It is the sum of item nos. [B104_0110 and B104_0120] below.
        B104_0110 CPCOM CPCOM for PSIAU comes from Form B20A5.
        B104_0120 CRCOM CRCOM for PSIAU comes from Form B20A2.
        B104_ 025T PSIACOM Market The figures for PSIACOM Market are all derived from Form B20A7.
        B104_000T Calculation of DCR DCR represents (PSIACOM Credit +PSIACOM Market) * 35%. This figure is transferred to Form B60, item no. B104_000T.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.6 PRU-EPRS 1.6 Instructional Guidelines — Form B20 — Balance Sheet — Islamic Financial Institutions

      Purpose

      Form B20 — Balance sheet is intended to capture the financial position of an Islamic Financial Institution ("IFI") at the end of the reporting period.

      Applicability

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

      Content

      The form is designed to capture information pertaining to the Authorised Firm's on-balance sheet and off-balance sheet assets, liabilities and shareholders' equity at a given point in time. The form enables reporting of assets and liabilities pertaining to the Restricted and Unrestricted PSIA accounts separately, apart from presenting the balance sheet of the IFI.

      Structure of the form in EPRS

      The form is split into two linked forms. The first linked form is intended to capture information pertaining to assets and liabilities on the Authorised Firm's own balance sheet which are its self-financed business and the assets and liabilities of Unrestricted PSIAs managed by the Authorised Firm. The second linked form is designed to capture information pertaining to the assets of Restricted PSIAs managed by the Authorised Firm.

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

      • PRU-EPRS 1.6 Instructional Guidelines

        The form enables effectively three sets of returns on balance sheet information for Authorised Firms using this form. Whilst AAOIFI permits Unrestricted PSIA assets to be commingled with self financed assets for balance sheet reporting purposes, the need to maintain separate records for each asset class is paramount. Restricted PSIA assets and liabilities cannot be commingled with the former and should be reported off balance sheet. In the event of any uncertainty, Authorised Firms are required to consult with the DFSA to obtain the necessary clarity.

        Item No Item Instructional Guidelines
        B100_0110 Cash in hand & Gold bullion Include, for example, the following amounts:
        •  Notes and coins; and
        •  Long positions in Gold bullion (including Tola Bars).
        B100_0120 Balances with the Central Banks Amounts placed with central banks including funds required to be placed on Deposit with central banks and monetary authorities.
        B100_0130 Money market placements Include Deposits at call and other money market placements with banks or other money market participants.
        B100_0140 Treasury bills and other eligible bills Treasury bills issued by the national governments or by the Central banks on behalf of the governments. Also include bills issued by other entities, which are eligible for rediscounting with the central bank.
        B100_0211 Derivative financial instruments The assets reported here should include, but are not limited to, 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 Derivatives; and
        •  Option contracts on currency, interest rate and other financial assets.
        These Derivatives include both the exchange-traded and over-the-counter versions. Derivatives held for hedging purposes should be included under section B100_030T.
        B100_0212 Other financial instruments (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 limited to, debt, equity and hybrid instruments
        B100_0220 Other financial instruments designated at fair value through profit and loss Include all financial instruments which are, upon initial recognition, designated by the entity as financial assets to be measured at fair value through profit or loss other than the trading securities included in B100_0211 and B100_0212.
        B100_0230 Available-for-sale Include non-Derivative financial assets that are designated as available for sale by the firm or that have not been classified under any of the other categories of investments.
        B100_0240 Held-to-maturity Include non-Derivative financial assets with fixed or determinable payments and fixed maturity that the firm has positive intention and ability to hold to maturity.
        B100_040T Loans and advances Under this section include the amounts arising from, for example:
        •  Revolving credit facilities;
        •  Credit cards outstanding balances;
        •  Housing loans (both variable and fixed rates);
        •  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; and
        •  Other loans and advances.
        The items listed above are indicative examples and are not exhaustive universe of items to be reported under this item.

        The amounts reported should be gross of provisions (as specific and general provisions should be reported in the liabilities section of the balance sheet) and net of interest receivable.
        B100_0510 Murabaha and Istisna'a receivables Report here all receivables relating to Murabaha and Istisna'a contracts. Refer to FAS 2 and FAS 10 of AAOIFI respectively.
        B100_0520 Ijarah assets and receivables Include Ijarah assets net of depreciation / amortisation and Ijarah receivables. Refer to FAS 8 of AAOIFI.
        B100_0530 Mudaraba Financing Financing provided on a Mudaraba basis should be reported here. Refer to FAS 3 of AAOIFI.
        B100_0540 Musharaka Financing Report financing provided on a Musharaka basis. Refer to FAS 4 of AAOIFI. Investment in the Share capital of another company should be reported under "Other investments", under B100_0550.
        B200_0550 Salam Financing provided on Salam contract should be reported here. Refer to FAS 7 of AAOIFI.
        B200_0560 Parallel Istisna'a Parallel Istisna'a receivables / assets should be reported here. Refer to FAS 10 of AAOFI.
        B100_0550 Other investments Include any other investments undertaken through Islamic Contracts, including Parallel Istisna'a assets (refer FAS 10 of AAOIFI) and capital provided on Salam contracts (refer FAS 7 AAOIFI).
        B100_0700 Fixed assets 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 B100_0520); and
        •  Own premises being occupied or developed for occupation by the Authorised Firm, and property (excluding property acquired / held available for sale which should be included in "Other Assets", B100_0920).
        The amounts reported here should be net of accumulated depreciation and amortisation.
        B100_0810 Goodwill Include amounts relating to any purchased goodwill.
        B100_0820 Other intangible assets Include, for example:
        •  Capitalised development costs;
        •  Brand names, trademarks and similar rights; and
        •  Licences and exchange seats which may be held as part of the Authorised Firm's trading requirement.
        Off Balance sheet items
        B100_1010 Direct credit substitutes These relate to the financial requirements of Counterparty where the risk of loss to the Authorised Firm on the Transaction is equivalent to that arising from a direct claim on the Counterparty. The indicative examples of items to be Included here are
        •  Guarantees of a financial nature to stand behind the current obligations of Clients (e.g. loan guarantees);
        •  Guarantees of leasing operations;
        •  Letters of credit and Stand-by letters of credit to the extent that they do not qualify for inclusion in item B100_1030 "Trade related contingents" 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. Guarantees given to a company not connected to the reporting institution should be risk weighted at 100% and those for connected companies should be deducted from the reporting institution's capital base; and
        •  Acceptances granted and risk participation in bankers' acceptances. Where the Authorised Firm's 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.
        B100_1020 Transaction related contingents These Exposures relate to the on-going trading activities of a Counterparty where the risk of loss to the Authorised Firm depends on the likelihood of a future event which is independent of the creditworthiness of the Counterparty. They are essentially guarantees that support particular non financial obligations rather than a Client's financial obligations. Include here:
        •  Advance payment guarantees; and
        •  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).
        Stand-by letters of credit relating to a particular contract or to non-financial transactions (including arrangements backing, inter alia, subcontractors' and supplier's performance, labour and materials, contracts and construction tenders / bids).
        B100_1030 Trade related contingents Report short term self-liquidating trade-related items such as documentary letters of credit issued by the Authorised Firm that are collateralised by the underlying shipment i.e. the credit provides for the Authorised Firm to retain title to the underlying shipment. letters of credit issued without provision for the Authorised Firm to retain title to the underlying shipment should be reported under direct credit substitutes above.
        B100_1040 Sale and Repurchase Agreements 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 Counterparty weighting is determined by the issuer of the security and not according to the Counterparty with whom the Transaction has been undertaken.
        B100_1050 Forward Assets Purchases The appropriate Counterparty weighting should be determined by the asset to be purchased and not the Counterparty with whom the contract has been entered into. Include commitments for loans and other on-balance sheet items with definitive drawdown schedules. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.
        B100_1060 Forward Deposits Placed Relates to agreements between two parties whereby one will pay and the other receive an agreed rate of interest on a Deposit to be placed by one with the other at some pre-determined rate in the future. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.
        B100_1070 Uncalled partly-paid shares and securities Only include here if there is a specific date for a call. If there is no specific date for a call, the item should be included as a long term commitment under item no. B100_1122 "Other Commitments".
        B100_1080 NIF's and RUF's Note issuance and revolving underwriting facilities should include the Authorised Firm's 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 Firm, the underwriting obligation should continue to be reported at the nominal amount.
        B100_1090 Endorsement of Bills These should be reported at the full nominal amount, less any amount for bills which the Authorised Firm currently holds but had previously endorsed.
        B100_1111 & B100_1122 Other Commitments All other undrawn commitments are reportable here, divided into commitments under and over one year.
        B100_000T

        to

        B100_100T
        Assets funded by restricted PSIAs The methodology for calculating Exposures financed by PSIAs are, in principle, no different to calculating Exposures for a reporting institution's self-financed assets. All the Instructional Guidelines above apply in their entirety unless stated otherwise.
        B100_210T Deposits In this section, identify and report Deposits due to banks and Financial Institutions in item no B100_2110. All other Deposits are to be reported as Deposits due to other Clients — item no B100_2120.
        B100_230T Provisions All specific and general provisions in respect of all assets, including loans and advances and other receivables should be reported under this section. Exclude provisions against Islamic Contracts which should be reported in item no B100_2640.
        B100_260T Liabilities arising from Islamic Contracts Liabilities arising from Islamic Contracts include advances received against Salam contracts (defined in Para 3 and 19 of FAS 7 issued by AAOIFI and Ijarah investment payables (refer to FAS 8 of AAOIFI). Report any provisions against Islamic Contracts in item B100_2640.
        Off balance sheet liabilities Liabilities relating to Restricted PSIA Include under this section, off-balance sheet liabilities related to restricted PSIA investments.
        B100_4110 Ordinary Shares Include in respect of this item the amount of ordinary Share capital issued, reported at nominal paid up value. Do not report the unpaid element of partly paid shares or authorised but unissued Share capital. Authorised Firms should exclude holdings in their own shares.
        B100_4120 Preference Shares Report the value of the preference shares issued, which rank above ordinary shares in the event of liquidation.
        B100_4130 Partnership Capital and other Include here other types of equity which have the same properties of permanent Share capital. This could include partnership capital accounts, capital items for unincorporated associations etc.
        B100_4200 Share premium account Any amounts received by the Authorised Firm in excess of the nominal paid up value.
        B100_4310 Asset revaluation reserve Include in this item, reserves arising from the revaluation of assets for which it has been necessary to set up this reserve.
        B100_4320 Goodwill reserve Include reserves arising from purchased goodwill or other situations for which it has been necessary to set up this or any other reserve.
        B100_4330 Investment Risk reserve Prudential category 5 Authorised Firms should include in respect of this item the amount 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. Refer also to FAS 11 of AAOIFI.
        B100_4340 Profit Equalisation reserve Category 5 Authorised Firms should include in respect of this item the amount appropriated out of the Mudaraba income, before allocating the Mudarib share, in order to maintain a certain level of investment returns for investment account holders and to increase owners' equity. Refer also to FAS 11 of AAOIFI.
        B100_430T Total Reserves This is calculated by the EPRS and is calculated by adding the items. B100_4310 + B100_4320 + B100_4330 + B100_4340+ B100_4350.
        B100_4500 Minority Interests Report amounts attributable to minority shareholders from the overall equity figure.
        B100_400T Total shareholders' equity This is calculated by the EPRS as the sum of items B100_430T, B100_410T, B100_4200 and B100_4400 less B100_4500.
        B100_500T Total liabilities and shareholders' equity This is calculated by the EPRS as the sum of items B100_200T and B100_400T.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.7 PRU-EPRS 1.7 Instructional Guidelines — Form B20 — Appendix 1 — Details of Non-Trading Book Assets — self-financed

      Purpose

      Form B20A1 is intended to capture the details regarding the calculation of risk weighted assets in respect of the self-financed assets in the Non-Trading Book ("NTB") of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window.

      Content

      The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book and the applicable capital charge.

      Structure of the form in EPRS

      B20A1 consists of following three linked forms

      On Balance Sheet items RWA;

      Off Balance sheet items RWA; and

      • Securitisation Exposures RWA.

      Accordingly, all on balance sheet items should be analysed in the first linked form, off balance sheet items in the second linked form, and securitisation Exposures in the third linked form.

      The main form has the links to the three linked forms and also displays the total RWA calculated by each of the linked forms. The main form also calculates the total Non-Trading Book Risk Weighted Asset (NTB RWA) and the CRCOM applicable to the Authorised Firm.

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

      • PRU-EPRS 1.7 Instructional Guidelines

        In order to complete this form

        1. Authorised Firms should refer to the detailed Rules and guidance set out in PIB Chapter 4 and Appendix 4 to understand the rationale behind risk weighting of assets in the NTB and the relevant Rules for risk weighting.
        2. Form B10A1 is a simple form requiring the Authorised Firm to report its total on-balance sheet Exposures 'E' into each of the Credit Risk Weight % buckets. The form will automatically calculate the RWA. Firms should complete the categorisation of Credit Risk Exposures in accordance with PIB 4.10 before reporting the total Exposures 'E' in the second column of the form.
        3. PIB Section A4.10 contains detailed Rules on classifying Credit Risk Exposures ("CR Exposures") and Section 4.12 contains detailed Rules for the application of Risk Weights for each category of CR Exposure. If an Authorised Firm is uncertain as to where to classify a particular Exposure, it should contact the DFSA to obtain this clarity.
        4. Detailed guidance is provided at PIB section 4.9 in order to calculate the value of E to be reported in this form. E should be reported net of any individual impairment and incorporating any changes required to incorporate the effect of acceptable Credit Risk mitigations as set out in PIB section 4.13.
        5. On balance sheet items form: Analyse each of the on-balance sheet items and classify them into various risk weight categories as per applicable PIB Rules referred to above. The applicable risk weight categories are listed for each of the asset groups in PIB 4.12. The total value of assets classified into a particular risk weight category should be entered in the second column — titled "Exposure - E", against the respective risk weight percentages.
        6. Off-balance sheet items form: The second linked form which deals with off-balance sheet items provides for entry of the aggregate amount of off-balance sheet items classified into categories representing a specific Credit Conversion Factor ("CCF"). Each CCF is dealt with in a separate table. All the off-balance sheet items should be analysed and classified on the basis of the CCF applicable to them in accordance with PIBA4.2. These are then analysed and classified into various risk weights as per Rules in PIB Section 4.12 and in line with the guidance provided above. The aggregate NTB amount for that particular CCF is then classified in to those pertaining to different risk weight categories. The RWA is calculated automatically by the form.
        7. Securitisation Exposure form — this form has two further linked forms. The first form sets out details of the Securitisation Exposures ("SE"). Details of the calculation of SE are set out in detail in PIB 4.8.4. Authorised Firms are required to report total SE in the 'Exposure —E' column corresponding to the appropriate risk weight as determined by PIB section 4.14.
        8. The second linked form calculates the RWA for securitisations with early amortisation provisions. This form has purposely been left in free form as the Authorised Firm will be required to manually calculate both its investors interest and the applicable RWA. The applicable Rules for the calculation of these provisions are set out at PIB section 4.14.51.
        9. Capital Requirement for Non-Trading Book Assets (i.e. CRCOM) is derived by multiplying the sum of Risk Weighted Assets from the NTB by 10%. The main form of B10A1 indicates the total Non-Trading Book risk weighted assets and the resultant CRCOM. CRCOM thus calculated is used in Form B60 for the purposes of calculating capital adequacy.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.8 PRU-EPRS 1.8 Instructional Guidelines — Form B20 — Appendix 2 — Details of Non-Trading Book Assets — PSIA Unrestricted ("PSIAU ").

      Purpose

      Form B20A2 is intended to capture the details regarding the calculation of risk weighted assets in respect of the PSIAU assets in the Non-Trading Book of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window.

      Content

      The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book and the applicable capital charge which is essential for calculation of the DCR capital requirement.

      Structure of the form in EPRS

      This form is identical to the form B20A1 in EPRS.

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

      • PRU-EPRS 1.8 Instructional Guidelines

        1. All the Instructional Guidelines provided for form B20A1 are applicable to this form also. However, this form is meant only for Exposures relating to assets funded by PSIAU investments.
        2. Note that the Capital Requirement for Non-Trading Bool assets figure as calculated in this form is transferred to Form B20A8, item no B104_0120.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.9 PRU-EPRS 1.9 Instructional Guidelines — Form B20 — Appendix 3 — Details of Non-Trading Book Assets — PSIA Restricted ("PSIAR")

      Purpose

      Form B20A3 is intended to capture the details regarding the calculation of risk weighted assets in respect of the PSIAR assets in the Non-Trading Book of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 who are managing PSIAs within an Islamic Window.

      Content

      The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book and the applicable capital charge which is essential for calculation of the DCR capital requirement.

      Structure of the form in EPRS

      This form is identical to the form B20A1 in EPRS.

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

      • PRU-EPRS 1.9 Instructional Guidelines

        1. All the Instructional Guidelines provided for form B20A1 are applicable to this form also. However, this form is meant only for Exposures relating to assets funded by the PSIAR investments.
        2. Note that the Capital Requirement for Non-Trading Book Assets figure as calculated in this form is transferred to Form B20A8, item no B104_0120.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.10 PRU-EPRS 1.10 Instructional Guidelines — Form B20 — Appendix 4 — Details of Counterparty Risk Exposures — Self-financed

      Purpose

      Form B20A4 is intended to capture the details regarding Counterparty Risk Exposures of an Authorised Firm, particularly those arising from Exposures self-financed by the firm.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window.

      Content

      The form is designed to capture the data on Counterparty Risk Exposures arising from Unsettled Transactions, OTC Derivative trades, securities financing transactions and deferred settlement transactions included in the Trading Book and Non-Trading Book of an Authorised Firm. The form enables the calculation of amount at risk, weighted amount and the applicable Capital Requirement for Counterparty Risk.

      Structure of the form in EPRS

      B20A4 consists of four linked forms covering the four main sections of this form dealing with "Counterparty Risk on Unsettled Transactions RWA", "OTC Derivatives RWA", Securities Financing Transactions RWA and "Deferred Settlement Transactions RWA". In each of the linked forms, the amount of "Exposure" and other information required are to be provided in the respective columns and the weighted amounts are calculated as per the applicable risk weights and multiplier where it applies. The total Risk Weighted Assets for Counterparty Risk reported in the linked forms will be displayed as a result on the main form.

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

      • PRU-EPRS 1.10 Instructional Guidelines

        1. This form is restricted to calculating the risk weighted capital charge for self financed assets only. The details for calculating the Exposures on these risks are set out in PIB Sections A4.6 — A4.8 of the DFSA Rulebook.
        2. The total Capital Requirement for Counterparty Risk is the sum of the capital charges arising from Unsettled Transactions, OTC Derivatives, Securities Financing Transactions, Deferred Settlement Transactions. The total Capital Requirement for Counterparty Risk calculated in this Appendix will be summed up with the Capital Requirement calculated in appendix B10A1 and reflected under the Risk Based Capital Requirement in Form B60.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.11 PRU-EPRS 1.11 Instructional Guidelines — Form B20 — Appendix 5 — Details of Counterparty Risk Exposures – PSIA Unrestricted ("PSIAU")

      Purpose

      Form B20A5 is intended to capture the details regarding the Counterparty Risk Exposures of an Authorised Firm, particularly those arising from Exposures funded by the PSIAU funds.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window.

      Content & Structure of the form in EPRS

      This form is identical to the form B20A4 in respect of its content and structure in EPRS.

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

      • PRU-EPRS 1.11 Instructional Guidelines

        All the Instructional Guidelines provided for form B20A4 are applicable to this form also. However, this form is meant only for Exposures relating to assets funded by the PSIAU investments. Note that the Capital Requirement for Counterparty Risk figure as calculated in this form is transferred to Form B20A8, item no B104_0110.

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

    • PRU-EPRS 1.12 PRU-EPRS 1.12 Instructional Guidelines — Form B20 — Appendix 6 — Details of Counterparty Risk Exposures - PSIA Restricted ("PSIAR")

      Purpose

      Form B20A6 is intended to capture the details regarding the Counterparty Risk Exposures of an Authorised Firm, particularly those arising from Exposures funded by the PSIAR.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window.

      Content & Structure of the form in EPRS

      This form is identical to the form B20A4 in respect of its content and structure in EPRS.

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

      • PRU-EPRS 1.12 Instructional Guidelines

        All the Instructional Guidelines provided for form B20A4 are applicable to this form also. However, this form is meant only for Exposures relating to assets funded by the PSIAR investments. Note that the Capital Requirement for Counterparty Risk figure as calculated in this form is transferred to Form B20A8, item no B104_0110.

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

    • PRU-EPRS 1.13 PRU-EPRS 1.13 Instructional Guidelines — Form B20 — Appendix 7 — Details of Market Risk in the Trading Book

      Purpose

      Form B20A7 is intended to capture the details regarding the market risk in the Trading Book of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window.

      Content

      The form is designed to enable Authorised Firms to report the capital charges applicable to the various elements of market risk Exposures in their Trading Book and the resultant capital charge for market risk.

      Structure of the form in EPRS

      The form is split into two linked forms namely, "Interest Rate Risk Capital Requirement" and "All Other Risks".

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

      • PRU-EPRS 1.13 Instructional Guidelines

        1. The first linked form ("Interest Rate Risk Capital Requirement") enables the calculation of the Specific Risk component of Interest Rate Risk Capital Requirement. Note that the relevant amounts have to be entered in respect of self financed, PSIA Unrestricted and PSIA Restricted businesses, separately in the respective columns provided.
        2. In the second linked ("All Other Risk") form summary amounts of all other components of market risk capital requirement such as total Interest Rate Risk, Equity Risk, Foreign Exchange Risk, Commodities Risk, Options Risk, Securities Underwriting Risk and Collective Investment Fund Risk are required to be entered. The relevant amounts should be provided for self financed, PSIA Unrestricted and PSIA Restricted business separately in the respective columns provided.
        3. Authorised Firms are asked to review the Rules set out PIB Appendix 5 with care given the multiplicity of methods that can be used to calculate the capital requirement on Interest Rate Risk, Equity Risk, FX Risk, Commodities Risk, Options Risk, Securities Underwriting Risk and Collective Investment Fund Risk.
        4. The DFSA acknowledges that even for Authorised Firms with relatively straightforward Exposures on the trading books, the underlying calculations for various market risks can be detailed and complex. The DFSA requires only the summary numbers to be reported but expects Authorised Firms to maintain detailed audit trails that substantiate the risk requirements. Authorised Firms are also reminded that they should make this information available for review as and when required.
        5. In the event of any uncertainty, Authorised Firms are advised to contact their supervisor for clarity.
        6. Where Authorised Firms intend to use internally developed market risk models for the purposes of valuing positions and calculating capital requirements as per PIB Section 5.11, particular attention is drawn to PIB Section A5.9 including and the qualitative criteria.
        Item No. Item Instructional Guidelines
        B103_1100, B103_1200, B103_1400, B103_1500, B103_1600, B103_1700 Various components of Market Risk Capital Requirements Detailed Rules and Guidance in respect of the Market Risk Capital Requirement and each of its components are contained in PIB Chapter 5.

        Total of Market Risk Capital Requirement reflected in this form is transferred to form B60 and shown in B600_2630 – Market Risk Capital Requirement.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.14 PRU-EPRS 1.14 Instructional Guidelines — Form B20 — Appendix 8 — Calculation of the Displaced Commercial Risk ("DCR")

      Purpose

      Form B20A8 is intended to capture the details regarding the Displaced Commercial Risk charge.

      Applicability

      This form is applicable to Authorised Firms categorised under prudential category 5. Note that the DCR only applies in respect of Unrestricted PSIA.

      Content

      The form is designed to capture the details regarding the Displaced Commercial Risk charge in respect of Islamic Finance Business.

      Structure of the form in EPRS

      The form does not allow any manual data entry. The values in this form are directly transferred by EPRS from the detailed forms relating to the calculation of CRCOM, CPCOM and MRCOM in respect of PSIAU businesses (Appendices B20A2, B20A3, B20A5, B20A6 and B20A7 respectively) that precede it. So, Authorised Firms are advised to complete the appendices referred above before attempting to complete this form.

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

      • PRU-EPRS 1.14 Instructional Guidelines

        DCR is defined in Chapter 5 of IFR Module. Authorised Firms are advised to refer to that Section to understand why DCR arises and how it is calculated. Authorised Firms are reminded that DCR only applies in respect of Unrestricted PSIA assets. As noted earlier, this Appendix aggregates totals from the detailed appendices that precede this form.

        Item No. Item Instructional Guidelines
        B104_010T PSIACOM Credit PSIACOM Credit is comprised of CRCOM and CPCOM and is calculated on PSIA assets. It is the sum of item nos. [B104_0110 and B104_0120] below.
        B104_0110 CPCOM CPCOM for PSIAU comes from Form B20A5.
        B104_0120 CRCOM CRCOM for PSIAU comes from Form B20A2.
        B104_025T PSIACOM Market The figures for PSIACOM Market are all derived from Form B20A7.
        B104_000T Calculation of DCR DCR represents (PSIACOM Credit +PSIACOM Market) * 35%. This figure is transferred to Form B60, item no B104_000T.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.15 PRU-EPRS 1.15 Instructional Guidelines — Form B20 — Appendix 9 — Analysis of Reserves Movement

      Purpose

      Form B20A9 is intended to capture the details regarding the changes in the reserves pertaining to the Islamic Finance Business.

      Applicability

      This form is applicable to Authorised Firms categorised under prudential category 5. Note that the DCR only applies in respect of PSIA assets for unrestricted categories.

      Content

      The form is designed to capture the details regarding the details regarding the changes in the reserves pertaining to the Islamic Finance Business. The form provides two separate columns for data to be input in respect PSIA Unrestricted businesses.

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

      • PRU-EPRS 1.15 Instructional Guidelines

        Item No. Item Instructional Guidelines
        B290_1010 Capital invested Report here the total amount of capital invested by PSIAU account holders (on balance sheet) gross of provisions.
        B290_1020 Net asset value Report here the net amount after provisions.
        B290_1030 Percentage for profit equalisation reserve Report the percentage used for allocation to the profit equalisation reserves.
        B290_1040 Amount of profit equalisation reserve This represents the amount after the net asset value has been multiplied by the percentage of the profit equalisation reserve.
        B290_1050 Mudarib fee Report here the Mudarib fee which the Authorised Firm 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. In case of a loss, the bank is not entitled to any Mudarib fee and the loss is borne by the investment account holders.
        B290_1060 Net amount after Mudarib fee Report here the balance after the amount of profit equalisation reserve and the Mudarib fee has been deducted from the net asset value.
        B290_1070 Percentage of investment risk reserve Report here the percentage of the investment risk reserve applicable to the net amount after the Mudarib fee.
        B290_1080 Amount of investment risk reserve Report under this item the amount of the reserve being the product of the balance in Item B290_1060 multiplied by the percentage in item B290_1070 above.
        B290_ 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.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.16 PRU-EPRS 1.16 Instructional Guidelines — Form B30 — Income Statement

      Purpose

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

      Applicability

      This form is applicable to Authorised Firms categorised under prudential categories 1, 2, 3A, 3B, 3C and 4. This form is not applicable to Islamic Financial Institutions ("IFI") in prudential category 5 and Authorised Firms operating through a Branch in the DIFC. Instead, IFIs and Branches should use the forms B40 and B90 respectively.

      Content

      The form is designed to capture information pertaining to the Authorised Firm's income, expenses and profit for the reporting period.

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

      • PRU-EPRS 1.16 Instructional Guidelines

        1. All figures relating to income statement items in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. The instructional guidelines below are regarding certain specific data elements in the form:
        Item No. Item Instructional Guidelines
        B300_1100 Interest income Include both actually received interest and receivable interest which has accrued but has not yet been received, generated for example by:
        •  Cash and liquid assets;
        •  Trading securities;
        •  Investment securities;
        •  Derivatives in the non-trading book;
        •  Loans and advances;
        •  Investment / loans to parent entity / loans to associates / joint venture;
        •  Other investments; and
        •  Other interest earning assets.
        B300_1200 Interest expense Include both interest actually paid and interest payable which has accrued but has not yet been paid, linked to, for example:
        •  Deposits;
        •  Other borrowings;
        •  Derivatives in the non-trading book;
        •  Bonds, notes and other borrowings;
        •  Loan capital;
        •  Loan from parent entity;
        •  Loan from associates / joint ventures; and
          Other interest bearing liabilities.
        B300_2100 Income from fees and commissions Include income received and income receivable but has been accrued for services provided by the Authorised Firm, for example the provision of:
        •  Current account facilities;
        •  Corporate advice;
        •  Investment management and trustee services;
        •  Guarantees and indemnities;
        •  Commission on the sale of insurance or travellers cheques; and
          Foreign exchange services (if they can be separately identified).
        B300_2200 Fees and commission expense Include revenue generated for all services rendered to the company by third parties (excluding those which have the character of interest).
        B300_3200 Net income from trading securities Include all profits or losses (including revaluation profits or losses) other than those arising from the sale of investments in subsidiary or associated companies, trade investments or the amortisation of premiums or discounts on the purchase of fixed maturity investments which are not held for dealing.
        B300_3300 Net income from investment securities Include net income / (losses) from investments other than the trading securities, such as available for sale and held to maturity investments.
        B300_3400 Income from Islamic Contracts Income derived from any Islamic contracts in which the Authorised Firm has invested in.
        B300_3500 Other operating income Include under this heading income from any other source (other than extraordinary items), for example:
        •  Revaluations of foreign exchange positions;
        •  Revaluation of any investment in subsidiaries or associates (if equity accounting);
        •  Share of profits from associated companies (if reporting on a consolidated basis);
        •  Profit or loss on the sale of non-trading assets — e.g. premises, equipment, subsidiary and associated companies and trade investments;
        •  Revaluation surpluses / deficits — following normal accounting practice; and
        •  Any other source (other than extraordinary items)
        B300_3610 General provisions Report here the general provisions recorded by the Authorised Firm to reflect the overall level of credit losses expected in respect of the Authorised Firm's Exposures.
        B300_3620 Specific provisions This item includes total provisions made to cover losses foreseen in respect of specific Exposures.
        B300_3630 Provisions for Islamic Contracts Include here provisions arising from any Islamic business undertaken
        B300_3650 Other To include, for example, provisions made for taxation or dividends.
        B300_3700 Staff expenses Include, for example:
        •  Salary costs;
        •  Employer's contribution to any pension scheme; and
        •  Costs of staff benefits paid on a per capita basis such as private medical insurance.
        B300_3800 Depreciation & Amortisation Charges relating, for example, to depreciation / amortisation of property, plant and equipment and other amounts written off in respect of tangible and intangible fixed assets.
        B300_3900 Other operating expenses Examples of expenses can be as follows:
        •  Occupancy expenses — for example, rates, rent, insurance of building, lighting, heating, maintenance costs and subsidised restaurants;
        •  Equipment;
        •  Other overhead expenses; and
        •  All other expenditure not falling into one of the other specific categories.
        B300_300T Operating profit from ordinary activities This item is calculated by EPRS and is calculated as the sum of B30 item nos. B300_1100 to B300_3900. (excluding sub totals at items nos B300_100T and B300_200T).
        B300_4100 Net income from subsidiaries and associated companies Profit / losses received from subsidiaries, joints ventures and other associated undertakings.
        B300_4200 Profit (loss) from extraordinary Items For example:

        Profit or losses on sale or termination of an operation; and

        Profits or losses on disposal of fixed assets.
        B300_400T Profit (loss) before tax This item is calculated by EPRS and is calculated as the sum of B30 item nos. B300_300T, B300_4100 and B300_4200.
        B300_5100 Tax on (profit) / loss Any amount that has been or is expected to be paid in taxation.
        B300_500T Profit / (loss) after tax This item is calculated by EPRS and is calculated as the sum of B30 item nos. B300_400T and B300_5100.
        B300_600T Net profit / (loss) The amount of profit / loss that could be distributed to shareholders (or partners) or retained for future use within the company.

        This is calculated by EPRS as the sum of B30 item nos B300_500T and B300_6100.
        B300_7100 Dividends and other distributions, declared or paid The amount to be distributed in the current year to shareholders out of the profits of a company.
        B300_7200 Partners' drawings, declared or paid The amount to be distributed in the current year to partners out of the profits of a partnership.
        B300_7300 Other adjustments Any other adjustments that affect the retained profits.
        B300_700T Retained profits for the reporting period Profits that have not been paid out as dividends to shareholders or withdrawn by partners but retained for further investment by the company.

        This is calculated by EPRS as the sum of B30 item nos B300_600T, B300_7100, B300_7200 and B300_7300.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.17 PRU-EPRS 1.17 Instructional Guidelines — Form B40 — Income Statement -Islamic Financial Institutions

      Purpose

      Form B40 — 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 Firms 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.

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

      • PRU-EPRS 1.17 Instructional Guidelines

        1. All figures relating to income statement items in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. The instructional guidelines below are regarding certain specific data elements in the form:
        Item No. Item Instructional Guidelines
        B400_1010 Income from jointly financed accounts Authorised Firms should include in respect of this item income earned on funds from jointly financed investment accounts (i.e. Unrestricted PSIAs and self-financed). The income should be gross before allocating to the Unrestricted PSIAs and the bank's Mudarib fee.
        B400_1020 Allocated to unrestricted account holders (before Mudarib fee) Authorised Firms should include in respect of this item the amount allocated from B40 item no. B400_1010 above to the Unrestricted PSIAs as their share of the income. Note that this number should be entered as positive amount.
        B400_1030 Authorised Firm's Mudarib fee from managing jointly financed accounts Authorised Firms should include in respect of this item the amount of the Mudarib fee that they are entitled to receive for the management of the Unrestricted PSIAs.
        B400_1040 Authorised Firm's fees from managing other (restricted) accounts Include any amounts owing to the Authorised Firm as fees for managing PSIAR accounts.
        B400_2010 Authorised Firm's income from its own non-financing activities Authorised Firms should include in respect of this item the income received from non-financing activities (e.g. Murabaha sales) that result from the employment of the Authorised Firm's own funds and current accounts. The income should have been generated from funds that have been employed separately from the PSIA funds.
        B400_2020 Authorised Firm's income from its own financing and investment activities Authorised Firms should include in respect of this item the income received from financing and investment activities that results from the employment of the Authorised Firm's own funds and current accounts. The Bank is solely entitled to profits/ (losses) from these activities.
        B400_2030 Net fees and commission income Authorised Firms should include in respect of this item the income received for services provided such as trade related letters of credit, corporate advice, investment management and trustee services, Kefala (guarantees) and indemnities.
        B400_2040 Other operating income Include income from any other source not included in any of the above.
        B300_3700 Staff expenses Include costs such as:
        •  Wages and salaries;
        •  Social security contributions;
        •  Contribution to any pension schemes (employer's share); and
        •  Costs of staff benefits paid.
        B400_3040 Premises and equipment costs Should include rent, property tax, lighting, heating, maintenance costs etc.
        B300_3800 Depreciation and amortisation Charges relating, for example, to depreciation / amortisation of property, plant and equipment and other amounts written off in respect of tangible and intangible fixed assets.
        B400_3060 Provision for losses on Islamic Contracts Provision for losses on Islamic Contracts: refer to FAS 11 of AAOIFI which requires the inclusion of bad and doubtful Islamic financing and non-financing contracts and investments.
        B400_3070 Other provisions Include here all other provisions other than for Islamic Contracts.
        B300_3900 Other operating expenses Include all other expenses not included in any of the above.
        B300_4100 Net income from subsidiaries and associated companies Report share of profits and losses of from subsidiaries and associated companies.
        B300_4200 Profit (loss) from extraordinary items For example:

        Profit or losses on sale or termination of an operation; and

        Profits or losses on disposal of fixed assets.
        B400_3130 Zakah Include Zakah amount calculated with reference to FAS 9 of AAOIFI.
        B300_5100 Tax on profit / loss Any amount that has been or is expected to be paid in taxation.
        B300_7100 Dividends, and other distributions, declared or paid The amount to be distributed in the current year to shareholders out of the profits of a company.
        B300_7300 Other adjustments Any other adjustments that affect the retained profits.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.18 PRU-EPRS 1.18 Instructional Guidelines — Form B50 — Expenditure Based Capital Minimum

      Purpose

      Form B50 — Expenditure Based Capital Minimum form is intended to capture the level of actual expenses incurred by an Authorised Firm during the reporting period. The information in this form is used to assess the continued relevance of an Authorised Firm's Expenditure Based Capital Minimum, in light of the actual level of expenses being incurred.

      Applicability

      This form is applicable to an Authorised Firm in Categories 2, 3A, 3B, 3C or 4.

      Content

      The form is designed to capture the information pertaining to an Authorised Firm's actual expenses for the reporting period along with the deductions allowed as per PIB Rule 3.7.3.

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

      • PRU-EPRS 1.18 Instructional Guidelines

        An Authorised Firm in Categories 2, 3A, 3B, 3C or 4 is drawn attention to the PIB section 3.7 which explains the calculation of Expenditure Based Capital Minimum. A thorough understanding of this section is a must for completing this form accurately.

        Item No. Item Instructional Guidelines
        B500_1100 Total expenses This figure should correspond to Form B30, sum of item nos. B300_1200, B300_2200, B300_3700, B300_3800 and B300_3900.
        Deductions from total expenses (refer PIB Rule 3.7.3).

        Note that the deductions should be entered as positive amounts. EPRS is configured to deduct the amount in the relevant calculations.
        Item No. Item Instructional Guidelines
        B500_1200 Staff bonuses All staff bonuses paid during the year except to the extent that they are non-discretionary.
        B500_1300 Employees' and directors shares in profits All employees' and directors shares in profits except to the extent that they are non-discretionary.
        B500_1400 Other appropriations of profits All such appropriations except to the extent that they are automatic. As per PIB Rule 3.7.3(2), a management charge should not be treated as an appropriation of profits.
        B500_1500 Shared commissions payable Those commissions that would no longer be payable if business were to cease.
        B500_1900 Fees, brokerage and other charges An Authorised Firm may exclude fees, brokerage and other charges paid to clearing houses, exchanges and intermediate brokers for the purposes of executing, registering or clearing transactions.
        B500_2000 Foreign exchange losses Losses arising from the translation of foreign currency balances may be excluded.
        B500_2100 Contributions to charities The contribution that would no longer be paid if business were to cease.
        B500_2200 Prepayments Any expenses for which pre-payments or advances have al been made to the respective claimant (e.g. pre-paid rent, pre-paid communication charges etc.). Deduct only to the extent it pertains to total expenses included in B500_1100.
        B500_100T Total expenditure This line item need not be completed manually, it is calculated by EPRS.

        Total Expenditure = B500_1100 minus the sum of items in B500_1200 to B500_2200.
        B500_3000 Fraction applied The applicable fractions depending on the nature of an Authorised Firm's activities are set out in PIB Rule 3.7.2.
        B500_300T Expenditure based capital minimum (based on actual expenses) This is automaticallycalculated by EPRS as follows:

        B500_100T multiplied by 4 to annualise in the case of quarterly returns or by 1 in the case of annual returns and then applying the fraction in cell B500_3000 on the annualised amount.
        B500_4000 Expenditure based capital minimum (as notified to the firm) In this cell input the Expenditure Based Capital Minimum amount calculated as per the provisions of PIB section 3.7.

        In particular, note that the amount in this cell should not be arrived at by applying the fraction in B500_3000 to the total expenses in cell B500_100T.

        This cell should not be left blank as this is linked to one of the validations in EPRS (refer to the validation page).
        B500_5000 Total of liquid assets in accordance with PIB Rule 3.5.3 In this cell, enter the amount of liquid assets held in accordance with PIB Rule 3.5.3.

        An Authorised Firm in Category 3B, 3C and 4 to which Expenditure Based Capital Minimum section applies should, at all times, maintain an amount which exceeds its Expenditure Based Capital Minimum in the form of liquid assets (PIB Rule 3.5.3).

        PIB Rule 3.5.3 (2) and (3) describe what constitutes liquid assets.
        B500_6000 Liquid assets - EBCM (should be positive). This is calculated by EPRS. In accordance with PIB Rule 3.5.3, for an Authorised Firm in Category 3B, 3C and 4, the amount of liquid assets held should not be less than its Expenditure Based Capital Minimum (as notified to the firm) in line item B500_4000.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • 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]

    • PRU-EPRS 1.20 PRU-EPRS 1.20 Instructional Guidelines — Form B70 — Large Exposures Schedule

      Purpose

      Form B70 is intended to capture the information regarding the Large Exposures of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms categorised under prudential categories 1, 2, 3A and 5. This form is not applicable to Authorised Firms operating through a Branch in the DIFC. Instead, the Branches should use the form B90A1.

      Content

      The form is designed to capture information regarding the

      20 Largest Exposures,
      Details of Exposures to Connected Counterparties and
      10 Largest Exempt Exposures of an Authorised Firm.

      Further details are sought in respect of these Exposures such as type of Counterparties, provisioning amount etc which are explained under the Instructional Guidelines section below.

      Structure of the form in EPRS

      In EPRS the form is split into two parts namely, Part I — Capital Resources and Part II — Exposures.

      Values in Part I — Capital Resources are calculated by EPRS based on the data in form B60 - Capital Adequacy Calculation.

      PART II — Exposures is a linked form and all the information regarding Large Exposures have to be entered in this form.

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

      • PRU-EPRS 1.20 Instructional Guidelines

        1. An Authorised Firm is required to identify and manage its Exposures in accordance with PIB Rule 4.15.
        2. An Exposure, whether in an Authorised Firm's Non-Trading Book or Trading Book, or both, to a Counterparty or Group of Closely Related Counterparties connected to the Authorised Firm which in the aggregate equals or exceeds 10% of the Authorised Firm's Capital Resources should be reported on this form.
        3. The 20 largest Exposures should be listed and, if requested, any other Exposure that exceeds 10% of the Authorised Firm's Capital Resources. Only Exposures that are non-exempt are required to be reported in the first two tables. Any exemptions or Exposures excluded should be reported in the third table.
        Item Instructional Guidelines
        Capital Resources The Capital Resources used as the basis for monitoring and controlling large Exposures should be calculated in the same way as those used for capital adequacy monitoring in Form B60.

        The values in this section are calculated by EPRS based on the values in form B60- Capital Adequacy Calculation.
        Column Instructional Guidelines
        Twenty Largest Exposures Include in this table the twenty largest Exposures to all types of Counterparty except those that are considered to be exempt (which are reported in table 3 below).

        Exposures to individual, or groups of Closely Related, Counterparties should be reported in descending order by size. Exposures to individual Counterparties which constitute a group of Closely Related Counterparties should 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.
        Connected, Unconnected — Bank, Unconnected — Other, Government The Authorised Firm should clarify here into what category an Exposure falls. 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 Firm should state whether an Exposure is to:
        i. a Connected Counterparty;
        ii. an unconnected Counterparty or group of Closely Related Counterparties that are predominantly comprised of non-financial businesses;
        iii. an unconnected Counterparty or group of Closely Related Counterparties that are predominantly comprised of financial businesses; or
        iv. Central governments and central banks.
        Amount of non-exempt Exposure For Exposures arising in the Non-Trading Book the amount at risk should, with certain exceptions detailed below, be reported as the book value of the Authorised Firm's actual or potential claims, contingent liabilities or assets.

        Exposures should be calculated in accordance with IFRS or AAOFI standards.

        For Exposures arising in the Trading Book, all positions should be marked-to-market daily. Where a market determined price is not readily available, the Authorised Firm may generate its own mark-to-market valuation. Positions should be valued in accordance with the procedures outlined in the Authorised Firm's trading book policy statement.

        This is set out in more detail in Rules 2.4 and A4.11.10 to 4.11.28.
        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 Exposure can be reduced through Credit Risk Mitigation as set out in section 4.13.
        Exposure at reporting date after eligible set-offs Amounts in column "Amount at risk at reporting date" less the amounts in Columns "Specific bad debt provision" and "Reduction by netting collateral and other off-sets".
        Amount of this Exposure financed by own assets or Unrestricted PSIAs For Exposures arising out of Islamic business, this column should be used to quantify the amount of the Exposure that is financed by the Authorised Firm's own assets or by Unrestricted PSIA assets.
        Amount of this Exposure financed by restricted PSIAs. For Exposures arising out of Islamic business, this column should be used to quantify the amount of the Exposure that is financed by restricted PSIA assets.
        Table 2
        Exposures to Connected Counterparties This section comprises the disaggregated detail of all connected lending and Exposures should be split into different Counterparties within the connected group.
        Financial or Non-financial company An Authorised Firm should indicate here if the Exposure is to a bank or non-bank within its own Group.
        Table 3
        Ten Largest Exempt Exposures An Authorised Firm is required to identify its exempt Exposures as per PIB Rules A4.11.1. Firms should also include Exposures subject to the institutional exemption as set out in PIB 4.15.10.
        Reason for exemption The Authorised Firm should specify here under what section of A4.11.1 — the Exposure is captured.

        Additional detail for Form B70A1 — Appendix 1 — Largest 25 Exposures arising from Islamic Contracts

        Content

        The form is intended to capture information regarding the Authorised Firms largest 25 Exposures arising from Islamic Contracts.

        Structure of the form in EPRS

        In EPRS the form is split into five linked forms namely, Part I — Musharaka, Part II — Mudaraba, Part III — Istisna'a and Salam Contracts, Part IV — Ijarah and Part V — Murabaha Receivables. These are explained further in the following table.

        Instructional Guidelines

        Item No. Contract type Instructional Guidelines
        Part I Musharaka Report all Musharaka contracts currently outstanding that exceed 10% of the Authorised Firm's Capital Resources. Details regarding the following should be included:
        •  Whether the capital has been self-financed or provided by PSIA accounts;
        •  The amount of capital redeemed during the period such as in the case of a diminishing Musharaka; and
        •  Any income or loss declared, any provisions being made to the value of the Musharaka and the net value of the investment.
        Part II Mudaraba Report all Mudaraba financing contracts that would qualify as a Large Exposure. Identify the basis on which the Authorised Firm has provided the financing i.e. whether on a self-financed or on a PSIA funds basis. Refer to FAS 3.
        Part III Istisna'a/ Parallel Istisna'a Report all Istisna'a contracts that would qualify as a Large Exposure. Identify the value of the Parallel Istisna'a and indicate what proportion of the value has been financed by Authorised Firm's own capital and the funds of PSIA account holders. Refer to FAS 10.
        Part III Salam/ Parallel Salam Report all Salam contracts and Parallel Salam amounts that would qualify as a Large Exposure. The data is to be split into values financed by Authorised Firm's own capital and the restricted and Unrestricted PSIA account holders. Refer to FAS 7.
        Part IV Ijarah / Ijarah Muntahia Bittamleek Report all Ijarah assets on the valuation basis set out in FAS 8. Report also, all assets transferred to the lessee for consideration or gift including the value of impairment before transfer of a legal asset. State total depreciation / amortisation charge and the net book value. This information is required to be provided for self-financed and both forms of PSIAs. The data is to be split by the industrial sectors identified in the reporting statement. Refer to FAS 8.
        Part V Murabaha Report here all Murabaha Exposures that would qualify as a Large Exposure. Divide Exposures into self-financed, PSIAR and PSIA unfunded Exposures. Refer to FAS 2.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.21 PRU-EPRS 1.21 Instructional Guidelines — Form B80 — Liquidity Schedule — Maturity Mismatch

      Purpose

      Form B80 is intended to capture the information regarding the Liquidity Risk position of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms falling under prudential categories 1 and 5.

      Content

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

      Structure of the form in EPRS

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

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

      • PRU-EPRS 1.21 Instructional Guidelines

        1. As set out in PIB Rule 9.3.3, an Authorised Firm in Category 1 or 5 should use the Maturity Mismatch approach to measure its liquidity. This applies equally to Authorised Firms that have a Branch presence in the DIFC as to those that are incorporated here.
        2. In accordance with PIB Rule 9.3.4, an Authorised Firm needs to complete separate returns for a business that is funded by:
        i. PSIAU's; and
        ii. Deposits.

        Liquidity reporting in individual currencies

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

        Cashflow versus maturity analysis approach

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

        Provisions

        7. Items should be reported net of specific provisions.

        Residual Maturity

        8. As set out in PIB Rule A9.2.1, outflows (such as Deposits and other liabilities) are to be included according to their earliest possible repayment date. In this context, the earliest repayment date means the first rollover date or the shortest period of notice required to withdraw the funds or to exercise a break clause, where applicable. Inflows (such as loans) are to be entered as occurring on the latest possible repayment date. Purely technical break facilities should be disregarded for fixed term loans. Where the Authorised Firm has loans outstanding at the reporting date under revolving credit lines and has not received notification that they will be redrawn on maturity, the intermediate date should be taken as the maturity date.

        Time bands

        9. 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 funds pertaining to them. 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.
        10. The time band 'Demand (including next day)' comprises cash flows or asset items due, available or maturing on the next business day after the reporting date. Cash flows arising or assets / liabilities maturing on a non-business day should be reported as taking place on the following business day. Funds callable at one day's notice should be entered as two-day maturity unless notice has been received or given on the reporting date.

        Netting of debts and claims

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

        Marketable securities

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

        Central gov't sec — 1 — 5 yrs

        Central gov't sec -over 5 yrs
        Central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank with CQG 1, 2 or 3. Both fixed and variable rate securities should be reported. Only record those securities currently in the reporting institution's ownership.
        Non gov't sec — 6 mths or less

        Non gov't sec — 6 mths — 5 yrs

        Non gov't sec — over 5 yrs
        Debt instruments with CQG 1, 2 or 3. Only those securities in the reporting institution's ownership, which the institution may freely dispose of at any time with no restrictions, should be recorded. Those assets pledged to another institution or otherwise encumbered should not be included.
        Other cen gov't debt (active) Central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank with CQG of 4, 5 or 6. Include only that debt issued by, or fully guaranteed by, central governments and central banks with CQG's of 4, 5 or 6 that is actively traded. Only the debt currently in the reporting institution's ownership should be recorded.
        Highly liquid equities Equities that are eligible for a specific risk weight of 4% or less under the DFSA's Rules regarding the capital requirement for Market Risks and which are currently in the reporting institution's possession.
        Non-marketable securities Securities which the Authorised Firm holds or will receive, but which it cannot classify as marketable. These should be reported according to the redemption value of the asset or alternatively, where the redemption value is unavailable or not appropriate (e.g. in the case of equities), the book value. Marketable assets maturing within one month reported at their full marked-to-market value, i.e. undiscounted, should also be reported here.
        Inter-bank Inflows arising from placements with other Financial Institutions. Include that element of committed facilities provided to the Authorised Firm where notification of draw down date has been given. Exclude inflows from any bank entities within the Group.
        Intergroup / related Inflows from Counterparties connected to the Authorised Firm. Entries should be made in this item rather than any other item in the Wholesale section if any intragroup / connected Counterparties are involved.
        Corporate Inflows from non-bank, non-connected corporate Counterparties. Initial margins held at clearing houses should be entered here according to their residual maturity. Repayments from leases should also be recorded in this line.
        Govt / public sector Inflows from central governments, public sector entities, local authorities and central banks with CQGs of 1, 2 or 3.
        Govt / public sector Inflows from central governments, public sector entities, local authorities and central banks with CQGs of 1, 2 or 3.
        Repos / reverse repos Include any Transactions relating to repos and reverse repos. Authorised Firms should also enter any Transactions relating to stock borrowing and lending.
        Forward foreign exchange Cashflows relating to forward purchases of foreign currency, where an exchange of principal is effected at the start or maturity of the swap. The amount received should be entered in the appropriate maturity band.
        Forward sales and purchases The cash leg of any forward sales should be treated as an inflow in the timeband corresponding to the date of the forward sale. For forward purchases, where the asset purchased is a marketable asset, the Authorised Firm should report the USD equivalent discounted value of the security purchased at the maturity of the contract. Where the asset purchased is non-marketable, the institution should enter the USD equivalent discounted value of the security at the maturity of the asset.
        Swaps & FRAs For interest rate and currency swaps, enter the receipts of fixed and floating legs in the cashflow section.

        For FRAs, enter the marked-to-market receipt in the relevant time period. The amount of receipts should be derived from the contract's present value at yields prevailing at the reporting date.
        Commodities Inflows from the sale of commodities held by the Authorised Firm.
        Trade related letters of credit Inflows arising from trade related letters of credit.
        Fees (incl Mudarib) Report here fees, commissions or other income receivable by the Authorised Firm relating to its wholesale business, according to its known date of receipt. Where the date of receipt is unknown, do not report these flows.
        Other funding sources Include here any other funding sources not included elsewhere, according to their cashflows.
        OUTFLOWS  
        Non-marketable securities Include here at residual maturity outflows pertaining to maturing securities or debt instruments, which cannot be classified as marketable. Marketable assets maturing within one month at their full marked-to-market value, i.e. undiscounted should also be reported here.
        Inter-bank Funds Outflows arising from placements with or from, or repayments of loans to or from, banks. Exclude from this item loans to, or placements with, or Deposits / placements from, bank entities within the Group.
        Intergroup / related Outflows of funds to Counterparties connected to the reporting institution. Entries should be made in this item rather than any other item in the Wholesale section if any intragroup - connected Counterparties are involved.
        Corporate Outflows to non-bank, non-connected, corporate Counterparties.
        Govt / public sector Report funds lent to central governments, public sector entities, local authorities and central banks with CQGs of 1 , 2 or 3. Where an Authorised Firm is required to place funds on deposit with central banks and monetary authorities, these should be entered as an outflow in the relevant time band.
        Govt / public sector Report funds lent to central governments, public sector entities, local authorities and central banks with CGQs of 4 or higher. Where an Authorised Firm is required to place funds on deposit with central banks and monetary authorities, these should be entered as an outflow in the relevant time band.
        Repos / reverse repos Outflows related to repos or reverse repos. Also include any outflows relating to stock borrowing and lending.
        Forward foreign exchange Enter any cashflows relating to forward sales of foreign currency, where an exchange of principal is effected at the start or maturity of the swap. The amount paid should be entered in the appropriate maturity band.
        Forward sales and purchases For forward sales, the sterling (or euro) equivalent discounted value of the security sold should be recorded as an outflow. The cash leg of any forward purchases should be treated as an outflow in the timeband corresponding to the date of the forward purchase.
        Swaps & FRAS For interest rate and currency swaps, enter payments of fixed and floating legs in the cashflow section.

        For FRAs, enter the marked-to-market payment in the relevant time period. The amount paid should be derived from the contract's present value at yields prevailing at the reporting date.
        Commodities Outflows from the purchase of commodities held by the Authorised Firm.
        Trade related letters of credit Outflows arising from trade related letters of credit.
        Dividends, tax & other costs Outflows arising from dividends, tax etc.
        Ijarah asset purchases Outflows for commitments made for the purchase of these assets.
        Other outflows Any outflows relating to payments of dividends and tax, or any other outflows that have not previously been reported elsewhere. Also report any outflows relating to settlement accounts, using the trade date plus the settlement period to determine the appropriate timeband.
        Other off-balance sheet Any outflows relating to off balance sheet items that have not been reported elsewhere.
        CALCULATION OF LIQUIDITY MISMATCHES Authorised Firms should monitor compliance with their liquidity mismatch guidelines each business day and should report in this section the mismatch on the reporting date, using the data from the previous parts of the return.
        Type of business Denotes business financed by different sorts of assets.
        Timeband The timebands for which limits are set: Sight to 8 days and sight to one month.
        Total discounted marketable assets Figure from row "Total" for "High Liquid / Marketable Assets" section Column "8 days & Under" for S-8 days and Columns "8 days & Under" and "Over 8 days to 1 month" for S-1 month.
        Total standard inflows Figure from row "Total Wholesale Inflows", columns "Demand" and "8 days & Under" for S-8 days and Columns "Demand", "8 days & Under" and "Over 8 days to 1 month" for S-1 month.
        Total standard outflows Figure from row "Total Wholesale Outflows", columns "Demand" and "8 days & Under" for S-8 days and Columns "Demand", "8 days & Under" and "Over 8 days to 1 month" for S-1 month.
        Total relevant Deposits This figure provides the denominator for the mismatch calculation
        •  For conventional Authorised Firms, the figure is obtained from Form B10, item B100_210T;
        •  For Islamic Authorised Firms, see next section of the table;and
        •  For Branches, figure from form B90, item B900_610T.
        Mismatch as a % of total deposits As set out in Rule 9.3.4, the mismatch positions should not exceed -15% or -25% for the sight — 8 days and sight — 1 month timebands respectively.

        Additional Instructional Guidelines for Islamic Contracts

        Inflows   All inflows should be taken as occurring at the last possible contractual repayment date. The treatment of inflows for Islamic Contracts are as follows and it is for the Authorised Firm to determine in which of the categories the inflows should be recorded. In the event of any doubt, the institution should contact its regular supervisory contact at the DFSA.
          Mudaraba Inflows of capital should be reported at the latest redemption date or as assets maturing at the latest possible redemption date. Profits 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 profits 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 option to purchase the asset either during the duration of the lease or at the end of the contract, the amount to be received should be reported as an inflow at the latest possible exercise date.
          Salam and Parallel Salam Enter the amount of inflows as occurring at the latest possible delivery date. If payments are received in the form of instalments (Parallel Salam), only enter the amount of instalments occurring at their latest possible repayment date (or as an asset maturing at the latest repayment date). Enter commodity flows separately in the line market commodities.
          Istisna'a and Parallel Istisna'a Inflows should be assumed to occur at the latest possible completion date. If repayment is via instalments, inflows should be on the latest instalment date.
        Outflows   All outflows should be taken as occurring at the earliest possible contractual repayment date. In the case of a liability, assume the outflows to occur at the earliest possible maturity date. For Islamic Contracts, outflows should only be recognised when there is al in existence a defined agreement between the parties for a particular Islamic Contracts. As previously stated, Authorised Firms will be expected to refer to the appropriate AAOIFI FAS pronouncement in respect of Islamic Contracts. These include Mudaraba, Musharaka, Murabaha, Salam and Parallel Salam, Istisna'a and Parallel Istisna'a and Ijara or Ijarah Munatahia Bitamleek.
          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.
        Total relevant Deposits   For self-financed business, Authorised Firms should use the figure from Form B20, item B100_210T.

        For business financed through PSIAs, the appropriate figure should be derived from the amounts due (akin to Deposits) to PSIAU account holders.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.22 PRU-EPRS 1.22 Instructional Guidelines — Form B90 — Branch Return

      Purpose

      Form B90 is intended to capture the financial position and the results of operations of an Authorised Firm for the reporting period.

      Applicability

      This form is applicable to Authorised Firms operating through a Branch in the DIFC.

      Content

      The form is designed to capture information pertaining to the Authorised Firm's income, expenses assets and liabilities.

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

      • PRU-EPRS 1.22 Instructional Guidelines

        1. All figures relating to income statement items in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. The instructional guidelines below are regarding certain specific data elements in the form.
        3. As noted earlier, this return should only be completed by Authorised Firms that operate in or from the DIFC through a Branch.

        Statement of Profit and Loss

        Item No. Item Instructional Guidelines
        B900_1010 Interest income Include both actually received interest and receivable interest which has accrued but has not yet been received, generated for example by:
        •  Cash and liquid assets;
        •  Trading securities;
        •  Investment securities;
        •  Derivatives in the non-trading book;
        •  Loans and advances;
        •  Investment / loans to parent entity / loans to associates / joint venture;
        •  Other investments; and
        •  Other interest earning assets
        B900_1020 Interest expense Include both interest actually paid and interest payable which has accrued but has not yet been paid, linked to, for example:
        •  Deposits;
        •  Other borrowings;
        •  Derivatives in the non-trading book;
        •  Bonds, notes and other borrowings;
        •  Loan capital;
        •  Loan from parent entity;
        •  Loan from associates / joint ventures;
        •  Other interest bearing liabilities.
        B900_2010 Fee and commission income Include charges made for services provided by the reporting institution, for example the provision of:
        •  Current account facilities;
        •  Corporate advice;
        •  Investment management and trustee services;
        •  Guarantees and indemnities;
        •  Commission on the sale of insurance of travellers cheques; and
        •  Foreign exchange services (if they can be separately identified).
        B900_2020 Fees and commission expense Include charges for all services rendered to the company by third parties (excluding those which have the character of interest).
        B900_3200 Net income from trading securities Include all profits or losses (including revaluation profits or losses) other than those arising from the sale of investments in subsidiary or associated companies, trade investments or the amortisation of premiums or discounts on the purchase of fixed maturity investments which are not held for dealing.
        B900_3300 Net income from investment securities Include net income / (losses) from investments other than the trading securities, such as available for sale and held to maturity investments.
        B900_3400 Income from Islamic Contracts Income derived from any Islamic business undertaken by the Authorised Firm.
        B900_3500 Other operating income Include under this heading income from any other source (other than extraordinary items), for example:
        •  Revaluations of foreign exchange positions;
        •  Revaluation of any investment in subsidiaries or associates (if equity accounting);
        •  Share of profits from associated companies (if reporting on a consolidated basis);
        •  Profit or loss on the sale of non-trading assets — e.g. premises, equipment, subsidiary and associated companies and trade investments; and
        •  Revaluation surpluses / deficits — following normal accounting practice.
        B900_3610 General provisions Total provisions to cover non-specific bad debt provisions.
        B900_3620 Specific provisions Total of provisions made against specific Exposures.
        B900_3640 Provisions for Islamic Contracts Those provisions arising from any Islamic business undertaken
        B900_3650 Other To include, for example, provisions made for taxation or dividends.
        B900_3700 Staff expenses Include, for example:
        •  Salary costs;
        •  Employer's contribution to any pension scheme; and
        •  Costs of staff benefits paid on a per capita basis such as private medical insurance.
        B900_3800 Depreciation & Amortisation Charges relating, for example, to depreciation / amortisation of property, plant and equipment and other amounts written off in respect of tangible and intangible fixed assets.
        B900_3900 Other operating expenses Examples of expenses can be as follows:
        •  Occupancy expenses — for example, rates, rent, insurance of building, lighting, heating, maintenance costs and subsidised restaurants;
        •  Equipment;
        •  Other overhead expenses; and
        •  All other expenditure not falling into one of the other specific categories.

        Statement of Assets

        Item No. Item Instructional Guidelines
        B900_4110 and B900_4120 Cash and Balances with Central Banks Include, for example, the following amounts:
        •  Notes and coins;
        •  Long positions in Gold bullion (including Tola Bars); and
        •  Amounts placed with central banks including funds required to be placed on deposit with central banks and monetary authorities.
        B900_4140 Treasury bills and other eligible bills Treasury bills issued by the national governments or by the Central banks on behalf of the governments. Also include bills issued by other entities, which are eligible for rediscounting with the central bank.
        B900_4130 Money market placements Include Deposits at call and other money market placements with banks or other money market participants
        B900_4210 Trading securities Include investments acquired principally for the purpose of selling or repurchasing it in the near term for short-term-profit-taking. This would include but not limited to, debt, equity and hybrid instruments
        B900_4211 Derivative financial instruments Include, for example, 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 Derivatives; and
        •  Option contracts on currency, interest rate and other financial assets.

        These Derivatives include both the exchange-traded and over-the-counter versions.
        B900_4220 Designated at fair value through profit & Loss Include all financial instruments which are, upon initial recognition, designated by the entity as financial assets to be measured at fair value through profit or loss other than the trading securities included in B900_4210.
        B900_4230 Investment securities — available for sale Include non-Derivative financial assets that are designated as available for sale by the firm or that have not been classified under any of the other categories of investment in section B900_420T.
        B900_4240 Investment securities — held to maturity Include non-Derivative financial assets with fixed or determinable payments and fixed maturity that the firm has positive intention and ability to hold to maturity.
        B900_4810 Investments in associates, subsidiaries and JVs Include investments in entities, including unincorporated entities such as partnerships, over which the firm has significant influence and where the entity in question is neither a subsidiary nor a joint venture operation
        B900_4410 and B900_4420 Loans and advances Amounts arising from, for example:
        •  Revolving credit facilities;
        •  Credit cards outstanding balances;
        •  Housing loans (both variable and fixed rates);
        •  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; and
        •  Other loans and advances.
        The items listed above are indicative examples and are not exhaustive universe of items to be reported under this item.

        The amounts reported should be gross of provisions (as specific and general provisions should be reported in the Liabilities section of the balance Sheet) and net of interest receivable.
        B900_4510 Murabaha and Istina'a receivables Report here all receivables relating to Murabaha and Istisna'a contracts. Refer to FAS 2 and FAS 10 of AAOIFI respectively.
        B900_4520 Ijarah assets and receivables Include Ijarah assets net of depreciation / amortisation and Ijarah receivables. Refer to FAS 8 of AAOIFI.
        B900_4530 Mudaraba Financing Capital provided on a Mudaraba basis should be reported here. Refer to FAS 3 of AAOIFI.
        B900_4540 Musharaka Financing Report capital provided on a Musharaka basis. Refer to FAS 4 of AAOIFI. Investment in the Share capital of another company should be reported under "Other investments".
        B900_4550 Other investments Include any other investments undertaken through Islamic Contracts, including Parallel Istisna'a assets (refer FAS 10 of AAOIFI) and capital provided on Salam contracts (refer FAS 7 AAOIFI).
        B900_4820 Fixed assets 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 in item B900_4520); and
        •  Own premises being occupied or developed for occupation by the Authorised Firm, property (excluding property acquired / held available for sale which should be included in "Other Assets", item B900_4720).
        The amounts reported here should be net of accumulated depreciation and amortisation.
        B900_4610 Goodwill Include amounts relating to any purchased goodwill.
        B900_4620 Other intangible assets Items to be included:
        •  Capitalised development costs
        •  Brand names, trademarks and similar rights
        •  Licences and exchange seats which may be held as part of the Authorised Firm's trading requirement.
        B900_4720 Other assets Assets that have not been included in any of the items above. In particular, positions in short term securities held with the intention of resale, sundry debtors, prepayments and accrued income not identified elsewhere.
        B900_5010 Direct credit substitutes These relate to the financial requirements of Counterparty where the risk of loss to the Authorised Firm on the Transaction is equivalent to a direct claim on the Counterparty. Include here
        •  Guarantees of a financial nature to stand behind the current obligations of Clients (e.g. loan guarantees);
        •  Guarantees of leasing operations;
        •  Letters of credit and Stand-by letters of credit to the extent that they do not qualify for inclusion in item no. B900_5030 "Trade related contingents" 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. Guarantees given to a company not connected to the reporting institution should be risk weighted at 100% and those for connected companies should be deducted from the reporting institution's capital base; and
        •  Acceptances granted and risk participation in bankers' acceptances. Where the reporting institution's 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.
        B900_5020 Transaction related contingents These Exposures relate to the on-going trading activities of a Counterparty where the risk of loss to the reporting institution depends on the likelihood of a future event which is independent of the creditworthiness of the Counterparty. They are essentially guarantees that support particular non financial obligations rather than a Client'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);
        •  Stand by letters of credit relating to a particular contract or to non financial transactions (including arrangements backing, inter alia, subcontractors' and supplier's performance, labour and materials, contracts and bids).
        B900_5030 Trade related Contingents Report short term self-liquidating trade related items such as documentary letters of credit issued by the reporting institution that are collateralised by the underlying shipment i.e. the credit provides for the reporting institution to retain title to the underlying shipment. letters of credit issued without provision for the reporting institution to retain title to the underlying shipment should be reported under direct credit substitutes above.
        B900_5040 Sale and Repurchase Agreements Only report here sale and repurchase agreements where the asset sold is not reported on the balance sheet. Where the asset is off balance sheet, the appropriate Counterparty weighting is determined by the issuer of the security and not according to the Counterparty with whom the Transaction has been undertaken.
        B900_5050 Forward Assets Purchases The appropriate Counterparty weighting should be determined by the asset to be purchased and not the Counterparty with whom the contract has been entered into. Include commitments for loans and other on balance sheet items with certain drawdown. Exclude foreign currency spot Deposits with value date of up to two working dates after trade date.
        B900_5060 Forward Deposits Placed Relates to agreements between two parties whereby one will pay and the other receive an agreed rate of interest on a Deposit to be placed by one with the other at some pre-determined rate in the future. The weight should be determined according to the Counterparty with whom the Deposit will be placed. Exclude foreign currency spot Deposits with value date of up to two working dates after trade date.
        B900_5070 Uncalled partly- paid shares and securities Only include here if there is a specific date for a call. If there is no specific date for a call, the item should be included as a long term commitment under item no. B900_510T, "Other Commitments".
        B900_5080 NIF's and RUF's Note issuance and revolving underwriting facilities should include the reporting institutions 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 Firm, the underwriting obligation should continue to be reported at the nominal amount.
        B900_5090 Endorsement of Bills These should be reported at the full nominal amount, less any amount for bills which the institution now holds but had previously endorsed. Endorsement of bills not accepted by banks will attract the Counterparty risk weighting of the issuer. If it has been endorsed by another bank, a reduced risk weighting applies.
        B900_510T Other Commitments All other undrawn commitments are reportable here, divided into commitments under and over one year.
        B900_5210 Assets funded by restricted PSIAs Total amount of assets managed under Restricted PSIA by the Authorised Firm.

        Statement of Total Liabilities

        B900_610T Deposits Separately identify deposits due to the Financial Institutions in item B900_6002. All other deposits are to be reported in the other deposit section, item B900_6004.
        B900_630T Total Provisions All specific and general provisions in respect of loans and Advances and other receivables should be reported here. Exclude provisions against Islamic Contracts which should be reported in item no B900_6640.
        B900_660T Liabilities arising from Islamic Contracts Liabilities arising from Islamic Contracts include advances received against Salam contracts (defined in Para 3 and 19 of FAS 7 issued by AAOIFI and Ijarah investment payables (refer to FAS 8 of AAOIFI).
        B900_6010 and B900_6020 Creditors and other Liabilities Report all items not included in any of the above, such as proposed dividends payable, sundry accruals and deferred income etc.
        B900_6400 Derivative financial instruments — held for trading 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 Derivatives; and
        •  Option contracts on currency, interest rate and other financial assets.

        These Derivatives include both the exchange-traded and over-the-counter versions.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.23 PRU-EPRS 1.23 Instructional Guidelines — Form B90 — Appendix 1 — Large Exposures — Branch

      Purpose

      Form B90A1 is intended to capture the information regarding the Large Exposures undertaken out of the Branch by an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms operating through a Branch in the DIFC in prudential category 1, 2, 3A and 5.

      Content

      The form is designed to capture information pertaining to the Authorised Firm's 20 Largest Exposures to Unconnected Counterparties and 10 Largest Exposures to Connected Counterparties. Further details are sought in respect of these Exposures such 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]
      [Amended] [VER2/04-13]

      • PRU-EPRS 1.23 Instructional Guidelines

        1. An Authorised Firm operating through a Branch presence is required as part of its general systems and controls obligations, to identify and manage the Exposures agreed and undertaken by its operations.
        2. The 20 largest Exposures, in absolute terms, to unconnected Counterparties should be listed in the first table and the 10 largest Exposures, again in absolute terms, to Connected Counterparties should be listed in the second table.
        Item Instructional Guidelines
        Twenty Largest Exposures (Unconnected) Include in this table the twenty largest Exposures to all types of Counterparty except those that are connected to the Branch.
        Exposures to individual, or groups of Closely Related Counterparties should be reported in descending order by size. Exposures to individual counterparties which constitute a group of Closely Related Counterparties should 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 Firm should clarify here into what category an Exposure falls. 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 Firm should state whether an Exposure is to:
        i. an Unconnected Counterparty or group of Closely Related Counterparties that are predominantly comprised of financial businesses;
        ii. an Unconnected Counterparty or group of Closely Related Counterparties that are predominantly comprised of non-financial businesses;
        iii. Central governments and central banks.
        Amount of Exposure at risk For Exposures arising in the Non-Trading Book the amount at risk should, with certain exceptions detailed below, be reported as the book value of the Authorised Firm's actual or potential claims, contingent liabilities or assets.

        Exposures should be calculated in accordance with internationally or AAOFI accepted accounting practice.

        For Exposures arising in the Trading Book, all positions should be marked-to-market daily.

        Where a market determined price is not readily available, the Authorised Firm may generate its own mark-to-market valuation. Positions should be valued in accordance with the procedures outlined in the Authorised Firm's trading 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 Branch should use as the denominator the amount its head office has available as regulatory capital (e.g. financial resources). This is intended to provide the DFSA with a guide as to the relative size and importance of the Exposure for the Authorised Firm as 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 Exposure can be reduced through Credit risk Mitigation as set out in section 4.13.
        Exposure at reporting date after eligible set-offs Column "Amount of Exposure at risk" less the amounts in Columns "Specific bad debt provision" and "Reduction by netting, collateral & other set-offs".
        Amount of this Exposure financed by own assets or Unrestricted PSIAs For Exposures arising out of Islamic business, this column should be used to quantify the amount of the Exposure that is financed by the Authorised Firm's own assets or by Unrestricted PSIA assets.
        Amount of this Exposure financed by restricted PSIAs. For Exposures arising out of Islamic business, this column should be used to quantify the amount of the Exposure that is financed by restricted PSIA assets.
        Ten Largest

        Exposures

        (connected)
        Include in this table the ten largest Exposures to Connected Counterparties i.e. the dis-aggregated detail of all connected lending and Exposures should be split into different Counterparties within the connected group.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.24 PRU-EPRS 1.24 Instructional Guidelines — Form B120 — Geographical Distribution of Assets and Liabilities

      Purpose

      Form B120 is intended to capture the information regarding geographical distribution of assets and liabilities of an Authorised Firm at the end of the reporting period.

      Applicability

      This form is applicable to Authorised Firms categorised under prudential categories 1, 2, 3A, 3B, 3C5.

      Content

      The information reported covers claims, other Exposures, and liabilities booked by the Authorised Firm at the DIFC office and its branches. The level of consolidation for this return should be the same as that for the balance sheet. The positions of the subsidiaries carrying out the Financial Services of Accepting Deposits and Providing Credit are to be consolidated into this return.

      Structure of the form in EPRS

      The form is split into three linked forms, namely, Part I — Claims Immediate Borrower Basis, Part II — Other and Part III — Liabilities.

      In Part I — Claims Immediate Borrower Basis information regarding all the claims and other Exposures are to be entered.

      In the second linked form (Part II — Other) mainly the information regarding the risk transfers i.e. claims on immediate borrowers that can be reallocated to the country sector where the final risk lies, i.e., the entity of ultimate risk is to be reported by way of outward and inward risk transfers.

      The third linked form (Part III — Liabilities) captures the information regarding the geographical distribution of various liabilities of an Authorised Firm.

      Note: A comprehensive list of countries has been provided within the EPRS system. Therefore, for providing country wise breakdown of the amounts right click on the row 'Country Code' in each of the linked forms and select the necessary countries from the list that would appear.

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

      • PRU-EPRS 1.24 Instructional Guidelines

        1. The residency of Counterparties on both an immediate borrower and ultimate risk basis is to be reported.
        2. All claims and other Exposures are to be reported gross of any provisions for impairment. Accrued interest is to be excluded from all parts of the return. Exclude all gold and silver balances, foreign coin, foreign government or bank notes, net debit or credit items in transit vis-à-vis third parties and amounts reported as insurance-related assets and liabilities.
        3. Claims, other Exposures, and liabilities are to be initially classified on a geographical basis according to the mailing address of the Counterparty, unless the Authorised Firm is aware that the residential status of the Counterparty is different from their mailing address.

        Risk transfers

        4. Information on claims on immediate borrowers that can be reallocated to the country sector where the final risk lies, i.e., the entity of ultimate risk, is to be reported by way of outward and inward risk transfers.
        5. In line with the risk reallocation principle for measuring country Exposure recommended by the Basel Committee on Banking Supervision, the country of ultimate risk or where the final risk lies is defined as the country in which the guarantor of a financial claim resides or the country in which the head office of a legally dependent branch is located.
        6. Claims on separately capitalized subsidiaries can only be considered as being guaranteed by the head office if the parent has provided an explicit guarantee. Collateral may be considered as an indicator of where the final risk lies to the extent that it is recognized as a risk mitigant under the Basel Capital Accord. The following is a list of eligible collateral:
        a. cash on deposit with the lending bank including certificates of deposit or comparable instruments issued by the lending bank;
        b. gold;
        c. debt securities rated by a recognised external credit assessment institution where these are:
        i. rated at least BB- when issued by sovereigns and public sector entities ("PSEs") that are treated as sovereigns by the national supervisor;
        ii. rated at least BBB- when issued by other issuers (including banks and securities firms); or
        iii. rated at least A2 / P3;
        d. debt securities not rated by a recognised external credit assessment institution where these are:
        i. issued by a bank;
        ii. listed on a regulated exchange;
        iii. qualify as senior debt;
        iv. all other rated issues of the same seniority by the issuing bank are rated at least BBB- or A3 / P3 by a recognized external credit assessment institution;
        v. the bank holding the securities as collateral has no information to suggest that the issue justifies a rating below BBB- or A3 / P3 (as applicable); and
        vi. the supervisor is sufficiently confident about the market liquidity of the security;
        e. equities that are included in a main index;
        f. equities that are not included in a main index but are listed on a regulated exchange; and
        g. Domestic or Foreign Funds where:
        i. a price for the Units is publicly quoted daily; and
        ii. the Fund is limited to investing in the instruments listed in this section.
        7. If credit Derivatives are used to cover the Counterparty risk of financial claims in the banking book, the country of ultimate risk of these positions is defined as the country in which the Counterparty to the credit derivative contract resides. However, credit Derivatives, such as credit default swaps and total return swaps, that belong to the trading book of the protection buying reporting bank should only be reported under the "Derivatives" category, and all other credit Derivatives should be reported as "guarantees" by the protection seller (see guarantees and other unused credit commitments below).

        Reporting of Credit Derivatives

        Buy protection Sell protection
        Banking book Risk transfers Guarantees
        Trading book Derivatives Guarantees
        8. In the case of security holdings, such as credit-linked notes and other collateralised debt obligations and asset-backed securities, a "look-through" approach should be adopted and the country of ultimate risk is defined as the country where the debtor of the underlying credit, security or Derivative contract resides.
        9. Note that inward and outward risk transfers are used to report transfer of risk from one sector to another sector, even when the country of the immediate borrower and the country of ultimate risk are the same. Where banks are unable to allocate outward risk by country because the protection has been purchased to cover a group, e.g., an industry Exposure, banks are to use a reasonable weighted-average allocation formula, eg. weighted-average based on total claims of the group. Amounts involved in such allocations should be insignificant.

        Example

        10. The following example demonstrates a risk transfer. A borrower in country XXX borrows USD $1 million from a bank and the repayment of that loan is guaranteed by another entity in country YYY. For the purposes of risk transfer, this Transaction would be reported as follows:
        Country Name Loans Outward Risk Transfer Inward Risk Transfer
        XXX 1000 1000  
        YYY     1000
        11. The data in line 1 tell us that the bank has a $1 million claim on a borrower located in country XXX, and this claim is guaranteed by a resident of another country. Line 2 data tell us that the residents of country YYY have provided an unconditional credit commitment for the claims the bank has on the residents of another country. Note that the total of the "Outward Risk Transfer" column and the "Inward Risk Transfer" column (columns 3 and 4 in the above example) will be the same.
        12. The following equation illustrates how to derive claims on an ultimate risk basis:

        Total Claims (Immediate Borrower Basis) - Outward Risk Transfer + Inward Risk Transfer = Total Claims (Ultimate Risk Basis)

        Derivatives

        13. Authorised Firms are to provide data on financial claims (i.e., positive market values) resulting from Derivative contracts, independent of whether they are booked as on- or off-balance sheet items. The data should be reported on an ultimate risk basis, i.e., the positions should be allocated to the country where the final risk lies. The data would, therefore, mainly comprise forwards, swaps and options relating to foreign exchange, interest rate, equity, commodity and credit Derivative contracts. As previously indicated, credit Derivatives that are used to cover for the Counterparty risk of financial claims in the banking book should be reported as "risk transfers" and not as Derivatives.
        14. The following items are common OTC Derivative instruments:

        Forward contracts

        15. Forward contracts represent agreements for delayed delivery of financial instruments or commodities in which the buyer agrees to purchase and the seller agrees to deliver, at a specified future date, a specified instrument or commodity at a specified price or yield. Forward contracts are not traded on organised exchanges and their contractual terms are not standardised. Forward contracts that are to be reported are those that have been entered into by the reporting bank and are outstanding (i.e., open contracts) as at the reporting date. Contracts are outstanding (i.e., open) until they have been cancelled by acquisition or delivery of the underlying financial instrument or commodity or settled in cash.

        Swaps

        16. Swaps are Transactions in which two parties agree to exchange payment streams based on a specified notional amount for a specified period.

        OTC options

        17. Option contracts convey either the right or the obligation, depending upon whether the reporting institution is the purchaser or the writer, respectively, to buy or sell a financial instrument or commodity at a specified price up to a specified future date. OTC option contracts include all option contracts not traded on an organized exchange. These include: swaptions, i.e., options to enter into a swap contract, and contracts known as caps, floors, collars, and corridors. Options such as call features embedded in loan, securities and other on-balance-sheet assets are not to be included. Sold options are not considered a financial claim and therefore are not to be included under Derivatives.

        Guarantees and Other Unused Credit Commitments

        18. Data should be supplied on Exposures to the reporting bank via guarantees and unused credit commitments other than guarantees. These are to be reported on an ultimate risk basis, i.e., the positions allocated to the country where the final risk lies. Both types of data should be reported to the extent that they represent the unutilised portion of both binding contractual obligations and any other irrevocable commitments. Performance bonds and other forms of guarantee should only be reported if, in the event of the contingency occurring, the resulting claims would have an impact on total balance sheet claims.
        19. "Guarantees" are contingent liabilities arising from an irrevocable obligation to pay to a third-party beneficiary when a Client fails to perform some contractual obligation. They include secured, bid and performance bonds, warranties and indemnities, confirmed documentary credits, irrevocable and standby letters of credit, acceptances and endorsements. Guarantees also include the contingent liabilities of the protection seller of credit Derivative contracts.
        20. "Other unused credit commitments" are arrangements that irrevocably obligate an institution, at a Client's request, to extend credit in the form of loans, participation in loans, lease financing receivables, mortgages, overdrafts or other loan substitutes or commitments to extend credit in the form of the purchase of loans, securities or other assets. Normally commitments involve a written contract or agreement and some form of consideration, such as a commitment fee.

        Specific Guidance

        First linked form — Part I — Claims — Immediate Borrower Basis

        Item Instructional Guidelines
        Country Code For the relevant Exposure, enter the country code found on the List of Country Codes.
        Deposits Report Deposits with banks or official monetary institutions according to the location of the office where the Deposit is held.
        Securities Report short term and long term securities and equities. Short term securities are those with an initial term of less than 1 year.
        Loans Report loans at book value gross of provisions for impairment.
        Distribution of claims by residual term to maturity The maturity should reflect amortisation periods or final maturity dates rather than interest adjustments or rollover dates. Instalment loans should be allocated to the periods in which instalment payments are made. Demand loans should be classified as claims with a maturity of less than one year. Equities should be reported as unallocated.

        Second linked form — Part II — Other

        Item Instructional Guidelines
        Outward Risk Transfer Report the amounts which are guaranteed or assured through some type of commitment by a party in another country or by another sector in the same country.
        Inward Risk Transfer Report the amount of any guarantees and other types of credit commitments made by residents of other countries or by another sector in the same country.
        Total Claims ultimate risk basis Report the total "claims — immediate borrower basis" less "outward risk transfers" plus "inward risk transfers".
        Other Exposures ultimate risk basis Report separate amounts for guarantees, Derivatives and other as previously defined.

        Third linked form — Part III — Liabilities

        Item Instructional Guidelines
        Official Monetary Institutions Report Deposits payable to official monetary institutions.
        Other Banks Report Deposits payable to other banks.
        Other Liabilities Report any other liabilities.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.25 PRU-EPRS 1.25 Instructional Guidelines — Form B130 — Provisions for Impairment

      Purpose

      Form B130 is intended to capture the information regarding the provisions for impairment of assets of an Authorised Firm.

      Applicability

      This form is applicable to Authorised Firms categorised under prudential categories 1 and 5.

      Content

      The information reported covers movement in the specific and general provisions in respect of various categories of assets such as mortgage loans, non-mortgage loans, Deposits with the Financial Institutions, Securities and Off-Balance sheet items.

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

      • PRU-EPRS 1.25 Instructional Guidelines

        All figures relating to income statement items, other expense accounts, volumes, activity levels, number of accounts or units sold/traded and any other data relating to amounts invested / deposited except outstanding balances in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.

        Item Instructional Guidelines
        Opening Balance Report the provisions as at the end of the previous period.
        Charge from Profit and Loss The additional provisions that management considers adequate to reduce the recorded investment in the firm's books net of other movements. The amount of provisions should be the same as recorded on the profit and loss statement.
        Write offs The reduction of provisions due to a write off of the corresponding investment.
        Recoveries The increase of provisions due to funds recovered from an investment that had previously been written off.
        Other Include and specify any other credit related adjustments to provisions occurring during the period.
        Closing Balance This item is calculated by EPRS as the opening balance adjusted by the items in 'Charge from P&L", 'Write offs, 'Recoveries' and 'Other adjustments'
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.26 PRU-EPRS 1.26 Instructional Guidelines — Form B140 — Exposures in Arrears

      Purpose

      Form B140 is intended to capture information regarding the Exposures / Assets in arrears or past due.

      Applicability

      This form is applicable to Authorised Firms categorised under prudential categories 1 and 5.

      Content

      The information reported covers amount of Exposure broken down into different time brackets such as Exposures overdue for less than 30 days, between 30 and 59 days etc, in respect of various categories of assets / Exposures such as mortgage loans, non-mortgage loans, Deposits with the Financial Institutions, Securities and off — balance sheet items.

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

      • PRU-EPRS 1.26 Instructional Guidelines

        1. All figures relating to income statement items, other expense accounts, volumes, activity levels, number of accounts or units sold / traded and any other data relating to amounts invested / deposited except outstanding balances in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. The amount should be the total of the Exposures corresponding to the time in arrears from the day on which the payment for the Exposure was due as per the contractually agreed terms. The amount should be gross of any provisions for impairment.
        3. The number of Exposures should be the total number of Exposures corresponding to relevant amount.
        4. The provision applied should be the specific provision applied to the relevant amount.
        5. Authorised Firms in category 1 and 5 are required to complete this form in respect of its Exposures in arrears.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.27 PRU-EPRS 1.27 Instructional Guidelines — Form B150 — Investment Activity Schedule

      Purpose

      Form B150 — Investment Activity is intended to capture the details of the investments held by an Authorised Firm on its own account, i.e. on its own balance sheet at the end of the reporting period.

      Applicability

      This form is applicable to all Authorised Firms irrespective of their prudential category, including Islamic Financial Institutions ("IFI") and Authorised Firms operating a Branch in the DIFC.

      Content

      The form is designed to capture information pertaining to the investments carried on an Authorised Firm's balance sheet. Specifically the form captures the detailed breakdown of investments across different classes of financial instruments, the geographical and sectoral distribution of investments. The form also seeks to obtain the composition of investments in terms of currency of denomination across three main currency categories — USD, UAE Dirham and Other Currencies.

      Authorised firms are required to report the investments made to deploy their capital funds, even though they are not carrying on the activity of investing as part of their main business. However, investments held by an Authorised Firm as part of its Client Assets should not be included in this form.

      Bear in mind the following general factors while using the guidelines given below to complete the form.

      (a) Authorised firms are expected to determine the classification of their investments for reporting on the basis of the economic import of the investment and its risk-return profile rather than on the basis of specific nomenclature for the Transaction / product involved.
      (b) In cases where the investments are made in special-purpose vehicles or structured products, the nature and characteristics of the underlying assets or cash-flow streams should be considered while determining its sectoral and geographical classification.
      (c) Although the investments have to disclosed across three different currency bases, the reporting amounts will always be in US Dollars. Consequently, the value of the investments classified under UAE Dirham and Other Currencies need to be translated into US Dollars, using relevant exchange rates and reported in the respective columns.
      (d) The total investments in each part of the form need to be the same as in the other parts and should equal the total investments reported in form B10 — Statement of Financial Position.

      Structure of the form in EPRS

      B150 is a single form with three main parts. The first part involves splitting the investments across different types of instruments. The total investments will automatically be reflected in item # B150_100T. The details of investments made using Derivatives are to be disclosed in the next part.

      Subsequent parts of the form require an Authorised Firm to classify its investments across two different dimensions — the geographical distribution of investments and the sectoral distribution. Sectoral distribution involves classifying investments in terms of the Investment sector.

      Every category of investments resulting from the classifications referred to above are required to be disclosed in three broad classes of currency of denomination — US Dollar, UAE Dirham and other currencies. The form provides three columns to report the three different currency bases for every category of investment.

      Authorised Firm is required to ensure that the total investments reported in each of the three main parts are equal to each other. The total investments should also be equal to the amount of total investments reported on the applicable statement of financial position, Form B10, Form B20 or Form B90.

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

      • PRU-EPRS 1.27 Instructional Guidelines

        1. Part I: Classification of investments by asset class: The different asset classes and the underlying asset categories are described in the title column which render them self explanatory, except for the following specific points.
        2. B150_1110 — Government Securities: Include debt securities with original maturity of 366 days or less, issued by sovereign governments or issuers of sovereign risk. These securities can be denominated in any currency.
        3. B150_1120 — Government Bonds: Include debt securities with original maturity of more than 366 days, issued by sovereign governments or issuers of sovereign risk. These securities can be denominated in any currency.
        4. B150_1130 — Sub-Sovereign Debt: Include debt securities issued by emirate / state / provincial governments, municipal authorities, agencies of the government which carry do not represent sovereign risk. These securities can be denominated in any currency.
        5. B150_1140 — Issuance by Public sector enterprises: Include debt securities issued by corporate entities which are wholly or majority owned by federal / state governments.
        6. B150_1150 to B150_1195: These items are self-explanatory.
        7. B150_1210 to B150_1230: These items in the section titled 'Hybrid debt & preferential shares' are intended to capture data on amount of investments made in all forms of hybrid debt and quasi-equity instruments. These typically include, but are not limited to, convertible bonds, preference shares etc.
        8. B150_1310 to B150_2500: These items in the sections titled 'Equity, Other Assets & Derivatives' are self-explanatory, except for B150_1420 — Stakes in Special Purpose Vehicles ("SPVs"). Include investments made in SPVs including but not limited to those used for cash-flow securitisations, asset securitisations, project financing, structured credit Transactions and for ship / aircraft financing.
        9. B150_3100 to B150_500T: These items in the sections titled geographic distribution, sectoral distribution and currency denomination of investments are self-explanatory, except for those indicated below.
        10. B150_4230 — Others: Include all investments made where the Investments do not lend themselves to be classified under any of the sectors listed under this section.
        11. B150_500T — This row titled 'Total Investments based on currency denomination' leads to a linked form. To reach the linked form, right-click on the green cell in the fourth column titled "Total" and choose "Linked Form" in the pop-up box.
        12. The linked form provides for addition of any currencies which the Authorised Firm wishes to use for reporting its investments. To add currencies, click the icon in the first column on the left which opens a dialogue box listing the entire universe of currencies. User will choose the currencies on which reporting is required to be done by clicking on the code numbers for the currency listed in the dialogue box. On completing the selection of all the currencies required, the user clicks OK button at the bottom of the window. This will bring the user back to the linked form where all the chosen currencies are listed. The user can then report all the investments against the selected currencies.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.28 PRU-EPRS 1.28 Instructional Guidelines — Form B160 — Credit Activity Schedule

      Purpose

      Form B160This form is designed to capture the details of the credit activity of Authorised Firms carried out by way of business, on both dimensions of outstanding credit at the end of the reporting period and fresh credit delivery during the reporting period.

      Applicability

      This form is applicable to Authorised Firms licensed to carry out the financial service of Providing Credit. Such authorised firms are likely to be included in prudential categories 1 & 5. This includes Authorised Firms operating as a Branch in the DIFC and Islamic Financial Institutions ("IFI") in prudential category 5.

      Content

      The form is intended to capture information pertaining to the outstanding credit carried on the Authorised Firm's balance sheet and the amount of fresh credit delivered by the firm. Specifically the form captures the detailed breakdown of credit across:

      (a) different types of borrowers (referred to as counterparties in the form);
      (b) by product category;
      (c) by domicile of the borrower;
      (d) maturity of the credit Exposure;
      (e) the sector in which the borrower(s) operate; and
      (f) by the currency of denomination of the credit.

      The form also seeks to collect information on the types of unfunded or off-balance sheet credit Exposures and on the currency distribution of the credit activity.

      Authorised Firms are required to report all Exposures, with a risk-reward profile similar to that of credit in this form. Although the list of typical credit products is provided in the second section of the form, all Exposures resembling credit, like lease, hire purchase etc should also be included as part of the information reported in this form. For the sake of consistency, the instructions provided herein uses the term "Credit" to refer to all types of lending, including but not limited to loans, advances, mortgages, structured credit, revolving credit, self-liquidating short-term credit, lease, hire purchase etc.

      Authorised firms are required to report all the credit activity in USD equivalent, including the amounts they report in respect of the credit activity denominated in different currencies. In the last section of the form collecting data on credit activity across different currencies, firms are also required to categorise the credit provided between Group companies & related Counterparties, banks & Financial Institutions and other Clients.

      Structure of the form in EPRS

      B160 is a single form with two main parts. The first part has six sections, each of which involves classifying total credit activity across one of the dimensions referred to above. The second part is in a linked form which seeks classification of credit activity in terms of the currency in which credit is provided. In respect of every category of credit resulting from the classifications referred above, Authorised Firms are required to disclose total outstanding credit and total credit provided in the reporting period. The total outstanding credit classified under each section should be the same and should equal the total credit reported in form B10, form B20 or form B90, whichever is applicable.

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

      • PRU-EPRS 1.28 Instructional Guidelines

        1. All figures relating to income statement items, other expense accounts, volumes, activity levels, number of accounts or units sold / traded and any other data relating to amounts invested / deposited except outstanding balances in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. Part I: Classification of credit by type of borrower or Counterparty: The different types of borrowers for which data is to be reported are listed in the title column which render them self explanatory, except for the following specific points.
        3. B160_1010 — Credit to Sovereign Governments and Central Banks: Include credit to sovereign governments, central banks or issuers of sovereign risk. This will include all reserve requirements maintained with central banks.
        4. B160_1020 — Credit to sub-sovereign entities: Include credit to emirate / state / provincial governments, municipal authorities, agencies of the government which do not represent sovereign risk.
        5. B160_1030 — Credit to Public sector enterprises: Include credit (loans and advances of all types) provided to corporate entities which are wholly or majority owned by federal / state governments.
        6. B160_1040 to B160_2110: These items are self-explanatory.
        7. B160_2120 — Loans collateralised by other assets: Include lease and hire purchase Exposures, wherein the underlying equipment or assets provide cover for the credit.
        8. B160_3010 to B160_3090 — Geographical distribution of credit: The classification in this section is intended to be mutually exclusive. For example, reporting of credit to borrowers domiciled in the GCC, B160_3040 should not include the credit to borrowers in the DIFC or those in the UAE, because they are reported in the previous three items. Similarly, credit reported in B160_3050 should not include the credit reported in B160_3040 and the previous items.
        9. B160_4010 to B160_6030: These items in the sections addressing classification by maturity, sectoral distribution, unfunded credit and currency denomination of credit are self-explanatory.
        10. B160_5130 — Others: Include all credits made where the borrowers do not lend themselves to be classified under any of the sectors listed under this section.
        11. B160_700T — This row titled 'Total Credits based on currency denomination' leads to a linked form. To reach the linked form, right-click on the green cells in either of the two columns on the right and choose 'Linked Form' in the pop-up box.
        12. The linked form provides for addition of any currencies which the user wishes to use for reporting its credits. To add currencies, click the icon in the first column on the left which opens a dialogue box listing the entire universe of currencies. User will choose the currencies on which reporting is required to be done by clicking on the code numbers for the currency listed in the dialogue box. The currencies thus chosen can be seen on the right hand side window. On completing the selection of all the currencies required, the user clicks OK button at the bottom of the window. This will bring the user back to the linked form where all the chosen currencies are listed. The user can then report all the credits against the selected currencies.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.29 PRU-EPRS 1.29 Instructional Guidelines — Form B170 — Acceptance of Deposits Schedule

      Purpose

      Form B170 — Acceptance of Deposits is designed to capture the details of the Deposit taking activity of Authorised Firms carried out by way of business, on both dimensions of outstanding amount at the end of the reporting period and fresh Deposit inflows during the reporting period.

      Applicability

      This form is applicable to Authorised Firms in the prudential category 1, which are licensed to carry out the financial service of Accepting Deposits. This includes Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to the outstanding amount of Deposits owed by and reported on the Authorised Firm's balance sheet and the amount of Deposits raised by the firm during the reporting period. Specifically the form captures the detailed break-up of Deposits across:

      (a) different types of depositors;
      (b) type of Deposits;
      (c) geographic diversification of the depositor;
      (d) maturity of the Deposits; and
      (e) Currency denomination of Deposits.

      The form also seeks to collect the data composition of Deposits as described above, except for the distribution across currencies, in terms of USD Deposits and Deposits raised in other currencies separately. Authorised firms are required to report all data on Deposits in USD equivalent, including the data on Deposits raised in other currencies.

      Authorised Firms are required to report all Deposits which meet the definition provided in Appendix 1 of the GEN module of the DFSA Rulebook. Authorised Firms involved in managing PSIA accounts for its Clients need not report the amounts involved in such PSIA accounts in this form.

      Structure of the form in EPRS

      B170 has a main form with a linked form, wherein the main form has four sections, each of which involves classifying total Deposits across one of the dimensions referred above. The linked form seeks classification of Deposits accepted in terms of the currency in which they are denominated. In respect of every category of Deposits resulting from the classifications referred above, Authorised Firms are required to disclose total outstanding Deposits at the end of the reporting period and the total Deposits raised during the reporting period. The total outstanding Deposits reported under each section should be the same and should equal total Deposits reported in form B10, form B20 or form B90, whichever is applicable.

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

      • PRU-EPRS 1.29 Instructional Guidelines

        1. All figures relating to income statement items, other expense accounts, volumes, activity levels, number of accounts or units sold / traded and any other data relating to amounts invested / deposited except outstanding balances in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. Section I: Classification of Deposits by type of depositor: The different types of depositors for which data is to be reported are listed in the title column which render them self explanatory, except for the following specific points.
        3. B170_1010 — Individuals: This refers to all the individual depositors who have made the Deposits on their own name. Include also Deposits made by personal investment vehicles of individual investors which usually, but are not limited to take the form of trusts, investment companies etc.
        4. B170_1050 — Sovereign, sub-sovereign entities and PSEs: Include Deposits raised from sovereign governments, emirate / state / provincial governments, municipal authorities, agencies of the government which do not represent sovereign risk. Also include Deposits accepted from corporate entities which are wholly or majority owned by federal / state governments.
        5. B170_3010 to B160_3060 — Geographical distribution of depositors: The classification in this section is intended to be mutually exclusive. For example, reporting of Deposits from the MENA, B170_3020 should not include the Deposits raised from the GCC, because it is reported in the previous item.
        6. B170_500T — This row titled 'Total (currency)' leads to a linked form. To reach the linked form, right-click on the green cell in the right-most column of this row and choose 'Linked Form' in the pop-up box.
        7. The linked form provides for addition of any currencies which the user wishes to use for reporting Deposits. To add currencies, click the icon in the first column on the left which opens a dialogue box listing the entire universe of currencies. User will choose the currencies on which reporting is required to be done by clicking on the code numbers for the currency listed in the dialogue box. The currencies thus chosen can be seen on the right hand side window. On completing the selection of all the currencies required, the user clicks OK button at the bottom of the window. This will bring the user back to the linked form where all the chosen currencies are listed. The user can then report the data regarding Deposits against the selected currencies.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.30 PRU-EPRS 1.30 Instructional Guidelines — Form B180 — Wealth Management Activity

      Purpose

      Form B180This form is designed to capture the data regarding wealth management activity of Authorised Firms, including both the business arising out of accounts booked in the DIFC and accounts booked elsewhere.

      Applicability

      This form is applicable to Authorised Firms licensed to undertake Managing Assets, managing a PSIA (restricted), Advising on Financial Products or Credit or Arrange Transactions in Investments or Credit. Authorised Firms operating as a Branch in the DIFC.

      Content

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

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

      Authorised Firms involved in managing PSIA accounts for its customers are required to include the data on such PSIA accounts as part of the data on discretionary accounts — item B180_1010.

      Structure of the form in EPRS

      B180 consisting of three sections. The first section seeks the composition of data between discretionary and non-discretionary accounts, while the second section seeks classification of the data across broad geographical segments of the Client base. The third section seeks the data on accounts booked other than in the DIFC, to be classified across the different booking centres where such accounts are booked.

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

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

      • PRU-EPRS 1.30 Instructional Guidelines

        1. All figures relating to income statement items, other expense accounts, volumes, activity levels, number of accounts or units sold / traded and any other data relating to amounts invested / deposited except outstanding balances in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. Second section on domicile of Clients: The classification in this section is intended to be mutually exclusive. For example, information on accounts of Clients domiciled in the GCC & MENA, B180_2030 should not include the accounts of customers domiciled in the UAE or in the DIFC, because they are reported in the previous two items. Similarly, data reported in B180_2020 should not include the accounts reported in B180_2010. Otherwise, the data being sought in all the three sections of this form are self-explanatory given the description provided in the title column.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.31 PRU-EPRS 1.31 Instructional Guidelines — Form B190 — Asset Management, Custody & Trust services

      Purpose

      Form B190 — This form is designed to capture data regarding asset management , custody and trust service activities, covering both the business arising out of services provided in the DIFC and services arranged from the DIFC.

      Applicability

      This form is applicable to Authorised Firms licensed to undertake Managing Assets, managing a PSIA (restricted), Providing Trust Services, Providing or Arranging Custody, Advising on Financial Products or Credit or Arranging Credit or Deals in Investments. This includes Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to the number of Clients, net new assets during the reporting period and the total assets under management of the Authorised Firm across asset management, custody and trust services activity. The form seeks to capture the data in respect of services provided in the DIFC as well as services arranged from the DIFC. The form also requires classification of the data across different types of fund structures and Client segments.

      Structure of the form in EPRS

      Form B190 comprises three sections, seeking data about asset management, custody and trust services activity. The information is sought in respect of services provided in the DIFC as well as services arranged from the DIFC.

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

      • PRU-EPRS 1.31 Instructional Guidelines

        1. All figures relating to income statement items, expense accounts, volumes, activity levels, number of accounts or units sold / traded and any other data relating to amounts invested / deposited except outstanding balances in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. Authorised firms are required to report all data on assets under management in USD equivalent, including the assets denominated in other currencies. Authorised Firms are required to report all accounts of their Clients, including accounts booked other than in the DIFC for which the firm provides only advisory or arranging services. Authorised Firms involved in managing PSIA (restricted) accounts for their Clients are required to include the data on such PSIA accounts in this form.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.32 PRU-EPRS 1.32 Instructional Guidelines — Form B200 — Brokerage Activity

      Purpose

      Form B200 — This form is designed to capture the data on the brokerage business of Authorised Firms, including both the business arising out of execution of Client orders as well as arranging of order executions with other market intermediaries.

      Applicability

      This form is applicable to Authorised Firms licensed to Deal in Investments as an Agent, Deal in Investments on a matched principal basis or Arrange Transactions in Investments or Credit. This includes Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to the number of Clients, number of trades, volume of units traded and the value of the Transactions over the reporting period. The form captures the composition of these data for both execution business as well as the data relating to the business of arranging for execution with other market intermediaries. The data required to be reported in respect of execution business is limited to the accounts booked by the Authorised Firm as part of its DIFC operations. Consequently, only Authorised Firms licensed to Deal in Investments as Agent are expected to report data on this activity. Authorised Firms are required to report data relating to all accounts of their Clients, including accounts booked other than in the DIFC for which the firm only arranges trades.

      Structure of the form in EPRS

      B200 is a form which has three sections. The first section seeks data on trades executed by the Authorised Firm as part of its DIFC operations, across the different product / market categories. The second section seeks data on arranging of trades across the same mix of products / markets as in the first section. The third section of the form (brokerage by customer type) is in a linked form, which seeks data on classification of brokerage Clients by type of Clients and by the domicile of Clients.

      In the linked form which has the third section, the required data for execution business booked in each Client category segment is to be reported on the first three columns and the data on arranging of trades is to be reported on the fourth to sixth columns.

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

      • PRU-EPRS 1.32 Instructional Guidelines

        1. All figures relating to income statement items, expense accounts, volumes, activity levels, number of accounts or units sold / traded and any other data relating to amounts invested / deposited except outstanding balances in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. The data being sought in all the three sections of this form are self explanatory given the description provided in the title column, except for the following specific points.
        3. B200_3100: Include all High Net Worth Individuals and any of the personal investment vehicles, like trusts, investment companies etc. used by such Clients to manage their wealth.
        4. B200_3300: Include all Professional Clients and Counterparties who are not identified as a separate category in this section of the form. This would include, but is not limited to, pension funds, private investment / holding companies, corporate entities, insurers and their insurance funds / cells, etc.
        5. B200_3400: Include Collective Investment Funds ("CIFs") of all types — irrespective of whether they are recognised by the Collective Investment Law or Rules of the DFSA.
        6. Third section on domicile of Clients: The classification in this section is intended to be mutually exclusive. For example, information on accounts of Clients domiciled in the GCC & MENA, B200_4300 should not include the accounts of Clients domiciled in the UAE or in the DIFC, because they are reported in the previous two items. Similarly, data reported in B200_4200 should not include the accounts reported in B200_4100.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.33 PRU-EPRS 1.33 Instructional Guidelines — Form B210 — Outward Remittances

      Purpose

      Form B210 — This form is designed to capture the data on outward remittances made by Authorised Firms, which include remittances made to entities located outside the UAE.

      Applicability

      This form is applicable to Authorised Firms carrying out banking business. This involves Authorised Firms licensed to undertake Accepting Deposits and Providing Credit and Authorised Firms classified under prudential category 5 and licensed to manage PSIAs. This includes Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to the remittances made to a specified set of countries / regions and to the rest of world over the reporting period. The form seeks the data on remittances classified according to the purpose of the remittance. Authorised Firms 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

      B210 is a single form which seeks data on outward remittances made to the different countries / regions listed in the columns. The data is to be provided across different purposes for which the remittances are made.

      The form has two sections — first section B30_010 relates to trade related to remittances and the second section which relates to non-trade related remittances.

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

      • PRU-EPRS 1.33 Instructional Guidelines

        1. The data being sought in the form are self explanatory given the description provided in the title column, except for the following specific point.
        2. B30_010: Include all the trade related remittances, including but not limited to payments on behalf of Clients for all trade finance Transactions, payments to suppliers / sellers domiciled outside the UAE, payments to banks located outside providing the trade credit for such deals.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.34 PRU-EPRS 1.34 Instructional Guidelines — Form B220 — Inward Remittances

      Purpose

      Form B220 — This form is designed to capture the data on inward remittances received by Authorised Firms, which include remittances made to Clients located inside the UAE.

      Applicability

      This form is applicable to Authorised Firms carrying out banking business. This involves Authorised Firms licensed to undertake Accepting Deposits and Providing Credit and Authorised Firms classified under prudential category 5 and licensed to manage PSIAs. This includes Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to the remittances received from a specified set of countries / regions and from the rest of world over the reporting period. The form seeks the data on remittances classified according to the purpose of the remittance. Authorised Firms 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

      B220 is a single form which seeks data on inward remittances received from the different countries / regions listed in the columns. The data is to be provided across different purposes for which the remittances are made.

      The form has two sections — first section B30_010 relates to trade related to remittances and the second section which relates to non-trade related remittances.

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

      • PRU-EPRS 1.34 Instructional Guidelines

        1. The data being sought in the form are self explanatory given the description provided in the title column, except for the following specific points.
        2. B30_010: Include all the trade related remittances, including but not limited to receipts on behalf of Clients for all trade finance Transactions, receipts for their exports or provision of goods or services to their Clients located outside the UAE, receipts from banks located outside providing the trade credit for such deals.
        Derived from GM5/2007 (Made 16th December 2007). [VER1/12-07]
        [Amended] [VER2/04-13]

    • PRU-EPRS 1.35 PRU-EPRS 1.35 Instructional Guidelines — Form B230 — Domestic Fund Activity

      Purpose

      Form B230This form is designed to capture the data regarding all types of Collective Investment Funds ("CIF") being operated by Authorised Firms. This scope of this form is restricted to CIFs classified as Domestic Funds as per the CI Laws and the Rules in the CIR module of the DFSA Rulebook.

      Applicability

      This form is applicable to Authorised Firms licensed to operate Collective Investment Funds ("CIFs") registered in the DIFC. This includes Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to the number of CIFs and the assets under management for each type of CIF. The form seeks data relating to CIFs classified as per the type of fund, whether they are public or private funds and by type of investment vehicle used by the CIF. The total number of funds and the total assets under management reported should be the same for the three broad categories. Authorised firms are required to report all data on assets under management in USD equivalent, including the assets denominated in other currencies.

      Structure of the form in EPRS

      B230 is a single form which has three sections. The first section seeks the classification of CIFs between public and private funds. The second section seeks classification of the data across types of funds based on the asset classes, strategies or investment structures. The third section seeks the data classified as per the investment vehicle of the CIFs.

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

      • PRU-EPRS 1.35 Instructional Guidelines

        The data being sought in all the three sections of this form are self explanatory given the description provided in the title column.

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

    • PRU-EPRS 1.36 PRU-EPRS 1.36 Instructional Guidelines — Form B240 — Balances due from and due to Head Office, Own Branches & Other Banks

      Purpose

      Form B240 — This form is designed to capture the data on outstanding balances which are due from and due to banks. This data would include outstanding balances with the head office or other branches of the same bank and outstanding balances with other banks.

      Applicability

      This form is applicable to Authorised Firms carrying out banking business. This involves Authorised Firms licensed to undertake Accepting Deposits and Providing Credit and Authorised Firms classified under prudential category 5 and licensed to manage PSIAs. This includes Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to the outstanding balances with other banks or with respect to its head office or with other branches / sister entities of the bank. The form seeks the data on outstanding balances classified across a specified set of countries / regions and from the rest of world over the reporting period.

      Structure of the form in EPRS

      B240 is a single form which seeks data on balances due to and due from other banks and from / to the head office classified across the different countries / regions listed in the rows.

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

      • PRU-EPRS 1.36 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 points.

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

    • PRU-EPRS 1.37 PRU-EPRS 1.37 Instructional Guidelines- Form B260 — Acting as a Trustee of a Fund and Fund Administration Activity

      Purpose

      Form B260 is designed to capture the data pertaining to acting as a trustee of Collective Investment Funds ("CIF") and fund administration activity. The scope of this form includes all CIFs for which the services referred above are being provided irrespective of whether the CIFs are recognised or registered with the DFSA.

      Applicability

      This form is applicable to Authorised Firms licensed to act as a trustee to a CIF and to Authorised Firms licensed to provide fund administration services to CIFs or to other investment vehicles. These include Authorised Firms operating as a Branch in the DIFC. The Authorised Firms need to complete only the sections of the form which is/are applicable to them.

      Content

      The form is intended to capture information pertaining to the number of CIFs and the net asset value of the CIFs for which these services are being provided for each type of CIF. The form seeks the data referred above across funds categories — based on their public / private status and based on the domicile of the CIFs involved. Authorised firms are required to report all data on net asset value of funds in USD equivalent, including the net asset values of funds denominated in other currencies.

      Structure of the form in EPRS

      B260 is a single form which has two main sections. The first section seeks data pertaining to acting as a Trustee and the second section seeks data on fund administration activity. Both the main sections are similar in arrangement and both of them have two sub-sections.

      The first sub-section — By Type of Funds requires data on number of funds and total net asset value of those funds classified as per their public / private status. The second sub-section — Domicile of Foreign Funds requires the same data classified as per the jurisdiction where the funds are domiciled.

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

      • PRU-EPRS 1.37 Instructional Guidelines

        The data being sought in all the three sections of this form are self explanatory given the description provided in the title column.

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

    • PRU-EPRS 1.38 PRU-EPRS 1.38 Instructional Guidelines- Form B270 — Related Party Transactions

      Purpose

      Form B270 is designed to capture the data pertaining to all the assets and liabilities of an Authorised Firm which involve a Related Person or a Connected Counterparty to the Authorised Firm. The scope of this form includes all Authorised Firms falling under the Rules of the PIB module of the DFSA Rulebook.

      Applicability

      This form is applicable to all Authorised Firms classified under any of the prudential categories 1 to 5 as per the PIB module of the DFSA Rulebook. These include Authorised Firms operating as a Branch in the DIFC.

      Content

      The form is intended to capture information pertaining to assets and liabilities of the Authorised Firm which are owed by or owed to a Related Person or to a Connected Counterparty. The form is structured to seek the data on all the assets and liabilities of the Authorised Firm, split in to assets and liabilities pertaining to Related Person & Group companies and those pertaining to other Counterparties. Authorised firms are required to report all data in USD equivalent.

      Structure of the form in EPRS

      B270 is a single form which has two main sections. The first section seeks data pertaining to assets and the second section on liabilities. The data being sought is restricted to broad categories of assets and liabilities consistent with the purpose of the form in identifying the extent of Related Party Transactions in the overall business of the Authorised Firm.

      In both sections, the data is required to be split-up between related party Exposures and those relating to other parties in the two columns along with the total of the two classes in the right-most column.

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

      • PRU-EPRS 1.38 Instructional Guidelines

        The data being sought in this form are self explanatory given the description provided in the title column.

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

    • PRU-EPRS 1.39 PRU-EPRS 1.39 Instructional Guidelines — Internal Risk Assessment Process (IRAP) and Internal Capital Adequacy Assessment Process (ICAAP)

      1. The DFSA has issued detailed rules and guidance regarding its approach to Supervisory Review and Evaluation Processes (SREP) in PIB Chapter 10 and Appendix 10. As part of this framework, an Authorised Firm (Firm) in PIB Category 1, 2, 3A, 3B, 3C or 5 is required to provide an up-todate IRAP and, if applicable, an ICAAP, to the DFSA annually (within 4 months of the Firms' Financial year end).
      2. The DFSA is providing the following suggested template which can be used as guidance for this submission. While the use of this template is not mandatory, the submitted document should address the elements contained in the template. Before submission to the DFSA the document must be reviewed and approved by the Firm's Governing Body. The level of detail in the IRAP and ICAAP document will vary based on the size and complexity of the Firm. Supplementary information such as policies, risk management frameworks and processes can be referred to by way of appendices.
      3. The overarching approach comprises of three steps as set out in PIB Chapter 10. Not all of the steps are applicable to all Firms. The application of the sections is set out in PIB 10.1 and is summarised below:
      a. IRAP must be completed by a Firm in PIB Category 1, 2, 3A, 3B, 3C and 5;
      b. ICAAP must also be completed by a Firm in PIB Category 1, 2, 3A and 5; and
      c. SREP will apply to both a Firm completing an IRAP and ICAAP.
      4. Following submission of the IRAP and ICAAP, the DFSA will conduct a SREP to review and evaluate the assessments carried out by a Firm under its IRAP and ICAAP. Following this review, the DFSA may engage with a Firm to discuss specific aspects or the Firm's risk profile in certain areas. For a Firm required to complete the ICAAP, this may also include the DFSA imposing an ICR on the Firm after the SREP review. The SREP will be structured to provide consistency of treatment to all Firms, taking into consideration risk profile, business strategy and management. The SREP does not constitute a parallel or secondary IRAP or ICAAP, rather its purpose is to review and evaluate the completeness and consistency of IRAP and ICAAP of a Firm.
      5. Fundamentally, the SREP process aims to develop a meaningful and detailed assessment by a Firm of its own risks, and foster a meaningful interaction and dialogue between the DFSA and Firms to enhance understanding and consider any remedial actions that may be required to reduce a firms risk profile and meet prudential requirements on an on-going basis.
      Suggested Format for IRAP and ICAAP assessments Applicable for IRAP Applicable for ICAAP
      1. Executive Summary
      2. Background
      3. Structure and Governance
      4. Statement of Risk Appetite
      5. Internal Risk Assessment Process
      6. Capital planning  
      7. Liquidity Planning  
      8. Stress testing and scenario analysis
      9. Integration, review and Approval


      1. Executive Summary

      The Executive Summary should provide an overview of the IRAP and ICAAP methodology and the results. It should include:

      a. a brief overview of the Firms business strategy and risk appetite;
      b. commentary on the most material risks faced by the Firm, why the level of risk is acceptable and whether mitigating actions are planned or in progress;
      c. an assessment of the adequacy of the Firm's risk management processes including governance framework;
      d. a summary of the financial position of the Firm, balance sheet structure and projected profitability;
      e. an assessment of whether the Firm considers its capital and financial resources as adequate given the size and complexity of its business; and
      f. a summary of the main findings of the ICAAP analysis (where applicable), and whether the Firm has adequate Capital Resources over its planning horizon;
      2. Background

      This section should provide a high level overview of the process the Firm has taken when conducting its IRAP (and if applicable it's ICAAP). It should include a brief description of the review, challenge and approval process of the IRAP, and if applicable, the ICAAP.

      It should include details of the Firm's risk management framework together with the business planning and capital management process utilised in the assessment. It should also provide details covering relevant policies and systems used by the Firm to identify, manage, and monitor its risks according to its risk appetite.

      3. Structure and Governance

      This section should include information regarding the following:

      a. updated group structure (legal and operational);
      b. internal organisation including staffing, reporting lines, Governing Body, and operational committees;
      c. details of oversight from other group control functions;
      d. background on key senior management and Directors;
      e. summary of financial products and business lines in operation, including a breakdown of profitability by business line; and
      f. details of the internal audit framework and audit work conducted during the period. This should also outline key audit findings and management actions taken.
      4. Statement of Risk Appetite

      This section should provide a high level overview of the Firm's risk appetite. It should also set out the frequency of review of the risk appetite by senior management and the Governing Body.

      The DFSA appreciates that risk appetite will vary significantly between Firms considering the nature, scale and complexity of their business, including the nature of the Licence permissions. For example, Firms undertaking balance sheet risks will have materially different risk appetites than Firms engaging in advisory or pure brokerage business. Risk appetite may also vary across business lines and across risk types. Nevertheless, all Firms should set a risk appetite to provide a cornerstone for the Firm's risk management framework and business strategy.

      5. Internal Risk Assessment Process (IRAP)

      This section should provide a concise description of the Firm's risk identification process and outline how the Firm identifies material risk areas. While we have highlighted certain key risks below Firms should consider all specific risks applicable to their business.

      Key risks which should be considered as part of an IRAP include:

      a. Credit Risk;
      b. Market Risk;
      c. Operational Risk;
      d. Interest rate risk in the non-trading book;
      e. Concentration Risk;
      f. Funding risk;
      g. Liquidity risk;
      h. Business/Strategic risk;
      i. Reputation risk;
      j. Conduct of business risk;
      k. Money Laundering risk;
      l. Sanctions risks;
      m. Regulatory risks;
      n. Displaced Commercial Risk (where a firm conducts Islamic Financial Business involving a Profit Sharing Investment Account); and
      o. Any other risks identified.

      Not all risk factors will have a quantifiable financial capital charge but these should nonetheless be considered with regards to appropriate mitigations and management actions to minimise any potential implications. For example, conduct and AML risks may lead to significant regulatory or other fines and penalties; and consequently will require appropriate systems and controls.

      The Firm can utilise a separate appendix to provide further detail on the Firm's risk assessment and quantification methodology, including:

      a. the Firm's definition of each of the key risks listed above and any others considered key based on the Firm's risk profile;
      b. how the Firm determines the materiality of each key risk;
      c. the Firm's business plan and strategy to deal with such risks
      d. a description of how each material risk is then quantified for capital allocation purpose, including detailed methodology to specify data, assumptions and calculations; and
      e. details of any stress testing and scenario analysis conducted to determine impact results on capital requirement.

      At a minimum, the DFSA expects a Firm in PIB Category 1, 2 or 5 to provide a Pillar II capital allocation to cover IRRBB, Liquidity and Credit Concentration Risk.

      6. Capital planning

      This section should outline the Firms capital needs, anticipated capital expenditures, desired capital level and external capital sources and must be in line with the Firms desired strategic objectives and business plan. It should include the analysis conducted on the Firm's capital position and whether it is appropriate for the nature, scale and complexity of the business, including the refection of the perceived risks in section 5 above.

      This section should include:

      a. the Firm's “baseline” capital forecasts (at least quarterly, based on the annual business plan);
      b. a 3-year summary forecast capital position, particular focus should be made on the next 12 month period; and
      c. a description of the Firm's capital planning and management process, including an outline of how ICAAP is incorporated into this process.

      The Firm should also include in this analysis details of the implications of DFSA or other capital requirements. For example the analysis should include:

      a. the Firm's assessment as to how it will maintain a capital “cushion” in order to meet regulatory capital requirements; and
      b. explicit disclosure of the Firm's capital targets and other regulatory obligations being introduced.

      Where relevant, Financial Group ICAAP considerations will typically take into account the risks to which the Firm is exposed due to its membership of a broader corporate group. Examples to be considered include:

      a. contagion, Counterparty Risk, reputational risk and risks related to operational dependencies such as shared functions and systems; and
      b. an assessment of the level of Group resources to consider transferability of capital intergroup and stress testing availability of such capital under a range of market conditions.
      7. Liquidity Planning

      This section should summarise how Liquidity Risk is managed (as distinct from any capital set aside to cover losses incurred in a liquidity stress). In particular, it would set out the key assumptions and conclusions from stress testing of cash flows undertaken to manage the risk.

      It would generally be helpful for the ICAAP to include as appendices the following, where relevant:

      a. an organisation chart that covers liquidity and funding risk management delegated authorities and reporting lines within the firm;
      b. asset-liability committee (ALCO) papers and samples of management information used day to day in Treasury operations;
      c. liquidity and funding policy documentation including limit breach policy documentation;
      d. internal audit reports relating to Treasury departments (if applicable);
      e. liquidity stress testing documentation;
      f. an explanation of intra-group liquidity arrangements, especially if operating in several countries. This is particularly important for Firms operating as subsidiaries and should include any restrictions on the ability of the Group to provide liquidity to the DIFC Firm;
      g. number, scale and timeline of commitments whether formal or informal towards:
      i. off-balance sheet financing vehicles or other exposures;
      ii. market counterparties (including margin or collateral obligations); or
      iii. towards clients;
      h. analysis of sources of liquidity, including details of specific funding risks or market liquidity risks; and
      i. detailed contingency funding plans.

      Any material impact of Liquidity Risk on capital such as scenarios relating to ratings downgrades or material increases in cost of a liquidity stress should be included in the stress and scenario testing outlined in the next section.

      8. Stress & Scenario testing

      This is a key element of the IRAP and ICAAP assessments and should focus on the assumptions utilised realistically to stress test a Firm's financial position. The DFSA does not stipulate specific stress test criteria or scenarios given the broad nature of business models in operation and scale and complexity of Firms. However, the following are suggested guidelines to be utilised:

      Using the “baseline” projections, the Firm should use stress-tests to consider how it would perform under stressed conditions. This section should:

      a. set out the stress tests undertaken and the rationale for their choice;
      b. summarise the methodology and assumptions used in each scenario tested;
      c. summarise how the Firm would manage its business and capital so as to ensure that minimum regulatory requirements are met at all times;
      d. where mitigating actions are relied upon, provide the results of the stress tests on both gross and net of controls, and credible management action basis; and
      e. provide explicit disclosure of the linkage between the stress and scenario testing done as part of ICAAP and the Firm's stress testing programme.

      Management actions following the stress tests should be outlined, with consideration to:

      a. quantitative impact of those actions;
      b. sensitivity analysis/testing of management actions; and
      c. justification of why these mitigating actions are plausible.

      At a minimum, the DFSA expects each Firm to include the following stress tests in its ICAAP analysis:

      a. a standardised (200 basis points) interest rate shock (a single factor test);
      b. downturn in its credit quality or an equivalent credit stress scenario which is relevant to the Firm's business lines (a single factor test); and
      c. a scenario that in management's view would most likely cause a breach of DFSA target capital levels (a reverse engineered scenario test).

      For Firms without material Credit Risk, ensure that suitable tests are completed to reflect other relevant risks such as operational or reputation risk. For example, a Firm undertaking asset management services could run a stress test assuming a 30% loss of AuM or the loss of its largest client.

      9. Integration, Review and Approval

      This section should include information regarding:

      a. the role of the Governing Body in approving the conceptual design of the IRAP and where applicable ICAAP. This should include reference to its scope, methodologies and objectives;
      b. the review by the Governing Body and senior management and other control functions such as risk management, compliance and internal audit;
      c. how the review has been used by the Firm and how it is embedded in the decision making, business planning and risk management processes;
      d. how results have been integrated into risk limit setting and monitoring;
      e. any significant changes made in the current process as compared to previous IRAP/ICAAP processes; and
      f. a list of all the relevant documents and policies used in the preparation, review, approval and implementation of ICAAP (these can be included as appendices).
      [Added] [VER3/04-14]

      • PRU-EPRS 1.39 Instructional Guidelines [Deleted]

        [Deleted] [VER2/04-13]