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  • Prudential Returns Module (PRU) [VER5/02-19]

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    • PRU Introduction

      Application

      Guidance

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

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

      Defined terms

      Guidance

      1. Defined terms are identified throughout the forms by the capitalisation of the initial letter of a word or each word of a phrase and are defined in the Glossary for PIB (see PIB 1.2) or in the Glossary module (GLO) of the DFSA's Rulebook. Unless the context otherwise requires, where capitalisation of the initial letter is not used, an expression has its natural meaning. Within this module the term EPRS has the meaning of the DFSA's electronic prudential reporting system.
      2. Notwithstanding the use of capitalisation for identifying defined terms, capitalisation is also used when reference is made to sections and items in the forms by quoting the title of the section or the name of the item. Take note that some of these words or phrases are not also defined terms and, therefore, will not be defined in GLO, PIB or PIN.
      All financial data submitted through EPRS are to be reported in United States Dollars (USD) AND in Thousands ('000) unless stated otherwise in the specific form guidance.

    • PRU 1 PRU 1 Instructional Guidelines for PIB Forms

      • 1.1 1.1 Form B10A — Assets

        Purpose

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

        Applicability

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

        Content

        This Form is designed to capture detailed information about the Authorised Firm's Assets as at the reporting date. This Form is completed in conjunction with Form B10B — Liabilities (Domestic), Form B10B — Liabilities (Branch), B10C — Equity, B10D — OBS Exposures.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

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

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

        • Part 1 — Accounting Portfolios

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

          The following Accounting Portfolios will be used for financial assets:

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

          All Derivative positions should be reported in this accounting portfolio unless the Derivative is held only for the purpose of hedging. Derivative positions include, but are not limited to, the following instruments:
          •   Forward and Futures contracts in currencies, interest rates and other financial assets;
          •   Forward rate agreements;
          •   Currency and interest rate swaps;
          •   Credit 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.

          IFRS 9.
          Appendix A
          Non-trading financial assets mandatorily at fair value through profit or loss Include non-Derivative financial instruments which are mandatorily designated at fair value through profit or loss. IFRS 7.8(a)(ii);
          IFRS 9.4.1.4
          Financial assets designated at fair value through profit or loss Include all financial instruments which are, upon initial recognition, designated by the Firm as financial assets to be measured at fair value through profit or loss, other than trading securities included as held for trading. IFRS 7.8(a)(i);
          IFRS 9.4.1.5
          Financial assets designated at fair value through other comprehensive income Include non-Derivative financial instruments that qualify for and designated to be measured at fair value through other comprehensive income. IFRS 7.8(h);
          IFRS 9.4.1.2A
          Financial Assets at Amortised Cost Include the amounts arising from, for example:
          •   Revolving credit facilities;
          •   Term loans (both variable and fixed rates);
          •   The book value of assets leased out under finance lease agreements;
          •   Loans made under conditional hire purchase contracts;
          •   Advances purchased by or assigned to the reporting institutions, factoring or similar arrangements;
          •   Credit card outstanding balances;
          •   Housing loans (both variable and fixed rates); and
          •   Other loans and advances.

          The items listed above are indicative examples and are not exhaustive universe of items to be reported under this item.

          The amounts reported should be gross of provisions. Specific and general provisions should be reported in the Liabilities section.

          IFRS 7.8(f);
          IFRS 9.4.1.2

        • Part 2 — Financial Asset Classification

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

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

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

          Derivatives held for hedging purposes should be included under the section — Derivatives hedge accounting.
          IFRS
          9.Appendix A
          Equity instruments - IAS 32.11
          Debt securities "Debt securities" are debt instruments held by the institution issued as securities that are not loans. This will also include government securities including Treasury bills issued by national governments or by Central Banks on behalf of governments. Also include negotiable bills issued by other entities. N/A
          Loan and advances Debt instruments that are not debt securities.  
          Islamic contracts Receivables relating to Islamic contracts. The Authorised Firm is required to assess the substance of the contract and align it to the closest matching instrument in IFRS for the purposes of recognition, classification, measurement and presentation. IFRS

        • Part 3 — Summary Table

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

          Line Number Line Item Instructional Guideline
          B010A_0050T Cash and cash balances at Banks Calculated by EPRS. Summation of the sub-line items.
          B010A_00510 Cash on hand Holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
          B010A_00520 Cash Balances at Central Banks Cash balances at the Central Bank. Include cash held for reserve requirements.
          B010A_00530 Money Market Placements Interbank placements.

          This excludes money market debt securities (e.g. commercial paper and certificate of deposit). They are to be reported in their respective financial asset category.
          B010A_00540 Deposits All form of Deposits made with other financial institutions (i.e. demand and fixed Deposits). This includes:
          •   Nostro balances
          •   Islamic contracts that are similar in substance to a conventional deposit.
          •   Long positions in Gold.
          B010A_0100T Financial Assets Held for Trading Refer to Table in Part 1.
          Calculated by EPRS. Summation of the sub-line items.
          B010A_01010 Derivatives Refer to Table in Part 2.
          B010A_01020 Equity instruments Refer to Table in Part 2.
          B010A_01030 Debt securities Refer to Table in Part 2.
          B010A_01040 Loans and advances Refer to Table in Part 2.
          B010A_01050 Islamic Contracts Refer to Table in Part 2.
          B010A_0120T Non-trading financial assets mandatorily at fair value through profit or loss Refer to Table in Part 1.
          Calculated by EPRS. Summation of the sub-line items.
          B010A_01210 Equity instruments Refer to Table in Part 2.
          B010A_01220 Debt securities Refer to Table in Part 2.
          B010A_01230 Loans and advances Refer to Table in Part 2.
          B010A_01240 Islamic Contracts Refer to Table in Part 2.
          B010A_0150T Financial Assets Designated at Fair Value through Profit or Loss Refer to Table in Part 1.
          Calculated by EPRS. Summation of the sub-line items.
          B010A_01520 Debt securities Refer to Table in Part 2.
          B010A_01530 Loans and advances Refer to Table in Part 2.
          B010A_01540 Islamic Contracts Refer to Table in Part 2.
          B010A_0200T Financial Assets at Fair Value through Other Comprehensive Income Refer to Table in Part 1.
          Calculated by EPRS. Summation of the sub-line items.
          B010A_02010 Equity instruments Refer to Table in Part 2.
          B010A_02020 Debt securities Refer to Table in Part 2.
          B010A_02030 Loans and advances Refer to Table in Part 2.
          B010A_02040 Islamic Contracts Refer to Table in Part 2.
          B010A_0250T Financial Assets at Amortised Cost Refer to Table in Part 1.
          Calculated by EPRS. Summation of the sub-line items.
          B010A_02510 Debt securities Refer to Table in Part 2.
          B010A_02520 Loans and advances Refer to Table in Part 2.
          B010A_02530 Islamic Contracts Refer to Table in Part 2.
          B010A_03500 Derivatives — Hedge accounting Any Derivative positions which are only for hedge accounting purposes. All other Derivative positions are to be recorded under Financial Assets Held for Trading. IFRS 9.6.2.1
          B010A_04000 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A (a).
          B010A_04500 Investments in subsidiaries, joint ventures and associates Investments in subsidiaries, joint ventures and associates to be recognised through the equity method. IAS 1.54 (e).
          B010A_0500T Tangible assets Calculated by EPRS. Summation of the sub-line items.
          B010A_05010 Property, Plant and Equipment Include, for example, the value of the following:
          •   Plant and equipment — the residual value of items leased out under an operating lease (excluding balances relating to named Ijarah assets which should be included separately under Islamic contracts).
          •   Own premises being occupied or developed for occupation by the Authorised Firm, property (excluding property acquired/held available for sale which should be included in "Other Assets" —-B010A_07000).
          •   The amounts reported here should be net of accumulated depreciation and amortisation.
          B010A_05020 Investment property Property acquired for investment purposes not occupied by the Authorised Firm. IAS 40.5 and IAS 1.54 (b).
          B010A_05250 Account Receivables Monies due from services or products provided.
          B010A_05500 Prepayments and Security Deposits
          •   Prepayments are payments made in advance for the goods and services to be acquired (e.g. office rent payments which are accrued over the tenor duration).
          •   Security Deposits are monies deposited with a third party that are collectible at a point in time upon meeting set conditions.
          B010A_0600T Intangible assets Calculated by EPRS. Summation of the sub-line items..
          IAS 1.54 (c).
          B010A_06010 Goodwill IFRS 3.B67 (d).
          B010A_06020 Other intangible assets IAS 38.8,118.
          B010A_06500 Tax assets IAS 1.54 (n-o).
          B010A_07000 Other assets Assets that are not financial assets and that, due to their nature, could not be classified in specific balance sheet items.
          B010A_07500 Non-current assets and disposal Groups classified as held for sale IAS 1.54 (j) and IFRS 5.38.
          B010A_0000T Total Assets Sum of assets above.

      • 1.2 1.2 Form B10B — Liabilities (Domestic)

        Purpose

        Form B10B — Liabilities (Domestic) is intended to reflect the liabilities of an Authorised Firm at the end of the reporting period.

        Applicability

        This Form is applicable to Authorised Firms operating as subsidiaries categorised under all Prudential Categories, excluding Authorised Firms in Category 5.

        Content

        This Form is designed to capture detailed information about the Authorised Firm's Financial Liabilities at the reporting date. It is completed in conjunction with Form B10A — Assets, Form B10C — Equity and B10D — OBS Exposures.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

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

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

        • Part 1 — Accounting Portfolios

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

          The following Accounting Portfolios will be used for financial liabilities:

          Item Instructional Guideline IFRS/IAS Reference
          Financial liabilities held for trading Indicative examples of liabilities to be reported under this item include liabilities arising out of positions representing the following instruments, recorded at fair value:
          •   Forward and 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.

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

          IFRS 7.8 (e) (ii);
          IFRS 9.BA.6
          Financial liabilities designated at fair value through profit or loss Includes all other financial liabilities designated at fair value through profit and loss on initial recognition. IFRS 7.8 (e) (i);
          IFRS 9.4.2.2
          Financial liabilities measured at amortised cost All financial liabilities that are not classified at fair value through the profit and loss. IFRS 7.8 (g);
          IFRS 9.4.2.1
          Deposits Liability instruments to be recorded here are those of a similar nature to Assets that would have been recorded under Cash and Cash equivalents on Form B10A — Assets.

          Deposits due to other Clients and Banks and Financial Institutions. Deposits in this context are funds that have been received that are repayable on demand, or under an agreed term with or without a penalty.

          Such liabilities include:
          •   On-demand Currency Deposits (including Gold); and
          •   Money market funding.
          -

        • Part 2 — Financial Liabilities Classification

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

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

          Item Instructional Guideline IFRS/IAS Reference
          Derivatives and Short Positions Indicative examples of liabilities to be reported under this item include liabilities arising out of positions representing the following instruments, recorded at fair value:
          •   Forward and Futures contracts in currencies, interest rates and other financial assets;
          •   Forward rate agreements;
          •   Currency and interest rate swaps;
          •   Credit Derivatives; and
          •   Option contracts on currency, interest rate and other financial assets.
          This item includes both exchange-traded and over-the-counter Derivatives. Also include under this item are other trading liabilities.
          IFRS 9.Appendix A; IFRS 9.BA7(b)
          Debt Securities Issued Debt instruments issued as securities by the institution that are not Deposits. These items would include:
          •   Certificates of Deposits;
          •   Issued debt including for example Medium Term Notes;
          •   Hybrid contracts including embedded Derivatives.
          -
          Islamic Contracts Payables relating to Islamic contracts. The Authorised Firm is required to assess the substance of the contract and align it to the closest matching instrument in IFRS for the purposes of recognition, classification, measurement and presentation. IFRS
          Other Financial Liabilities Include all financial liabilities that may be classified under one of the Accounting Portfolios noted in Part 1, but that do not fall into any of the other Financial Liabilities Classifications in Part 2. -

        • Part 3 — Summary Table

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

          Line Number Line Item Instructional Guideline
          B010B_1050T Financial Liabilities Held For Trading Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
          B010B _10510 Derivatives Refer to Table in Part 2.
          B010B _10520 Short Positions Refer to Table in Part 2.
          B010B _10530 Debt Securities Issued Refer to Table in Part 2.
          B010B _10540 Islamic Contracts Refer to Table in Part 2.
          B010B _10550 Other Financial Liabilities Refer to Table in Part 2.
          B010B _1100T Financial liabilities Designated At Fair Value Through Profit Or Loss Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
          B010B _11010 Debt Securities Issued Refer to Table in Part 2.
          B010B _11020 Islamic Contracts Refer to Table in Part 2.
          B010B _11030 Other Financial Liabilities Refer to Table in Part 2.
          B010B_1150T Financial Liabilities Measured At Amortised Cost Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
          B010B_11510 Debt Securities Issued Refer to Table in Part 2.
          B010B_11520 Islamic Contracts Refer to Table in Part 2.
          B010B_11530 Other Financial Liabilities Refer to Table in Part 2.
          B010B_1200T Deposits Refer to Table in Part 1. Calculated by EPRS. Summation of the sub-line items.
          B010B_12010 Banks And Financial Institution Deposits payable to Banks and Credit Institutions.
          B010B_12020 Others Deposits payable to other entities or individuals.
               
          B010B_12500 Derivatives-Hedge Accounting Derivatives held for the purposes of hedging only. This is treated in accordance with IFRS 9.6.2.1.
          B010B_13000 Fair Value Changes of the Hedged Items in Portfolio Hedge of Interest Rate Risk Treated in accordance with the provisions of IAS 39.89A(b), IFRS 9.6.5.8.
          B010B_1350T Provisions Provisions may relate to financial assets, receivables, employee liabilities or other. Refer to sub-Categories for further guidance.
          B010B_13510 Pensions, other post-employment defined benefit obligations and other long term employee benefits Provisions made in relation to employee benefits in accordance with IAS 19.
          B010B_13520 Restructuring Future financial liabilities arising from the restructuring of the Firm. Restructuring in this context is to be viewed in accordance with IAS 37.71, 84 (a).
          B010B_13530 Pending Legal Issues and Tax Litigation Pending legal issues and tax litigation in accordance with guidance at IAS 37, Appendix C.6 and C.10.
          B010B_13540 Commitments and Guarantees given Liabilities arising out of Commitments and Guarantees provided by the Firm; this is to be recorded in accordance with the guidance at IAS 37.Appendix C.9.
          B010B_13550 Problem Credits All specific and general provisions in respect of all assets, including loans and advances and other receivables.
          B010B_13560 Other Provisions Any other provisions not included above.
          B010B_14010 Current Liabilities Liabilities due within a one year term that have not been recorded elsewhere.
          B010B_14500 Tax Liabilities Tax liabilities in accordance with IAS 12.
          B010B_15100 Other Liabilities Include all other liabilities not reported elsewhere.
          B010B_15500 Liabilities Included In Disposal Groups Classified As Held For Sale Include liabilities associated with disposal Groups; this is to be recorded in accordance with IFRS 5.38.
          B010B_1000T Total Liabilities Sum of liabilities.
          B010C_2000T Total Shareholders' Equity This cell is automatically populated from the B10C — Equity form.
          B010B_3000T Total Liabilities and
          Shareholders' Equity
          This cell is automatically calculated by adding the line items of Total Liabilities and Total Shareholders' Equity.

      • 1.3 Form B10B — Liabilities (Branch)

        p>Purpose

        Form B10B — Liabilities (Branch) is intended to reflect the liabilities of an Authorised Firm at the end of the reporting period.

        Applicability

        This Form is applicable to Authorised Firms operating as a Branch categorised under all Prudential Categories, excluding Authorised Firms in Category 5.

        Content

        This Form is designed to capture detailed information about the Authorised Firm's Financial Liabilities at the reporting date. It is completed in conjunction with Form B10A — Assets and Form B10D — OBS Exposures.

        Structure of the form in EPRS

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

        Instructional Guidelines

        The Form is of a similar structure to Form B10B — Liabilities (Domestic). Refer to Section 1.2 for guidelines on how to complete this Form. The difference between these forms is the introduction of the "Head Office Account".

        The "Head Office Account" is to be used as an adjuster of the liabilities due to the Head Office/Parent (e.g. Profits accumulated through B40A — Profit and Loss and, accumulated movements of Other Comprehensive Income items as defined in B40B — Statement of Other Comprehensive Income).

      • 1.4 Form B10C — Equity

        Purpose

        Form B10C — Equity is intended to reflect the equity structure of an Authorised Firm at the end of the reporting period.

        Applicability

        This Form is applicable to Authorised Firms operating as a domestic entity categorised under all Prudential Categories, excluding Authorised Firms in Category 5.

        Content

        This Form is designed to capture detailed information about the Authorised Firm's issued capital and reserves. It is completed in conjunction with Form B10A — Assets, Form B10B-Liabilities (Domestic), Form B10D — OBS Exposures.

        Structure of the form in EPRS

        Form B10C — Equity is presented as a single form.

        Instructional Guidelines

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

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

        Line Number Line Item Instructional Guideline
        B010C_2050T Capital Automatically calculated cell from sub-line items below. IAS 1.78 (e).
        B010C_20510 Paid up Capital Issued or subscribed capital of which the nominal value has fully been paid up. Include the nominal paid up value. IAS 1.78 (e).
        B010C_20520 Unpaid Capital which has been called up Issued shares that have not been paid for. IAS 1.78 (e).
        B010C_21000 Share Premium Amounts received by the Firm in excess of the nominal paid up value. IAS 1.78(e).
        B010C_21510 Equity component of compound financial instruments The equity value of a financial liability with an embedded equity conversion mechanism. IAS 32.28.
        B010C_22000 Other Equity Include other equity instruments issued that do not fit in the above line items and also equity settled share-based payment transactions. IFRS 2.10.
        B010C_2250T Accumulated Other
        Comprehensive Income
        This is calculated by EPRS through summation of the sub-line items.
        B010C_22510 Tangible assets Accumulated tangible fixed assets revaluation. IAS 16.39-41.
        B010C_22520 Intangible assets Accumulated intangible assets revaluation. IAS 38.85-87.
        B010C_22530 Actuarial gains or loss on defined benefit pension plans Accumulated actuarial gains and losses to be recognised in accordance with IAS 19.
        B010C_22531 Share of other recognised income and expense of investments in subsidiaries, joint ventures and associates IAS 1.IG6; IAS 28.10.
        B010C_22532 Fair value changes of equity instruments measured at fair value through other comprehensive income Accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income.
        IAS 1.7(d); IFRS 9 5.7.5, B5.7.1;
        B010C_22533 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income Accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income.
        IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C;
        B010C_22534 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] Accumulated fair value changes of hedged equity instruments measured at fair value through other comprehensive income.
        IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57
        B010C_22535 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] Accumulated fair value changes of hedging instruments designated to hedge equity instruments. IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57
        B010C_22536 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their Credit Risk Accumulated gains and losses recognised in other comprehensive income and related to own Credit Risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently. IAS 1.7(f); IFRS 9 5.7.7;
        B010C_22540 Hedge of net investments in foreign operations [effective portion] Accumulated gains and losses of the effective portion of a currency hedge for net investment Exposures in foreign operations. IAS 102 (a).
        B010C_22550 Foreign currency translation Accumulated gains and losses related to currency movements when the reporting currency is different than the functional currency. IAS 21.52 (b); IAS 21.32.
        B010C_22560 Hedging Derivatives. Cash flow hedges [effective portion] Accumulated gains and losses related to Derivatives hedging cash flows. The effective portion of the hedge is to be recognised here. IFRS 7.23(c); IAS 39.95-101.
        B010C_22565 Fair value changes of debt instruments measured at fair value through other comprehensive income Accumulated fair value gains and losses of debt instruments measured at fair value through other comprehensive income. IFRS 9.5.5.
        B10C_22575 Hedging instruments [non-designated elements] Accumulated changes in fair value of the non-designated elements of a hedging instrument. IFRS 9.6.5.15, IFRS 9.6.5.16
        B010C_22590 Other Accumulated gains and losses items to be reported under other comprehensive income that do not fit within of the line items above.
        B010C_23000 Retained Earnings Accumulated net profit or loss retained from previous financial years.
        B010C_23100 Revaluation Reserves IFRS 1.30, D5-D8; Annex V.Part 2.28
        B010C_2400T Other Reserves Calculated by EPRS through summation of the sub-line items.
        B010C_24010 Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates Accumulated Gains or losses of investments in subsidiaries, joint ventures and associates going through the profit and loss account. IAS 28.11.
        B010C_24020 Other Accumulated reserves that do not fit within one of the reserve line items above.
        B010C_24500 (-) Treasury Shares The Firm's holding of its own equity instruments is to be deducted from equity. IAS 32.33-34.
        B010C_25000 Profit Or Loss Attributable To Owner Of the Parent Accumulated profits or losses carried over from B40A — Profit and Loss form for the current financial year.

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

      • 1.5 Form B10D — Off Balance Sheet Exposures

        Purpose

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

        Applicability

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

        Content

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

        Structure of the form in EPRS

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

        Instructional Guidelines

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

        Line Number Line Item Instructional Guideline
        B010D_40100 Direct credit substitutes These relate to the financial requirements of a Categories where the risk of loss to the Authorised Firm on the transaction is equivalent to that arising from a direct claim on the Categories. Indicative examples of items to be included here are:
        •   Guarantees of a financial nature to stand behind the current obligations of customers (e.g. loan guarantees);
        •   Guarantees of leasing operations;
        •   Letters of Credit (LCs) and Standby Letters of Credit to the extent that they do not qualify for inclusion in the items "Transaction — related contingent items" or "Short-term self-liquidating trade-related contingent items" below;
        •   Guarantees of a capital nature, such as undertakings given to a non-bank financial company, which are considered as capital by the appropriate regulatory body;
        •   Acceptances granted and risk participation in bankers' acceptances. Where the Authorised Firm'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.
        B010D_40200 Transaction — related contingent items These Exposures relate to the on-going trading activities of a Categories 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 Categories. They are essentially guarantees that support particular non-financial obligations rather than a customer's financial obligations.

        Include here:
        •   Advance payment guarantees;
        •   Performance bonds including bid or tender bonds, warranties and indemnities (indemnities given for lost share certificates or bills of lading and guarantees of the validity of papers rather than of payment under certain conditions should be reported here);
        •   Standby LCs relating to a particular contract or to non-financial transactions (including arrangements backing, inter alia, subcontractors' and suppliers' performance, labour and materials, contracts and construction tenders/bids).
        B010D_40300 Short-term self-liquidating trade-related contingent items
        (applicable to both issuing and confirming Banks) and commitments to underwrite debt and equity Securities
        Report short term self-liquidating trade related items such as documentary LCs issued by the Authorised Firm that are collateralised by the underlying shipment (i.e. the credit provides for the Authorised Firm to retain title to the underlying shipment). LCs issued without provision for the Authorised Firm to retain title to the underlying shipment should be reported under direct credit substitutes (B010D_40100) above.
        B010D_40400 Note issuance facilities and revolving Underwriting facilities Note issuance and revolving underwriting facilities should include the Authorised Firm'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.
        B010D_40500 Transactions, other than SFTs, involving the posting of Securities held by the Authorised Firm as Collateral Include instances where the Firm has entered repo-style transactions.
        B010D_40600 Asset sales with recourse, where the Credit Risk remains with the Authorised Firm 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 Categories weighting is determined by the issuer of the security and not according to the Categories with whom the transaction has been undertaken.
        B010D_40700 Other commitments with certain drawdown Other commitments with certain drawdown would include forward purchase, forward Deposits and partly paid Securities.

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

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

        Any other commitments that are not included in other line items above, but which have a defined drawdown date within one year.
        B010D_40800 Other commitments All other undrawn commitments are to be reported here. Include commitments that can be unconditionally cancelled at any time by the Authorised Firm.
        B010D_40000T Total Off-Balance Sheet Exposures Sum of off balance sheet Exposures recorded above.

      • 1.6 Form B20A — Assets — Islamic Financial Institutions

        Purpose

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

        Applicability

        This Form is applicable to an Authorised Firm operating under a Prudential Category 5 license.

        Content

        This Form is designed to capture detailed information about the Authorised Firm's Assets as at the reporting date. This Form is completed in conjunction with Form B20B — Liabilities — IFI, B20C — Equity — IFI, B20D — OBS Exposures — IFI, and B20E — Analysis of Reserves Movement.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

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

        Purpose

        Form B20B — Liabilities (Domestic) — IFI is intended to reflect the liabilities of an Authorised Firm at the end of the reporting period.

        Applicability

        This Form is applicable to an Authorised Firm operating under a Prudential Category 5 license.

        Content

        This Form is designed to capture detailed information of the Authorised Firm's financial liabilities. It is completed in conjunction with Form B20A — Assets — IFI, Form B20C — Equity — IFI and B20D — OBS Exposures — IFI.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

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

        Purpose

        Form B20B — Liabilities (Branch) is intended to reflect the Equity structure of an Authorised Firm at the end of the reporting period.

        Applicability

        This Form is applicable to an Authorised Firm operating under a Prudential Category 5 license.

        Content

        This Form is designed to capture detailed information about the Authorised Firm's financial liabilities. It is completed in conjunction with Form B20A — Assets, Form B20D — Off Balance Sheet Exposures — IFI.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

      • 1.9 Form B20C — Equity — Islamic Financial Institutions

        Purpose

        Form B20C — Equity is intended to reflect the equity structure of an Authorised Firm at the end of the reporting period.

        Applicability

        This Form is applicable to an Authorised Firm operating under a Prudential Category 5 license.

        Content

        This Form is designed to capture detailed information about the Authorised Firm's issued capital and reserves. It is completed in conjunction with Form B20A — Assets, B20B — Liabilities (Domestic) and Form B20D — Off Balance Sheet Exposures — IFI.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

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

        Purpose

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

        Applicability

        This Form is applicable to an Authorised Firm operating under a Prudential Category 5 license.

        Content

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

        Structure of the form in EPRS

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

        Instructional Guidelines

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

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

        Purpose

        Form B20E — Analysis of Reserves movement is intended to capture details regarding the changes in the reserves about the Islamic Finance Business.

        Applicability

        This Form is applicable to an Authorised Firm operating under a Prudential Category 5 license.

        Content

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

        Structure of the form in EPRS

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

        Instructional Guidelines

        Line Number Line Item Instructional Guideline
        B020E_1010 Capital invested Total amount of capital invested by PSIAu account holders gross of provisions.
        B020E_1020 Net asset value Net amount of the initial capital invested after accounting for gains and provisions.
        B020E_1030 Percentage for profit equalisation reserve The percentage used for allocation to the profit equalisation reserve.
        B020E_1040 Amount of profit equalisation reserve Amount after the net asset value has been multiplied by the percentage for the profit equalisation reserve.
        B020E_1050 Mudarib fee The Mudarib fee which the Authorised 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.
        B020E_1060 Net amount after Mudarib fee Amount after Mudarib Fee has been deducted.
        B020E_1070 Percentage of investment risk reserve Percentage that is appropriated out of the income of investment account holders, after allocating the Mudarib share, in order to meet future losses attributable to investment account holders.
        B020E_1080 Amount of investment risk reserve Amount after the Net Amount after Mudarib fee is multiplied by percentage for investment risk reserve.
        B020E_1090 Amount attributed to PSIAs This amount is the residual amount allocated to the PSIA account holders after the deduction of the amounts for the profit equalisation reserve, Mudarib fee and investment risk reserves.
        B020E_1110 Opening Balance (Profit Equalisation Reserve) Opening balance of Profit Equalisation Reserve
        B020E_1115 Additions Positive movement of PER
        B020E_1120 Withdrawals Negative movement of PER
        B020E_1130 Closing balance (Profit Equalisation Reserve) Closing balance of Profit Equalisation Reserve for the period.
        B020E_1210 Opening Balance (Investment Risk Reserve) Opening balance of Investment Risk Reserve
        B020E_1215 Additions Positive movement of IRR
        B020E_1220 Withdrawals Negative movement of IRR
        B020E_1130 Closing balance (Investment Risk Reserve) Closing balance of Investment Risk Reserve for the period.

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

        Purpose

        The purpose of Form B30 — Related Party Schedule is to break down the Authorised Firm's balance sheet to see what items are attributed to related parties.

        Applicability

        This Form is applicable to all Authorised Firms.

        Content

        The Form is intended to capture the breakdown of Form B10A/B20A — Assets and B10B/B20B Liabilities between amounts that are attributed to related parties and amounts that are attributed to non-related parties.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

      • 1.13 Form B40A — Profit and Loss

        Purpose

        Form B40A — Profit and Loss statement is intended to capture the results of operations of an Authorised Firm during the reporting period.

        Applicability

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

        Content

        The Form is designed to capture information about the Authorised Firm's income, expenses and profit for the reporting period. The Form requires the firm to break down interest revenues/expenses and capital gains/losses in line with the accounting portfolios presented on Form B10A — Assets and Form B10B — Liabilities.

        Structure of the form in EPRS

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

        Instructional Guidelines

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

        Line Number Line Item Instructional Guideline
        B040A_5005T Net Interest Income This is calculated by EPRS through summation of the sub-line items.
        B040A_5010T Interest income This is calculated by EPRS through summation of the sub-line items.
        B040A_50105 Cash balances at Banks  
        B040A_50110 Financial assets held for trading Interest accrued is to be recorded against the respective accounting portfolio the asset has been classified as on Form B10A — Assets. E.g.
        1. Interest accrued through Money Market Placements is to be presented under Cash Balances at Banks.
        2. Interest accrued through Debt Securities classified under Financials Assets Held for Trading is to be presented under Financial Assets Held for Trading.
        B040A_50110 Non-trading financial assets mandatorily at fair value through profit or loss
        B040A_50120 Financial assets designated at fair value through profit or loss
        B040A_50130 Financial Assets at Fair Value through Other
        Comprehensive Income
        B040A_50140 Financial Assets at Amortised Cost
        B040A_50160 Derivatives — Hedge accounting, interest rate risk
        B040A_50170 Other Assets
        B040A_5020T (Interest expenses) This is calculated by EPRS as the sum of Interest Expense items.
        B040A_50210 (Financial liabilities held for trading) Accrued interest expense charges are to be recorded against the respective accounting portfolio or line item the liability has been classified as on Form B10C — Liabilities (Domestic) or Form B10E — Liabilities (Branch).

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

        Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within "Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates".
        B040A_5055T Net Fee and Commission Income This is calculated by EPRS. This is calculated through the difference between Fee and Commission Income and Fee and Commission Expense.
        B040A_5060T Fee and commission income This is calculated by EPRS. This is calculated through the summation of the subline items. This section includes income recognised for services provided by the Authorised Firm.
        B040A_50610 Asset/Fund Management Activities Revenues generated through asset management and trustee services.
        B040A_50620 Advisory Services Revenues generated through financial advisory services.
        B040A_50630 Brokerage Activities Revenues generated from the brokerage of financial investments on behalf of Clients.
        B040A_50640 Trade Finance Commissions generated from commitments and guarantees extended to Clients. This includes for example:
        •   Performance bonds
        •   Letters of Credit
        •   Export Bill Collection
        •   Financial Guarantees
        B040A_50645 Arranging Revenues generated through the arrangement of financial products and services for Clients.
        B040A_50650 Other Other fees and commissions generated through other financial services.
        B040A_5070T Fee and commission Expenses This is calculated by EPRS. This is calculated through the summation of the subline items. This section includes expenses directly associated with services provided by the Authorised Firm.
        B040A_50710 Asset/Fund Management Activities Expenses generated through asset management and trustee services.
        B040A_50720 Advisory Services Expenses generated through financial advisory services.
        B040A_50730 Brokerage Activities Expenses generated from the brokerage of financial investments on behalf of Clients.
        B040A_50740 Trade Finance Expenses associated with commitments and guarantees extended to Clients. This includes for example:
        •   Performance bonds
        •   Letters of Credit
        •   Export Bill Collection
        •   Financial Guarantees
        B040A_50750 Arranging Expenses generated through the arrangement of financial products and services for Clients.
        B040A_50660 Other Other expenses generated through other financial services.
        B040A_50900 Gains or (-) losses on financial assets and liabilities held for trading, Net IFRS 7.20(a)(i); IFRS 9.5.7.1;
        Include gains and losses in the re-measurement and derecognition of financial instruments held for trading.
        B040A_50920 Gains or (-) losses on Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.5.7.1;
        Include gains and losses in the re-measurement and derecognition of financial instruments mandatorily designated at fair value through profit or loss.
        B040A_51000 Gains or (-) losses on financial assets and liabilities designated at fair value, Net IFRS 7.20(a)(i); IFRS 9.5.7.1;
        Include gains and losses in the re-measurement and derecognition of financial instruments designated at fair value through profit or loss.
        B040A_51100 Gains or (-) losses from hedge accounting, net IFRS 9
        Includes gains and losses on hedging instruments and on hedged items including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It includes the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge.
        B040A_51200 Gains and (-) losses on exchange differences, net IAS 21.28, 52 (a)
        B040A_51300 Gains or derecognition on financial assets and liabilities not measured at fair value, net IAS 1.34.
        B040A_51400 Gains or (-) losses on derecognition of non-financial assets other than held for sale, net IAS 1.34.
        B040A_5155T Net Other Operating Income This is calculated by EPRS.
        B040A_5150T Other Operating Income This section includes revenues generated from any other activities not included in sections above. Revenue items recorded here would be considered secondary to the Firm's core activities. This figure is divided between interGroup services and non-Group services.
        B040A_51500 InterGroup Services Include in this section payments received under a transfer pricing process or allocation of revenues and expenses arising from centralised regional management functions that are not allocated to any other revenue line.
        B040A_51550 Other See above.
        B040A_5160T (Other operating expenses) This section includes expenses generated (non-administrative) from any other activities not included in the sections above. This figure is divided between interGroup services and non-Group services.
        B040A_51600 (InterGroup Services) Include in this section payments under a transfer pricing process or allocation of expenses arising from centralised regional management functions that are not allocated to a specific expenditure line.
        B040A_51650 (Other) See above.
        B040A_5001T Gross Profit This is calculated by EPRS. Summation of the net income of the different revenue streams.
        B040A_5170T (Administrative expenses) Operational expenses not related directly related to the services provided.
        B040A_51720 (Salaries and allowances) Include non-variable component of staff related expenses. For example:
        •   Base salary and allowances;
        •   Employer's contribution to any pension scheme; and,
        •   Costs of staff benefits paid on a per capita basis such as private medical insurance.
        B040A_51730 (Bonuses and commissions) Include variable based compensation.

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

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

        Gains and losses arising from adjustments to the gross carrying amount of financial assets due to renegotiated cash flows obligations.
        B040A_51851 Financial assets at fair value through other comprehensive income IFRS 7.35J
        B040A_51851 Financial assets at amortised cost IFRS 7.35J
        B040A_5190T (Provisions) or Reversal of Provisions Total provisions made to cover foreseeable measurable losses in accordance with IAS 37.
        B040A_51910 (Commitments and guarantees given) Provisions relating to commitments and guarantees undertaken to other parties.
        B040A_51930 (Other provisions) All other provisions.
        B040A_52100 (Impairment) or reversal of impairment in financial assets not measured at FV through profit or loss Impairment or reversal of impairment of assets not measured at fair value. This includes impairments on Financial assets designated at fair value through other comprehensive income and Financial assets measured at amortised cost. IFRS 7.20 (e).
        B040A_52200 (Impairment) or reversal of impairment of investments in subsidiaries, JVs and associates Impairment or reversal of impairment of investments in subsidiaries, joint venture and associates that have been accounted for under the equity method. Items to be impaired here would have been recorded under the same respective line item on Form B10A — Assets. IAS 28.40-43.
        B040A_52300 (Impairment) or reversal of impairment of non-financial assets Impairment of reversal of impairment of non-financial assets such as investment properties and goodwill.
        B040A_52400 Negative goodwill recognised in profit or loss IFRS 3.34.
        B040A_52500 Share of the profit or (-) loss of investments in subs, JVs, and associates IAS 28.
        B040A_5000T Profit or (-) Loss Before Tax from Continuing Operations This is calculated by EPRS.
        B040A_69000 Tax expense or (-) income related to profit or loss from continuing operations IAS 12.77.
        B040A_6000T Profit or (-) Loss After Tax from Continuing Operations This is calculated by EPRS.
        B040A_6500T Profit or (-) loss after tax from discontinued operations This is calculated by EPRS.
        B040A_65500 Profit or (-) loss before tax from discontinued operations IFRS 5.33.
        B040A_66000 (Tax expense or (-) income related to discontinued operations) IFRS 5.33.
        B040A_7000T Profit or (-) Loss for the Reporting Period This is calculated by EPRS.
        B040A_70100 Attributable to Non-Controlling Interests This is to be used for the purposes of consolidating accounts. The profit or loss attributed to non-controlling interests. IAS 1.81B (b)(i).
        B040A_70200 Attributable to owners of the parent This is to be used for the purposes of consolidating accounts. The profit or loss attributed to the controlling interests are to be represented here. IAS 1.81B (b)(ii).

      • 1.14 Form B40B — Statement of Comprehensive Income

        Purpose

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

        Applicability

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

        Content

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

        Structure of the form in EPRS

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

        Instructional Guidelines

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

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

        IAS 1.82A(a)(ii).

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

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

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

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

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

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

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

        Purpose

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

        Applicability

        This Form is applicable to Authorised 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.

        Structure of the form in EPRS

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

        Instructional Guidelines

        1. All figures relating to income statement items in any of the quarterly returns should correspond to the current reporting period (quarter) and not cumulative or year-to-date amounts.
        2. The Form is of a similar structure to Form B40A — Profit and Loss. Refer to Section 1.13 for guidelines on how to complete this Form. The main difference between both these Forms is the removal if the Interest category and the inclusion of a Profit category.
        3. Fee and commission generated through PSIAr is to be reported under brokerage activities.
        4. Fee and commission generated through PSIAu is to be reported under asset and fund management activities.

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

        Purpose

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

        Structure of the form in EPRS

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

        Instructional Guidelines

        1. All figures recorded should correspond to the current reporting period only and not cumulative or year-to-date amounts (i.e. quarterly returns to reflect quarterly movements and annual returns to reflect annual movements).
        2. The Form is of a similar structure to Form B40B — Other Comprehensive income. Refer to Section 1.14 for guidelines on how to complete this Form.

      • 1.17 B100 — Declaration by Authorised Firms

        Purpose

        The purpose of the B100 Form is for the Authorised Form to confirm that the returns submitted have been printed and signed by the directors in accordance with PIB 2.3.4.

        Applicability

        This Form is applicable to all Authorised Firms.

        Content

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

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

        Structure of the form in EPRS

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

        Instructional Guidelines

        Line Item Instructional Guideline
        Confirmation Once the returns to be submitted have been signed by the directors in accordance with PIB 2.3.5 then the Firm is required to enter "1" into the data field. The returns may not be submitted unless this step is completed.
        Annual Return If the return being submitted is an Annual Return, the Firm is required to enter the number of calendar days the Annual Return pertains to.

      • 1.18 Form B110 — Capital Ratios

        Purpose

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

        Applicability

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

        Content

        The Form is designed to capture the following:

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

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

        Instructional Guidelines

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

      • 1.19 Form B120 — Capital Resources

        Purpose

        Form B120 — Capital Resources is intended to capture the breakdown of the Firm's capital resources and its capital adequacy status.

        Applicability

        This Form is applicable to all domestic Authorised Firms categorised under all Prudential Categories.

        Content

        The Form is designed to capture the following:

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

        Instructional Guidelines

        Line Number Line Item Instructional Guideline
        - Common Equity Tier 1 Capital CET1 is to be accounted for in accordance with PIB 3.13.
        B120_1100T Capital Instruments Eligible as CET1 Capital This is calculated by EPRS.
        Capital Instruments in accordance with PIB 3.13.3. This excludes Exposures to the AF's own CET1 Capital.
        B120_11100 Paid-up Capital Fully paid up CET1 Capital in accordance with PIB 3.13.3.
        B120_11300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.13.3.
        B120_1140T (Own CET1 Instruments) This is calculated by ERPS.
        The total of direct and indirect holdings of own CET1 instruments in accordance with PIB 3.13.7 (e)–(h).
        B120_11410 (Direct holdings of CET1 instruments) Total amount of Direct Holdings of CET1 instruments.
        B120_1142T (Indirect holdings of CET1 instruments) Total amount of Indirect Holdings of CET1 instruments.
        B120_1150T Retained Earnings This is calculated by EPRS.
        This is the total of retained earnings eligible to be included as part of CET1.
        B120_11510 Previous years retained earnings Total accumulated retained earnings from previous financial years. Any unaudited figure is to be excluded. Dividends paid out subsequently are to be excluded from this figure.
        B120_1152T Profit or loss eligible This is calculated by EPRS.

        This accounts for the profit or loss for the current financial year.
        B120_11521 Profit or loss of current financial year Include in here the current financial year's accumulated profit or loss recorded through Form B40A — Profit and Loss.
        B120_11522 (Part of interim or year-end profit not eligible) Profits not eligible are to be deducted (i.e. not verified by an External Auditor). PIB 3.13.4.
        B120_11610 Accumulated Other Comprehensive Income Accumulated Other Comprehensive Income. This should reconcile with the figure entered into B10D — Equity.
        B120_11700 Other Reserves Other reserves required for disclosure under IFRS. PIB 3.13.2.
        B120_11800 Minority interest given in recognition in CET1 Capital Minority interests given recognition in consolidated CET1 Capital. PIB 3.16.
        B120_11910 (Adjustments to CET1) CET1 Adjustments in accordance with PIB 3.13.5.
        B120_1200T (Goodwill) This is calculated by EPRS as a summation of sub-line items associated with Goodwill as defined by IFRS. PIB 3.13.7 (b).
        B120_1210T (Other Intangible Assets) This is calculated by EPRS as a summation of sub-line items associated with Other Intangible Assets as defined by IFRS. PIB 3.13.7 (b).
        B120_12200 (Deferred tax assets that rely on future profitability and arise from temporary differences) PIB 3.13.7, PIB 3.13.9.
        B120_12310 (Defined Benefit Pension Fund Assets) PIB 3.13.7.
        B120_12400 (Reciprocal Cross Holdings in CET1 capital) PIB 3.13.7.
        B120_12500 (Excess of Deduction from AT1 Items over AT1 Capital) This is calculated by EPRS.

        Excess items to be deducted from CET1 after exhausting all AT1 Capital Resources.
        B120_12600 (Qualifying Holdings Outside the Financial Sector) Investments in undertakings outside the financial sector. The relevant amount is to be deducted in accordance with PIB 3.17.
        B120_12700 (Securitisation positions which can alternatively be subject to a 1000% risk weight) Securitisation positions that would receive a 1000% risk weight in accordance with PIB 4.14.31 may, alternatively, be deducted from here.
        B120_12800 (Free Deliveries) Free delivery transactions that have exceeded 46 business days without delivery of the Authorised Firm's leg are to be deducted here or subject to a 1000% risk weight. PIB A.4.6.9.
        B120_12900 (CET1 instruments of relevant entities where the institution does not have a significant investment) PIB 3.13.7.
        B120_13100 (CET1 instruments of relevant entities where the institution has a significant investment) PIB 3.13.7.
        B120_1000T Available CET1 Capital Resources This is calculated by EPRS and is the summation of the above items.
        - ADDITIONAL TIER 1 CAPITAL Additional Tier 1 Capital is to be accounted for in accordance with PIB 3.14
        B120_2100T Capital Instruments Eligible as AT1 Capital This is calculated by EPRS.
        Capital Instruments in accordance with PIB 3.14.3. This excludes Exposures to the AF's own AT1 Capital.
        B120_21100 Paid-up Capital Fully paid up AT1 Capital in accordance with PIB 3.14.3.
        B120_21300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.14.3.
        B120_2140T (Own AT1 Instruments) This is calculated by ERPS.
        This is the addition of direct and indirect holdings of own AT1 instruments.
        B120_21411 (Direct holdings of AT1 instruments) Total amount of direct holdings of own AT1 instruments. PIB 3.14.4-5.
        B120_21421 (Indirect holdings of AT1 instruments) Total amount of indirect holdings of AT1 instruments. PIB 3.14.4-5.
        B120_22000 Instruments issued by subsidiaries that are given recognition in AT1 Capital AT1 Capital issued by subsidiaries that may be recognised in consolidated AT1 Capital. PIB 3.16.7.
        B120_23000 (Reciprocal Cross Holdings in AT1 capital) Deductions relating to reciprocal cross holding in AT1 Capital instruments of Relevant Entities. PIB 3.14.4.
        B120_24000 (AT1 instruments of relevant entities where the institution does not have a significant investment) Deductions relating to insignificant investments in a Relevant Entity. PIB 3.14.4 (c).
        B120_25000 (AT1 instruments of relevant entities where the institution has a significant investment) Deductions relating to significant investments in a Relevant Entity. PIB 3.14.4 (d).
        B120_26000 (Excess of deduction from T2 items over T2 Capital) This is calculated by EPRS.
        Excess items to be deducted from AT1 after exhausting all Tier 2 Capital Resources.
        B120_27000 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Excess amount of AT1 deductions over available AT1 capital resources. This is inclusive of Tier 2 deductions that were carried over to be deducted from AT1 capital resources.
        B120_2000T Available Additional Tier 1 Capital Resources This is calculated by EPRS and is the summation of the above items.
          TIER 2 CAPITAL Additional Tier 1 Capital is to be accounted for in accordance with PIB 3.15.
        B120_3100T Capital Instruments Eligible as T2 Capital Capital Instruments in accordance with PIB 3.15.2. This excludes Exposures to the AF's own Tier 2 Capital.
        B120_31100 Paid-up Capital Fully paid up T2 Capital in accordance with PIB 3.15.3.
        B120_31300 Share Premium Share premium accounts related to instruments issued in accordance with PIB 3.15.3.
        B120_3140T (Own T2 Instruments) This is calculated by ERPS.
        This is the addition of direct and indirect holdings of own
        T2 instruments.
        B120_31410 (Direct holdings of T2 instruments) Total amount of direct holdings of T2 instruments. PIB 3.15.4-5.
        B120_31420 (Indirect holdings of T2 instruments) Total amount of indirect holdings of T2 instruments. PIB 3.15.4-5.
        B120_32000 Instruments issued by subsidiaries that are given recognition in T2 Capital Tier 2 Capital issued by subsidiaries that may be recognised in consolidated Tier 2 Capital. PIB 3.16.4.
        B120_33000 (Reciprocal Cross Holdings in T2 capital) Deductions relating to reciprocal cross holding in T2 Capital instruments of Relevant Entities. PIB 3.15.4.
        B120_34000 (T2 instruments of relevant entities where the institution does not have a significant investment) Deductions relating to insignificant investments in a Relevant Entity. PIB 3.15.4 (c).
        B120_35000 (T2 instruments of relevant entities where the institution has a significant investment) Deductions relating to significant investments in a Relevant Entity. PIB 3.15.4 (d).
        B120_36000 Excess of deduction from T2 items over T2 Capital (deducted in AT1) Excess items to be deducted from Tier 2 Capital after exhausting all Tier 2 Capital Resources.
        B120_30000T Available Tier 2 Capital Resources This is calculated by EPRS and is the summation of the above items.
        B120_0000T Total Capital Resources This is calculated by EPRS.
        This is the summation of Available CET1, AT1 and Tier
        2 Capital Resources.
        B120_50001 Base Capital Requirement The Base Capital Requirement applicable to the Firm, this is dependent on the Prudential Category of the Firm. Refer to PIB 3.6 — Base Capital Requirement.
        - Risk Based Capital Requirement (RBC) This is applicable to Firms in Prudential Categories of 1, 2, 3A and 5.
        B120_51100 Credit and Categories Risk Capital Requirement This is calculated by EPRS.
        This is linked to B60A — Credit Risk Overview. This is the required capital resources to be held for Credit Risk.
        B120_51250 Displaced Commercial Risk The Firm is required to calculate the applicable Credit and Market risk charges from Islamic Contracts. The resultant charge is to be reported here. Refer to IFR 5.
        B120_51300 Market Risk Capital Requirement This is calculated by EPRS.
        This is linked to B60B — Market Risk Overview. This is the required capital resources to be held for Market
        Risk.
        B120_51400 Operational Risk Capital Requirement This is calculated by EPRS.
        This is linked to B60C — Operational Risk. This is the required capital resources to be held for Operational Risk.
        - Total Risk Based Capital Requirement This is calculated by EPRS.
        This is the summation of the above individual Risk
        Based Capital Requirement components and multiped
        by 1.25.
        B120_62000 Capital Conservation Buffer (CCB) — 2.5% of RWA. This is calculated by EPRS.
        A Capital Conservation Buffer is automatically applied if the Risk Based Capital Requirement is applicable. PIB 3.9.
        B120_63000 Countercyclical Capital Buffer (CCyB) — Firm Specific (% of RWA) The Firm is required to input the applicable CCyB charges calculated in accordance with PIB 3.9A.
        B120_64000 HLA Capital Buffer — Firm Specific (% of RWA) The Firm is required to input the applicable HLA Capital calculated in accordance with PIB 3.9B.
        B120_65000 Individual Capital Requirement (ICR) The figure to be entered here is based upon notification from the DFSA. The DFSA may require Firms to hold additional capital resources in accordance with PIB 10.6. If the Firm has not received any notification then this should be left empty.
        B120_66000 Total Capital Buffer + Individual Capital Requirement The total amount of added capital requirements as a result of applicable capital buffer's and the individual capital requirement.
        B120_67000 Total Capital Requirement This is calculated by EPRS. The applicable capital charge is the highest of the Base Capital Requirement, Expenditure Based Capital Minimum or Risk Based Capital Requirement (including applicable capital buffers).

      • 1.20 Form B130 — Credit Risk — Overview

        Purpose

        Form B130 is intended to give an overview of the Credit Risk capital requirement for an Authorised Firm, covering the calculation of On/Off Balance Sheet Exposures, Categories Risk Exposures, and Securitisation Exposures.

        Applicability

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

        Content

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

        Structure of the form in EPRS

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

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

        Instructional Guidelines

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

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

        Purpose

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

        Applicability

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

        Content

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

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

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

        Structure of the form in EPRS

        Form B130A consists of the following three linked Forms:

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

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

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

        Instructional Guidelines

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

        The Firm is required to aggregate all their credit Exposures against the category of the Categories when completing this Form.

        Column Instructional Guideline
        Original On Balance Sheet Exposure The original on balance sheet exposure against the Categories. Not taking into account any Credit Risk mitigation effects or provisioning (e.g. for a loan to a corporate guaranteed by a Bank, the Firm should record the exposure against the corporate in this column). Refer to PIB 4.9 for the Methodology for measurement of Exposures.
        Original Off Balance Sheet Exposure (Pre-Conversion) The original off balance sheet exposure against the Categories prior to applying the Credit Conversion Factor (e.g. for a transaction related contingent guarantee issued on behalf of a SME for a value of $1000, the $1000 would be recorded against SME). Refer to PIB 4.9 for the Methodology for measurement of Exposures.
        Original Off Balance Sheet Exposure (Post-Conversion) This figure is automatically populated from the Credit Conversion for Off Balance Sheet Exposures Form (e.g. following the example from the previous line item, the Firm would then proceed to the Credit Conversion for Balance Exposures Form and record the $1000 against the respective credit conversion factor for that exposure). If there were several Exposures, then the Pre-Conversion amount is to be split accordingly across the different Credit Conversion Factors. Refer to PIB A4.2 for Credit Conversion Factors.
        The Pre-Conversion amount against a category of Categories must match the total of the horizontal split across the different Credit Conversion Factors on the Credit Conversion for Off Balance Sheet Exposures Form.
        (-) Value Adjustments and Provisions Associated with the Original Exposure Record here specific provisions in relation to the exposure. On Balance Sheet netting against the Exposure is to be recorded here. Refer to PIB 4.13.17 — On Balance Sheet Netting for guidance on when the Firm may utilise netting.
        Exposure Net of Value Adjustment as and Provisions This is calculated by EPRS.
        This is the summation of Original On Balance Sheet Exposures and Off Balance Sheet Exposures (Post-Conversion) minus associated provisions.
        Credit Risk Mitigation Techniques with Substitution Effects on the Exposure Exposures reduced through Credit Risk Mitigation Techniques that will replace the exposure from one party to the other (e.g. the original balance sheet exposure was to a corporate for $1000; this exposure is guaranteed by a Bank through a guarantee covering $800 of the exposure, the Firm is to record $800 under guarantees). Refer to PIB 4.13 for rules relating to Credit Risk Mitigation with Substitution Effects.
        Total Outflows This is calculated by EPRS.
        This is the horizontal sum of the outflow of risk through
        Credit Risk Mitigation Techniques with Substitution Effect.
        Total Inflows This is the inflow of risk to the respective category of Categories (e.g. a corporate exposure of $2000 guaranteed by a banking institution for the full amount; the Firm is to record $2000 under outflows through a guarantee and record an inflow of $2000 to the banking institution line).
        The vertical sum Total Outflows should equal the vertical sum of Total Inflows.
        Net Exposure After CRM Substitution Effects This is calculated by EPRS.
        This is the summation of Exposure Net of Value Adjustments and Provisions minus Total Outflows + Total Inflows. This is to arrive at the net exposure to the category of the Categories after applying Credit Risk Mitigation techniques with substitution effect.
        Credit Risk Mitigation Techniques Affecting the Exposure Amount Exposures reduced through Credit Risk Mitigation Techniques that will reduce the exposure amount as opposed to replacing the exposure to another party as with the substitution effect. This is defined as the Financial Collateral Comprehensive Approach (FCCA) in PIB 4.9.5.
        Financial Collateral The financial collateral value for Firms following the FCCA approach.
        (-) Volatility Maturity Forex Adjustment The deductions to be applied to the financial collateral value in the previous line item. Refer to PIB A4.3 — Collateral calculations and haircuts.
        Adjusted Collateral Value This is calculated by EPRS.
        This is the Financial Collateral value minus the haircuts.
        Fully Adjusted Exposure Value This is calculated by EPRS.
        This is the Net Exposure After CRM Substitution Effects minus the Adjusted Collateral Value.
        Risk Weighted Exposure Amount The Fully Adjusted Exposure Value is carried over to the Breakdown of Total Exposures by Risk Weights Form. The Firm is then required to split this exposure across the different risk weights on the Breakdown Form (e.g. if the Firm had a Fully Adjusted Exposure Value of $500 then, on the Breakdown of Total Exposures by Risk Weights Form, the Firm is required to split this $500 across the different risk weights. The sum of the horizontal row is to be equal to $500).
        Of Which: Exposures that are rated Of the Risk Weighted Exposure amount, the Firm is to provide the amount of these Exposures that were rated by a credit rating agency. Recognised ratings are defined in PIB 4.11 — Credit Quality Grade and External Credit Assessments.
        Of Which: Exposures that are unrated Of the Risk Weighted Exposure amount, the Firm is to provide the amount of these Exposures that were not rated by a credit rating agency. Recognised ratings are defined in PIB 4.11 — Credit Quality Grade and External Credit Assessments.
        Credit Risk Capital Requirement This is calculated by EPRS.
        This is 8% of the risk weighted amount; the applicable Credit Risk charge (CRCOM). PIB 4.8 — CRCOM.

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

        Purpose

        Form B130B is intended to capture the details of Categories Risk of an Authorised Firm in line with PIB 4.9.124.9.21 and PIB A4.6A4.8.

        Applicability

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

        Content

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

        Structure of the form in EPRS

        Form B130B consists of following four linked Forms:

        •   Categories risk on Unsettled Transactions RWA;
        •   OTC Derivatives RWA;
        •   Securities financing transactions RWA; and
        •   Deferred settlement transactions RWA.

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

        The main Form has the links to the four linked Forms and also displays the total capital requirement for Categories risk calculated by each of the linked Forms.

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

        Instructional Guidelines:

        Categories risk on Unsettled Transactions RWA:

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

        OTC Derivatives RWA:

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

        Securities financing transactions RWA:

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

        As an example of the above, consider the following SFTs of a Firm:

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

        Transaction Securities Sold Securities Received Cash Sent Cash Received Positive Exposure
        Repo A 100     90 10
        Repo B 70     100 0
        Repo C 50     30 20
        Reverse Repo D   60 40   0
        Reverse Repo E   40 80   40
        Column Amount
        1a. Market Value of Securities sold or lent
        2a. Value of the collateral and Cash Given
        100 + 50 + 80 = 230
        1b. Value of the collateral and cash received
        2b. Market value of the securities bought or borrowed
        90 + 30 + 40 = 160

        Deferred settlement transactions RWA:

        •   Refer to PIB A4.7 for guidance on how to account for capital requirements related to deferred settlement transactions.

      • 1.23 Form B130C — Credit Risk Capital Requirement — Securitisation

        Purpose

        Form B130C is intended to capture details related to the Credit Risk capital requirement for an Authorised Firm exposed to securitised assets. This is to be completed in accordance with PIB 4.8.4, PIB 4.14 and PIB A4.10.

        Applicability

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

        Content

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

        Structure of the form in EPRS

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

        Securitisation Exposures are broken down into three Categories:

        •   Originator;
        •   Investor;
        •   Sponsor.

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

        Instructional Guidelines

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

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

      • 1.24 Form B140 — Market Risk Capital Requirement — Overview

        Purpose

        Form B140 is intended to capture information on capital charges applicable to market risk Exposures of an Authorised Firm.

        Applicability

        This Form is applicable to Authorised Firms which are Domestic 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.

        Content

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

        Structure of the form in EPRS

        Form B140 is presented as a single form and its cells are populated automatically from the respective market risk element form. The Securities Underwriting and Collective Investment Fund Risk do not have separate forms and their capital requirements will have to be input directly into this Form.

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

        Instructional Guidelines

        Line Number Item Instructional Guidelines
        B140_0100T Interest Rate Risk This field is automatically populated from Form B140A — Market Risk — Interest Rate, The total interest rate risk capital charge on that form is reflected here.
        B140_0200T Equity Risk This field is automatically populated from Form B140D — Market Risk — Equity. The total equity risk capital charge on that form is transferred here.
        B140_0300T Foreign Exchange Risk This field is automatically populated from Form B140E — Market Risk — Currency, The total foreign exchange risk capital charge on that form is transferred here.
        B140_0400T Commodities Risk This field is automatically populated from Form B140F — Market Risk — Options and Commodities, The total commodities risk capital charge on that form is transferred here.
        B140_0500T Options Risk This field is automatically populated from Form B140F — Market Risk — Options and Commodities, The total options risk capital charge on that form is transferred here.
        B140_06000 Securities Underwriting This is to be populated in accordance with PIB 5.10. Details of calculating the capital requirement are reflected in PIB A.5.8 Securities Underwriting.
        B140_07000 Collective Investment Fund Risk This is to be populated in accordance with PIB 5.9. Details of calculating the capital requirement are reflected in PIB A.5.7 Collective Investment Fund Risk Capital Requirement
        B140_08000 Internal Models This field is automatically populated from Form B140G — Market Risk — VaR, The total market capital charge on that form is reflected here.
        B140_0000T Sum of Market Risk Capital Components This figure is calculated automatically as the sum of the above components. This figure is then transferred to Form B120 — Capital Resources and is included under the Risk Based Capital Requirements section.

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

        Purpose

        The Forms are intended to capture information on capital charges applicable to interest rate Exposures in the Trading Book of an Authorised Firm.

        Applicability

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

        Content

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

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

        Structure of the form in EPRS

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

        The Firm is required to use one of the methodologies to calculate the general market risk charge and to obtain the DFSA's approval where necessary in accordance with PIB A5.2.15. For the purposes of completing the general market risk section, the Authorised

        Firm can aggregate their positions across different currencies. However, it is expected that the Authorised Firm will calculate their general market risk on a currency by currency basis for its own records and the DFSA may request to review this on an ad hoc basis.

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

        Instructional Guidelines

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

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

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

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

        Further detail of the Specific Risk charge is at PIB A.5.2.13.

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

        Purpose

        Form B140D is intended to capture information on capital charges applicable to equity 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, 2, 3A and 5. This Form is not applicable to Authorised Firms operating through a Branch in the DIFC.

        Content

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

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

        Structure of the form in EPRS

        There are two sections in Form B140D. The first follows the Standard method and the second follows the Simplified method to calculate the capital charge. The Authorised Firm is required to use either of these approaches unless an individual net position exceeds 20% of the aggregate country portfolio. The Simplified Method must be applied to this excess portion, as stated in PIB A5.3.22.

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

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

        Instructional Guidelines

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

        Further detail of the specific risk charge is at PIB A.5.3.24-25.
        Standard Method — General Risk The gross and net positions are to be recorded. The respective capital risk charge is then calculated automatically once the figures are submitted.

        Further detail of the general risk charge is at PIB A.5.3.29-30.
        Simplified Method The gross and net positions are to be recorded. The respective capital risk charge is then calculated automatically once the figures are submitted.

        Further detail of the Simplified Method is at PIB A.5.3.31-32.

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

        Purpose

        Form B140E is intended to capture information on capital charges applicable to foreign exchange Exposures in the Trading Book and Non-Trading Book of an Authorised Firm.

        Applicability

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

        Content

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

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

        Structure of the form in EPRS

        Form B140E links to two subsequent forms.

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

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

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

        Instructional Guidelines

        Item Instructional Guidelines
        Individual Currency Positions Long and short positions in each foreign currency are to be recorded here in accordance with PIB A5.4.3.
        Net Position in Currencies Long and short positions in gold are to be recorded here. The Foreign Exchange capital charge is automatically calculated and displayed in this table. This is done in accordance with PIB A5.4.4.

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

        Purpose

        Form B140F is intended to capture information on capital charges applicable to commodities and options Exposures of an Authorised Firm.

        Applicability

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

        Content

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

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

        Structure of the form in EPRS

        Form B140F links to two subsequent forms.

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

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

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

        Instructional Guidelines

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

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

        When completing this section it is expected that the Authorised Firm will have the calculations tying in to the details input below. The DFSA may request to review this on an ad hoc basis.
        Option Risk Capital Requirement — Simplified Approach Long cash and long put or Short cash and long call For option positions matching the item description, the following data points are to be recorded:
        •   The market value of all underlying instruments is to be summed up and recorded in the first column under "Amount".
        •   The specific and general market risk charge of all the options is to be summed up and recorded under the General and Specific Risk column.
        •   The capital requirements for options risk to be recorded in the last column under capital requirement.
        Option Risk Capital Requirement — Simplified Approach Long call or Long put For option positions matching the item description, the following data points are to be recorded:
        •   The market value of all underlying instruments is to be summed up and recorded in the first column under "Amount".
        •   The specific and general market risk charge of all the options is to be summed up and recorded under the General and Specific Risk column.
        •   The capital requirements for options risk to be recorded in the last column under capital requirement.
        Option Risk Capital Requirement — Simplified Approach Option amount in the money For options against long or short cash positions, the aggregate amount of all positions in the money is to be recorded.
        Option Risk Capital Requirement — Simplified Approach Market value of options For straight long call or put options, the aggregate market value of all the options is to be recorded.
        Option Risk Capital Requirement — Simplified Approach Option Specific Risk Currency and Commodity option positions are to be recorded here in accordance with PIB A5.6.4. The capital charge will automatically be applied accordingly.
        Option Risk Capital Requirement — Delta-Plus method Overview If the Authorised Firm chooses to follow the Delta-Plus approach, details on completing this section are noted in PIB A5.6.5-10.
        When completing this section it is expected that the Authorised Firm will have the calculations tying in to the details input below. The DFSA may request to review this on an ad hoc basis.
        Option Risk Capital Requirement — Delta-Plus method Delta Weighted Position The delta weighted position of each underlying risk element to be recorded in this column.
        Option Risk Capital Requirement — Delta-Plus method General and Specific Risk The general and specific charges of each risk element are to be input here.
        Option Risk Capital Requirement — Delta-Plus method Gamma and Vega Risk The Gamma and Vega capital charge is to be input here.
        Option Risk Capital Requirement — Delta-Plus method Capital Requirement The total capital requirement will have to be calculated manually by the Authorised Firm and input here.

      • 1.29 Form B140G — Market Risk Capital Requirement — VAR

        Purpose

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

        Applicability

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

        Content

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

        Structure of the form in EPRS

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

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

        Instructional Guidelines

        Item Instructional Guidelines
        Multiplication Factor x Average of previous 60 working days (VaRavg) Details to reporting these figures are supported by qualitative and quantitative standards in PIB A5.9.
        Previous Day (VaR t-1)
        Multiplication Factor (mc) x Average of previous 60 working days (VaRavg)
        Latest Available (sVaR t-1)
        Capital Requirement The component VaR capital requirement to the risk category applicable without taking into account adjustments due to overshooting.
        Number of Over shootings The number of violations in accordance with PIB A5.9.1 (15).
        VaR Multiplication Factor The multiplication factor used in accordance with PIB A5.9.1 (8).
        SVaR Multiplication Factor The multiplication factor used in accordance with PIB A5.9.1 (14).
        Incremental Risk Charge The incremental risk charge calculated in accordance to PIB A5.9.2.
        Other Risks Any other risks not specifically captured in the other risk Categories.
        Total Capital Requirement The total applicable capital requirement after taking into account adjustment attributed to overshooting.

      • 1.30 Form B150 — Operational Risk Capital Requirement

        Purpose

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

        Applicability

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

        Content

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

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

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

        Structure of the form in EPRS

        Form B150 is presented as a single form. The Form requires the Authorised Firm to report their revenues over the past 3 years.

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

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

        Instructional Guidelines

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

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

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

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

        Refer to PIB A6.3 for details on what to include and exclude when calculating and reporting this figure.

      • 1.31 Form B180 — Expenditure Based Capital Minimum

        Form B180 — Expenditure Based Capital Minimum (EBCM) is intended to capture the actual expenses incurred and the amount of liquid assets the Authorised Firm maintains. The information in this Form is used to assess the continued relevance of an Authorised Firm's EBCM and whether the Firm holds sufficient liquid assets, in accordance with PIB 3.5.3, to meet the EBCM notified to the Firm.

        Applicability

        This Form is applicable to domestic Authorised Firm's categorised under Prudential Categories 2, 3A, 3B, 3C and 4.

        Content

        This Form is designed to capture the following:

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

        Instructional Guidelines

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

        Line Number Line Item Instructional Guideline
        B180_1100 Total expenses of the AF in the normal course of business exc. exceptional items The Firm should include all expenses related to the normal course of business operations (excluding exceptional items) from the B40A — Profit and Loss schedule for the reporting period. This includes the following:
        1. Interest Expense
        2. Profits Payable
        3. Fee and Commission Expenses
        4. Other Operating Expenses
        5. Administrative Expenses.

        This is automatically calculated by EPRS.

          Less: The 8 sub-items below are expense items that may be deducted from the Total expenses figure recorded above. These deductions are listed in PIB 3.7.3.
        B180_1200 Staff bonuses Staff bonuses accrued during the reporting period except to the extent that they are non-discretionary.
        B180_1300 Employees and directors shares in profits Employee and directors' shares in profits except to the extent that they are non-discretionary.
        B180_1400 Other appropriations of profits All such appropriations except to the extent that they are automatic.
        B180_1500 Shared commissions payable which are directly related to commissions receivable Commissions that are directly related to receivables would no longer arise if the business were to cease.
        B180_1900 Fees, brokerage and other charges paid for executing, registering or clearing transactions Fees, brokerage and other charges paid to clearing houses, exchanges and intermediate brokers for the purposes of executing, registering or clearing transactions.
        B180_2000 Foreign exchange losses Losses arising from the translation of foreign currency balances.
        B180_2100 Contributions to charities Voluntary contributions made to charities.
        B180_2200 Expenses for which pre- payments or advances have been made (e.g. pre-paid rent) and the amounts have also been deducted as illiquid assets Any expenses for which pre-payments or advances have already been made to the respective claimant (e.g. pre-paid rent, pre-paid communication charges) and the amount has also been deducted from capital resources as illiquid assets.
        B180_100T Total expenditure Total Expenses minus deductions above.
        B180_3000 Fraction applied The required fraction the Firm is to apply in accordance with PIB 3.7.2. When inputting the figure the Firm is required to calculate the ratio and input the resultant figure into EPRS (e.g. If a Firm is required to follow the 6/52 ratio, the Firm would then input 0.115 into EPRS).
        B180_300T Expenditure based capital minimum (based on Actual expenses) This is calculated by EPRS.
        Deductions are applied to total expenses recorded and then multiplied by the fraction.
        B180_4000 Expenditure based capital minimum (as notified to the Firm) The latest EBCM that has been notified to the Firm by the DFSA. If you are unsure of this EBCM figure then contact the DFSA to obtain this figure.
        B180_5000 Total of liquid assets in accordance with PIB Rule 3.5.3 The amount of liquid assets held in accordance with PIB 3.5.3. This is calculated by EPRS and is the sum of the sub-line items which break down the assets in accordance with the rule. This is only applicable to Firms in Category 3B, 3C and 4.
        B180_6000 Liquid assets — EBCM (should be positive for Firms in Category 3B, 3C and 4) This is calculated by EPRS.
        This is only applicable to Firms in Category 3B, 3C and 4.

      • 1.32 Form B190 — Leverage Ratio

        Purpose

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

        Applicability

        Form B190 is required to be completed by Authorised Firm's in Prudential Categories 1, 2 and 5. Values reported in this Form should be determined at the end of period (e.g. quarter end). This Form only applies to Domestic Firms.

        Content

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

        Structure of the form in EPRS

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

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

        Instructional Guidelines

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

        Material Periodic Changes in the LR

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

        Scope of Consolidation

        Line Number Instructional Guidelines
        On Balance Sheet Exposures
        B190_91200 Firms must include all on-balance sheet assets in their Exposure Measure including on-balance sheet Derivative collateral and collateral for securities financing transactions (SFTs) but excluding on-balance sheet Derivative and SFT assets that are included in lines 4 — 15 below.
        B190_91100 In this line exclude asset items that are deductions from the Firm s Tier 1 capital. The deductions included must be in accordance with the requirements of PIB 3.12. Liability items, such as gains/losses due to changes in own Credit Risk on fair valued liabilities, must not be deducted from the measure of exposure.
        B190_9100T Total on-balance sheet Exposures (excluding Derivatives and SFTs). This is calculated by EPRS.
        Derivative Exposures
        B190_92050 Derivative Exposures, not covered by an eligible netting agreement, are reported here and must include both the exposure arising from the Derivative and the Categories Credit Risk. Firms must include the Derivative Exposures as the Replacement cost (RC) associated with all Derivatives transactions plus an add-on for Potential Future Exposure (PFE). The RC should be reported on this line.

        Guidance for this element is included at section 1 below. If the Firm has eligible netting contracts in place these must meet the guidance included in section 2 below.
        B190_92100 'Add-on' amount for all Derivative Exposures according to section 1 should be reported here.
        B190_92200 Grossed-up amount for collateral. With regard to collateral provided, Firms must gross up the exposure measure by the amount of any Derivatives collateral provided where the provision of that collateral has reduced the value of their balance sheet assets.
        B190_92210 Deductions of receivables assets from cash variation margin provided in Derivatives transactions according to section 10, reported as negative amounts.
        B190_92220 Report here exempted trade Exposures associated with a CCP leg of Derivatives transactions resulting from client-cleared transactions. These transactions include where a Firm acting as clearing member offers clearing services to clients, the clearing member's trade Exposures to the CCP that arise when the clearing member is obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that the CCP defaults, must be captured by applying the same treatment that applies to any other type of Derivatives transactions. If the clearing member, based on the contractual arrangements with the client, is not obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that a qualified CCP defaults, the clearing member need not include the trade Exposures to the qualified CCP in this line. Reported as negative amounts.
        B190_92300 Adjusted effective notional amount (i.e. the effective notional amount reduced by any negative change in fair value) for written credit Derivatives.

        The effective notional amount of a written credit Derivative may be reduced by any negative change in fair value amount that has been incorporated into the calculation of Tier 1 capital with respect to the written credit Derivative. The resulting amount may be further reduced by the effective notional amount of a purchased credit Derivative on the same reference name, provided:
        •   the credit protection purchased is on a reference obligation which ranks pari-passu with or is junior to the underlying reference obligation of the written credit Derivative in the case of single name credit Derivatives; and
        •   the remaining maturity of the credit protection purchased is equal to or greater than the remaining maturity of the written credit Derivative.
        B190_92400 Adjusted effective notional offsets of written credit Derivatives in B190_92300 and deducted add-on amounts relating to written credit Derivatives. Reported as negative amounts.

        Firms may deduct the individual PFE add-on amount relating to a written credit Derivative (which is not offset in B190_923000 and whose effective notional amount is included in the exposure measure) from their gross add-on included in B190_92100.
        B190_9200T Total Derivative Exposures. This is calculated by EPRS.
        Securities Financing Transaction Exposures
        B190_93100 Gross SFT assets with no recognition of any netting other than novation with qualified CCPs. This line should remove securities received as determined by section 16(a) and adjusting for any sales accounting transactions as determined by section 17.
        B190_93150 Cash payables and cash receivables of gross SFT assets netted according to section 16 (a), reported as negative amounts
        B190_93250 Measure of Categories Credit Risk for SFTs as determined by section 16(b).
        B190_93300 Agent transaction exposure amount determined according to section 18 and 19.
        B190_9300T Total securities financing transaction Exposures. This is calculated by EPRS.
        Other Off-Balance Sheet Exposures
        B190_94100 Total off-balance sheet exposure amounts on a gross notional basis, before any adjustment for credit conversion factors according to section 20.
        B190_94200 Reduction in gross amount of off-balance sheet Exposures due to the application of credit conversion factors in section 20.
        B190_9400T Off-balance sheet items. This is calculated by EPRS.
        Capital and Total Exposures
        B190_9500 Tier 1 capital — The capital measure for the LR is the Tier 1 capital of the risk-based capital as set out in chapter 3 of PIB module. The capital measure used is the Tier 1 capital measure applying at that time under the risk-based framework.
        B190_9000T Total Exposures. This is calculated by EPRS.
        Basel III LR
        B190_90100 Basel III LR for the quarter expressed as a percentage and calculated in accordance with PIB Chapter 3.

        Additional Instructional Guidelines for Line Items

        Derivative Exposures

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

        Exposure measure = RC + Add-on

        where:

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

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

        Reporting of Bilateral Netting Positions

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

        ANet = 0.4 · AGross + 0.6 · NGR · AGross

        where:

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

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

        Cash Variation Margin

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

        Reporting of Collateral Positions

        7. Treatment of related collateral: collateral received in connection with Derivative contracts has two countervailing effects on leverage:
        a. It reduces Categories exposure; but
        b. It can also increase the economic resources at the disposal of the Firm, as the Firm can use the collateral to leverage itself.
        8. Collateral received in connection with Derivative contracts does not necessarily reduce the leverage inherent in a Firm's Derivatives position, which is generally the case if the settlement exposure arising from the underlying Derivative contract is not reduced. As a general rule, collateral received may not be netted against Derivative Exposures whether or not netting is permitted under the Firm's operative accounting or risk-based framework. Hence, when calculating the exposure amount by applying sections 1 to 4 above, a Firm must not reduce the exposure amount by any collateral received from the Categories.
        9. Treatment of cash variation margin: in the treatment of Derivative Exposures for the purpose of the LR, the cash portion of variation margin exchanged between counterparties may be viewed as a form of pre-settlement payment, if the following conditions are met:
        a. For trades not cleared through a qualifying central Categories (QCCP)1 the cash received by the recipient Categories is not segregated.
        b. Variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of Derivatives positions.
        c. The cash variation margin is received in the same currency as the currency of settlement of the Derivative contract.
        d. Variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the Derivative subject to the threshold and minimum transfer amounts applicable to the Categories.
        e. Derivatives transactions and variation margins are covered by a single master netting agreement (MNA)23 between the legal entities that are the counterparties in the Derivatives transaction. The MNA must explicitly stipulate that the counterparties agree to settle net any payment obligations covered by such a netting agreement, taking into account any variation margin received or provided if a credit event occurs involving either Categories. The MNA must be legally enforceable and effective in all relevant jurisdictions, including in the event of default and bankruptcy or insolvency.
        10. If the conditions in section 9 are met, the cash portion of variation margin received may be used to reduce the replacement cost portion of the LR exposure measure, and the receivables assets from cash variation margin provided may be deducted from the LR exposure measure as follows:
        a. In the case of cash variation margin received, the receiving Firm may reduce the replacement cost (but not the add-on portion) of the exposure amount of the Derivative asset by the amount of cash received if the positive mark-to-market value of the Derivative contract(s) has not already been reduced by the same amount of cash variation margin received under the Firm's operative accounting standard.
        b. In the case of cash variation margin provided to Categories, the posting Firm may deduct the resulting receivable from its LR exposure measure, where the cash variation margin has been recognised as an asset under the Firm's operative accounting framework.
        c. Cash variation margin may not be used to reduce the PFE amount (including the calculation of the net-to-gross ratio (NGR).
        11. Treatment of clearing services: where a Firm acting as clearing member (CM)4 offers clearing services to clients, the clearing member's trade Exposures5 to the central Categories (CCP) that arise when the clearing member is obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that the CCP defaults, must be captured by applying the same treatment that applies to any other type of Derivatives transactions. However, if the clearing member, based on the contractual arrangements with the client, is not obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that a QCCP defaults, the clearing member need not recognise the resulting trade Exposures to the QCCP in the LR exposure measure.
        12. Where a client enters directly into a Derivatives transaction with the CCP and the CM guarantees the performance of its clients' Derivative trade Exposures to the CCP, the Firm acting as the clearing member for the client to the CCP must calculate its related LR exposure resulting from the guarantee as a Derivative exposure as set out in sections 9 to 16, as if it had entered directly into the transaction with the client, including with regard to the receipt or provision of cash variation margin.
        13. Additional treatment for written credit Derivatives: in addition to the CCR exposure arising from the fair value of the contracts, written credit Derivatives create a notional credit exposure arising from the creditworthiness of the reference entity. The Committee therefore believes that it is appropriate to treat written credit Derivatives consistently with cash instruments (e.g. loans, bonds) for the purposes of the exposure measure.
        14. In order to capture the credit exposure to the underlying reference entity, in addition to the above CCR treatment for Derivatives and related collateral, the effective notional amount6 referenced by a written credit Derivative is to be included in the exposure measure. The effective notional amount of a written credit Derivative may be reduced by any negative change in fair value amount that has been incorporated into the calculation of Tier 1 capital with respect to the written credit Derivative. The resulting amount may be further reduced by the effective notional amount of a purchased credit Derivative on the same reference name7 provided:
        a. the credit protection purchased is on a reference obligation which ranks pari-passu with or is junior to the underlying reference obligation of the written credit Derivative in the case of single name credit Derivatives8; and
        b. the remaining maturity of the credit protection purchased is equal to or greater than the remaining maturity of the written credit Derivative.
        15. Since written credit Derivatives are included in the exposure measure at their effective notional amounts, and are also subject to add-on amounts for PFE, the exposure measure for written credit Derivatives may be overstated. Firms may therefore choose to deduct the individual PFE add-on amount relating to a written credit Derivative (which is not offset according to section Error! Reference source not found. and whose effective notional amount is included in the exposure measure) from their gross add-on in sections 9 to 11.9

        Securities Financing Transaction Exposures

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

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

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

        Off-balance sheet items

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

        Add-on factors for determining potential future exposure

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

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

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

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

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

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

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

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

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

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

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

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

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

      • 1.33 Form B210 — Liquidity

        Purpose

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

        Applicability

        This Form is applicable to Authorised Firm's authorised under Prudential Categories 1 and 5.

        Content

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

        Structure of the form in EPRS

        In EPRS the form is split into three linked forms:

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

        Instructional Guidelines

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

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

        •   PSIAUs; and,
        •   Deposits.

        Liquidity Reporting in Individual Currencies

        1. The return should be completed on the basis of all currencies combined. Currencies should be translated into USD at the closing spot mid-price on the reporting date and entered in the relevant time band. However, the DFSA may require institutions to complete the form in individual significant currencies in the event of difficulties either in the individual institution or with the currency in question.
        2. The reported cash outflows and inflows includes future cash flows from all on- and off-balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported.
        3. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as bonuses, dividends and rents which are to be reported as "Other".
        4. Contractual flows shall be allocated across time buckets according to their residual maturity, with days referring to calendar days.

        Residual Maturity

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

        Time Bands

        8. The time band 'Overdue' should be used to record cash flows where assets or other items giving rise to cash flows are non-performing, poorly performing or there is reasonable doubt about the certainty of receipt of inflows of related funds. Where an asset or cash flow previously reported as overdue is contractually rescheduled according to a written agreement, institutions should cease to report these items as 'overdue' and report them according to the new agreed dates for repayment.
        9. The time band 'Demand/Overnight comprises cash flows or asset items due, available or maturing on the next business day after the reporting date. Cash flows arising on a non-business day should be reported as taking place on the following business day. .

        Netting of Cash Flows

        10. Except for part 3 "Liquid Assets and Funding Capacity", where netting is required (see 14 below), cash outflows and inflows shall be reported on a gross basis with a positive sign in the relevant time bucket. Authorised Firm's 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 offsetting cash inflows and outflows falls within the same time band, the flows will automatically offset each other on the return in the calculation of the mismatch.
        11. Liquid Assets and Funding Capacity "Liquid Assets and Funding Capacity" section shall represent the stock of unencumbered assets and other funding sources which are contractually and practically available to the Firm at the reporting date to meet net cash outflows. These include:
        a) High Quality Liquid Assets (HQLA) as defined in PIB A9.2.1 to A9.2.9 to be reported in items B210_ 01100 to B210_01550 of the Form, depending on their characteristics.
        b) Less liquid (Non HQLA eligible) assets that are either marketable and/or eligible for repo facilities with a Central Bank should be included in items B210_01100 to B210_01700 of the Form. These assets are likely to include "Non HQLA" eligible corporate bonds and Asset Backed Securities and securities issued by financial institutions.
        c) Undrawn secured committed facilities are reported by the type of security required. Only the undrawn portion of the facilities should be reported under item B210_0180T.
        d) The undrawn unsecured committed facilities should be reported by type of provider (Group or other). Similarly only the undrawn portion should be reported.
        12. For the "Liquid Assets and Funding Capacity" section, securities outflows and inflows shall be reported on a net basis per maturity bucket with a positive sign if they represent inflows and a negative sign if they represent outflows. For cash flows, the amounts due shall be reported.
        13. The stock of securities should be reported under the column "initial stock" at current market value. Contractually agreed securities flows shall be reported at current market value in the contractual maturity bucket. The corresponding cash inflows should be reported in item B210_25000under the cash inflow section as per their contractual maturity.
        14. Flows arising on credit and liquidity lines shall be reported using the contractual available amounts and in the time bucket as per the agreed tenor of the facility.

        Repos, reverse repo and re-hypothecation

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

        Form 1 — Inflows and Outflows

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

        Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the part 3 (Liquid assets and funding capacity).
        B210_12100 Level 1 Tradable Assets The amount of cash outflows reported in item B120_1200T which is collateralized by tradable assets and reserves at Central Banks that would meet the requirements of LCR Level 1 asset as per PIB A9.2.6.
        B210_12200 Level 2A Tradable assets The amount of cash outflows reported in item B120_1200T which is collateralized by assets that meet the requirements of PIB A9.2.7.
        B210_12300 Level 2B Tradable Assets The amount of cash outflows reported in item B120_1200T which is collateralized by assets that meet the requirements of PIB A9.2.8.
        B210_12400 Other Tradable Assets The amount of cash outflows reported in item B120_1200T which is collateralized by tradable assets not reported in items B210_12100, B210_12200, and B210_12300.
        B210_12500 Other Assets The amount of cash outflows reported in item B120_1200T which is collateralized by non-tradable assets.
        B210_1300T Uncollateralised Liabilities Cash outflows arising from all uncollateralized liabilities. Do not report here any outflows reported in items B120_1000T or B210_1200T

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

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

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

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

        Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the section 3 (Liquid assets and funding capacity).
        B210_21100 Level 1 tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by Level 1 tradable assets that meet the requirements in PIB A9.2.6.
        B210_21200 Level 2A tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by Level 2A tradable assets that meet the requirements in PIB A9.2.7.
        B210_21300 Level 2B tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by Level 2B tradable assets that meet the requirements in PIB A9.2.8.
        B210_21400 Other tradable assets The amount of cash inflows reported in item B210_2100T which is collateralized by tradable assets not reported in items B210_21100 to B210_21400 above.
        B210_21500 Other assets The amount of cash inflows reported in item B210_2100T which is collateralized by non-tradable assets.
        B210_2200T Monies due from loans and advances Report all cash inflows from loans and advances in the time bucket where they are contractually due to be received. Past due items as at the reporting date should be reported in the overdue column.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

        Securities representing claims on or guaranteed by central Banks shall not be reported here.
        B210_0130T Level 1 tradable assets Report the market value (no haircuts) of tradable assets that qualify as Level 1 tradable assets by meeting the requirements in PIB A9.2.6. as initial stock and contractual future contractual movement of these securities in the relevant time bucket.
        B210_01310 Level 1 Central Bank The amount reported in item B210_0130T which is assets representing claims on or guaranteed on central Banks (e.g. Central Bank issued CDs).
        B210_01320 Level 1 (CQG 1) The amount reported in item B210_0130T, which is assets representing claims on or guaranteed by an entity that is assigned a Credit Quality Grade (CQG) 1 as per PIB 4.11 other than that reported in B210_01310.
        B210_01330 Level 1 (CQG 2, CQG3) The amount reported in item B210_0130T other than those reported in items B210_01310 and B210_01320 which is assets representing claims on or guaranteed by an issuer or a guarantor that is assigned a Credit Quality Grade 2 or 3 as per PIB 4.11.
        B210_01340 Level 1 (CQG 4 +) The amount reported in item B210_0130T other than those reported in items B210_01310 to B210_01330 which is assets representing claims on or guaranteed by an issuer or a guarantor that is assigned a Credit Quality Grade 4 or lower as per PIB 4.11.
        B210_01350 Other Level 1 Assets The amount reported in item B210_0130T which is not reported in items B210_01310 to B210_01330.
        B210_0140T Level 2A tradable assets The market value (no haircuts) of tradable assets that qualify as Level 2A tradable assets by meeting the requirements in PIB A9.2.7.
        B210_01410 Level 2A corporate bond The amount reported in item B210_0140T which is corporate bonds.
        B210_01420 Level 2A covered bonds The amount reported in item B210_0140T which is covered bonds.
        B210_01430 Level 2A Government/public sector The amount reported in item B210_0140T which is assets representing claims on or guaranteed by central governments, central Banks, regional governments, local authorities or public sector entities.
        B210_01440 Other Level 2A The amount in item B210_0140T other than what is reported in Items B210_01410 to B210_01430.
        B210_0150T Level 2B tradable assets The market value (no haircuts) of tradable assets that qualify as Level 2B tradable assets by meeting the requirements in PIB A9.2.8.
        B210_01510 Level 2B Asset Backed Securities The amount reported in item B210_0150T which is asset backed securities.
        B210_01520 Level 2B covered bonds The amount reported in item B210_0150T which is covered bonds.
        B210_01530 Level 2B corporate bonds The amount reported in item B210_0150T which is corporate debt securities.
        B210_01540 Level 2B shares The amount reported in item B210_0150T which is shares.
        B210_01550 Other Level 2B The amount reported in B210_0150T which is Level 2B assets that are not included in items B210_01410 to B210_01540.
        B210_0160T Other tradable assets The market value of tradable assets other than those reported in items B210_0130T, B210_0140T and B210_0150T. A tradable asset has the following characteristics:
        •   Regularly quoted prices
        •   Regularly traded
        •   The asset can readily be sold, including by a repurchase agreement, either on an exchange or in a deep and liquid market for payment in cash.
        •   Settlement is in accordance to a prescribed timetable rather than a negotiated one.
        B210_01610 Other tradable assets — Investment (CQG 1 to 3) The amount reported in item B210_0160T which is an asset representing a claim on or guaranteed by an entity that is assigned a credit quality grade 1 to 3 (Investment Grade) in line with PIB 4.11.
        B210_01620 Other tradable assets — Non Investment Grade (CQG 4 to 6) The amount reported in item B210_0160T which is an asset representing a claim on or guaranteed by an entity that is assigned a credit quality grade 4, 5 or 6 (non-investment grade) in line with PIB 4.11.
        B210_01700 Non-tradable assets eligible for Central Bank Repo The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of a Central Bank to which the DIFC Firm has direct access to (if any).
        B210_0180T Undrawn unsecured committed facilities received Total amount of unsecured undrawn committed facilities extended to the Firm. Only report here contractually irrevocable facilities.

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

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

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

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

        The item does not consider new business activities.

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

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

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

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

        Form 2 — Calculation of Mismatch Ratio

        Item Number Calculation of Liquidity Mismatch Ratio

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

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

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

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

        Firms with Retail contingent facilities should adjust the amount reported with the behavioural flows as agreed with the DFSA as per memorandum item B210_03500.

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

        Additional Instructional Guidelines for Islamic Contracts

        Inflows All inflows should be taken as occurring at the last possible contractual repayment date. The treatment of inflows for Islamic Contracts are as follows and it is for the Authorised 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. Profit on Mudaraba should only be reported to the extent that it is being reported at the reporting date.
        Musharaka Capital inflows on a normal Musharaka contract should be entered as occurring on the latest possible termination date and in the case of a diminishing Musharaka at the latest redemption date. Inflows on profit should only be entered if it is being distributed at reporting date.
        Murabaha Receivables Inflows reported should include instalment payments and related accrued profit at the latest possible repayment date (or assets maturing at such a date).
        Ijarah/Ijarah
        Muntahia
        Bittamleek
        Report all inflows occurring from Ijarah lease rentals at the last possible payment date. Where the lessee has an option to purchase the asset either during the duration of the lease or at the end of the contract, the amount to be received should be reported as an inflow at the latest possible exercise date.
        Salam and Parallel Salam Enter the amount of inflows as occurring at the latest possible delivery date. If payments are received in the form of instalments (Parallel Salam), only enter the amount of instalments occurring at their latest possible repayment date (or as an asset maturing at the latest repayment date).
        Istisna'a and Parallel Istisna'a Inflows should be assumed to occur at the latest possible completion date. If repayment is via instalments, inflows should be on the latest instalment date.
        Outflows All outflows should be taken as occurring at the earliest possible contractual repayment date. In the case of a liability, assume the outflows to occur at the earliest possible maturity date. For Islamic Contracts, outflows should only be recognised when there is already in existence a defined agreement between the parties for a particular Islamic Contract.
        Salam and Parallel Salam For Salam transactions enter amount of outflows as additional advances committed at the earliest possible drawdown date.
        Istisna'a Outflows on Istisna'a contracts are to be entered as occurring at the earliest possible drawdown date. If drawdown occurs based on percentage completion, the outflows should be assumed to occur at the earliest completion date or as a liability maturing at the earliest completion date.
        Ijarah Commitments made for the purchases of assets for Ijarah purposes should be included as outflows at the earliest date committed for the purchase.

        Form 3 — Encumbered Assets

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

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

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

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

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

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

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

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

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

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

      • 1.34 Form B220 — Liquidity Coverage Ratio

        Purpose

        Form B220 — Liquidity Coverage Ratio (LCR) intends to calculate the Liquidity Coverage Ratio of an Authorised Firm and to determine the required level of High Quality Liquid Assets.

        Applicability

        This Form is applicable to Authorised Firm's operating under Prudential Categories 1 and 5.

        Content

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

        Structure of the form in EPRS

        Form B220 — LCR is presented as a single form.

        Instructional Guidelines

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

        Line Number Line Item Instructional Guideline
        Liquidity Coverage Ratio ("LCR")
        Stock of High-Quality Liquid Assets
        A. Level 1 Assets
        Ref. PIB A9.2.5, A9.2.6 and Basel III LCR Section II.A.4 Paragraphs 49–50.
        B220_00110 Coins and bank notes Physical coins and bank notes held.
        B220_00120 Qualifying Central Bank reserves Ref. PIB A9.2.6(2)(b) and Basel III LCR Section II.A.4 Paragraph 50(b).

        Central Bank reserves would include Banks' overnight Deposits with the Central Bank, and term Deposits with the Central Bank that:
        (i) are explicitly and contractually repayable on notice from the depositing bank; or,
        (ii) that constitute a loan against which the bank can borrow on a term basis or on an overnight but automatically renewable basis (only where the bank has an existing deposit with the relevant Central Bank). Other term Deposits with central Banks are not eligible for the stock of HQLA.
        B220_00130 Qualifying marketable securities (sovereigns, CBs, PSEs, MDBs) Ref. PIB A9.2.6(2)(c) and Basel III LCR Section II.A.4 Paragraph 50(c).

        This category comprises marketable securities representing claims on or claims guaranteed by sovereigns, central Banks ("CBs"), non-central government public sector entities ("PSEs"), the Bank for International Settlements, the International Monetary Fund, the European Commission, or multilateral development Banks ("MDBs") satisfying all of the conditions under PIB A9.2.6(2)(c).
        B220_00140 Domestic sovereign or CBs debt (non-0% risk-weighted) Ref. PIB A9.2.6(d), (e) and Basel III LCR Section II.A.4 Paragraph 50(d) and (e).
        B220_0010T Total stock of Level 1 Assets This figure is calculated by EPRS.
        B220_00150 Adjustments to stock of Level 1 Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

        The adjustments required to the stock of Level 1 assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 1 assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2A9.2.4.
        B220_00160 Adjusted amount of Level 1 Assets This figure is calculated by EPRS.
        B. Level 2 Assets (Maximum 40% of HQLA)
        Ref. PIB A9.2.5 and Basel III LCR Section II.A.4 Paragraph 51.
        B1. Level 2A Assets Ref. PIB A9.2.7< and Basel III LCR Section II.A.4 Paragraph 52.
        B220_00210 Sovereign, CBs, MDBs, PSEs (20% risk weighting) Ref. PIB A9.2.7(2)(a) and Basel III LCR Section II.A.4 Paragraph 52(a).

        This category comprises marketable securities representing claims on or claims guaranteed by sovereigns, central Banks ("CBs"), non-central government public sector entities ("PSEs") or multilateral development Banks ("MDBs") satisfying all of the conditions under PIB A9.2.7(2)(a).
        B220_00220 Qualifying corporate debt securities rated AA- or higher Ref. PIB A9.2.7(2)(b) and Basel III LCR Section II.A.4 Paragraph 52(b).
        This category comprises corporate debt securities (including commercial paper) and covered bonds that satisfy all of the conditions under PIB A9.2.7(2)(b).

        Corporate debt securities' (including commercial paper) include only plain-vanilla assets whose valuation is readily available based on standard methods and does not depend on private knowledge, i.e. these do not include complex structured products or subordinated debt.
        B220_00230 Qualifying covered bonds rated AA- or higher Ref. PIB A9.2.7(2)(b) and Basel III LCR Section II.A.4 Paragraph 52(b).

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

        Covered bonds are bonds issued and owned by a bank or mortgage institution and are subject by law to special public supervision designed to protect bond holders. Proceeds deriving from the issue of these bonds are be invested in conformity with the law in assets which, during the whole period of the validity of the bonds, are capable of covering claims attached to the bonds and which, in the event of the failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.
        B220_0020T Total stock of Level 2A Assets This figure is calculated by EPRS.
        B220_00240 Adjustments to stock of Level 2A Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

        The adjustments required to the stock of Level 2A assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 2A assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2A9.2.4.
        B220_00250 Adjusted amount of Level 2A Assets This figure is calculated by EPRS.
        B2. Level 2B Assets
        (Maximum 15% of HQLA)
        Ref. PIB A9.2.8 and Basel III LCR Section II.A.4 Paragraphs 53–54.
        B220_00310 Qualifying RMBS Ref. PIB A9.2.8(2)(a) and Basel III LCR Section II.A.4 Paragraph 54(a).

        This category comprises residential mortgage backed securities ("RMBS") that satisfy all of the conditions under PIB A9.2.8(2)(a).
        B220_00320 Corporate debt securities rated A+ to BBB- Ref. PIB A9.2.8(2)(b) and Basel III LCR Section II.A.4 Paragraph 54(b).

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

        Corporate debt securities' (including commercial paper) include only plain-vanilla assets whose valuation is readily available based on standard methods and does not depend on private knowledge, i.e. these do not include complex structured products or subordinated debt.
        B220_00330 Qualifying common equity shares Ref. PIB A9.2.8(2)(c) and Basel III LCR Section II.A.4 Paragraph 54(c).

        This category comprises common equity shares that satisfy all of the conditions under PIB A9.2.8(2)(c).
        B220_0030T Total stock of Level 2B Assets This figure is calculated by EPRS.
        B220_00340 Adjustments to stock of Level 2B Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

        The adjustments required to the stock of Level 2B assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 2B assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2A9.2.4.
        B220_00350 Adjusted amount of Level 2B Assets This figure is calculated by EPRS.
        B220_00360 Adjustment to stock of HQLA due to cap on Level 2B Assets Ref. PIB A9.2.5(2)(c) and Basel III LCR Section II.A.4 Paragraph 47.

        This figure is calculated by EPRS.
        B220_00370 Adjustment to stock of HQLA due to cap on Level 2 Assets Ref. PIB A9.2.5(2)(b) and Basel III LCR Section II.A.4 Paragraphs 46 and 51.

        This figure is calculated by EPRS.
        B220_06000 Total Value of stock of Highly-Quality Liquid Assets This figure is calculated by EPRS.
        Cash Outflows Ref. PIB A9.2.13(2) and Basel III LCR Section II.B Paragraph 69.
        B220_0110T
        A. Retail Deposits
        Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i) Paragraphs 73–74.
          Demand deposit and qualifying term Deposits with residual maturity or notice period within 30 days.
        B220_01120 Stable Deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(a) Paragraphs 75–77.
        B220_01130 Retail — Less stable Deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(b) Paragraphs 79–81.
        B220_01140 Retail — Term Deposits (residual maturity > 30, no withdraw) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(b) Paragraphs 82–83.

        This category comprises outflows from term retail Deposits with residual maturity greater than 30 days and with no legal right to withdraw or a withdrawal with a significant penalty.
        B220_0120T
        B. Unsecured Wholesale Funding
        Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii) Paragraphs 85–88.
        Funding from:
        B220_01210 Small business customers — Stable Deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89–91.
        B220_01220 Small business customers — Less stable Deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89–91.
        B220_01230 Small bus. cust. — Term Deposits (residual maturity > 30 days, no withdraw) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraph 92.

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

        Term Deposits from small business customers should be treated in accordance with the treatment for term retail Deposits.
        B220_01240 Operational Deposits Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(b) Paragraphs 93–103.

        This category comprises outflows from operational Deposits generated by clearing, custody and cash management activities.
        B220_01250 Operational Deposits covered by a deposit protection scheme Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(b) Paragraph 104.

        This category comprises outflows from operational Deposits generated by clearing, custody and cash management activities fully covered by a deposit protection scheme.
        B220_01260 Cooperative Banks in an institutional network Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(c) Paragraphs 105–106.

        An institutional network of cooperative Banks is a Group of legally autonomous Banks with a statutory framework of cooperation with common strategic focus and brand where specific functions are performed by central institutions or specialised service providers.
        B220_01270 Non-financial corporates, sovereigns, CBs, MDBs & PSEs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(d) Paragraph 107.

        This category comprises all Deposits and other extensions of unsecured wholesale funding from non-financial corporate customers (that are not categorised as small business customers) and (both domestic and foreign) sovereign, Central Bank ("CBs"), multilateral development Banks ("MDBs"), and public sector sntities ("PSEs") customers that are not specifically held for operational purposes.
        B220_01280 Non-financial corp., sov., CB, MDBs & PSEs with deposit protection Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(d) Paragraph 108.

        This category comprises all Deposits and other extensions of unsecured wholesale funding from non-financial corporate customers, sovereigns, central Banks ("CBs"), multilateral development Banks ("MDBs"), and public sector entities ("PSEs") without operational relationships if the entire amount of the deposit is fully covered by an effective deposit insurance scheme or by a public guarantee that provides equivalent protection.
        B220_01290 Other legal entity customers Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(e) Paragraphs 109–111.

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

        All notes, bonds and other debt securities issued by the Authorised Firm are to be included in this category regardless of the holder, unless the bond is sold exclusively in the retail market and held in retail accounts (including small business customer accounts treated as retail), in which case the instruments can be treated in the appropriate retail or small business customer deposit category.
        B220_0130T
        C. Secured Funding
        Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraphs 112–113.

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

        For this category an Authorised Firm is to consider all outstanding secured funding transactions ("SFTs") with maturities within the 30 calendar day stress horizon, including customer short positions that do not have a specified contractual maturity. The amount of outflow is to be calculated based on the amount of funds raised through the transaction, and not the value of the underlying collateral.
        B220_01310 SFTs backed by Level 1 assets or with CBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
        B220_01320 SFTs backed by Level 2A assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
        B220_01330 SFTs backed by non-Level 1 or non-Level 2A assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.

        This category comprises secured funding transactions ("SFTs") backed by non-Level 1 or non-Level 2A assets, with the domestic sovereigns, multilateral development Banks, or domestic public sector entities ("PSEs") as Categories. PSEs are limited to those that are 20% risk weighted or better.
        B220_01340 SFTs backed by RMBS eligible for inclusion in Level 2B Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
        B220_01350 SFTs backed by other Level 2B assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
        B220_01360 All other secured funding transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 115.

        This category comprises all other maturing transactions (other than those included in the prior five Categories), including transactions where a bank has satisfied customers' short positions with its own long inventory.
        B220_0140T
        D. Additional Requirements
         
        B220_01410 Derivatives cash outflows Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 116–117.

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

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

        Where Derivative payments are collateralised by HQLA, cash outflows need to be calculated net of any corresponding cash or collateral inflows that would result, all other things being equal, from contractual obligations for cash or collateral to be provided to the Authorised Firm, if the Authorised Firm is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the collateral is received.
        B220_01420 Liquidity needs: financing transactions, Derivatives and other contracts Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 118.

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

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

        The impact of the downgrade should consider impacts on all types of margin collateral and contractual triggers which change re-hypothecation rights for non-segregated collateral.
        B220_01430 Valuation changes on non-Level 1 posted collat. securing Derivatives Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 119.

        This category comprises amounts of increased liquidity needs related to the potential for valuation changes on non-Level 1 posted collateral securing Derivative and other transactions. The value can be netted against the amount of collateral received on a Categories basis (provided that the collateral received is not subject to restrictions on re-use or re-hypothecation).
        B220_01440 Excess collateral — Derivative transactions that could be called Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 120.
        This category comprises amounts of increased liquidity needs related to excess non-segregated collateral held by the Authorised Firm that could contractually be called at any time by the Categories.
        B220_01450 Liquidity needs — collateral due on Derivatives transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 121.
        This category comprises amounts of increased liquidity needs related to contractually required collateral on transactions for which the Categories has not yet demanded the collateral be posted.
        B220_01460 Liquidity needs — Derivative transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 122.
        This category comprises amounts of increased liquidity needs related to contracts that allow collateral substitution to non-HQLA assets.
        B220_01470 Market valuation changes on Derivatives transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 123.
        This category comprises any outflow generated by increased needs related to market valuation changes, calculated by identifying the largest absolute net 30-day collateral flow realised during the preceding 24 months. Inflows and outflows of transactions executed under the same master netting agreement can be treated on a net basis. The absolute net collateral flow is based on both realised outflows and inflows.
        ABCP, SIVs, Conduits, etc.:
        B220_01480 Loss of funding on ABS, covered bonds & other struct. finan. Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 124.
        This category comprises outflows from transactions on asset-backed securities ("ABS"), covered bonds and other structured financing instruments maturing within the 30-day period, when the related instruments are issued by the Authorised Firm itself.
        B220_01490 Loss of funding on ABCP, SIVs, SPVs, etc Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 125.

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

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

        Unconditionally revocable facilities that are unconditionally cancellable by the Authorised Firm are excluded from this category and included in "Other Contingent Funding Liabilities". The undrawn portion of these facilities are to be calculated net of any HQLA eligible for the stock of HQLA, if the HQLA have already been posted as collateral by the Categories to secure the facilities or that are contractually obliged to be posted when the Categories will draw down the facility (e.g. liquidity facility structured as a repo facility), if the Authorised Firm is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the facility is drawn, and there is no undue correlation between the probability of drawing the facility and the market value of the collateral. The collateral can be netted against the outstanding amount of the facility to the extent that this collateral is not already counted in the stock of HQLA
        B220_01500 Credit and Liquidity Facilities: Retail and SME clients Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(a).
        B220_01510 Credit Facil.: Non-financial corporates, sovereigns and CBs, PSEs, MDBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(b).
        B220_01520 Liquidity Facil.: Non-financial corporates, sovereigns, CBs, PSEs, MDBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(c).
        B220_01530 Credit & Liquidity Facil.: Banks subject to prudential supervision Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(d).
        B220_01540 Credit facilities: Other financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(e).

        Other financial institutions including securities Firms, insurance companies, fiduciaries and beneficiaries.
        Fiduciary is a legal entity that is authorised to manage assets on behalf of a third party. Fiduciaries include asset management entities such as pension funds and other collective investment vehicles.
        Beneficiary is a legal entity that receives, or may become eligible to receive, benefits under a will, insurance policy, retirement plan, annuity, trust, or other contract.
        B220_01550 Liquidity Facilities: Other financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(f).
        Other financial institutions including securities Firms, insurance companies, fiduciaries and beneficiaries.
        B220_01560 Credit and Liquidity Facilities: Other legal entity customers Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(g).
        This category comprises committed credit and liquidity facilities provided to other legal entities including hedge funds, money market funds, special purpose entity ("SPEs") and special purpose vehicles ("SPVs"), conduits, and all other entities not included in the prior Categories.
        An SPE is a corporation, trust, or other entity organised for a specific purpose, the activities of which are limited to those appropriate to accomplish the purpose of the SPE, and the structure of which is intended to isolate the SPE from the Credit Risk of an originator or seller of Exposures.
        B220_01570 Other contractual obligations to financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 132.
        This category comprises any contractual obligations to extend funds to financial institutions within a 30-day period. Any contractual lending obligations to financial institutions not captured elsewhere should be captured in this category.
        B220_01580 Other contractual obligations to retail & non-financial corporate clients Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 133.
        If the total of all contractual obligations to extend funds to retail and non-financial corporate clients within the next 30 calendar days (not captured in the prior Categories) exceeds 50% of total contractual inflows due in the next 30 calendar days from these clients, the difference is to be reported under this category.
        Other contingent funding obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 135–141.
        This category comprises contingent funding obligations which can be contractual or non-contractual and which are not lending commitments.
        Non-contractual obligations may be embedded in financial products and instruments sold, sponsored, or originated by the Authorised Firm that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations.
        Some contingent funding obligations are explicitly contingent upon a credit or other event not always related to the liquidity events simulated in the stress scenario, but may nevertheless have potential to cause significant liquidity drains in times of stress. The Authorised Firm is to consider which of these "other contingent funding obligations" may materialise under the assumed stress events. Authorised Firm's are expected to use historical behaviour in determining appropriate outflows. All identified contractual and non-contractual contingent liabilities and their assumptions should be documented, along with their related triggers.
        B220_01590 Non-contr. Obligations — liquidity draws from JVs or minority investments Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 137.

        This category comprises non-contractual obligations related to potential liquidity draws from joint ventures ("JVs") or minority investments in entities which are not consolidated where there is the expectation that the Authorised Firm will be the main liquidity provider when the entity is in need of liquidity.
        B220_01600 Trade finance-related obligations (including LCs & Guarantees) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 138–139.

        This category comprises contingent funding obligations stemming from trade finance instruments. These instruments consist of trade-related obligations directly underpinned by the movement of goods or the provision of services, such as:
        •   documentary trade letters of credit ("LCs"), documentary and clean collection, import bills, and export bills; and,
        •   guarantees directly related to trade finance obligations, such as shipping guarantees.

        Lending commitments, such as direct import or export financing for non-financial corporate Firms, are excluded from this category and treated under the relevant "undrawn committed credit and liquidity facilities" Categories.

        B220_01610 Unconditionally revocable "uncommitted" credit and liquidity facilities Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        B220_01620 Guarantees & LCs unrelated to trade finance obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        Non-contractual obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        B220_01630 Debt-buy back requests (incl. related conduits) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

        This category comprises potential requests for debt repurchases of the Authorised Firm own debt or that of related conduits, securities investment vehicles and other such financing facilities.
        B220_01640 Structured products Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        This category comprises structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate demand notes.
        B220_01650 Managed funds Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        This category comprises managed funds that are marketed with the objective of maintaining a stable value, such as money market mutual funds or other types of stable value collective investment funds.
        B220_01660 Other non-contractual obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        This category comprises other non-contractual obligations not included in the prior three Categories.
        B220_01670 Outstanding debt securities with remaining maturity > 30 days Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        For issuers with an affiliated dealer or market maker, an amount of the outstanding debt securities (unsecured and secured, long term as well as short-term) having maturities greater than 30 calendar days is to be included, to cover the potential repurchase of such outstanding securities.
        B220_01680 Non contractual obligations — customer short positions covered by other customers' collateral Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
        This category comprises contingent obligations where an Authorised Firm has internally matched client assets against other clients' short positions where the collateral does not qualify as Level 1 or Level 2, and the Authorised Firm may be obligated to find additional sources of funding for these positions in the event of client withdrawals.
        B220_01690 Other contractual cash outflows Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 141 and Section II.B.2(i) Paragraph 147.
        This category comprises any other contractual cash outflows within the next 30 calendar days, such as outflows to cover unsecured collateral borrowings, uncovered short positions, dividends or contractual interest payments. Outflows related to operating costs, however, are not to be considered for LCR calculation.
        B220_0100T Total Cash Outflows This figure is calculated by EPRS.
        Cash Inflows Ref. PIB A9.2.13(3), Basel III LCR Section II.B Paragraph 69 and Basel III LCR Section II.B.2 Paragraphs 142–143.

        Cash inflows to be considered include only contractual inflows (including interest payments) from outstanding Exposures that are fully performing and for which the Authorised Firm has no reason to expect a default within the 30-day time horizon. Contingent inflows are not included in total net cash inflows.
        Secured lending (incl. revere repos and securities borrowing), with the following as collateral:
        B220_02110 Level 1 assets Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(i) Paragraphs 145–148.
        B220_02120 Level 2A Assets
        B220_02130 Level 2B Assets — eligible RMBS
        B220_02140 Level 2B Assets — Other assets
        B220_02150 Margin lending backed by all other collateral
        B220_02160 All other assets
        B220_02170 Credit or liquidity facilities provided to the reporting bank Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(ii) Paragraphs 149.
        B220_02180 Operational Deposits held at other financial institutions Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 156–157.
        This category comprises operational Deposits held at other financial institutions (including Deposits held at centralised institution of a network of co-operative Banks) for operational purposes such as for clearing, custody, and cash management purposes.
        Other inflows by Categories Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 150–152.
        Inflows to be considered are limited to receivables that are fully performing and contractually due within a 30-day horizon. Inflows should only be taken at the latest possible date, based on the contractual rights available to counterparties. Inflows from loans that have no specific maturity (i.e. have non-defined or open maturity) are not be included; therefore, no assumptions to be applied as to when maturity of such loans would occur. An exception to this would be minimum payments of principal, fee or interest associated with an open maturity loan, provided that such payments are contractually due within 30 days. These minimum payment amounts are to be captured as inflows in the relevant category below.
        B220_02190 Amounts receivable from retail counterparties Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 153.
        This category comprises amounts receivable from retail and small business customers that are fully performing and contractually due within a 30-day horizon.
        B220_02200 Amounts receivable from non-financial wholesale counterparties Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraph 154.

        This category comprises amounts receivable from non-financial wholesale counterparties (including non-financial corporates, sovereigns, multilateral development Banks, and public sector entities) from transactions other than those listed in the inflow Categories above. These includes all payments (including interest payments and instalments) that are fully performing and contractually due within the 30-day horizon.
        B220_02210 Amounts receivable from financial institutions Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 154–155.

        This category comprises amounts receivable from financial institutions, from transactions other than those listed in the two inflow Categories above. These includes all payments (including interest payments and instalments) that are fully performing and contractually due within the 30-day horizon. It includes, among others, payments from interbank, money market placements and Deposits (e.g. nostro accounts) which meet the prescribed criteria.
        Inflows from securities maturing within 30 days not included in the stock of HQLA should be included.
        B220_02220 Net Derivative receivables Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 158–159.

        Where Derivatives are collateralised by HQLA, cash inflows are to be calculated net of any corresponding cash or contractual collateral outflows that would result, all other things being equal, from contractual obligations for cash or collateral to be posted by the Authorised Firm, given these contractual obligations would reduce the stock of HQLA.
        B220_02230 Other contractual cash inflows Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraph 160.
        B220_02240 Adjustment to net cash inflows to not excess 75% of net cash outflows Ref. PIB A9.2.13(1).

        This field is automatically calculated by EPRS as an adjuster to limit Total Cash Inflows at 75% of Total Cash Outflows.
        B220_0200T Total Cash Inflows This figure is calculated by EPRS.
        B220_0300T Total Net Cash Outflows Ref. PIB A9.2.13(1) and Basel III LCR Section II.B Paragraph 69.

        This figure is calculated by EPRS.
        B220_05000 Liquidity Coverage Ratio ("LCR") Ref. PIB 9.3.5 and Basel III LCR Section II Paragraph 22.

        This figure is calculated by EPRS.

      • 1.35 Form B230 — Net Stable Funding Ratio

        Purpose

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

        Applicability

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

        Content

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

        Structure of the form in EPRS

        Form B230 — NSFR is presented as a single form.

        Instructional Guidelines

        The DFSA reporting template follows closely the NSFR and LCR standards of the Basel Committee on Banking Supervision. The NSFR standard as published in its October 2014 document titled "Basel III: The Net Stable Funding Ratio" (referred to as "Basel III NSFR"). The LCR standard as published in January 2013 document entitled "Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools" (referred to below as "Basel III LCR").

        For this reason the NSFR schedule is to be completed in line with these mentioned standards. Where there is a requirement to deviate from these standards these are outlined in the guidance below.

        Instructional Guidelines

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

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

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

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

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

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

        Treatment of maturity

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

        Treatment of Derivatives payables and Derivatives receivables

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

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

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

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

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

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

        The carrying amount of the loan/facility should be reported in the columns commensurate to its remaining maturity (<6 months, between 6months and one year or over 1 year)
        4 Securities eligible as Level 1 HQLA in the LCR Report all securities that meet the definition of level 1 HQLA in PIB 9.2.6 in the in the relevant category based on the remaining encumbrance as in 2 above.

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

        The carrying amount of the security should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year or over 1 year).
        6 Securities eligible as Level 2B HQLA in the LCR Report all securities that meet the definition of level 2B HQLA in PIB 9.2.8 in the relevant Categories based on the remaining encumbrance under:
        1. Unencumbered or residual encumbrance less than 1 year, and 2. Encumbrance beyond one year.
        The carrying amount of the security should be reported in the columns commensurate to its remaining maturity (<6 months, between 6 months and one year or over 1 year)
        7 Deposits held at financial institutions for operational purposes Deposits held at financial institutions, including Banks subject to prudential supervision, for operational purposes, as defined in under PIB A9.2.15 and the LCR standard paragraphs 93 to 104 should reported in the below Categories based on the remaining encumbrance as in 6 above.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

      • 1.36 Form B240 — Funding Schedule

        Purpose

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

        Applicability

        This Form is applicable to Authorised Firm's in Prudential Categories 1, 2 and 5, including Authorised Firm's operating as a Branch in the DIFC.

        Content

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

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

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

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

        Structure of the form in EPRS

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

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

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

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

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

        Instructional Guidelines

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

      • 1.37 Form B250 — Funding Concentration

        Purpose

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

        Applicability

        This Form is applicable to Authorised Firm's in Prudential Categories 1, 2 and 5, including Authorised Firm's operating as a Branch in the DIFC.

        Content

        The Form captures details in the concentration levels by:

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

        Structure of the form in EPRS

        Form B250 is split into two different linked forms:

        •   B250 — Funding Concentration — Categories
        •   B250 — Funding Concentration — Currency

        Instructional Guidelines

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

        Form Instructional Guideline
        Funding Concentration — Categories
        •   The Firm is required to report separately on each row a Group of closely related counterparties (PIB A4.11.5) that provide funding to the Authorised Firm of an amount equal to or greater than 1% of the Authorised Firm's total assets.
        •   The Categories name entered is to match the name of their certificate of incorporation, trading license name or the passport copy for natural persons. If the exposure is to several closely related counterparties, then the name of the Categories highest up the organisational chart is to be used.
        •   Funding provided from the Categories is to be split horizontally across the different maturity buckets.
        Funding Concentration — Currency
        •   The Firm is required to report separately on each of the currency liabilities that is greater than 5% of the Authorised Firm's Total Assets.
        •   Funding by currency is to be split horizontally across the different maturity buckets.

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

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

        Applicability

        This Form is applicable to Authorised Firm's authorised under Prudential Categories 1 and 2.

        Content

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

        Form B260 (also known as Interest Rate Gap Report or Gap Analysis) distributes an Authorised Firm's assets, liabilities and off-balance sheet positions into time bands based on either the next repricing or maturity date (whichever first).

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

        Structure of the form in EPRS

        Form B260 is presented with four linked forms:

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

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

        Instructional Guidelines

        Item Instructional Guidelines
        Assets held in the Trading Book To reconcile with asset items reported under B010A_0100T — Financial Assets Held For Trading in Form B10A.
        Assets held in the Non-Trading Book Total of this category is to reconcile with the total of all asset items reported in Form B10A excluding "Financial Assets Held For Trading" and "Derivative Hedge Accounting".
        Asset Hedging Derivatives — Notional Amount Include the notional amount of the Derivatives hedging the assets against each time bucket. This amount will offset the assets subject to interest rate risk for that specific time bucket for the purposes of calculating the Assets/Liabilities Gap.
        Liabilities held in the Trading Book To reconcile with liability items in Form B10B reported under B010B_01050T — Financial Liabilities Held For Trading.
        Liabilities held in the Non-Trading Book Total of this category to reconcile with all liability items reported in Form B10C or Form B10E, as applicable, excluding "Financial Liabilities Held For Trading" and "Derivative Hedge Accounting"
        Liability Hedging Derivatives — Notional Amount Include the notional amount of the Derivatives hedging the liabilities against each time bucket. This amount will offset the liabilities subject to interest rate risk for that specific time bucket for the purposes of calculating the Assets/Liabilities Gap.
        Asset/Liabilities Gap This is automatically calculated by ERPS. Interest rate-sensitive liabilities held in the Non-Trading Book in each time band are subtracted from the corresponding interest rate-sensitive assets held in the Non-Trading Book to produce a repricing "gap" for that time band.
        Interest Rate Gap This is automatically calculated by EPRS. Off-Balance Sheet exposure in each time band is added to the Assets/Liabilities Gap of the same time band to produce an interest rate "gap" for that time band.
        Cumulative Gap This is automatically calculated by EPRS. The Cumulative Gap in each time band, the Interest Rate Gap of that time band is added to the Cumulative Gap of the previous time band. For the first time band "Up to 1 month" the Cumulative Gap is equal to the Interest Rate Gap of that time band.
        Earnings at Risk This is automatically calculated by EPRS. The Cumulative Gap in each time band is multiplied by an assumed change in interest rates of 200 basis points, i.e.2% parallel shift of the yield curve, to yield an approximation of the change in net interest income that would result from such an interest rate movement. An Authorised Firm should ensure compliance with PIB Rule 7.2.3, where applicable.
        1. The horizontal total of every line item is to reconcile with the respective figures reported on Forms B10A, B10B, B10C and B10D where applicable.
        2. Assets, liabilities and off-balance sheet positions are to be reported into time bands based on either the next repricing date or the residual term to maturity, whichever first.
        3. Some assets and liabilities might have uncertain repricing dates, either where there is no stated contractual maturity or where the behavioural maturity differs from the contractual maturity. These instruments might include current accounts, sight Deposits and non-maturity Deposits, as well as items whose actual residual term might varies from the contractual term, such as saving Deposits which can be withdrawn, often without penalty, or loans which allow prepayment or extension without any penalty fee, interest or other additional fees, etc. For these assets and liabilities, the recording in the time bands should correspond as closely to the actual behaviour as possible.
        4. An Authorised Firm might adopt a conservative approach when reporting assets and liabilities with uncertain repricing dates by recording all these positions in the first time band. Yet an Authorised Firm can make assumptions about the likely timing of payments and withdrawals on these positions and "spread" the balances across time bands accordingly. Such assumptions should depend on the judgment, historical experience and statistical data of each Authorised Firm.
        5. An Authorised Firm should carefully consider its assumptions. Such assumptions should be fully documented and frequently reviewed. Irrespective of the assumptions used, only 50% of wholesale core Deposits may be slotted in accordance to behavioural assumptions, with the average maturity not exceeding 4 years. Up to 80% of core retail Deposits may be slotted over an average maturity period not exceeding 5 years. A Firm may decide to not apply behavioural assumptions to its core Deposits and report them all in the up to 1 month time bucket.
        6. Core Deposits are non-maturity Deposits that are unlikely to be repriced even under significant changes in the interest rate environment (i.e. non-core Deposits are to all be reported in the up to 1 month time bucket.)
        7. Non-rate sensitive assets, liabilities or off-balance sheet positions (such as "Property, Plant, and Equipment", "Goodwill", etc.) are to be reported in the "Non Rate Sensitive" column.
        8. A negative, or liability-sensitive, gap occurs when liabilities exceed assets (including off-balance sheet positions) in a given time band. This means that an increase in market interest rates could cause a decline in net interest income. Conversely, a positive, or asset-sensitive, gap implies that an Authorised Firm's net interest income could decline as a result of a decrease in the level of interest rates.

      • 1.39 Form B270 — Currency Exposures

        Purpose

        Form B270 is intended to capture currency Exposures in the Trading Book and Non-Trading Book of an Authorised Firm.

        Applicability

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

        Content

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

        Structure of the form in EPRS

        Form B270 is presented on a single form. The form records the positions of the Authorised Firm in every currency.

        Instructional Guidelines

        Item Instructional Guidelines
        Individual Currency Positions Long and short positions in each currency are to be recorded here in accordance with PIB A5.4.3.

      • 1.40 Form B280A — Outward Remittances

        Purpose

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

        Applicability

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

        Content

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

        Structure of the form in EPRS

        Form B280A is a single form which seeks data on outward remittances made to the different countries/regions listed in the columns. The data are to be provided across different purposes for which the remittances are made.

        The Form has two sections — the first covers trade related remittances followed by non-trade related remittances.

        Instructional Guidelines

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

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

      • 1.41 Form B280B — Inward Remittances

        Purpose

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

        Applicability

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

        Content

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

        Structure of the form in EPRS

        B280B is a single form which seeks data on inward remittances received from the different countries/regions listed in the columns. The data are to be provided across different purposes for which the remittances are made.

        The Form has two sections — the first covers trade related remittances followed by non-trade related remittances.

        Instructional Guidelines

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

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

      • 1.42 Form B310 — Large Exposures

        Purpose

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

        Applicability

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

        Content

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

        •   20 largest Exposures;
        •   Details of the Exposure; and
        •   Credit Risk mitigation used against the Large Exposures

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

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

        Structure of the form in EPRS

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

        Part I — Capital Resources are calculated by EPRS based on the data in Form B120 — Capital Resources. The remaining values are to be entered manually.

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

        Instructional Guidelines

        Item Instructional Guidelines
        Part I — Capital Resources For Domestic Firms, capital resources are calculated automatically from B60 Capital Resources Calculation schedule.
        For Branches, the Firm is required to enter its Group's Capital Resources.
        Part I — Parental guarantees The sum of all parental guarantees as per PIB 4.15.18. This covers all parental guarantees taken including against Exposures not reported on this
        Form.
        This is not applicable to Branches.
        Part I — Sum of Connected Categories Exposures The sum of all Exposures to Connected Counterparties of the Authorised Firm. Connected Counterparties is defined in PIB A4.11.7. This is not applicable to Branches.
        Part I — Sum of all Large Exposures after applying exemptions and deductions The sum of all Large Exposures (including ones not reported on this Form) after applying exemptions and deductions. Exemptions and deductions similar to the columns used in the Credit Risk mitigation form.
        Part II — Overview Contains the details of the twenty largest Exposures. The details of this schedule are automatically populated from the other sheets. The Form automatically calculates the % of capital resources the Exposure is before and after applying any exemptions or deductions. The Large Exposure limits will be compared against this figure. Large Exposure limits are noted in PIB 4.15.5.
        Part II — Exposures
        1. The top twenty largest Exposures ranked on a gross basis (prior to applying deductions or mitigants) are to be reported on this schedule.
        2. Closely related or Connected Counterparties are to be Grouped together and recorded as one Categories.
        3. If the Categories is connected to the Authorised Firm, this column should be populated as 1, otherwise 0.
        4. The Categories name entered is to match the name of their certificate of incorporation, trading license name or the passport copy for natural persons. If the Exposure is to several closely related Counterparties, then the name of the Categories higher up the organisational chart is to be used.
        5. The sectors to be used should match one of the sector dimensions in the credit activity schedule (Form B130). In the event that the Exposure is to several closely related counterparties in different sectors, then the sector with the highest exposure is to be recorded.
        6. The Exposures are recorded against the respective asset class and whether the Exposure is a Direct or an Indirect Exposure.
        •   A Direct Exposure is an Exposure recorded on an immediate borrower basis (e.g. loan to a corporate for x amount, the x amount is to be recorded to the Categories under loans and receivables).
        •   An Indirect Exposure is an Exposure that arises to a guarantor or the issuer of collateral posted or any other Credit Risk mitigants (e.g. credit Derivatives) that is in line with PIB 4.15.12 (e.g. a Firm receives collateral and/or a guarantee covering a Direct Exposure, the collateral will be recorded as an Indirect Exposure to the issuer of the collateral, and the guarantee will be recorded as an Indirect Exposure towards the Guarantor).
        7. For Domestic entities, Parental Guarantees that are in line with PIB 4.15.18 that are applicable for exemption from the Large Exposure limits are not to be included within the Indirect Exposures to the parent. They are to be summed up and reported under Part 1- Capital Resources — Parental Guarantees.
        Part II — Credit Risk mitigation
        1. Credit Risk mitigants that are given recognition (PIB 4.15.12) are to be recorded here against the respective Exposures recorded in Part II — Exposures (i.e. The Credit Risk mitigants taken against Large Exposure 1 are to be recorded here to reduce the overall Exposure to Large Exposure 1).
        2. Parental Guarantees to reduce the Exposure are recorded in the first column.
        3. An Exposure that is qualified for Institutional Exemption (PIB 4.15.10), the exempted amount is to be recorded here. The rule states that the limit permissible is $100 million or 100% of Capital Resources; this is in effect granting an additional 75% to the 25% concentration limit for the latter case (e.g. A Firm with capital resources of $900 million can have a maximum permissible Exposure of $90 million with the use of this exemption. Only the portion above 25% of capital resources is to be recorded under the exemption. In this scenario only $67.5 million would be recorded under the Institutional Exemption column). In the event that the limit of $100million is less than 75% of capital resources, then only a maximum of $100 million may be recorded in this column.
        4. An Exposure that is qualified for Connected Categories Exemption (PIB A4.11.9) is to be recorded in the same manner noted above in relation to Institutional Exemptions. Only the portion that exceeds 25% of Capital Resources should be recorded (e.g. A Firm with $60million of Capital Resources has an Exposure of $25million, only the portion that exceeds 25% should is to be recorded in this exemption. In this scenario the Firm would record only $10 million under the Connected Categories Exemption column).

        Credit Risk mitigants (PIB 4.13) that qualify for substitution effects are to be recorded in the respective column. Financial collateral that is subject to the Financial Collateral Comprehensive Approach (FCCA) is to be recorded under the comprehensive approach column. Any amount recorded here will result in an Indirect Exposure to be recorded against the issuer of the collateral posted or against the guarantor of the Exposure.
        5. Provisions and deductions from capital resources that qualify to reduce the Exposure are to be recorded in the last column (PIB 4.15.12).

      • 1.43 Form B320 — Arrears and Provisions

        Purpose

        Form B320 is intended to capture details of Exposures in arrears, of which are non-performing and the amount of provisions taken against them by the Authorised Firm.

        Applicability

        This Form is applicable to Authorised Firm's licensed to carry out the financial service of Providing Credit and Dealing in Investments and Principal. Such Authorised Firm's are likely to be included in Prudential Categories 1, 2 and 5. This includes Authorised Firm's operating as a Branch in the DIFC.

        Content

        The Form is designed to capture the details of non-performing Exposures, arrears and provisioning.

        Structure of the form in EPRS

        Form B320 consists of five linked sub-forms dealing with:

        •   "Arrears and Non-Performing Exposures"
        •   "Movement in Provisions for Impairment"
        •   "Movement in Provisions for Expected Credit Losses"
        •   "Expected Credit Loss Transfers"
        •   "Asset Grading Classification"
        •   "Non-Performing Counterparties"

        Instructional Guidelines

        Sub-Form Instructional Guideline
        Arrears and Non-Performing Exposures
        •   This Form is applicable to all financial assets that are not held for trading or measured at FVTPL.
        •   The Form captures the Firm's Exposures in arrears, non-performing Exposures, impairment charges and provisions applied, broken down by geography.
        •   The Firm is to avoid "evergreening" in its report. PIB 4.5.7.
        •   The Firm must select all the related dimensions to the transaction (or similar transactions) to be able to populate this Form.
        •   Refer to the guidance in B340 — Credit activity for details on Categories Category.

        Exposures in Arrears

        •   Exposures in arrears includes any receivables due that have not been paid on the due date (e.g. Interest, principal and fee payments). These are to be reported in the respective 'Days past due' column (<30, 31–60,61–90..etc.)
        •   Overdrafts will be considered as being past due once the customer has breached an advised limit or been advised of a limit smaller than current outstanding.
        •   An exposure should be considered past due from the first day of missed payment, even when the amount of the exposure or the past-due amount, as applicable, is not considered material.
        •   If there are several obligations that are from the same obligor, the amount is to be reported under the time bracket that is longest due of that obligor. For retail Exposures, amounts are to be recognised separately at a facility level.
        •   Group of Closely Related Counterparties (PIB A4.11.5) are to be aggregated and considered as one Categories for the purpose of completing this Form.
        •   'Number of Non-Performing Counterparties': The total number of counterparties not performing on their obligations.
        •   'Number of Counterparties in Arrears': The total number of counterparties with past dues on any of their obligations.
        •   'Amount of Exposures in arrears': The total receivable amount from the counterparty across all on and off balance sheet items.
        •   This is limited to total receivables from facilities with a past due status. If the sum of all past due exposures is greater than 20% of on-balance sheet exposures to the obligor then all on and off balance sheet exposures are to be reported as past due. For retail exposures, past dues may be treated on a facility level basis.
        •   'Of which: Non-Performing': Of the amount recorded under 'Amount of Exposures in arrears', record the total amount receivable from counterparties that is not performing.
        •   'Provisions': the total amount of specific provisions taken against the Exposures in arrear and/or non-performing.
        •   'Collateral and financial guarantees received': Credit Risk mitigants that are given recognition in PIB 4.15.12, excluding specific provisions, are to be recorded and split by financial collaterals and financial guarantees. Credit Derivatives are to be recorded under the financial guarantees column.

        Non-Performing Exposures

        •   The amount reported under 'Amount of Non-Performing Exposures' is to equal the total amount receivable (and contingent) from the counterparty across all on and off balance sheet items.
        •   This is limited to exposures classified as non-performing. If the sum of all non-performing exposures exceeds 20% of on balance sheets exposures to that obligor, then all on and off-balance sheet exposures are to be classified a non-performing. For retail exposures non-performing exposures may be treated on a facility level basis and not subject to cross-default.
        •   Non-performing exposures are to be categorised against the respective time bracket (e.g. if the non-performing exposures are associated with exposures that are between 60-90 days past due then they are to be recorded in the respective category).
        •   The following Exposures are considered to be non-performing:
        •   The obligor is unlikely to pay its credit obligations to the banking Group in full, without relying on the bank's realisation of collateral or risk mitigants even when it is not past due or has been past due for less than 90 days;
        •   The obligor is past due more than 90 days on any, or sum of material credit obligations;
        •   Exposures that are 'impaired' according to the applicable accounting framework.
        •   Where there is evidence that full repayment based on the contractual terms, original or, when applicable, modified (e.g. repayment of principal and interest) is unlikely without the bank's realisation of collateral, whether or not the exposure is current and regardless of the number of days the exposure is past due.
        •   For non-retail Exposures:
        •   A material credit obligation is any amount past due greater than 1% of on-balance sheet exposures (excluding equity) to the obligor and at least greater than $600.
        •   For retail Exposures:
        •   Any amount past due will be considered a material credit obligation.
        •   Indicators of unlikely repayment may include, but not limited to, one of the following indicators:
        •   The Firm puts the credit obligation on non-accrued status
        •   The Firm makes a charge-off or account-specific provision resulting from a significant perceived decline in credit quality subsequent to the bank taking on the exposure
        •   The Firm sells other credit obligations from the same Categories at a material credit-related economic loss
        •   The Firm consents to a distressed restructuring of the credit obligation where this is likely to result in a diminished financial obligation caused by the material forgiveness, or postponement, of principal, interest or (where relevant) fees
        •   The Firm has filed for the obligor's bankruptcy or a similar order in respect of the obligor's credit obligation to the banking Group
        •   The obligor has sought or has been placed in bankruptcy or similar protection where this would avoid or delay repayment of the credit obligation to the banking Group.
        •   The likelihood of repayment could also be assessed through a comprehensive analysis of the financial situation of the Categories, using all inputs available, including but not limited to:
        •   patterns of payment behaviours in past circumstances;
        •   new facts that change the Categories's situation; and
        •   financial analysis.
        •   Collateralisation or received guarantees should have no direct influence on the categorisation of an exposure as non-performing. However, the bank may consider the collateral when assessing a borrower's economic incentive (both positive and negative) to repay under the unlikeliness to repay criteria. Any recourse by the bank shall not be considered in this judgment. The collateralisation or guarantee status does not influence the past-due status, including the counting of past-due days and the determination of the exposure as non-performing, once the materiality and overdue days threshold have been met. When the relevant criteria are met, an exposure should be categorised as nonperforming even if the collateral value exceeds the amount of the past-due exposure.
        •   If there are several obligations that are non-performing from the same obligor, the amount is to be reported under the time bracket with Exposures longest due of that obligor.

        Recategorisation of Non-Performing Exposures to Performing

        A non-performing exposure may by recategorised to performing if all the following criteria are met:

        •   The Categories does not have any exposure more than 90 days past due;
        •   Repayments have been made when due over a continuous repayment period of at least twelve months;
        •   The Categories's situation has improved so that the full repayment of the exposure is likely, according to the original or, when applicable, modified conditions; and
        •   The exposure is not "impaired" according to the applicable accounting framework.

        An exposure may not be reclassified to performing in the following situations:

        •   Partial write-off of an existing non-performing exposure, (i.e. when a bank writes off part of a non-performing exposure that it deems to be uncollectible);
        •   Repossession of collateral on a non-performing exposure, until the collateral is actually disposed of and the bank realises the proceeds (when the exposure is kept on balance sheet, it is deemed non-performing); or
        •   Extension or granting of forbearance measures to an exposure that is already identified as nonperforming subject to the relevant exit criteria for non-performing Exposures.
        Movement in provisions for impairment
        •   Provisions are to be split between Specific and General Provisions. Specific Provision column is intended for provisions taken against specific counterparties. General Provision column is intended for provisions that are taken on a collective assessment basis for loans that are Grouped together in homogenous pools sharing common credit characteristics and based on historical default experience.
        •   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 decrease of provisions due to funds recovered from an investment that had previously been provisioned.
        •   Other: Include and specify any other credit related adjustments to provisions occurring during the period.
        •   Closing Balance: This item is calculated by EPRS as the opening balance adjusted by the items in 'Charge from P&L", 'Write offs, 'Recoveries' and 'Other adjustments'.
        Movement in provisions for Expected Credit Losses
        •   This Form is applicable to financial assets that are not measured at fair value through profit or loss that are subject to impairment under IFRS 9 (e.g. Loan Commitments, Financial Guarantees, etc.)
        •   Provisions are to be recorded in accordance to the respective expected credit loss model stage (i.e. stage 1, 2 or 3).
        •   Provisions are to be recorded as to whether they were derived through a collective or individual assessment against an obligor.
        •   Provisions are to be recorded against the type of Categories (Non-Financial Corporation, Retail).
        •   For stage 2 categorised Exposures, the total non-performing amount is to be reported. Non-performing amount recognition follows the same methodology of the 'Details of Problem Assets' Form.
        •   'Opening Provision Balance': Report the provisions recorded at the close of the previous period (i.e. 0 if none).
        •   'Increases due to origination and acquisition': increases to provisions for expected credit losses attributed to the initial recognition of financial assets originated or acquired. This includes assets resulting from drawdown of off-balance sheet commitments given.
        •   'Decreases due to derecognition': decreases in provisions for expected losses attributed to reasons other than write-offs. This includes transfers to third parties, expiry of contractual rights due to full repayment, disposal of financial assets or transfers to another accounting portfolio. For off-balance sheet Exposures this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset.
        •   'Changes due to change in Credit Risk (net)': net amount changes in expected losses at the end of the reporting period due to an increase decrease in Credit Risk since initial recognition. The impact in the allowance due to the increase or decrease of the amount of financial assets as consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of Exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column 'Decreases due to derecognition'. All changes in expected credit losses related to revolving Exposures shall be reported in 'Changes due to change in Credit Risk (net)', except for those changes related to write-offs and updates in the institution's methodology for estimation of credit losses.
        •   'Changes due to update in the institution's methodology for estimation (net)': changes due to updates in the institution's methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column.
        •   'Changes due to modifications without derecognition (net)': Include modification that do not result in derecognition. For modifications that result in derecognition and recognition of a new asset then they are to be reported under 'Changes due to derecognition' for the changes due to the asset derecognised, and in 'Increases due to origination and acquisition' for the changes due to the newly recognised modified asset respectively.
        •   'Amounts written-off directly to the statement of profit or loss': Amounts of financial assets written-off during the reporting period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting period and not only those which are still subject to enforcement activity.
        •   'Decrease in allowance account due to write-offs': the decrease in the loss allowance reported due to the amounts written off where the debt instrument is partially or totally de-recognised because there is no reasonable expectation of recovery.
        •   'Other adjustments': Other adjustments not reported in the previous columns.
        •   'Closing provision': This is calculated by EPRS. A summation of the preceding columns.
        •   'Recoveries of previously written-off amounts recorded directly to the statement of profit or loss': Amount of financial assets recovered during the reporting period, that have been previously been written of directly to profit or loss during a previous reporting period.
        Expected Credit Loss Transfers
        •   A granular breakdown of the inward and outward transfers of provisions recorded on the 'Movement in Provisions for impairment (Expected Credit Losses)' Form.
        •   The transfer amounts are to reflect the movement between the different stages for the reporting period.
        Asset Grading Classification
        •   The Firm is required to classify and Categories their credit Exposures in accordance with the guidance in PIB 4.5.4.
        •   'Opening balance': The accounts categorised as per the close of the previous period.
        •   'Movements': Movements in the asset grading category for the reporting period.
        •   'Closing Balance': Closing balance per asset grading category for the reporting period.
        Non-performing Counterparties
        •   The Firm's largest 20 non-performing counterparties sorted by amount in descending order.
        •   'Date of Non-Performing Classification': The date the debtor was assigned a non-performing classification. Date is to be entered in the following format: "YYYYMMDD"
        •   'Categories Category': the category
        •   'Country'
        •   'Sector'
        •   'Amount': Total on and off balance sheet Exposures to the obligor.
        •   'Specific Provision': Specific provisions taken against the obligor.
        •   'Recovery Status': Summarised update of recovery status and expected loss. Include details of whether the Firm intends to hold or actively reduce the exposure and associated timelines.

      • 1.44 Form B330 — Forborne Exposures

        Purpose

        Form B330 is intended to capture the Firm's Exposures that are subject to forbearance.

        Applicability

        This Form is applicable to Authorised Firm's licensed to carry out the financial service of Providing Credit and Dealing in Investments and Principal. Such Authorised Firm's are likely to be included in Prudential Categories 1, 2 and 5. This includes Authorised Firm's operating as a Branch in the DIFC.

        Content

        The Form is intended to capture details related to transactions that counterparties have restructured due to their inability to satisfy the original contractual obligations. This captures all restructured transactions on a cumulative basis irrespective of when the initial exposure to the debtor has taken place.

        Structure of the form in EPRS

        Form B330 — Forborne Exposures is presented on a single form. The Form captures Exposures on a transactional basis by type of Categories.

        Instructional Guidelines

        Forbearance classification

        1. Forbearance occurs when a Categories is experiencing financial difficulty in meeting its financial commitments; and the Firm grants a concession that it would not otherwise consider, whether or not the concession is at the discretion of the Firm and/or the Categories. A concession is at the discretion of the Categories (debtor) when the initial contract allows the Categories (debtor) to change the terms of the contract in its own favour (embedded forbearance clauses) due to financial difficulty.
        2. Forbearance is identified at the individual exposure level to which concessions are granted due to financial difficulty of the Categories.
        3. The following list provides examples of possible indicators of financial difficulty, but is not intended to constitute an exhaustive enumeration of financial difficulty indicators with respect to forbearance. In particular, financial difficulty can be identified even in the absence of arrears on an exposure:
        a. A Categories is currently past due on any of its Exposures.
        b. A Categories is not currently past due, but it is probable that the Categories will be past due on any of its Exposures in the foreseeable future without the concession, for instance, when there has been a pattern of delinquency in payments on its material Exposures.
        c. A Categories's outstanding securities have been delisted, are in the process of being delisted, or are under threat of being delisted from an exchange due to noncompliance with the listing requirements or for financial reasons.
        d. On the basis of actual performance, estimates and projections that encompass the Categories's current capabilities, the bank forecasts that all the Categories' committed/available cash flows will be insufficient to service all of its loans or debt securities (both interest and principal) in accordance with the contractual terms of the existing agreement for the foreseeable future.
        e. A Categories's existing Exposures are categorised as Exposures that have already evidenced difficulty in the Categories's ability to repay in accordance with the supervisory categorisation scheme in force or the credit categorisation scheme within a bank's internal credit rating system.
        f. A Categories is in non-performing status or would be categorised as nonperforming without the concessions.
        g. The Categories cannot obtain funds from sources other than the existing Banks at an effective interest rate equal to the current market interest rate for similar loans or debt securities for a non-troubled Categories.
        4. Concessions are special contractual terms and conditions provided by a lender to a Categories facing financial difficulty so that the Categories can sufficiently service its debt. The main characteristic of these concessions is that a lender would not extend loans or grant commitments to the Categories, or purchase its debt securities, on such terms and conditions under normal market conditions.
        5. Concessions can be triggered by:
        a. changes in the conditions of the existing contract, giving considerably more favourable terms for the Categories;
        b. a supplementary agreement, or a new contract to refinance the current transaction; or
        c. the exercise of clauses embedded in the contract that enable the Categories to change the terms and conditions of its contract or to take on additional loans, debt securities or off-balance sheet items at its own discretion. These actions should only be treated as concessions if the bank assesses that the Categories is in financial difficulty.
        6. There are many types of concession granted by lenders, or exercised by counterparties in existing contracts, that could be considered as forbearance. Not all concessions lead to a reduction in the net present value of the loan, and therefore a concession does not necessarily lead to the recognition of a loss by the lender. There is no concession when the borrower is not in financial difficulty. When a borrower is assessed as experiencing financial difficulty, examples of potential concessions are:
        a. extending the loan term;
        b. rescheduling the dates of principal or interest payments;
        c. granting new or additional periods of non-payment (grace period);
        d. reducing the interest rate, resulting in an effective interest rate below the current interest rate that counterparties with similar risk characteristics could obtain from the same or other institutions in the market;
        e. capitalising arrears;
        f. forgiving, deferring or postponing principal, interest or relevant fees;
        g. changing an amortising loan to an interest payment only;
        h. releasing collateral or accepting lower levels of collateralisation;
        i. allowing the conversion of debt to equity of the Categories;
        j. deferring recovery/collection actions for extended periods of time; and
        k. easing of covenants
        7. Refinancing an existing exposure with a new contract due to the financial difficulty of a Categories could qualify as a concession, even if the terms of the new contract are no more favourable for the Categories than those of the existing transaction

        Criteria for exit from forborne exposure category

        8. A forborne exposure will be identified as such until it meets both of the following exit criteria:
        a. When all payments, as per the revised contractual terms, have been made in a timely manner over a continuous repayment period of not less than two years (probation period for reporting). The starting date of the probation period should be the scheduled start of payments under the revised terms, regardless of the performing or non-performing status of the exposure at the time that forbearance was granted; and
        b. The Categories has resolved its financial difficulty.

        Interaction of forbearance with non-performing Exposures

        9. Forbearance may be granted on performing or non-performing Exposures. When forbearance is applied to a non-performing exposure, the exposure should remain non-performing. When forbearance is applied to a performing exposure, the bank then needs to assess whether the exposure meets the non-performing criteria, even if the forbearance resulted in a new exposure. If the original exposure would have been categorised as non-performing at the time of granting forbearance, had the forbearance not been granted, the new exposure should be categorised as non-performing.
        10. Banks should pay particular attention to the appropriate categorisation of Exposures on which forbearance has been granted more than once. When a forborne exposure under the probation period is granted new forbearance, this should trigger a re-start of the probation period, and Banks should consider whether the exposure should be categorised as non-performing.
        11. The continuous repayment period for non-performing and the probation period for forbearance can run concurrently. All non-performing forborne Exposures should remain nonperforming until they meet the criteria for recategorisation from non-performing to performing, available in the guidance for Form B320- Arrears and Non-performing Exposures. Thereafter, the remaining probation period for forbearance exit in paragraph 8 shall apply and the exposure should be identified as a performing forborne exposure.
        Item Instructional Guideline
        Performing Exposures with forbearance measures
        •   The amounts classified under this category are performing forborne Exposures in accordance with 'Forbearance Classification' section above and do not meet the definition of 'Non-performing Exposures' defined in Form B320- Arrears and Non-performing Exposures. Restructured loans that do not meet the definition of forbearance are not included.
        Non-performing Exposures with forbearance measures
        •   Amounts classified under this category are non-performing forborne Exposures in accordance with 'Forbearance Classification' section above and meeting the definition of 'Non-performing Exposures' defined in Form B320- Arrears and Non-performing Exposures. Restructured loans that do not meet the definition of forbearance are not included.
        •   'Pre-forborne gross carrying amount': The gross carrying amount of the exposure prior to it being refinanced or contractually modified.
        •   'Instruments with modifications in their terms and conditions': The revised carrying amount of the exposure post it being contractually modified.
        •   'Refinancing': The revised carrying amount of the exposure post it being refinanced.
        •   'of which: Forbearance of Exposures non-performing prior to forbearance': The revised amount of forborne Exposures that were already classified as non-performing prior to being granted forbearance measures. As an example: ' an exposure becomes 90 DPD, it then automatically becomes classified as non-performing. The Firm then decides to grant forbearance measures to the exposure. Such Exposures would be classified under this header. Had the Firm introduced forbearance measures prior to the non-performing classification, these would not be included.
        Performing forborne
        •   Non-performing forborne exposure that have turned to performing in accordance to the guidance Form B320- Arrears and Non-performing Exposures.
        Exposures under probation
        •   'Original Gross carrying amount / nominal amount': The gross carrying amount of the exposure prior to it being refinanced or contractually modified.
        •   'Instruments with modifications in their terms and conditions': The revised carrying amount of the exposure post it being contractually modified.
        •   'Refinancing': The revised carrying amount of the exposure post it being refinanced.
        Accumulated impairment and provisions
        •   Specific accumulated provisions against forborne Exposures split between performing and non-performing.
        Collateral received and financial guarantees received
        •   Credit Risk mitigants that are given recognition in PIB 4.15.12, excluding specific provisions, are to be recorded and split by financial collaterals and financial guarantees.
        •   Credit Derivatives are to be recorded under the financial guarantees column.
        •   Amount to be recorded to only against Exposures that are non-performing with forbearance measures and performing Exposures under probation.

      • 1.45 Form B340 — Credit Activity

        Purpose

        Form B340 — This Form is designed to capture the details of the credit activity of Authorised Firm's carried out by way of business, on the dimensions of both outstanding loans and advances at the end of the reporting period and disbursements of loans and advances during the reporting period. The Form also captures Deposits and money market placements.

        Applicability

        This Form is applicable to Authorised Firm's licensed to carry out the financial service of Providing Credit. Such Authorised Firm's are likely to be included in Prudential Categories 1, 2 and 5. This includes Authorised Firm's operating as a Branch in the DIFC.

        Content

        The Form seeks to collect information on the Loans and Advances book of the Firm.

        Structure of the form in EPRS

        Form B340 is presented with two sections.

        The first section records the outstanding amount at the end of the reporting period and the disbursements provided during the period against four dimensions:

        •   1st Dimension: Cash balances and credit products (split between funded and unfunded).
        •   2nd Dimension: Category of the Categories;
        •   3rd Dimension: Sector of the Categories; and
        •   4th Dimension: Country of the Categories.

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

        Instructional Guideline

        1. The total amount recorded in each section of the Form is to equal the sum of B10A — Assets: Cash and Cash Balances at Banks (B010_0050T, Financial Assets at Amortised Cost (B010A_0250T) and B10D — OBS Exposures, Total Off-Balance Sheet Exposures, B010D_4000T.
        2. The exposure to be recorded is on a direct exposure basis and not on an ultimate risk basis (e.g. the Firm extends credit to a manufacturing corporate, this credit exposure is guaranteed by another financial institution. The Firm here would capture the details of the manufacturing corporate). For cases where funds are channelled through an entity to specifically fund another entity, the Firm must apply a see-through approach to the ultimate entity (e.g. a Firm channels funds through Corporate A for the specific allocation to Corporate Y, and the repayment of the loan is channelled through cash-flows generated by Corporate Y, the exposure is to be considered to Corporate Y).
        3. The Exposures recorded pertain to conventional and Islamic products.
        4. The Firm must select all the related dimensions to the transaction (or similar transactions) to be able to populate this Form (e.g. a Firm finances a project of a SME in the Manufacturing industry over a 4 year tenor). The Firm would have to input the data in the Funded Product section under Project Finance, and will then have to select the next three dimensions that match this situation. If there are similar facilities with the same characteristics then they are to be Grouped.
        5. Categories Category definitions:
        a. Central Governments and Central Banks: Central or federal governments, federal authorities and central Banks.
        b. Regional Governments and Local Authorities: State or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under "Government Related Entities"); social security funds; and international organisations, such as the International Monetary Fund and the Bank for International Settlements. This category includes Public Sector Entities.
        c. Government Related Entities: Corporations and quasi-corporations that are engaged in commercial activity and are owned by Central or Regional Governments.
        d. Banking Institutions: Banks and multilateral development Banks
        e. Other financial corporations: All financial corporations and quasi-corporations other than credit institutions such as investment Firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries and financial auxiliaries.
        f. Non-financial corporations: Corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services.
        g. Small and Medium Entities: Corporations with a turnover of less than USD 60 million.
        h. High Networth Individual: The Firm may use their internal classification.
        i. Retail: Individuals or Groups of individuals as consumers, and producers of goods and non-financial services exclusively for their own final consumption.
        6. Sector Definitions: The breakdown and definitions of sectors follows the International Standard Industrial Classification, Revision 4 (ISIC). Below is mapping table between the EPRS sector breakdown and the corresponding ISIC sector section. The Firm is required to refer to the ISIC publication for a detailed definition of the sector for the purposes of completing the return. The mapping table contains a summarised definition of the sectors for general context.

        EPRS Sector Definition Corresponding ISIC Rev.4 Section
        Agriculture, forestry and fishing The exploitation of vegetal and animal natural resources, comprising the activities of growing of crops, raising and breeding of animals, harvesting of timber and other plants, animals or animal products from a farm or their natural habitats. A — Agriculture, forestry and fishing
        Mining and quarrying The extraction of minerals occurring naturally as solids (coal and ores) and liquids. (Exclude petroleum and natural gas related activities) B — Mining and quarrying
        Petroleum and Natural Gas The production of crude petroleum, the mining and extraction of oil from oil shale and oil sands and the production of natural gas and hydro-carbon liquids. This also includes:
        1. Include the manufacture of refined petroleum products such as the production of fuel and oil-based lubricating oils and the blending of biofuels.
        2. Support activities for petroleum and natural gas extraction (e.g. exploration and drilling services in relation to petroleum and gas extraction)
        B — Mining and quarrying:
        1. Extraction of crude Petroleum and natural gas (06); and
        2. Support activities for petroleum and natural gas extraction
        Manufacturing The physical or chemical transformation of materials, substances, or components into new products. C — Manufacturing
        Professional and Administrative Services Specialized professional, scientific and technical activities. These activities require a high degree of training, and make specialized knowledge and skills available to users, and;

        Activities that support general business operations of which their primary purpose is not the transfer of specialized knowledge.
        M — Professional, scientific and technical activities
        N — Administrative and support service activities
        Information and Communication Production and distribution of information and cultural products, the provision of the means to transmit or distribute these products, as well as data or communications, information technology activities and the processing of data and other information service activities. J — Information and Communication
        Construction General construction and specialized construction activities for buildings and civil engineering works. F — Construction
        Real Estate Acting as lessors, agents and/or brokers in one or more of the following: selling or buying real estate, renting real estate, providing other real estate services such as appraising real estate or acting as real estate escrow agents. L — Real estate activities
        Wholesale and Retail Trade Wholesale and retail sale (i.e. sale without transformation) of any type of goods and the rendering of services incidental to the sale of these goods. G — Wholesale and retail trade
        Accommodation and food service activities The provision of short-stay accommodation for visitors and other travellers and the provision of complete meals and drinks fit for immediate consumption. I — Accommodation and food service activities
        Transportation and Storage Provision of passenger or freight transport and associated activities such as terminal and parking facilities, cargo handling, storage etc. H — Transport and Storage
        Financial and Insurance Services Financial service activities, including insurance, reinsurance and pension funding activities and activities to support financial services. K — Financial and Insurance Activities
        Utilities Providing electric power, natural gas, steam, hot water and the like through a permanent infrastructure (network) of lines, mains and pipe, and;
        Activities of water supply.
        D — Electricity, gas, steam and air conditioning supply
        E — Water supply
        Public Administration, Education and Health Services Activities of a governmental nature, normally carried out by the public administration, Education at any level or for any profession, and; The provision of health and social work activities. O — Public Administration and defence, compulsory social security
        P — Education
        Q — Human health services and social work activities
        Other Services Activities to meet varied cultural, entertainment and recreational interests of the general public, and;
        Residual category.
        R — Arts, entertainment and recreation
        S — Other Services
        T — Undifferentiated good and services
        U — Extraterritorial organisations and bodies
        7. If credit was provided to different sectors for the same Categories, the sector with the larger exposure is to be selected.
        8. The country of the Categories pertains to jurisdiction the borrower resides in.
        9. The maturity profile breakdown does not relate to the four dimensions mentioned above. This breakdown relates to the total credit activity recorded for funded credit activity in the first section.
        10. The total of the funded credit portion in the first section is to match the total of the second section.

      • 1.46 Form B350 — Trade Finance Activity

        Purpose

        Form B350 is intended to capture information regarding the trade finance activities of an Authorised Firm

        Applicability

        This Form is applicable to Authorised Firm's categorised under Prudential Categories 1, 2 and 5.

        Content

        The Form captures the volume of activity related to trade finance for the reporting period against three dimensions:

        •   Trade Finance Product;
        •   Sector of the Categories; and,
        •   Country of the Categories

        Structure of the form in EPRS

        Form B350 — Trade Finance Activity is presented on a single form and section.

        Instructional Guidelines

        1. The amounts recorded on this Form is applicable to all on and off balance sheet assets and services that are not necessarily represented on the balance sheet (e.g. Documentary Collection).
        2. The amounts to be reported only relate to the volume of activity during the course of the reporting period.
        3. The notional amount of the underlying trade is to be reported (e.g. if a bank is advising of a L/C issuance of $10mln, then this is to be reported).
        4. Depending on the Firm's side of the trade, the import/exporter being provided the service should be referenced for the purpose of populating the Country and Sector of the Categories (e.g. if a Firm conFirms an L/C, the Credit Risk exposure is to a bank, however the Firm entered into this transaction on behalf of an exporter, details of the exporter would have to be entered as opposed to the Categories bank).
        5. Refer to the guidance in B340 — Credit activity for details on sectoral definitions.
        Line Item Instructional Guideline
        Letter of Credit Issuance A financial instrument issued by a bank that guarantees payment to a named beneficiary upon presentation of certain complying documents specified in the credit terms.
        Letter of Credit ConFirming and Handling When the advising bank a conFirms a Letter of Credit to the beneficiary and provides a financial commitment to pay the beneficiary if the terms and conditions of the L/C have been adhered to.
        Standby Letters of Credit A guarantee of payment issued by a bank on behalf of a client that is used as "payment of last resort" should the client fail to fulfil a contractual commitment with a third party.
        Guarantees Bank guarantees assure a third party payment or performance of an obligation. The obligation can be either to pay an amount due or to perform on a contract. By granting the guarantee, the bank agrees to cover the obligation if the debtor fails to meet it.
        Import Financing Short term credit that optimizes working capital for the buyer for the purchase of goods or services (include the various forms of supply chain financing).
        Export Financing Short term credit that optimizes working capital for the seller for receivables relating to the sale of goods or services (e.g. factoring, forfaiting and other forms of invoice discounting).

        Trade receivables and debt sold for immediate cash with or without recourse to the seller in the event that the receivables are unpaid.
        Letter of Credit Advising The bank authenticates a letter of credit issued in favour of the beneficiary.
        Documentary Collections A trade transaction in which the exporter receives payment from the importer in exchange for the shipping documents, with the funds and documents channelled through the respective Banks.

      • 1.47 Form B360 — Islamic Product Activity

        Purpose

        Form B360 — Islamic Product Activity is intended to capture the details of the Islamic assets and liabilities of an Authorised Firm.

        Applicability

        This Form is applicable to Authorised Firm's licensed to carry out the financial service of Providing Credit and Dealing in Investments and Principal. Such Authorised Firm's are likely to be included in Prudential Categories 1, 2 and 5. This includes Authorised Firm's operating as a Branch in the DIFC.

        Content

        The Form is designed to capture information about the Islamic product assets and liabilities carried on an Authorised Firm's balance sheet. Specifically, the Form captures the detailed breakdown of balance sheet items across different Islamic products, the sector of the Categories and their geographical distribution.

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

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

        a. Authorised Firm's 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 or liabilities are through special-purpose vehicles or structured products, the nature and characteristics of the cash-flow streams should be considered while determining sector and geographical classification.

        Structure of the form in EPRS

        Form B360 is presented on a single form with four dimensions:

        •   Product;
        •   Categories Category;
        •   Country of the Categories; and,
        •   Sector of the Categories.

        The outstanding amount at the end of the reporting period is to be reported against the above dimensions, split between whether the asset/liabilities are classified as Held for Trading or not.

        Instructional Guidelines

        1. The total amount recorded on this Form is to be equal to the sum of the Islamic assets from the following line items of Form B10A — Assets:
        a. B010A_00540 — Deposits sub categorised as Islamic Contracts
        b. B010A_01050 — Financial Assets Held for Trading — Islamic Contracts
        c. B010A_01240 — Non-trading financial assets mandatorily at fair value through profit or loss — Islamic Contracts
        d. B010A_01540 — Financial Assets Designated at Fair Value through Profit or Loss — Islamic Contracts
        e. B010A_02040 — Financial Assets at Amortised Cost — Islamic Contracts,
        and the sum of the Islamic liabilities from the following line items from Form B10C/E — Liabilities:
        a. B010B_10540 — Financial Liabilities Held for Trading — Islamic Contracts
        b. B010B_11020 — Financial Liabilities designated at fair value through profit and loss — Islamic Contracts
        c. B010B_11520 — Financial Liabilities measured at amortised cost — Islamic Contracts
        d. B010C_12010/12020 — PSIAu only
        2. When selecting the geographical location, the Firm is to select the geographical location of the Categories. An exception to this is when the Firm remits the funds through an entity to purchase the asset it seeks. In this situation, the Firm's risk and reward is tied to the underlying asset and the exposure is to be treated as an exposure to the underlying and not the entity being channelled through (e.g. a Firm purchases Government Securities through a SPV, the risk and reward of the Government Security directly correlates to the Firm's equity movement, the Firm is to then treat this as an exposure to the Government Security). The same methodology is applicable when selecting the Sector and Type of Categories.
        3. Refer to the guidance in B340 — Credit activity for details on Categories Category and Sectoral definitions.

      • 1.48 Form B370 — Investment Activity

        Purpose

        Form B370 — Investment Activity is intended to capture the details of the investments 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 Authorised Firm's licensed to carry out the financial service of Providing Credit and Dealing in Investments and Principal. Such Authorised Firm's are likely to be included in Prudential Categories 1, 2 and 5. This includes Authorised Firm's operating as a Branch in the DIFC.

        Content

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

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

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

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

        Structure of the form in EPRS

        Form B370 is a single form with three dimensions:

        •   Product type;
        •   Country of the Categories; and
        •   Sector of the Categories.

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

        Instructional Guidelines

        1. The Form is divided into four financial product sections:
        a. Loans and Advances;
        b. Debt Securities;
        c. Equity; and,
        d. Derivatives.
        Each of the above products pertain to items classified under (where applicable):
        a. Financial Assets Held for Trading;
        b. Non-Trading Financial Assets Mandatorily at Fair Value Through Profit or Loss;
        c. Financial Assets Designated at Fair Value through Profit or Loss; and,
        d. Financial Assets at Fair Value through Other Comprehensive Income.
        2. A fifth section pertains to 'Other Assets'. This is subdivided into 'Real Estate & Other Property' and 'Investments in subsidiaries, joint ventures and associates'. The total amount reported is to match its respective from the balance sheet.
        3. The Firm must select all the related dimensions of the transaction (or similar transactions) to populate this Form (e.g. a Firm is long on an equity Derivative on an underlying in the Financial Service industry in the UAE). In this example, the Firm would have to input the data in the Derivative category under equity, and would then have to select the next two dimensions that match it (i.e. Country is UAE and Sector is Financial Services).
        4. For debt securities, equities and loans and advances, the exposure to be recorded is on a direct exposure basis and not on an ultimate risk basis (e.g. the Firm purchases a debt security of a corporate in the agriculture industry and is guaranteed by its parent company. The Firm here would capture the details of the corporate in the agriculture industry. For cases where funds are channelled through an entity to purchase a specific asset, the Firm must apply a see-through approach to the underlying asset (e.g. a Firm purchases government securities through a SPV, the risk and reward of the government security directly correlates to the Firm's equity movement, the Firm is to treat this as an exposure as to the government security).
        5. Refer to the guidance in B340 — Credit activity for details on Categories category and sectoral definitions.
        6. For debt securities and loans and advances and equity, the jurisdiction where the borrower resides is to be selected as the reference country. For Derivatives, the 'borrower' is in reference to the underlying asset. An exception is where the Derivative pertains to Commodities, Currencies or Interest Rates where they are to be recorded against 'Other' country. For real estate and investment property, the country selected is to reflect the physical location of the property.
        7. Derivatives are to be recorded on a carrying amount (fair value) basis. Derivative positions are split into positions with a positive replacement cost and positions with a negative replacement cost.
        8. Derivative positions and short positions with a negative replacement cost are to be reported under Financial Liabilities held for Trading section.
        9. For Derivative positions, the Firm is to look through to the underlying asset and record the replacement cost against the respective asset class (e.g. a Firm has sold a call on a mortgage backed security, the replacement cost is to be recorded against debt securities in the real estate sector and against the country where the majority of underlying assets are physically located).

      • 1.49 Form B380 — Investment Fair Value

        Purpose

        Form B380 — Financial Instruments at Fair Value is intended to capture details of the valuation of financial assets and liabilities measured at fair value.

        Applicability

        This Form is applicable to any Authorised Firm in Category 1, 2, 3A and 5. This includes Authorised Firm's operating as a Branch in the DIFC.

        Content

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

        Structure of the form in EPRS

        The Form carries over the accounting portfolios from Form B10A — Assets and B10B — Liabilities. The Firm is required to split the line items recorded across Level 1, Level 2 and Level 3 types of measurement. The Form records the Opening Balance, the movement during the period, and the closing balance.

        Instructional Guidelines

        Column Instructional Guideline
        Opening Balance — Fair Value Hierarchy The opening balance is to equal the respective asset and liability line items reported in B10A — Assets and B10B — Liabilities from the previous reporting period.
        The opening balance is to equal the closing balance recorded in the previous reporting period.
        Change in Fair Value for the Period The movement through P&L and Other Comprehensive Income for every line item is to be recorded here. Include as well any new items recognised.
        Closing Balance — in Fair Value Hierarchy This is the closing balance for the current reporting period.
        Each line item here is to equal the respective figure reported on Form
        B10A — Assets and Form B10B — Liabilities of the current reporting period.

      • 1.50 Form B410 — Advisory

        Purpose

        This Form is designed to capture data about Authorised Firm's that provide Advice on Financial Products and may conduct Arranging Deals in Investments for their advisory clients.

        Applicability

        This Form is applicable to Authorised Firm's, which have a licence to carry on the Financial Service of Advising on Financial Products and also conduct Arranging Deals in Investments for their advisory clients.

        This Form is not applicable for those Firms that only conduct Arranging Deals in Investments.

        Content

        This Form is intended to capture information about Authorised Firm's that provide Advice on Financial Products and also those Firms that Arrange Deals in Investments for their advisory clients. In order to avoid double counting, please exclude those clients that are DFSA Authorised Firm's and have sub contracted or delegated the advisory business to the Authorised Firm.

        The Form is divided between the monetary value of assets directly advised by the Authorised Firm in the DIFC and amount of assets sub-contracted or delegated to other offices / third parties for providing advice. The monetary value of assets sub-contracted or delegated to other offices / third parties for management is further distinguished between assets advised by parties in the DIFC or outside the DIFC.

        Structure of the form in EPRS

        This Form B410 is presented as a single form with two columns. The first column 'AUM ($ value)' captures the monetary value in relation to the amount of the assets under advisory. The second column 'Customer' captures the number of customers the associated AUM pertains to.

        Instructional Guidelines

        •   Giving advice refers to the provision of pure investment advisory services, which is defined in GEN Rule 2.11. For example, if an Authorised Firm advised a client on a particular Financial Product, then the value of that Financial Product will be entered in the Asset ($ Value) column.
        •   In order to avoid double counting, please do not include amounts where the Authorised Firm is advising a sub-contracted or delegated mandate to it received from another DFSA Authorised Firm. In such an instance, the DFSA Authorised Firm sub-contracting or delegating the advisory mandate should populate the data in its PRU return.
        Section Instructional Guideline
        Section 1  
        B410_7001T Total assets advised.
        •   The amount will represent the total monetary value of advisory business conducted by the Firm and will be a sum total of B410_70040 and B410_70050T. This field is automatically calculated by EPRS.
        B410_7003T Total assets for which advice is given in the DIFC.
        •   This field will be the total monetary value of assets advised by DIFC based entities (including sub-contracted or delegated advisory) and will be a sum total of B410_70040 and B410_70054. This is automatically calculated by EPRS.
        B410_70040 Amount of assets directly advised by your Firm in the DIFC.
        •   Populate the monetary value of assets which the Firm is itself advising in the DIFC. This field should exclude assets sub — contracted or delegated to other parties in the DIFC.
        B410_70050T Amount of assets sub contracted or delegated to other offices / third parties for providing advice.
        •   Assets which the Firm delegates to other Firms inside and/or outside the DIFC for advisory.
        •   This will be a sum total of B410_70054 and B410_70055 and will be automatically calculated by EPRS.
        B410_70054 Amount of assets sub contracted or delegated to other offices / third parties in the DIFC for providing advice.
        •   Populate the monetary value of assets, the Firm sub-contracts or delegates to other entities in DIFC for advisory.
        B410_70055 Amount of assets sub contracted or delegated to other offices / third parties outside the DIFC for providing advice.
        •   Populate the monetary value of assets, the Firm sub-contracts or delegates to other entities situated outside the DIFC for advisory.
        Section 2  
        B410_70063 Individuals including Personal Investment Vehicles
        •   Individual (this includes joint accounts) clients may have mandates directly under their own names or in the name of personal investment vehicles. In case a client has multiple mandates under an individual as well as personal investment vehicles, then for the purposes of this field they should be treated as separate clients.
        Section 3 Total assets advised — breakdown of Client classification
        •   Please populate a breakdown of the total monetary value of assets (B410_7001T) under advisory according to client classification under COB chapter 2.
        Section 4 Total assets advised breakdown by asset class
        •   A breakdown of total amount of assets under advisory (B410_7001T) by the type of underlying investment.
        Section 5  
        Total assets advised by the Firm — breakdown by customer residence
        •   In case of individual clients and personal investment vehicles, DFSA expects the Firm to report the place where the beneficial owner ordinarily resides.
        Section 6 Total assets advised — breakdown by destination of accounts booked
        •   Populate breakdown of booking centres where client assets are booked.

      • 1.51 Form B420 — Asset Management & Ancillary Asset Management Services

        Purpose

        This Form is split into two parts and designed to capture data about the Authorised Firm's licensed to provide discretionary asset management and / or ancillary asset management services.

        Part 1 (Asset Management) of this Form covers asset management services which includes those Authorised Firm's carrying on the Financial Services of Managing Assets, Managing a Collective Investment Fund and Authorised Firm's having a Client Asset endorsement.

        Part 2 (Ancillary Asset Management Services) of this Form covers ancillary asset management services which includes those Authorised Firm's carrying on the Financial Services of Providing and Arranging Custody, Providing Fund Administration and Acting as the Trustee of a Fund. Authorised Firm's need to complete only the sections of the Form that are applicable to them.

        Applicability

        Part 1 of this Form is applicable to Authorised Firm's, which Manage Assets (discretionary basis only) including those Authorised Firm's which are providing discretionary asset management in relation to the broader Financial Service of Managing a Collective Investment Fund. Please exclude data related to pure advisory business in this Form.

        Part 2 of this Form covers Authorised Firm's licensed to carry out the Financial Services of Providing Custody, Arranging Custody, Providing Fund Administration, Acting as the Trustee of a Fund and having a Client Asset endorsement.

        Content

        This B420 Form is intended to capture information about total assets under management by the Authorised Firm's, being assets contracted with clients for management. In order to avoid double counting, please exclude those clients that are DFSA Authorised Firm's which have sub contracted or delegated the asset management services to your Authorised Firm.

        The Form is divided between amount of assets directly managed by the Authorised Firm in the DIFC, and amount of assets sub-contracted or delegated to other offices / third parties for management. The amount of assets sub-contracted or delegated to other offices / third parties for management is further distinguished between assets managed by parties in the DIFC or outside the DIFC.

        Structure of the form in EPRS

        B420 — Comprises of two linked forms:

        •   Form 1 — Asset Management
        •   Form 2 — Ancillary Asset Management Services

        Instructional Guidelines

        Form 1 — Asset Management

        Section Instructional Guideline
        Section 1  
        B420_7001T Total Assets under Management
        •   This field will be the total monetary value of assets under management and will be a sum total of B420_70010 and B420_7002T. The field is automatically calculated by EPRS.
        B420_7003T
        Total assets managed in the DIFC
        •   This field will be the total monetary value of assets under management in the DIFC and will be a sum total of B420_70010 and B420_70021. This is automatically calculated by EPRS.
        B420_70010 — Amount of assets directly managed by your Firm in the DIFC
        •   Populate monetary value of assets which the Firm is itself managing in the DIFC. This field should exclude assets sub — contracted or delegated to other parties in the DIFC.
        B420_7002T — Amount of assets sub-contracted or delegated to other offices/third parties for management
        •   Monetary value of assets which the Firm sub — contracts or delegates to other Firms inside and / or outside the DIFC for management
        •   This will be a sum total of B420_70021 and B420_70022 and will be automatically calculated by EPRS.
        B420_70021 — Amount of assets sub — contracted or delegated to other offices / third parties in the DIFC for management
        •   Populate monetary value of assets, the Firm sub-contracts or delegates to other entities in the DIFC for management.
        B420_70022 — Amount of assets sub — contracted or delegated to other offices / third parties outside the DIFC for management
        •   Populate monetary value of assets, the Firm sub-contracts or delegates to other entities situated outside the DIFC for management.
        Section 2  
        B420_70063 Individuals including Personal Investment Vehicles
        •   Individual (this includes joint accounts) clients may have mandates directly under their own names or in the name of personal investment vehicles. In case a client has multiple mandates under individual as well as personal investment vehicles, then for the purposes of this field they should be treated as separate clients.
        Section 3
        Total assets under management — breakdown by Client type
        •   Provide a breakdown of the total monetary value of assets (B420_7001T) under management according to client classification under COB chapter 2.
        Section 4
        Total assets under management breakdown by asset class
        •   Provide a breakdown of total monetary value of assets under management (B420_7001T) by the type of underlying investment.
        Section 5  
        Total assets managed by the Firm — breakdown by customer residence
        •   In the case of individual clients and personal investment vehicles, DFSA expects the Firm to report the place where the beneficial owner ordinarily resides.
        Section 6
        Total assets advised — breakdown by destination of accounts booked
        •   Provide a breakdown of booking centres where the client assets are booked.
        Section 7  
        Total Assets Held or Controlled by the Firm B420_80011 — Holding Client Investment B420_80012 — Holding Client Money

        B420_80021 — Controlling Client Investment
        •   Firms having Client Asset endorsement should populate these figures.
        •   Fields B420_8001T and B420_8002T will be automatically calculated by EPRS.
        B420_80022 — Controlling Client Money
        •   For populating Controlling Client Asset data Firms should refer COB 6.11.3 and 6.11.4 for further understanding of the term controlling.

        Form 2 — Ancillary Asset Management Services

        Custody

        This is to be populated by the Authorised Firm's that are carrying out the Financial Services of Providing or Arranging Custody.

        Column Instructional Guideline
        Number of Customers
        •   The cumulative number of customers.
        Net Asset Movement
        •   The net monetary value movement (+ or -) of assets for the reporting period.
        Total Amount of Assets
        •   The cumulative monetary value of assets.

        Clients Assets Held with Custodians

        This is to be populated by the Authorised Firm's that conduct the Financial Services of Providing Custody and / or which hold a Client Asset endorsement.

        Column Instructional Guideline
        Custodian / Third Party Agent Name
        •   In case there are multiple custodians and sub -custodians, please provide the name of the first level custodian or sub custodian only.
        Number of Customers
        •   The cumulative number of customers
        Net Asset Movement
        •   The net monetary value movement (+ or -) of assets for the reporting period.
        Total Amount of Assets
        •   The cumulative monetary value of assets
        Whether Group entity value should be 1 = Yes or 0 = No
        •   Indicate whether the Custodian belongs to the same Group as the Authorised Firm.

        Providing Fund Administration

        Row Instructional Guideline
        Funds registered in the DIFC
        •   Funds domiciled in the DIFC
        Funds registered outside the DIFC
        •   Funds domiciled in any jurisdiction other than DIFC
        Individuals including Personal Investment Vehicles (excluding Funds)
        •   Individual clients (this includes joint accounts) may hold mandates directly under their own names or in the name of personal investment vehicles. In case a client has multiple mandates under an individual as well as personal investment vehicles, then for the purposes of this Form they should be treated as separate customers.

        Providing Fund Administration

        An Authorised Firm licensed to conduct the Financial Service of Providing Fund Administration may be providing services to investment vehicles that are not categorised as Funds. These investment vehicles, special purpose vehicles may be set up for individuals including personal investment vehicles, family offices, institutions or any other entities. In addition to providing information related to Funds, Authorised Firm's are required to provide data related to other investment vehicles.

        Acting as a Trustee of a Fund

        List all Trusts where the Authorised Firm acts as a Trustee of the Fund.

      • 1.52 Form B430 — Dealing Overview and personnel

        Purpose

        This Form is designed to capture certain transaction and personnel-related data of the DIFC operations of all DFSA Authorised Firm's. This Form is not designed to capture lending activities such as the purchase of commercial paper and certificates of deposit.

        Applicability

        This Form is applicable to the DIFC operations of all DFSA Authorised Firm's.

        Structure

        Form B430 is presented on a single form.

        Instructional Guidelines

        Figures are to be entered in actual and not thousands.

        Line Item Instructional Guideline
        Total Error Trades recorded Report the total number of all transactions resulting from erroneous order entry and/or a system malfunction. This includes transactions where the execution occurred outside DIFC but the cause of the error was attributed to the DIFC entity.
        Total Matched Principal Error Trades that resulted in a principal position Report the total number of all transactions where a Matched Principal buy (sell) fails to be immediately offset with a matched principal sell (buy); and a long (short) position is reflected in the Firm's principal book. This includes transactions that are executed and booked outside DIFC, but that originated from the DIFC entity.
        Total of agency Error Trades that resulted in a principal position Report the total number of all transactions resulting from erroneous order entry and/or a system malfunction, where the Authorised Firm effects the transaction on behalf of its client and the error results in the booking of a principal position. This includes transactions where the execution occurred outside DIFC but the cause of the error was attributed to the DIFC entity, and the position is identified as a DIFC position.
        Total limit breaches recorded Report the total number of all transactions affected by the DIFC entity where a transaction limit (e.g. contract size, quantity, notional) was breached. This total should not include instances where a limit extension was granted prior to the breach.
        Total limit extensions granted during the quarter Report the total number of all transactions affected by the DIFC entity for which a transaction limit (e.g. contract size, quantity, notional) extension was granted.
        Total principal settlement fails Report the total number of all transactions where the Authorised Firm failed to deliver securities or pay owed funds by the settlement date.
        Total Categories settlement fails Report the total number of all transactions where a Categories failed to deliver securities or pay owed funds by the settlement date.
        Total number of complaints lodged against the Firm Report the total number of complaints related to trading and brokerage lodged against the Firm. Include those complaints lodged by the clients of the DFSA entity even if the final party to the complaint was a non-DIFC entity (i.e. parent or sister company within the Group).
        Total number of products offered Report the total number of all financial products offered by the Authorised Firm. This includes all products offered in an arranging, executing, or introducing capacity. Products are to be differentiated on a granular level to the following equivalence (e.g. a Derivative structure that hedges a position using one leg is different than a Derivative structure that hedges a position using two legs).

      • 1.53 Form B440 — Dealing and Arranging

        Purpose

        This Form is designed to capture data on all Executing, Arranging, principal trading and credit lending activities arranged by the Authorised Firm, including Execution of client orders, Arranging the Execution of client orders with other market intermediaries, and Execution of orders for the Authorised Firm's own (principal) account. This includes inter-desk transactions. This does not include money market, certificates of deposit, other similar deposit products.

        Applicability

        This Form is applicable to the DIFC operations of all DFSA Authorised Firm's.

        Content

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

        Structure of the form in EPRS

        B440 — Dealing and Arranging comprises of 8 linked forms.

        Instructional Guidelines

        Form Instructional Guideline
        Executing Exchange Traded (client) Seeks data on client transactions Executed by the Authorised Firm on an Exchange.
        Executing OTC (client) Seeks data on client transactions Executed by the Authorised Firm in over-the-counter products.
        Arranging Exchange Traded (client) Seeks data on client transactions Arranged by the Authorised Firm on an Exchange.
        Arranging OTC (client) Seeks data on client transactions Arranged by the Authorised Firm in over-the-counter products
        Principal Transactions — Exchange traded (booked in the DIFC) Seeks data on transactions Executed on Exchange for an Authorised Firm's own (principal) account, where the transaction is booked to the DIFC entity's balance sheet..
        Principal Transactions — OTC (booked in the DIFC) Seeks data on transactions Executed over-the-counter for an Authorised Firm's own (principal) account, where the transaction is booked to the DIFC entity's balance sheet..
        Principal Transactions — Exchange traded (booked outside the DIFC) Seeks data on transactions Executed on Exchange for an Authorised Firm's own (principal) account, where the transaction is booked to the balance sheet of a related entity that resides outside the DIFC.
        Principal Transactions — OTC (booked outside the DIFC) Seeks data on transactions Executed over-the-counter for an Authorised Firm's own (principal) account, where the transaction is booked to the balance sheet of a related entity that resides outside the DIFC.
        Client Classification Seeks data on the distribution of the Authorised Firm's client base for dealing and arranging activities (excluding the activity of Arranging Deals in Credit), according to type and residence. This is only applicable to clients with activity during the reporting period.

        Categories category definitions can be found in B340 — Credit Activity schedule.
        Arranging Deals in Credit Value of credit deals arranged
        Seeks data on value of credit facilities arranged for the Authorised Firm's clients from other entities (including the Authorised Firm Group members) during the reporting period only (not cumulative). The Firm is required to report the notional amount of funded and unfunded credit facilities arranged by the type of client acquiring the facility and by the region the lender resides in (e.g. the Firm arranged for one of its clients, a corporate, a project finance facility from a credit institution in China for $10mln. The Firm would report the $10mln in the 'Others' row against the China column.) Amount is to be captured on a contractual basis and irrespective of utilisation.

        Number of credit deals arranged
        Following the value of the credit deals arranged reported above, provide the number of tickets these deals pertain to.

        Categories category definitions can be found in B340 — Credit Activity schedule.
        1. All reported figures must correspond to the current reporting period.
        2. All value calculations should be in 000's USD.
        3. The terms "Execute" and "Arrange" have the meanings provided in the GEN and Glossary Modules (GLO) of the DFSA Rulebook. Notwithstanding, "Executing Exchange Traded Products" and "Executing OTC Products" excludes transactions reported under "Principal Transactions — Exchange Traded" and "Principal Transactions — OTC".
        4. Value calculations:
        a. Shares/physical = no. of shares x trade price per share
        b. Bonds/sovereign bonds/debentures = monetary value (trade price + accrued interest) x no of bonds/sovereign bonds/debentures traded
        c. Sukuk = monetary value (trade price + accrued profit) x no of sukuk traded
        d. Futures/Forwards = multiplier x traded price x no. of futures/forwards traded
        e. Interest Rate and FX Futures/Forwards = notional amount x no. of futures/forwards traded
        f. Swaps = notional amount bought and sold
        g. Contracts for Difference = multiplier x traded price x no. of contracts for difference traded.
        h. Option values are not collected.
        5. Value calculations should not include the Executing/Arranging Firm's transaction commissions/fees.
        6. For Matched Principal activity, the buy is equal to one transaction and the sell is equal to one transaction. Therefore, each Matched Principal deal is equal to two transactions. Where the principal side of each transaction is booked outside DIFC, two Matched Principal transactions will be reported as "Executing Exchange Traded Products (client)" or "Executing OTC Products (client)." Where the principal leg of each transaction is booked within the DIFC, two Matched Principal transactions will be reported as noted and two principal trades will be reported as "Principal Transactions — Exchange Traded" or "Principal Transactions — OTC"
        7. For Arranging activity, the buy and sell together are equal to one transaction. Therefore, each arranged deal is equal to one transaction. The "No. of clients" for each deal is the sum of the clients on the buy side and the clients on the sell side.
        8. "Principal Transactions — Exchange Traded" and "Principal Transactions — OTC" includes:
        a. Transactions where a person residing within the DIFC entity made the decision to commit to the transaction, whereby the resulting position is booked in the DIFC or outside the DIFC;
        b. Transactions that are client facing and transactions that are not client facing;
        c. Error Trades, attributable to the DIFC entity activities, that result in a principal position booked within the DIFC or outside the DIFC.
        9. Client Classification section:
        a. HNWIs: include all high net worth individuals and any of the personal investment vehicles, like trusts, investment companies, etc. used by such clients to manage their wealth.
        b. Institutional clients: include all wholesale investors who are not identified as a separate category in this section of the Form. This would include, but is not limited to, pension funds, private investment/holding companies, corporate entities, insurers and their insurance funds/cells.
        c. CIFs: include CIFs of all types, irrespective of whether they are recognised by the CI Law or Rules of the DFSA.
        d. Classification by Client Residence: the classification in this section is intended to be mutually exclusive. For example, information on accounts of clients residing in the GCC & MENA should not include the accounts of clients residing in the UAE or in the DIFC.

      • 1.54 Form B450 — Staffing and Conduct

        Purpose

        Form B450 is designed to capture high level statistics in relation to the Firm's staff, its clients, as well as the Firm's complaints, regulatory breach and suspicious transaction experience.

        Applicability

        The Form applies to all Authorised Firm's in the DIFC.

        Content

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

        Structure of the Form in EPRS

        The Form is split into 6 sections:

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

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

        Instructional Guidelines

        •   Figures are to be entered in actuals and not in thousands
        •   The Form requests the total of "All Relevant Staff" and the total "DIFC Located Staff."
        •   "All Relevant Staff" — This includes all staff who physically reside within the DIFC entity in addition to staff who reside elsewhere within the Group but who provide services to the DIFC entity. Where an individual in another part of the Group provides ad hoc support to the DIFC entity, the DIFC entity must determine the materiality and regularity of the service when determining whether it is necessary to count the individual in the DIFC entity's "All Relevant Staffing" total.
        •   "DIFC Located Staff" — This includes only the number of staff physically present in the DIFC. Where a staff person divides his or her physical presence between the DIFC entity and another Group entity, the person should be counted one time and included in the "DIFC Located Staff" total.

        For example:

        The DIFC entity employs an SEO, CO/MLRO, FO, 1 front office manager, 3 advisory staff, and utilizes the back office services of another Group entity. The other Group entity employs 30 staff in its back office. The DIFC entity determines that the equivalent of 2 of the 30 staff are dedicated to performing services to the DIFC entity. The DIFC entity will report as follows:
        "All Relevant Staff" — 9 total staff
        "DIFC Located Staff" — 7 total staff
        •   Staff shared between different businesses lines are to be recorded in the "Other" column.
        •   Do not count any single individual more than one time.

      • 1.55 Form B510 — Insurance Intermediation or Management

        Purpose

        The purpose of Form B510 is to collect data about insurance intermediation and management activities of Authorised Firm's.

        Applicability

        This Form is applicable to all Authorised Firm's licensed to perform the activities of insurance intermediation or insurance management, including Authorised Firm's operating as a Branch in the DIFC.

        Content

        The Form is intended to capture information about Gross Written Premiums (GWP) of Non-life and Life insurance policies which are intermediated or underwritten by Authorised Firm's. The information sought on intermediated or underwritten GWP is broken down by Classes of insurance business as defined in the GEN Rules. Some of these Classes of insurance business are further broken down by subclasses of insurance commonly used in the industry.

        Structure of the form in EPRS

        B510 has two linked forms. The first Form seeks data on GWP amounts in US Dollars for Non-Life and Life Insurance policies intermediated or underwritten by the reporting Authorised Firm. GWP is broken down by:

        1. Class of insurance business
        2. Jurisdiction of risk or cedant

        The second linked Form seeks data on the Banks that are used to hold insurance monies.

        Instructional Guidelines

        Form Instructional Guideline
        B510 — Overview
        •   The Firm must select the related dimensions to the transaction (or similar transactions) to be able to populate this Form. E.g. a Firm has intermediated risk coverage for Aviation in KSA, the Firm would have to input the data in the Amount column against Aviation and KSA. If there are similar transactions with the same characteristics then they are to be Grouped.
        •   GWP's are to be broken down by the following mutually exclusive jurisdictions: UAE, KSA, Bahrain, Kuwait, Oman, Qatar, Levant, North Africa, Rest of Africa, CIS, Rest of Asia, Rest of World.

        Insurance Monies

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

        Balance at the beginning of the period: The amount held at the start of the reporting period.

        Total inflow: All inflows during the reporting period.

        Total outflow: All outflows during the reporting period.

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

        Balances held in account for period of greater than 30 days: Amounts held for a period of greater than 30 days.

        B510 — Insurance Monies This is to be reported on an Annual Basis only.

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

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

        Country: The country the bank is registered in.

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

        Gross Inflow: The gross amount of insurance monies (include premiums and claim monies) that has entered the bank account throughout the annual reporting period.

      • 1.56 Internal Risk Assessment Process (IRAP) & 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 in PIB Category 1, 2, 3A, 3B, 3C or 5 is required to provide an up-to-date IRAP and, if applicable, an ICAAP, to the DFSA annually (within four months of the Firm's 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 three steps as set out in PIB Chapter 10. Not all of the steps are applicable to all Firms. The application of the sections is set out in PIB 10.1 and is summarised below:
        a. IRAP must be completed by a Firm in PIB Category 1, 2, 3A, 3B, 3C and 5;
        b. ICAAP must be completed by a Firm in PIB Category 1, 2, 3A and 5; and
        c. SREP will apply to both a Firm completing an IRAP and ICAAP.
        4. Following submission of the IRAP and ICAAP, the 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.
        Suggested Format for IRAP and ICAAP assessments Applicable for IRAP Applicable for ICAAP
        1 Executive Summary
        2 Background
        3 Structure and Governance
        4 Statement of Risk Appetite
        5 Internal Risk Assessment Process
        6 Capital planning  
        7 Liquidity Planning  
        8 Stress testing and scenario analysis
        9 Integration, review and Approval
        5. Fundamentally, the SREP process aims to develop a meaningful and detailed assessment by a Firm of its own risks, and foster a meaningful interaction and dialogue between the 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.

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

        It should include details of the Firm's risk management framework together with the business planning and capital management process utilised in the assessment. It should also provide details covering relevant policies and systems used by the Firm to identify, manage, and monitor its risks according to its risk appetite.
        3. Structure and Governance
        This section should include information regarding the following:
        a. updated Group structure (legal and operational);
        b. internal organisation including staffing, reporting lines, Governing 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 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:

        1. contagion, Categories Risk, reputational risk and risks related to operational dependencies such as shared functions and systems; and
        2. an assessment of the level of Group resources to consider transferability of capital interGroup and stress testing availability of such capital under a range of market conditions.
        7. Liquidity Planning
        This section should summarise how Liquidity 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).

    • PRU 3 PRU 3 Instructional Guidelines for PIN Forms

      • 3.1. Form IN10 — Statement of Financial Position

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

        App10

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

        App11

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

        App12

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

        App13

        5. Insurers are required to disclose the amount included in certain totals with respect to parties Related to the Insurer. These disclosures exclude amounts due to or from the Insurer under Contracts of Insurance.

        App14

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

        Structure of the form in the EPRS

        8. IN10 is a single form which has three sections. The first section seeks information on assets of an Insurer with further classification into current and non-current assets. In a similar vein, the second section seeks information on liabilities of an Insurer with further classification into current and non-current liabilities. The third section covers the equity of an Insurer.
        Section Instructional Guidelines
        Cash and Liquid Assets This section includes only cash and liquid assets. Insurers must have regard to the following principles:
        a. Item N100_1120 includes only Deposits available within 24 hours that are used by the Insurer for daily purposes of liquidity and operations. Deposits that form part of the Insurer's investments are reported under section Investments (Current) or section Receivables; and
        b. Bank overdrafts must be reported at item N100_3630, not netted against any of the items under this section unless there is a legal right of offset.
        Receivables This section includes only receivables. In completing this item, Insurers must have regard to the following principles:
        a. Receivables must be stated net of any provision for doubtful debt or impairment of asset;
        b. Recoveries other than reinsurance includes items such as subrogation or salvage recoveries in respect of claims that have been paid;
        c. Premiums Receivable includes instalment premiums on General Insurance contracts that are not yet due for payment. It also includes premiums on General Insurance contracts that have been entered into but not yet recorded. It does not include premiums on Long-Term Insurance contracts that are not yet due for payment;
        d. Amounts due under reinsurance contracts includes amounts due and receivable under reinsurance contracts, including premiums due from cedants and Deposits retained by cedants, as well as amounts due from reinsurers in respect of recoveries against claims that have been paid. Where there is a legal right of set-off, an Insurer may report the working balance on an account with a cedant or reinsurer as a net receivable or payable amount. However, if there is no legal right of set-off, amounts must be recorded gross as receivables and payables;
        e. Expected reinsurance and other recoveries on outstanding claims includes amounts in respect of reinsurance and other recoveries in respect of claims that have been incurred but not paid, up to the date to which the return is drawn up. This includes reinsurance and other recoveries in respect of IBNR. Because of the uncertainty of the outcome of outstanding claims and IBNR, it is necessary to estimate at least a part of this balance. The basis on which the estimate is made must be consistent with the basis of estimation of the related liability, reported at item N100_3300;
        f. Reinsurance and other recoveries in respect of claims that have not yet been incurred are reported at item N100_1260. It is necessary to estimate this balance. The basis on which the estimate is made must be consistent with the basis of estimation of the related liability, reported at item N100_3400; and
        g. Where, in determining the amounts to be reported at item N100_1240 or N100_1250, an Insurer has made or considered making a provision for doubtful debt in respect of recoveries due or potentially due from a reinsurer, the Insurer must take into account the potential need to make a provision when determining any estimate to be included at item N100_1250 or N100_1260.

        It is common practice for Insurers to account for their Exposures on General Insurance contracts in force by means of an unearned premium provision, an asset representing deferred reinsurance expense and (where necessary) a premium deficiency reserve. Insurers are referred to the instructional guidelines to item Premium liabilities under general insurance contracts (N100_3400). An insurer that uses an unearned premium provision and premium deficiency reserve as a proxy for Premium Liabilities may record its deferred reinsurance expense at item N100_1260 (for the current portion) and item N100_2160 (for the non-current portion).

        Investments An Insurer's current investments are reported in this section. This section does not include Derivatives used to hedge investments reported here. Hedging Derivatives are included under "Other Current Assets". Insurers must have regard to the following principles when completing this section:
        a. Investments that are strategic in nature must be assumed to be non-current, and must be reported under sections — Investments (other than Related entities ) or under section Investments in Related entities; and
        b. Deposits that are of the nature of security Deposits, or retentions under contracts, are not reported as PSIAs at item N100_1310, but are reported as receivables.

        Investments that take the form of mudaraba or musharaka contracts must be reported in accordance with their nature. A contract that takes the form of a collective investment, where the Insurer is one of several investors providing capital to a mudarib who then provides the capital to the entrepreneur, should be reported as a collective investment (where it does not fall to be reported as a PSIA). Where however, a contract of mudaraba or musharaka is entered into by an Insurer as an investment directly with an entrepreneur, or through a mudarib with the Insurer as sole rab ul mal, the investment should be reported as a contract of mudaraba or musharaka as appropriate.

        Deferred Tax Assets Deferred tax assets that are current assets are reported under this section. Insurers must have regard to the following principles when completing this section:
        a. Netting off of deferred tax assets and liabilities is permitted only where both the asset and the liability relate to the same tax to which the Insurer is subject, and are expected to crystallise in the same taxation period; and
        b. Amounts that represent refunds due from taxation authorities, that are not contingent on earning future taxable income, are not deferred tax assets but are receivables.
        Other Current Assets This section includes current assets that do not fall to be reported under other items. In completing this item, Insurers must have regard to the following principles:
        a. Acquisition costs in respect of General Insurance business must not be deferred, as the basis on which the Premium Liability is determined requires immediate expensing of acquisition costs; and
        b. Item N100_1520 does not include deferred reinsurance expense, as item N100_1260 stands in place of this asset.
        Total Current Assets This item is calculated by EPRS as the sum of the total for all 5 preceding sections—cash & liquid assets, receivables, current investments, deferred tax assets and other current assets classified as current assets. The total of amounts due from, balances with or investments in Related parties that form a part of the total of current assets, excluding the amounts due under insurance contracts is reported against the memo item—Current assets representing amounts due from, balances with or investments in related parties, excluding amounts due under insurance contracts reports.
        Receivables (non-current) In completing this section, Insurers should have regard to the principles set out in this section for the equivalent Categories of current assets.
        Investments (other than related entities) In completing this section, Insurers should have regard to the principles set out in this section for the equivalent Categories of current assets.
        Investments in Related Entities In this section, investments in Related parties must be recognised and measured in accordance with the principles of PIN chapter 5. PIN Rule 5.7 requires an Insurer to make allowance for any minimum capital requirement or equivalent to which a Subsidiary or Associate is subject in the jurisdiction in which it is incorporated.
        Plant and Equipment In this section, an Insurer must exclude any properties of the Insurer, whether or not occupied. Properties must be reported at item N100_1360 or N100_2260 as appropriate.
        Intangible Assets In this section, an Insurer must report intangible assets after deducting any amortisation or impairment charge in respect of those assets.
        Deferred Tax Assets In completing this section (non-current deferred tax assets) Insurers should have regard to the principles set out in this section for the equivalent Categories of current assets.
        Other Assets In completing this section (other non-current assets) Insurers should have regard to the principles set out in this section for the equivalent Categories of current assets.
        Total Non-Current Assets This item is calculated by EPRS as the sum of the total for all 7 preceding sections—receivables, investments, investments in related entities, plant & equipment, intangible assets, deferred tax assets and other assets classified as Non-Current Assets.
        The total of amounts due from, balances with or investments in Related parties that form a part of the total of non-current assets, excluding the amounts due under insurance contracts is reported against the memo item -current assets representing amounts due from, balances with or investments in related parties, excluding amounts due under insurance contracts reports.
        Total Assets This item is calculated by EPRS and must equal the total of current assets and non-current assets.
        Amounts due on reinsurance contracts N100_3200 must include premiums payable but not yet due for payment under the terms of reinsurance contracts, and Deposits withheld from reinsurers. Other items attributable to reinsurance contracts such as the reinsurer's portion of recoveries and salvage and commissions due to reinsurers must also be included under this item.
        Outstanding Claims Provision (including IBNR) Item N100_3300 reports the current portion of the Insurer's provision for outstanding claims. This item must be completed having regard to the following principles:
        a. The liability must represent the estimated cost to the Insurer of settling claims which it has incurred at the reporting date but which have not been finalised. The liability is in respect of both direct business and inward reinsurance business and must take into account unpaid claims, unreported claims, adjustments for claims development and the direct and indirect claims settlement costs that the Insurer expects to incur in settling its outstanding claims;
        b. In the case of Long-Term Insurance Business, this item must include all claims liabilities in respect of Contracts of Insurance that are no longer included in the calculation of the net policy benefits at item N100_3500;
        c. The liability must be stated without deducting reinsurance and other recoveries (these are disclosed as an asset as reinsurance receivables);
        d. The requirements for recognition and measurement of this liability are set out in PIN Rules 5.4 and 5.6; and
        e. The liability does not include any amounts for catastrophe reserve, equalisation reserve or similar provisions that an Insurer may be required to maintain to satisfy regulatory requirements in a jurisdiction other than the DIFC.
        Premium liabilities under General Insurance contracts This item represents the current portion of the cost of providing insurance service over the unexpired period of General Insurance contracts in force at the balance date. This item must be completed having regard to the following principles:
        a. The Premium Liability reported is required to cover the value of future claims payments and associated direct and indirect settlement costs arising during the unexpired portion of the contracts in question;
        b. This item must be recorded without deducting reinsurance and other recoveries (these are disclosed as an asset as reinsurance receivables); and
        c. The requirements for recognition and measurement of this liability are set out in PIN Rule 5.4.

        As stated in the Guidance to PIN Rule 5.4.7, it is common practice for Insurers to account for their Exposures on General Insurance contracts in force by means of an unearned premium provision and (where necessary) a premium deficiency reserve. Where the aggregate of the unearned premium provision and the premium deficiency reserve (both gross of reinsurance) can be shown to be not less than the amount of Premium Liability determined in accordance with PIN Rule 5.4, an Insurer may use that aggregate as a proxy for Premium Liability for the purposes of recording items N100_3400 and N100_4250 on this form.

        Net policy benefits under Long-Term insurance contracts in force This item represents the net value of future Policy Benefits under Long-Term Insurance contracts that are in force as at the date to which the return is made up. The amount reported here must be determined in accordance with PIN Rule 5.6.
        Provisions This section, must be completed having regard to the following principles:
        a. A provision must be made at item N100_3810 in respect of dividends payable out of past and current year profit, to the extent that profit has been recognised;
        b. Employee entitlements at item N100_3820 include annual leave, gratuity, accrued allowances, staff housing and loan benefits, healthcare, pension and other employee entitlements; and
        c. A provision must be made at item N100_3830 in respect of any costs that the Insurer expects to incur as a result of restructuring, including severance, termination and redundancy payments, and integration costs.
        Total Current Liabilities This item is calculated by EPRS as the sum of the total for all 9 preceding sections — N100_3100, N100_3200, N100_3300, N100_3400, N100_3500, total borrowings, total tax liability, total provisions and total other liabilities classified as current liabilities.
        The total of amounts due to Related parties, other than amounts due under insurance contracts is reported against the memo item under this section.
        Amounts due on reinsurance contracts In completing this item, Insurers should have regard to the principles set out in these instructional guidelines for the equivalent Categories of current liabilities.
        Outstanding Claims Provision (including IBNR) In completing this item, Insurers should have regard to the principles set out in these instructional guidelines for the equivalent Categories of current liabilities.
        Premium liabilities under General Insurance contracts In completing this item, Insurers should have regard to the principles set out in these instructional guidelines for the equivalent Categories of current liabilities.
        Net policy benefits under Long-Term Insurance contracts in force In completing this item, Insurers should have regard to the principles set out in these instructional guidelines for the equivalent Categories of current liabilities.
        Provisions In completing this item, Insurers should have regard to the principles set out in these instructional guidelines for the equivalent Categories of current liabilities.
        Loan Capital and Hybrid Securities This section includes all loan capital and hybrid securities that have been issued by the Insurer and have a residual term to maturity of more than one year. Any loan capital or hybrid securities that have a residual term to maturity of less than one year should be reported as Borrowings, under Current Liabilities.
        Total Non-Current Liabilities This item is calculated by EPRS as the sum of the total for all 10 preceding sections — N100_4100, N100_4150, N100_4200, N100_4250, N100_4300, total borrowings, total tax liability, total provisions, total other liabilities and total loan capital & hybrid securities classified as non-current liabilities. The amount of non-current liabilities representing amounts due to Related parties, other than amounts due under insurance contracts and included under Non-current liabilities is reported against the memo item — N100_410M.
        The interest of Related parties in loan capital or hybrid securities issued by the Insurer is reported against the memo item — N100_420M.
        Total Liabilities This item is calculated by EPRS and must equal the sum of total current liabilities assets and total non-current liabilities.
        Net Assets This item is calculated by EPRS and must equal total assets less total liabilities.
        Equity In completing this section, Insurers must have regard to the following principles:
        a. Total Equity must be equal to Net Assets;
        b. Hybrid securities and loan capital are reported under loan capital and hybrid securities and, not under this section;
        c. Item N100_7100 is not used in a Fund Return;
        d. Item N100_7300 is used only in a Fund Return, to record amounts of capital transferred into the Long-Term Insurance Fund; and
        e. Where an Insurer makes use of item N100_7600, the Insurer must state in a Supplementary Note the nature of the amount recorded at this item.

        Insurers must record at item N100_700M the amount included at item N100_7100 meeting the following descriptions:

        a. in the case of a Global Return of an Insurer that is not a Protected Cell Company, the amount of ordinary share capital meeting the description at PIN Rule A3.5.1(d);
        b. in the case of a Global Return of an Insurer that is a Protected Cell Company, the amount of ordinary share capital meeting the description at PIN Rule A5.5.1(e); and
        c. in the case of a Cell Return, the amount of ordinary share capital meeting the description at PIN Rule A5.10.1(d).

        No amount must be recorded at item N100_700M in the case of a Fund Return.

        An Insurer must provide the following information in a Supplementary Note to this form:

        a. any amount included in Total Equity that is not available to meet the Insurance Liabilities of the Insurer;
        b. the amount and details of any guarantees (apart from guarantees arising under Contracts of Insurance) given by the Insurer;
        c. the amount and details of any contingent liabilities existing as at the date to which the return is made up; and
        d. where the amount of item N100_7400 is not equal to the sum of items N100_7400 and N100_7500 for the comparative reporting period, a reconciliation of the differences. This applies only when the form forms a part of the Annual Regulatory Return.

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

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

        App15

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

        App16

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

        App17

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

        App18

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

        Structure of the form in the EPRS

        9. IN20 is a simple form which covers all the items in a single section.
        Section Instructional Guidelines
        Base Capital Base Capital, represents the starting-point for the calculation of the capital resources of the Insurer to be compared to the minimum capital requirement applicable to the Insurer. This section must be completed having regard to the following principles:
        a. Item N200_1110, Equity, must be equal to Total Equity reported on form IN10, less debt-financed equity reported at item N100_700M on form IN10;
        b. Item N200_1120, must be equal to the amount of Owners' Equity in a Takaful Insurer that is available for loan to the Insurance Fund. It does not include any amount of loans made from Owners' Equity to the Insurance Fund and not repaid. This item applies only to Takaful Insurers;
        c. Any amount recorded at item N200_1131 must not exceed the amount recorded at item N100_4810 on form IN10;
        d. Any amount recorded at item N200_1132 must not exceed the amount recorded at item N100_4820 on form IN10;
        e. Item N200_1133 may only be used by a Takaful Insurer. This item must equal item N200_1120; and
        f. Item N200_1134 may not exceed the amount total equity reported on form IN10.
        Adjustments to Base Capital in Accordance with PIN Adjustments to Base Capital in Accordance with PIN, must be completed having regard to the following principles:
        a. Amounts referred to under Additions to Base Capital (where not included in capital) must not be reported if those amounts are included at item N200_1134;
        b. Amounts referred to under Subtractions from Base Capital must not be reported if those amounts are excluded from item N200_1134;
        c. N200_1211—minority interests in subsidiaries, applies only where an Insurer excludes from its equity an amount representing minority interests in a controlled entity that is not accounted for as an investment;
        d. Item N200_1212, liability for dividends to be paid in the form of shares, applies only where an Insurer has recorded as a liability a provision for dividends that are to be paid by issuing shares. This item does not apply to a Fund Return;
        e. Item N200_1221 applies to the liability referred to in PIN Rule A3.4.3(a) and equivalent provisions in PIN Rules A5.4.3(a), A5.8.3(a) and A7.4.2(a). This item does not apply to a Fund Return;
        f. Item N200_1222 applies only to a Return of a Takaful Insurer. This item represents amounts of Owners' Equity that are not available for loan to the Insurance Fund or to participate in surpluses or deficits of the Insurance Fund;
        g. Item N200_1223 represents investments of the Insurer or by any Subsidiary of the Insurer in the total base capital of the Insurer;
        h. Item N200_1224 represents the amount of any tax on capital gains, that was not recognised as a liability on form IN10, and that would be incurred by the Insurer if the investments reported on form were realised at the values shown on that form;
        i. Item N200_1225 must be equal to the amount of any deferred acquisition costs included on form IN10, whether as a separate asset or as a reduction from liabilities;
        j. Item N200_1226 must be equal to the sum of total deferred tax assets under both current and non-current assets on form IN10;
        k. Item N200_1227 must be equal to the sum of any asset recorded on form IN10 and representing the value of in-force Long-Term Insurance Business;
        l. Item N200_1228 must be equal to the total intangible assets recorded on form IN10 and not otherwise excluded from base capital;
        m. Item N200_1229 applies only to a Return of a Takaful Insurer. This item represents any amount of Zakah or charity fund of a Takaful Insurer that is not otherwise excluded from base capital;
        n. Item N200_1231 must be equal to the amount reported as total plant & equipment on form IN10; and
        p. Item N200_1232 must record the amount of any other assets, not otherwise excluded from base capital, that are not available to meet the Insurance Liabilities of the Insurer recorded on form IN10.

        This section, adjustments to base capital in accordance with PIN would normally be expected to include assets that are subject to mortgages or other charges, or than cannot for some other reason be realised for the benefit of policyholders.

        Adjusted Equity This item is calculated by EPRS and must equal the total of base capital and net adjustments to base capital in accordance with PIN referred above.
        Hybrid Capital Adjustment Item N200_1410, Hybrid capital adjustment before DFSA approval, must be calculated as the amount by which the sum of items N200_1131 to N200_1134 exceeds 15/85 of the amount arrived at by deducting item N200_1120 from item N200_1110.

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

        Item N200_1410 deducts hybrid capital that would normally be inadmissible because it exceeds the prescribed percentage. Item N200_1420 reinstates hybrid capital that had been disallowed by item N200_1410.. Item N200_1420 does not show the total amount of admissible hybrid capital, only that portion that exceeds the 15% ceiling.

        Adjusted Capital Resources This item is calculated by EPRS and must equal the total of adjusted equity and net hybrid capital adjustment, which is the difference between items N200_1410 and N200_1420.
        Minimum Capital Requirement This section sets out the components of the Minimum Capital Requirement applicable to the reporting unit of the Insurer in respect of which the Return is completed. For each reporting unit, the components must be calculated in accordance with the chapter applicable to that reporting unit.
        Absolute minimum requirement applicable to reporting unit Absolute minimum requirement applicable to reporting unit, must be interpreted in accordance with the interpretation table below.
        Applicable result This item is calculated by EPRS and must equal the higher of the amounts reported under calculated capital requirement and Absolute minimum requirement applicable to reporting unit.
        Capital adequacy result This item is calculated by EPRS and must equal Adjusted Capital Resources less applicable result as calculated in item N100_4000.
            Meaning of term for each type of Return
        App19 Section no. App20 Term used in form Global Return (all Insurers except Protected Cell Companies) Global Return (Protected Cell Companies) Cell Return Fund Return
        1. Base Capital Base capital as defined in PIN Rule A3.3.1 App21
        Base non-cellular capital as defined in PIN Rule A5.3.1
        App22
        Base cellular capital as defined in PIN Rule A5.7.1
        Base fund capital as defined in PIN Rule A7.3.2
        3. Adjusted Equity AE as defined in PIN Rule A3.2.1 App23
        ANE as defined in PIN Rule A5.2.1
        App24
        ACE as defined in PIN Rule A5.6.1
        AFE as defined in PIN Rule A7.2.1
        4. Hybrid Capital Adjustment HCA as defined in PIN Rule A3.2.1 App25
        HNCA as defined in PIN Rule A5.2.1
        App26
        HCCA as defined in PIN Rule A5.6.1
        FHCA as defined in PIN Rule A7.2.1
        5. Adjusted
        Capital
        Resources
        ACR as defined in PIN Rule A3.2.1 App27
        ANCR as defined in PIN Rule A5.2.1
        App28
        ACCR as defined in PIN Rule A5.6.1
        AFCR as defined in PIN Rule A7.2.1
        6. Minimum
        Capital
        Requirement
        MCR as defined in PIN Rule A4.2.1/td> App29
        MSCR as defined in PIN Rule A6.2.2
        App30
        MSCR as defined in PIN Rule A6.2.2
        MFCR as defined in PIN Rule A8.2.1
        6.1 Default risk component DRC as defined in PIN Rule A4.2.1/td> App31
        DRC as defined in PIN Rule A6.2.2
        App32
        DRC as defined in PIN Rule A6.2.2
        DRC as defined in PIN Rule A8.2.1
        6.2 Investment volatility risk component IVRC as defined in PIN Rule A4.2.1 App33
        IVRC as defined in PIN Rule A6.2.2
        App34
        IVRC as defined in PIN Rule A6.2.2
        IVRC as defined in PIN Rule A8.2.1
        6.3 Off-balance sheet asset risk component OARC as defined in PIN Rule A4.2.1/td> App35
        OARC as defined in PIN Rule A6.2.2
        App36
        OARC as defined in PIN Rule A6.2.2
        OARC as defined in PIN Rule A8.2.1
        6.4 Off-balance sheet liability risk component OLRC as defined in PIN Rule A4.2.1/td> App37
        OLRC as defined in PIN Rule A6.2.2
        App38
        OLRC as defined in PIN Rule A6.2.2
        OLRC as defined in PIN Rule A8.2.1
        6.5 Concentration risk component CRC as defined in PIN Rule A4.2.1/td> App39
        CRC as defined in PIN Rule A6.2.2
        App40
        CRC as defined in PIN Rule A6.2.2
        CRC as defined in PIN Rule A8.2.1
        6.6 Size factor adjustment SFAC as defined in PIN Rule A4.2.1/td> App41
        SFAC as defined in PIN Rule A6.2.2
        App42
        SFAC as defined in PIN Rule A6.2.2
        SFAC as defined in PIN Rule A8.2.1
        6.7 Underwriting risk component URC as defined in PIN Rule A4.2.1/td> App43
        N/A
        App44
        URC as defined in PIN Rule A6.2.2
        N/A
        6.8 Reserving risk component RRC as defined in PIN Rule A4.2.1/td> App45
        N/A
        App46
        RRC as defined in PIN Rule A6.2.2
        N/A
        6.9 Long-Term Insurance risk component LIRC as defined in PIN Rule A4.2.1/td> App47
        N/A
        App48
        LIRC as defined in PIN Rule A6.2.2
        LIRC as defined in PIN Rule A8.2.1
        6.10 Asset management risk component AMRC as defined in PIN Rule A4.2.1/td> App49
        AMRC as defined in PIN Rule A6.2.2
        App50
        AMRC as defined in PIN Rule A6.2.2
        AMRC as defined in PIN Rule A8.2.1
        7. Absolute minimum requirement applicable to reporting unit The amount set out in PIN Rule A4.2.3, applicable to the Insurer App51
        The amount set out in PIN Rule A6.2.4 or, if higher, the MSCR as defined in PIN Rule A6.2.2 plus any amount that must be added to that amount pursuant to PIN Rule A6.2.6
        App52
        The amount set out in PIN Rule A6.2.5
        The amount set out in PIN Rule A8.2.3

      • 3.3. Form IN30 — Statement of Financial Performance

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

        Structure of the form in the EPRS

        9. IN30 is a simple form which covers all the items in a single section.

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

        1. This form is required for each reporting unit in respect of which the Insurer must prepare an Annual Regulatory Return, except for the Global Return of an Insurer that is a Protected Cell Company. A Global Return for a Branch must be submitted in writing as set out in PIN Rule 6.5.
        2. A Protected Cell Company is prevented by COB from carrying on Insurance Business other than through a Cell. Because this form would always be blank for such a company in its Global Return, there is no need for it to submit the form or to complete a Supplementary Note to explain its absence.
        3. An Insurer must record premiums and reinsurance premiums relating to its Insurance Business on this form as follows:
        a. An Insurer that is carrying on General Insurance Business must complete part I of this form;
        b. An Insurer that is carrying on Long-Term Insurance Business must complete part II of this form;
        c. Subject to d. an Insurer that is carrying on Long-Term Insurance Business and General Insurance Business of Class 1 or Class 2 may elect either to record the General Insurance Business in part I of this form, or to include that business in Class I on part II of this form. An Insurer may not, between successive Returns, change its election without the written approval of the DFSA; and
        d. A DIFC Incorporated Insurer undertaking Direct Long-Term Insurance business and General Insurance Business of Class 1 or Class 2 that is Direct business must record that General Insurance Business as Direct Long-Term Insurance Business in Class I.
        4. An Insurer must record its Gross Written Premium for the reporting period in respect of different classes of business and for different types of insurance contracts, using the first table in parts I & II of this form.
        5. An Insurer must record the reinsurance premium ceded for the reporting period in respect of different classes of business and for different types of insurance contracts, using the second table in parts I & II of this form. Reinsurance premiums recorded as ceded must be gross of any commissions or brokerage, and must be recognised on a basis consistent with the recognition of Gross Written Premium on this form.
        6. Reinsurance premiums ceded must be analysed between the four columns referring to the different types of insurance contracts on the basis of the underlying insurance contracts that they are protecting, not on the basis of the reinsurance contracts themselves. Where reinsurance arrangements protect more than one type of business (for example both direct and facultative business) or more than one Class of Business, the Insurer must make a reasonable allocation of the reinsurance premiums between the types or Classes of Business covered.
        7. An Insurer must disclose the aggregate amount of its insurance and reinsurance transactions with its Related parties as follows:
        a. at item N400_110M, the amount of Gross Written Premium accepted from Related parties that has been included in the total Gross Written Premiums for General Insurance Business;
        b. at item N400_120M, the amount of reinsurance premium ceded to Related parties that has been included in the total reinsurance premium ceded for General Insurance Business;
        c. at item N400_210M, the amount of Gross Written Premium accepted from Related parties that has been included in the total Gross Written Premiums for Long-Term Insurance Business; and
        d. at item N400_220M, the amount of reinsurance premium ceded to Related parties that has been included in the total reinsurance premium ceded for Long-Term Insurance Business.

        Structure of the form in the EPRS

        8. IN40 is a simple form with two sequential parts in a table format, covering the General Insurance Business and Long-Term Insurance Business.

      • 3.5. Form IN50 — Statement of Claims and Reinsurance and Other Recoveries

        1. This form is required for each reporting unit in respect of which the Insurer must prepare an Annual Regulatory Return, except for the Global Return of an Insurer that is a Protected Cell Company. A Global Return for a Branch must be submitted in writing as set out in PIN Rule 6.5.
        2. A Protected Cell Company is prevented by COB from carrying on Insurance Business other than through a Cell. Because this form would always be blank for such a company in its Global Return, there is no need for it to submit the form or to complete a Supplementary Note to explain its absence.
        3. An Insurer must record claims paid and reinsurance and other recoveries in respect of claims paid relating to its Insurance Business on this form as follows:
        a. An Insurer that is carrying on General Insurance Business must complete part I of this form;
        b. An Insurer that is carrying on Long-Term Insurance Business must complete part II of this form;
        c. An Insurer that is carrying on Long-Term Insurance Business and General Insurance Business of Class 1 or Class 2 must record the General Insurance Business in a manner consistent with that adopted in respect of form 4 or determined in accordance with the instructional guidelines 3c under section 3.4; and
        d. A DIFC Incorporated Insurer that carries on Direct Long-Term Insurance Business must complete part III of this form in addition to any other part that this rule requires it to complete. Part III of this form is completed in respect of Direct Long-Term Insurance Business only.
        4. An Insurer must record its gross claims paid for the reporting period in respect of different classes of business and for different types of insurance contracts, using the first table in parts I & II of this form. For the purposes of this form, the amount of claims paid includes expenses incurred by the Insurer in the settlement of the claims.
        5. An Insurer must record the reinsurance and other recoveries receivable for the reporting period in respect of different classes of business and for different types of insurance contracts, using the second table in parts I & II of this form.
        6. Reinsurance recoveries must be analysed between columns 1 and 4 on the basis of the underlying insurance contracts that they relate to, not on the basis of the reinsurance contracts themselves. Where the nature of the reinsurance contract is such that the Insurer cannot identify individual claims benefiting from the recoveries (for example, in the case of an aggregate excess of loss contract, or a stop loss contract) the Insurer must make a reasonable allocation of the recoveries across the types and classes of business that have benefit of the reinsurance contracts.
        7. n Insurer must disclose the aggregate amount of its insurance and reinsurance transactions with its Related parties as follows:
        a. at item N500_110M, the amount of gross claims paid to Related parties that has been included in the total Gross Claims Paid for General Insurance Business;
        b. at item N500_120M, the amount of reinsurance and other recoveries in respect of paid claims from Related parties that has been included in the total reinsurance and other recoveries in respect of paid claims for General Insurance Business;
        c. at item N500_210M, the amount of gross claims paid to Related parties that has been included in the total Gross Claims Paid for Long-Term Insurance Business;
        d. at item N500_220M, the amount of reinsurance and other recoveries in respect of paid claims from Related parties that has been included in the total reinsurance and other recoveries in respect of paid claims for Long-Term Insurance Business;
        8. An Insurer required to complete part III must record its Gross Claims Paid for the reporting period in respect of Direct Long-Term Insurance Business across different types of insurance contracts, using the first table in part III of this form.
        9. An Insurer required to complete part III must record, for each type of claim as set out in columns 1 to 4, at item N500_310M the amount of Gross Claims Paid to Related parties that has been included in the total above.
        10. For the purposes of this form, the amount of claims paid includes expenses incurred by the Insurer in the settlement of the claims.
        11. An Insurer required to complete part III must record the reinsurance and other recoveries receivable for the reporting period in respect of different classes of business and for different types of insurance contracts, using the second table in part III of this form.
        12. An Insurer required to complete part III must record, for each type of claim as set out in columns 1 to 4, at item N500_320M the amount of reinsurance and other recoveries receivable from Related parties that has been included in the total above.
        13. The amounts in the far right column, referring to the total amounts in part III of the form must equal the amounts in the first column (Direct insurance) in part II of the form in respect of Gross Claims Paid across different classes of business, total claims paid to Related parties, reinsurance and other recoveries in respect of paid claims and total recoveries from Related parties.
        14. Part III of the form is completed only by DIFC Incorporated Insurers that undertake Direct Long-Term Insurance Business. This part provides an analysis of the information provided in column 1 of part II.

        Structure of the form in the EPRS

        15. IN50 has three sequential parts in a table format. Part I covers the General Insurance Business, part II covers the Long-Term Insurance Business and part III addresses the Direct Long-term Insurance Business.

      • 3.6. Form IN60 — Statement of Movement in Insurance Provisions

        1. This form is required for each reporting unit in respect of which the Insurer prepares an Annual Regulatory Return, or a part of an Annual Regulatory Return, in respect of General Insurance Business.
        2. A Protected Cell Company is prevented by COB from carrying on Insurance Business other than through a Cell. Because this form would always be blank for such a company in its Global Return, and it is exempted from the requirement to complete other forms relating to General Insurance Business, there is no need for it to submit the form, or to complete a Supplementary Note to explain its absence.
        3. A Global Return of an Insurer that does not carry on General Insurance Business, or a Cell Return, Fund Return or DIFC Business Return of such an Insurer, also omits this form, without the need for a Supplementary Note to explain its absence. However, if an Insurer that carries on Long-Term Insurance Business together with Class 1 or Class 2 General Insurance Business elects to report that Class 1 or Class 2 business as General Insurance Business for the purposes of form 4 or form 5, it must also complete this form in respect of that business. A Global Return for a Branch must be submitted in writing as set out in PIN Rule 6.5.
        4. An Insurer must record separately, in parts I to IV and parts V to VIII respectively of this form, the information required in respect of claims outstanding (including IBNR) gross of reinsurance and other recoveries, and reinsurance and other recoveries in respect of those claims outstanding. This information must be presented for each Class of Business.
        5. Reinsurance recoveries must be analysed between parts V to VIII on the basis of the underlying insurance contracts that they relate to, not on the basis of the reinsurance contracts themselves. Where the nature of the reinsurance contract is such that the Insurer cannot identify individual claims benefiting from the recoveries (for example, in the case of an aggregate excess of loss contract, or a stop loss contract) the Insurer must make a reasonable allocation of the recoveries across the types and Classes of Business that have benefit of the reinsurance contracts.

        Parts I, II, III and IV:

        6. PIN chapter 5 requires an Insurer to record its Insurance Liabilities on a discounted basis. A liability for an outstanding claim increases between the beginning and end of a reporting period, because the amount of discount applied at the later is less. The expense represented by this increase is referred to in the form as release of discount.

        Parts I, II, III and IV must be prepared on the following basis:

        a. At column 1 (starting from the left) in each part, the Insurer must record the amount of claims outstanding (including IBNR), at the end of the reporting period and in respect of claims incurred during the reporting period;
        b. At column 2 in each part, the Insurer must record the amount of claims outstanding (including IBNR), at the beginning of the reporting period and in respect of claims incurred during the previous reporting period;
        c. At column 3 in each part, the Insurer must record the amount of the movement during the reporting period in the provision for claims outstanding (including IBNR), in respect of claims incurred during the previous reporting period, that arises from those claims being one year closer to settlement;
        d. At column 4 in each part, the Insurer must record the amount of claims paid during the reporting period, in respect of claims incurred during the previous reporting period;
        e. At column 5 in each part, the Insurer must record the amount of other movements in the provision for claims outstanding (including IBNR), in respect of claims incurred during the previous reporting period;
        f. At column 7 in each part, the Insurer must record the amount of claims outstanding (including IBNR), at the beginning of the reporting period and in respect of claims incurred before the beginning of the previous reporting period;
        g. At column 8 in each part, the Insurer must record the amount of the movement during the reporting period in the provision for claims outstanding (including IBNR), in respect of claims incurred before the beginning of the previous reporting period, that arises from those claims being one year closer to settlement;
        h. At column 9 in each part, the Insurer must record the amount of claims paid during the reporting period, in respect of claims incurred before the beginning of the previous reporting period; and
        i. At column 10 in each part, the Insurer must record the amount of other movements in the provision for claims outstanding (including IBNR), in respect of claims incurred before the beginning of the previous reporting period.

        Parts V, VI, VII and VIII

        7. PIN chapter 5 requires an Insurer to record its Insurance Liabilities and associated assets on a discounted basis. The asset representing reinsurance and other recoveries against outstanding claims increases between the beginning and end of a reporting period, because the amount of discount applied at the later is less. The revenue represented by this increase is referred to in the form as release of discount.

        Parts V, VI, VII and VIII must be prepared on the following basis:

        a. At column 1 in each part, the Insurer must record the amount of the asset representing reinsurance and other recoveries in respect of outstanding claims (including IBNR), at the end of the reporting period and in respect of claims incurred during the reporting period;
        b. At column 2 in each part, the Insurer must record the amount of the asset representing reinsurance and other recoveries in respect of outstanding claims (including IBNR), at the beginning of the reporting period and in respect of claims incurred during the previous reporting period;
        c. At column 3 in each part, the Insurer must record the amount of the movement during the reporting period in the asset representing reinsurance and other recoveries in respect of outstanding claims (including IBNR), in respect of claims incurred during the previous reporting period, that arises from those recoveries being one year closer to settlement;
        d. At column 4 in each part, the Insurer must record the amount of recoveries received during the reporting period, in respect of claims incurred during the previous reporting period;
        e. At column 5 in each part, the Insurer must record the amount of other movements in the asset representing reinsurance and other recoveries in respect of outstanding claims (including IBNR), in respect of claims incurred during the previous reporting period;
        f. At column 7 in each part, the Insurer must record the amount of the asset representing reinsurance and other recoveries in respect of outstanding claims (including IBNR), at the beginning of the reporting period and in respect of claims incurred before the beginning of the previous reporting period;
        g. At column 8 in each part, the Insurer must record the amount of the movement during the reporting period in the asset representing reinsurance and other recoveries in respect of outstanding claims (including IBNR), in respect of claims incurred before the beginning of the previous reporting period, that arises from those claims being one year closer to settlement;
        h. At column 9 in each part, the Insurer must record the amount of reinsurance and other recoveries received during the reporting period, in respect of claims incurred before the beginning of the previous reporting period; and
        i. At column 10 in each part, the Insurer must record the amount of other movements in the asset representing reinsurance and other recoveries in respect of outstanding claims (including IBNR), in respect of claims incurred before the beginning of the previous reporting period.
        8. The aggregate provision for outstanding claims (including IBNR) reported in the first four tables of this form must together equal the sum on form IN10 of items N100_3300 and N100_4200, except in the case of a Return that does not include form IN10.
        9. The aggregate provision for outstanding claims (including IBNR) reported in the fifth to eighth tables of this form must together equal the sum on form IN10 of items N100_1250 and N100_2150, except in the case of a Return that does not include form IN10.
        10. An Insurer must present, as a Supplementary Note to this form, the following information:
        a. the assumed inflation and discount rates, expressed as an annualised percentage, used by the Insurer in determining the amounts reported on this form, distinguishing between the rates assumed for the periods:
        i. up to two calendar years after the end of the reporting period;
        ii. more than two and up to five calendar years after the end of the reporting period; and
        iii. more than five calendar years after the end of the reporting period;
        b. the basis on which those assumed inflation and discount rates were determined; and
        c. the estimated weighted average term to settlement of:
        i. claims incurred in the reporting period;
        ii. claims incurred in the previous reporting period; and
        iii. claims incurred in earlier reporting periods.

        Structure of the form in the EPRS

        9. IN60 comprises of two linked forms. The main form consists of only the two links to the linked forms. The first linked form presents the parts I, II, III and IV of the form while the second linked form presents the parts V, VI, VII and VIII of the form. The linked forms can be accessed by following the instructions on the main form.

      • 3.7. Instructional Guidelines — Form IN70 — Statement of Investment Income

        1. This form is required for each reporting unit in respect of which the Insurer must prepare an Annual Regulatory Return, except for a DIFC Business Return. A Global Return for a Branch must be submitted in writing as set out in PIN Rule 6.5.
        2. This form summarises the investment income earned by the Insurer.

        Structure of the form in the EPRS

        3. IN70 is structured as a simple form which covers all the items in a single section.

        Section Instructional Guidelines
        Interest Receivable The Insurer must disclose in this section interest receivable, measured on an accruals basis, on securities and loans bearing a fixed or variable rate of interest. This item should include interest receivable on cumulative preference shares
        Dividends Receivable The Insurer must disclose under this section dividends receivable on equity Securities.
        Rental Income Receivable The Insurer must disclose here rental income receivable, on an accruals basis, for the use of real property.
        Income Under Investment Contracts of Mudaraba and Musharaka The Insurer must disclose under this section income receivable, on an accruals basis, under investment contracts of mudaraba and musharaka other than Profit Sharing Investment Accounts (PSIAs) or contracts of the nature of collective investments;
        Income from Collective Investments The Insurer must disclose under this section income receivable, on an accruals basis, from collective investments, including mutual funds, PSIAs and contracts taking the form of collective investments; This section should include income receivable under contracts that by their nature are collective investments, where the Insurer stands as one of several rab ul mal providing capital to a mudarib who in turn invests that capital. The rab ul mal may receive a Sukuk or certificate which may be transferable. Investments in PSIAs will normally be disclosed here.
        Changes in Value in Invested Assets The Insurer must disclose under this section the aggregate amount of changes in value in its invested assets. Where the aggregate amount of changes in value for either of the items in this section represents a reduction in value, the Insurer must record that item as a negative figure.
        Other investment income The Insurer must disclose under this section the aggregate amount of any investment income that does not fall into any of the sections above. Where an Insurer uses this item, it must provide details of the item in question in a Supplementary Note to this form.
        This section will normally be used only by Insurers with income on investments that do not readily fall into any of the Categories described in this Rule. An Insurer reporting an amount under this item will normally be expected to provide sufficient information to explain to the DFSA the nature of the investment and the nature of the income arising from it.

      • 3.8. Form IN80 — Statement of Acquisition Expenses

        1. This form is required for each reporting unit in respect of which the Insurer must prepare an Annual Regulatory Return, except for the Global Return of an Insurer that is a Protected Cell Company. A Global Return for a Branch must be submitted in writing as set out in PIN Rule 6.5.
        2. A Protected Cell Company is prevented by COB from carrying on Insurance Business other than through a Cell. Because this form would always be blank for such a company in its Global Return, there is no need for it to submit the form or to complete a Supplementary Note to explain its absence.
        3. An Insurer must record acquisition expenses relating to its Insurance Business on this form as follows:
        a. An Insurer that is carrying on General Insurance Business must complete part I of this form;
        b. An Insurer that is carrying on Long-Term Insurance Business must complete part II of this form;
        c. An Insurer that is carrying on Long-Term Insurance Business and General Insurance Business of Class 1 or Class 2 must record that business consistently with the election made pursuant to form IN50;
        d. A DIFC Incorporated Insurer that carries on Direct Long-Term Insurance Business must complete part III of this form in addition to any other part that this rule requires it to complete. Part III of this form is completed in respect of Direct Long-Term Insurance Business only; and
        e. Commissions receivable by insurers from their reinsurers (often referred to as exchange commissions, overriders or ceded acquisition costs) must not be netted against acquisition costs disclosed on this form but must be recorded as income on form IN30 at item N300_1110.
        4. Part III only of this form provides additional disclosures in respect of expenses recovered from reinsurers, in the case of Direct Long-Term Insurance Business. Those disclosures are not limited to commissions.
        5. An Insurer must record commissions and brokerage payable by it for the reporting period in respect of different classes of Business and for different types of insurance contracts, using the first table in parts I & II of this form.
        6. An Insurer must record acquisition expenses other than commissions and brokerage payable by it for the reporting period in respect of different classes of business and for different types of insurance contracts, using the second table in parts I & II of this form.
        7. An Insurer must disclose the aggregate amount of acquisition costs payable to related parties as follows:
        a. The amount of commissions and brokerage payable to Related parties that has been included in the total above;
        b. The amount of other acquisition expenses payable to Related parties that has been included in the total above;
        c. The amount of commissions and brokerage payable to Related parties that has been included in the total above; and
        d. The amount of other acquisition expenses payable to Related parties that has been included in the total above.
        8. An Insurer required to complete part III must record the Insurer's commission and management expenses paid for the reporting period in respect of different classes of business and for different types of insurance contracts in the table in section I of part III.
        9. An Insurer required to complete part III must record the amount of each type of expense as set out in columns 1 to 4 and included in the total above that is payable to Related parties.
        10. An Insurer required to complete part III must record the amount of each type of expense as set out in columns 1 to 4 and included in the total above that is recoverable from reinsurers.
        11. An Insurer required to complete part III must record the amount of each type of expense as set out in columns 1 to 4 and included in the total above that is recoverable from Related parties.
        12. The amounts in the far right column, referring to the Total amounts in part III of the form must equal the amounts in the first column (Direct insurance) in part II of the form in respect of commissions and brokerage expenses, total expenses payable to Related parties, other acquisition costs, total acquisition costs payable to Related parties.
        13. An Insurer must present by way of Supplementary Note a reconciliation between the sum of management-maintenance expenses and management —other expenses across different classes of direct long-term businesses (amounts in third and fourth columns of table in part III of this form), and item N300_1050 in form IN30.
        14. An Insurer must present by way of Supplementary Note a description of the method by which management expenses have been allocated between columns 2, 3 and 4 of part III.
        15. This part of the form is completed only by DIFC Incorporated Insurers that undertake Direct Long-Term Insurance Business. This part provides an analysis of the information provided in left-most column of tables in part II, with additional information on management expenses not disclosed elsewhere on this form.
        16. In allocating management expenses between columns 2, 3 and 4, Insurers should follow generally accepted practice in the life insurance industry. Costs that are not attributable to the Direct Long-Term Insurance Business will not be included on this form as by virtue of PIN Rule 3.5.5 they may not be paid out of the Long-Term Insurance Fund. In general, an Insurer should observe the following principles when making the allocation:
        a. Acquisition costs include those incurred in writing new business or amendments to existing business, such as underwriting, issue of contracts, and setting up policy records. Expenses attributable to the sales and marketing organisation also fall within this heading;
        b. Maintenance costs include those incurred in maintaining the business, for example the cost of issuing periodic reports to policyholders and investment management expenses; and
        c. Costs of a non-recurring nature should be recorded as 'other'. Costs of this nature include the costs of establishing an operation or developing new systems.
        17. The Supplementary Note required by instructional guideline 14 in this section should provide particulars of reconciling items. Where the only difference between the two figures is management expenses attributable to Long-Term Insurance Business other than Direct, no further explanation is required.

        Structure of the form in the EPRS

        18. IN80 has three sequential parts in a table format. Part I covers the General Insurance Business, part II covers the Long-Term Insurance Business and part III addresses the Direct Long-term Insurance Business.

      • 3.9. Form IN90 — Reconciliation to Financial Statements

        1. This form is required only for an Insurer's Global Return. This form is not subject to audit. A Global Return for a Branch must be submitted in writing as set out in PIN Rule 6.5.
        2. The purpose of this is to provide reconciliation between the net assets of the Insurer as recorded on form IN10 and the net assets of the Insurer as recorded in its financial statements prepared under relevant companies legislation for the same reporting period.
        3. Where an Insurer's financial statements prepared under relevant companies legislation are not available at the time of lodgement of the Annual Regulatory Return, the Insurer will be expected to complete this form based on the draft financial position of the Insurer as at the end of the reporting period. Where the financial statements are subsequently provided to the DFSA as permitted by PIN Rule 6.5.7, the Insurer should consider whether it is necessary to draw the attention of the DFSA to any significant changes between the draft financial statements on which this form was based and the financial statements subsequently provided.
        4. An Insurer must disclose the amounts making up the difference between the Insurer's net assets reported as total equity (item N100_700T) on form IN10 and the Insurer's net assets (or equivalent designation) reported on the balance sheet, statement of financial position or equivalent document (referred to in this section as the 'statutory balance sheet') forming part of the financial statements that the Insurer is required to complete under the Companies Law 2009 (or equivalent legislation in jurisdictions other than the DIFC), made up as at the same date as the information contained in form IN10.

        Structure of the form in the EPRS

        5. IN90 is a simple form which covers all the items in a single section.

        Section Instructional Guidelines
        Net assets according to Form IN10 item N100_700T This item 1 must agree to form IN10 item N100_700T.
        Differences between item 1 and Net Assets according to Financial Statements Differences constituting differences in recognition of assets and liabilities must be disclosed at item 2.1. Where an asset is recognised in the statutory balance sheet but not in form IN10, the item must be disclosed as a positive amount, and vice versa. Where a liability is recognised in the statutory balance sheet but not in form IN10, the item must be disclosed as a negative amount, and vice versa.

        Differences constituting differences in valuation of assets and liabilities that are recognised in both the statutory balance sheet and form IN10 must be disclosed in this section. Where an asset is valued at more in the statutory balance sheet than in form 1, the item must be disclosed as a positive amount, and vice versa. Where a liability is valued at more in the statutory balance sheet than in form IN10, the item must be disclosed as a negative amount, and vice versa.

        The information presented in this section must include:
        a. the amount of each material difference; and
        b. a description of each material difference.
        Net Assets according to Financial Statements This item must agree to the amount of net assets (or equivalent designation) in the Insurer's statutory balance sheet.
        6. Where this form does not contain sufficient space for the presentation of the information required by this section, the Insurer must present a Supplementary Note containing that information.
        7. Presenting a Supplementary Note does not relieve an Insurer from the obligation to prepare the form. However it will be acceptable for an Insurer to include on the form a reference to the Supplementary Note containing the information required to be presented, together with the aggregate amount covered in that Supplementary Note.

      • 3.10. Form IN100 — Summary Statement of Operations

        1. This form is required only for a DIFC Business Return.
        2. The Summary statement of operations provides the DFSA with information on the operations of a DIFC Branch of an Insurer that is not incorporated in the DIFC, on a quarterly and annual basis.
        3. The instructional guidelines in this section provide instructions as to the completion of specific lines on the form. The instructions are similar to those applicable to corresponding items on forms IN10 and IN30, which are not applicable to DIFC Business Returns.
        4. On this form, reinsurance premiums and reinsurance recoveries refer to amounts ceded and recovered in respect of insurance contracts entered into as part of the Insurer's DIFC Insurance Business, regardless of where the reinsurance premiums and reinsurance recoveries are payable or receivable.

        Structure of the form in the EPRS

        5. IN100 is a single form with two parts, part I dealing with revenue and expense information and part II dealing with asset and liability information.

        Section Instructional Guidelines
        Gross Written Premiums An Insurer must present under this section the amount of its Gross Written Premium in respect of its business conducted in the DIFC.
        Reinsurance
        Premiums
        Ceded
        An Insurer must present under this section the amount of Reinsurance Premium Ceded in respect of insurance contracts whose Gross Written Premium is recorded above.
        Net Written Premiums This item is calculated by EPRS and must equal Gross Written Premiums reported above less Reinsurance Premiums Ceded, as reported above.
        Claims Paid An Insurer must report in this section the amount of Claims Paid in respect of its business conducted in the DIFC.
        Reinsurance and Other Recoveries Received An Insurer must report in this section the amount of reinsurance and other recoveries receivable in respect of claims reported in the previous section.
        Net Claims Paid This item is calculated by EPRS and must equal gross claims paid reported above less reinsurance recoveries received, as reported above.
        Movements in Insurance Liabilities (gross) An Insurer must present in this section the amount of the movement in the balance of Insurance Liabilities for the reporting period.
        Movements in
        Recoveries
        Against
        Insurance
        Liabilities
        An Insurer must present in this section the amount of the movement in the balance of reinsurance and other recoveries in respect of Insurance Liabilities for the reporting period.
        Insurance Liabilities are reported gross of reinsurance and other recoveries. Reinsurance and other recoveries that are recorded in respect of Insurance Liabilities are reported as assets. An increase in Insurance Liabilities is reported on form IN100 as an expense. In the same manner, an increase in the reinsurance and other recoveries in respect of Insurance Liabilities is recorded as revenue.
        Other Operating Revenue Where an Insurer reports any amount as other revenue, the Insurer must present in a Supplementary Note the amount of any such income receivable from Related parties, and a description of the nature of that income.
        Operating Income This item is calculated by EPRS and must equal the sum of Net Written Premiums and Other Operating Revenue less the total of Net Claims Paid, Net Movement in Provisions and Total Expenses, as reported above.
        Outstanding Claims Provision (including IBNR) This section includes the Insurer's provision for outstanding claims. This item must be completed having regard to the following principles:
        a. The liability must represent the estimated cost to the insurer of settling claims which it has incurred at the reporting date but which have not been finalised. The liability is in respect of both direct business and inward reinsurance business and must take into account unpaid claims, unreported claims, adjustments for claims development and the direct and indirect claims settlement costs that the Insurer expects to incur in settling its outstanding claims;
        b. In the case of Long-Term Insurance Business, this item must include all claims liabilities in respect of Contracts of Insurance that are no longer included in the calculation of the net policy benefits at item 17;
        c. The liability must be stated without deducting reinsurance and other recoveries (these are disclosed as an asset as reinsurance receivables);
        d. The requirements for recognition and measurement of this liability are set out in PIN Rules 5.4 and 5.6; and
        e. The liability does not include any amounts for catastrophe reserve, equalisation reserve or similar provisions that an Insurer may be required to maintain to satisfy regulatory requirements in a jurisdiction other than the DIFC.
        Expected Reinsurance and Other
        Recoveries in Respect of previous section item 13

        This section includes amounts in respect of reinsurance and other recoveries in respect of claims that have been incurred but not paid, up to the date to which the return is drawn up. This includes reinsurance and other recoveries in respect of IBNR. Because of the uncertainty of the outcome of outstanding claims and IBNR, it is necessary to estimate at least a part of this balance. The basis on which the estimate is made must be consistent with the basis of estimation of the related liability, reported in the previous section.

        Where, in determining the amount to be reported in this section, an Insurer has made or considered making a provision for doubtful debt in respect of recoveries due or potentially due from a reinsurer, the Insurer must take into account the potential need to make a provision when determining any estimate to be included under this section or under item N101_1500.

        It is common practice for Insurers to account for their Exposures on General Insurance contracts in force by means of an unearned premium provision, an asset representing deferred reinsurance expense and (where necessary) a premium deficiency reserve. Insurers are referred to the instructional guidelines to next item. An insurer that uses an unearned premium provision and premium deficiency reserve as a proxy for Premium Liabilities may record its deferred reinsurance expense at item N101_1600.

        Premium Liabilities under General Insurance Contracts Premium Liability, represents the current portion of the cost of providing insurance service over the unexpired period of general insurance contracts in force at the balance date. This item must be completed having regard to the following principles:
        a. The Premium Liability reported is required to cover the value of future claims payments and associated direct and indirect settlement costs arising during the unexpired portion of the contracts in question;
        b. This item must be recorded without deducting reinsurance and other recoveries (these are disclosed as an asset as reinsurance receivables); and
        c. The requirements for recognition and measurement of this liability are set out in PIN Rule 5.4.

        As stated in the Guidance to PIN Rule 5.4.7, it is common practice for Insurers to account for their Exposures on General Insurance contracts in force by means of an unearned premium provision and (where necessary) a premium deficiency reserve. Where the aggregate of the unearned premium provision and the premium deficiency reserve (both gross of reinsurance) can be shown to be not less than the amount of Premium Liability determined in accordance with PIN section 5.4, an Insurer may use that aggregate as a proxy for Premium Liability for the purposes of recording this item.

        Expected Reinsurance and Other
        Recoveries in Respect of item N101_1500
        Reinsurance and other recoveries in respect of claims that have not yet been incurred are reported under this section. It is necessary to estimate this balance. The basis on which the estimate is made must be consistent with the basis of estimation of the Related liability, reported at item N101_1500.
        Net policy benefits under Long-Term insurance contracts in force This item represents the net value of future Policy Benefits under Long-Term Insurance contracts that are in force as at the date to which the return is made up. The amount reported here must be determined in accordance with PIN section 5.6.

      • 3.11. Form IN110 — Reconciliation of Direct to Total Long-Term Insurance Business

        1. This form is required only for a DIFC Incorporated Insurer that undertakes Direct Long-Term Insurance Business.
        2. This form requires an Insurer that undertakes Direct Long-Term Insurance Business to identify (in summary form) the assets and liabilities that are attributable to that business, and the amount of the Minimum Capital Requirement that is attributable to the business.
        3. The Rules in this section provide instructions as to the completion of specific lines on the form. The instructions are similar to those applicable to corresponding items on forms IN10 and IN20.
        4. The disclosures at item N110_1000 in the column titled Direct Long-term Insurance must be consistent with the disclosures made on forms IN140 and IN150. Forms IN140 and IN150 identify assets that are held to cover liabilities under Direct Long-Term Insurance Business. It would not be appropriate for an Insurer to disclose on this form assets that were less, either by type or in the aggregate, than the total amount of assets of each type and in the aggregate, that are reported on forms IN140 and IN150 to be held to meet liabilities under Direct Long-Term Insurance contracts and the Minimum Capital Requirement in respect of Direct Long-Term Insurance Business. The assets disclosed on form IN110 may on the other hand exceed the total amount of assets reported on forms IN140 and IN150 to be held to meet liabilities under Direct Long-Term Insurance contracts and the Minimum Capital Requirement in respect of Direct Long-Term Insurance Business.
        5. An Insurer must present in sections 1 and 2 in the column titled Direct Long-Term Insurance the amounts of its assets and liabilities that are attributable to its Direct Long-Term Insurance Business and that are otherwise attributable, respectively.
        6. An Insurer must present in section 3 in the column titled Direct Long-Term Insurance the amounts of the components of its Minimum Capital Requirement that are attributable to its Direct Long-Term Insurance Business and that are otherwise attributable, respectively.
        7. Amounts reported in the column titled "Total" must agree to the current year column of form IN10 or of form IN20, as follows:
        a. item N110_1000 must agree to item N100_110T in the current year column of form IN10;
        b. item N110_1010 must agree to the sum of items N100_120T and N100_210T in the current year column of form IN10;
        c. item N110_1020 must agree to the sum of items N100_130T,, N100_220T and N100_230T in the current year column of form IN10;
        d. item N110_1030 must agree to item N100_240T in the current year column of form IN10;
        e. item N110_1040 must agree to item N100_250T in the current year column of form IN10;
        f. item N110_1050 must agree to the sum of items N100_140T and N100_260T in the current year column of form IN10;
        g. item N110_1060 must agree to the sum of items N100_150T and N100_260T in the current year column of form IN10;
        h. item N110_1080 must agree to the sum of items N100_3100 and N100_4100T in the current year column of form IN10;
        i. item N110_1090 must agree to the sum of items N100_3200 and N100_4150 in the current year column of form IN10;
        j. item N110_1100 must agree to the sum of items N100_3300 , N100_3400, N100_4200 and N100_4250 in the current year column of form IN10;
        k. item N110_1110 must agree to the sum of items N100_3500 and N100_4300 in the current year column of form IN10;
        l. item N110_1120 must agree to the sum of amounts reported under Total borrowings reported under the sections Current Liabilities and Non-current liabilities in the current year column of form IN10;
        m. item N110_1130 must agree to the sum of amounts reported under Total tax liability reported under the sections Current Liabilities and Non-current liabilities in the current year column of form IN10;
        n. item N110_1140 must agree to the sum of amounts reported under Provisions reported under the sections Current Liabilities and Non-current liabilities in the current year column of form IN10;
        o. item N110_1150 must agree to the sum of amounts reported under other liabilites reported under the sections Current Liabilities and Non-current liabilities in the current year column of form IN10; and
        p. items under section 3 must agree to items under section titled "Minimum Capital Requirement" respectively in the current year column of form IN20.

        Structure of the form in the EPRS

        8. IN110 is a simple form which covers all the items in a single section.

      • 3.12. Form IN120 — Statement of Direct Long-Term Insurance Business

        1. This form is required only for a DIFC Incorporated Insurer that undertakes Direct Long-Term Insurance Business, and is completed in respect only of Direct Long-Term Insurance Business.
        2. When this form is presented as part of a Quarterly Regulatory Return, part III is not required to be completed.
        3. This form provides the DFSA with quarterly and annual information on the makeup of Direct Long-Term Insurance premiums accounted for by a DIFC Incorporated Insurer, and new business underwritten, during the reporting period. When presented as part of the Annual Regulatory Return, it also provides information on persistency.
        4. Because this part of the form is required only in the case of an Annual Regulatory Return, the reporting periods covered in part III will only ever be financial years. The form will disclose the persistency rate (the contracts remaining in force expressed as a percentage of those written, less those terminating naturally) for the most recent financial year at the end of twelve months, and the three financial years beforehand at the end of, respectively, twenty-four, thirty-six and forty-eight months.
        5. On this form, reinsurance is classified according to the underlying premiums accepted by the Insurer, not on the basis of the form of the reinsurance contract. Thus, a reinsurance of a regular premium policy is classified in columns for regular premium policies, regardless of the form of the reinsurance contract.
        6. On this form:
        a. 'regular premiums' means premiums payable at regular intervals during the term of the contract; 'single premiums' means premiums that are not regular premiums. An additional premium payable on an existing regular premium contract is not a regular premium unless it constitutes one in a series of regular premiums;
        b. 'new business' means premiums on new contracts of insurance effected during the reporting period, together with additional premiums paid on existing contracts where those additional premiums have the characteristic of new business rather than representing a payment due on the original contract; and
        c. 'new policyholders/fund members' means policyholders who have effected a new contract of insurance during the reporting year or (in the case of Class VII business) persons who have joined a pension fund that is the subject of a contract of insurance in that Class, during the reporting year.
        7. On this form, items in the second table of part II and the whole of part III must be presented in whole numbers, not rounded, and with no decimal place.
        8. An Insurer must present the gross Direct Long-Term Insurance Business premiums that it has accounted for in the reporting period, for each Class of Business listed in the first table, analysed across the columns between participating business and non-participating business and between regular premium business and single premium business.
        9. An Insurer must present at item N120_1080 the total amount included in item N120_107T that represents premiums receivable from Related parties of the Insurer, for each of columns.
        10. An Insurer must present the reinsurance premiums that it has accounted for as ceded in the reporting period, for each Class of Business listed in the first table, analysed across the columns between participating business and non-participating business and between regular premium business and single premium business.
        11. An Insurer must present at item N120_1170 the total amount included in item N120_116T that represents reinsurance premiums ceded to Related parties of the Insurer, for each of columns.
        12. Where an Insurer is required to complete this form, the total column of this form for items in the first table — gross premiums must agree to column for direct insurance in form IN40 for items in part II of IN40, in respect of Long-Term Insurance Business.
        13. An Insurer must present the gross Direct Long-Term Insurance new business premiums that it has accounted for in the reporting period, for each Class of Business listed in the first table, analysed across the columns between participating business and non-participating business and between regular premium business and single premium business.
        14. An Insurer must present the new policyholders/fund members that it recorded in the reporting period, for each Class of Business listed in the first table, analysed across the columns between participating business and non-participating business and between regular premium business and single premium.
        15. An Insurer must present at item N120_1360 for the reporting period and items N120_1370 , N120_1380 and N120_1390 respectively for the previous reporting period and the two immediately prior to that (in each case, the 'reporting year in question'), the following information in respect of participating long-term contracts of insurance:
        a. in the left most column, the number of Direct Long-Term Insurance contracts effected during the reporting period in question;
        b. in column titled naturally terminated contracts, the number of contracts effected during the reporting period in question that have, during the period from their inception up to the reporting date, terminated through expiry of the contract term, through occurrence of the insured event, or otherwise through an event contemplated in the policy document other than lapse, surrender or cancellation;
        c. in column titled otherwise terminated, the number of contracts effected during the reporting period that have, during the period from their inception up to the reporting date, terminated through lapse, surrender, or cancellation or otherwise through an event not contemplated in the policy document;
        d. the column titled "In force on reporting date", the number of contracts remaining in force on the reporting date is calculated by EPRS, as the number of contract effected less the number of contracts naturally terminated and less the number of contracts otherwise terminated; and
        e. the column titled "Persistency rate" is calculated by EPRS as the number of contracts remaining in force on the reporting date divided by the number of contracts effected less the number of contracts naturally terminated, expressed as a percentage.
        16. An Insurer must present at item N120_1410 for the reporting period and items N120_1420, N120_1430 and N120_1440 respectively for the previous reporting period and the two immediately prior to that (in each case, the 'reporting year in question'), the information set out in instructional guideline 15(a) to (c), in respect of linked long-term contracts of insurance.
        17. An Insurer must present at item N120_1460 for the reporting period and items N120_1470, N120_1480 and N120_1490 respectively for the previous reporting period and the two immediately prior to that (in each case, the 'reporting year in question'), the information set out in instructional guideline 16(a) to (c), in respect of long-term contracts of insurance not already included in the disclosures under participating or linked long term contracts.

        Structure of the form in the EPRS

        18. IN120 comprises of two linked forms. The main form consists of only the two links to the linked forms. The first linked form presents the parts I and II of the form while the second linked form presents part III of the form. The linked forms can be accessed by following the instructions on the main form.

      • 3.13. Form IN130 — Statement of Direct Long-Term Insurance Liabilities

        1. This form is required only for an Annual Regulatory Return prepared by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business, and is required only in respect of that Direct Long-Term Insurance Business.
        2. This form, which is prepared only by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business, provides the DFSA with an analysis of the breakdown of gross insurance liabilities in respect of those liabilities, and reinsurance recoverable in their respect.
        3. An Insurer must present in the first table titled "Gross Policy Liabilities", for each Class of Business, the gross Direct Long-Term Insurance Business policy liabilities as at the reporting date, analysed across the columns in the table as follows:
        a. in the left-most column titled "Vested-Direct participating", the amount in respect of participating business Direct Long-Term Insurance contracts, in respect of benefits that have vested in the policyholders;
        b. in the column titled "Non-vested Direct participating", the amount in respect of participating business Direct Long-Term Insurance contracts, in respect of benefits that have not vested in the policyholders;
        c. in the column titled "Direct Non-participating", the amount in respect of all other Direct Long-Term Insurance Contracts; and
        d. in the column titled "Additional Provisions", the amount of any additional provisions made by the insurer, that form part of gross policy liabilities but do not fall within the columns to the left.
        4. Vested benefits are those to which policyholders are collectively or individually entitled as a result of a guarantee in the insurance contract, and include bonuses that have been declared or allotted. The Rules in PIN 5 on valuation of assets and liabilities require an Insurer also to make provision for benefits that are discretionary, for example bonuses that are expected to be declared in the future. The provision in respect of these items will be included under the column titled "Non-vested Direct participating".
        5. An Insurer must present at item N130_1080, for each of columns, the amount of the gross policy liabilities that relates to liabilities in respect of parties that are Related to the Insurer.
        6. In practice, a valuation of Insurance Liabilities may include provisions that are not readily attributable to particular insurance contracts. Where this is the case, such provisions should be shown in column titled "Additional Provisions". The Actuary's Report prepared under section PIN 7.3 includes commentary on additional provisions. Insurers should ensure that disclosure on this form is consistent with the description in the Actuary's Report. A reconciliation may be provided in a Supplementary Note to this form.
        7. An Insurer must present in the second table titled "Reinsurance Recoverable", for each Class of Business, the amount of gross Direct Long-Term Insurance Business policy liabilities as at the reporting date that is recoverable under reinsurance arrangements, analysed across the columns in the table in the same manner as it applies to the first table (refer above paragraph 3 (a) to (d)).
        8. An Insurer must present at item N130_1170, for each of columns, the amount of gross Direct Long-Term Insurance Liabilities that is recoverable under reinsurance arrangements from parties that are Related to the Insurer.

        Structure of the form in the EPRS

        9. IN130 is a simple form with the two tables in the form covering gross policy liabilities and reinsurance recoverables.

      • 3.14. Form IN140 — Statement of Assets Covering Direct Linked Long-Term Insurance Liabilities

        1. This form is required only for an Annual Regulatory Return prepared by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business of Class III, and is required only in respect of that Class of its Direct Long-Term Insurance Business.
        2. This form, which is prepared only by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business of Class III, provides the DFSA with information on the assets held to cover policy liabilities under insurance contracts of that Class.
        3. On this form, a reference to assets held to cover linked contract liabilities means assets that:
        a. are held by the Insurer with the intention of meeting liabilities under Class III contracts of insurance effected by it;
        b. are not reported by the Insurer on form IN150; and
        c. so far as concerns linked benefits that are vested in policyholders, are the assets to which the contract is linked under the terms of the contract or assets that are closely equivalent to those assets, or, where the contract is linked to an index, are the assets on which that index is based or assets closely equivalent to those assets.
        4. In this form an Insurer must report the amount of its assets disclosed on Form IN10 that are held to cover linked contract liabilities under Direct Long-Term Insurance Business of Class III. The instructional guidelines at section 3.1 above apply to the completion of this form where an item on this form has the same description as an item on Form IN10, except that no distinction is made on this form between current and non-current assets.
        5. An Insurer must present at item N140_1280 the amount of any assets not falling within any of the other items in this form that are held to cover linked contract liabilities under Direct Long-Term Insurance Business of Class III. Where an Insurer includes an amount at this item, particulars of the asset must be included in a Supplementary Note, including a description of how that asset is disclosed on form IN10.
        6. An Insurer must disclose at item N140_1310 the amount of assets included in total assets that represent amounts due from, balances with or investments in Related parties, other than amounts due under insurance contracts.
        7. The amount reported as total assets must be not less than the gross policy liabilities less the amount of reinsurance recoverable in respect of linked long-term insurance business as reported in form IN130.

        Structure of the form in the EPRS

        8. IN140 is a simple form which covers all the items in a single section.

      • 3.15. Form IN150 — Statement of Assets Covering Non-Linked Direct Long-Term Insurance Liabilities and Minimum Capital Requirement

        1. This form is required only for an Annual Regulatory Return prepared by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business and is required only in respect of that business.
        2. This form, which is prepared only by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business, provides the DFSA with information on the assets held to cover policy liabilities under insurance contracts other than Class III, and assets held to cover the Minimum Capital Requirement. This form also provides the DFSA with information on the yields of those assets, to assist in interpretation of the Actuary's Report.
        3. On this form, a reference in part I to assets held to cover participating contract liabilities, in part II to assets held to cover non-participating contract liabilities and in part III to assets held to cover the Minimum Capital Requirement means assets that:
        a. in the case of assets held to cover participating or non-participating contract liabilities, are held by the Insurer with the intention of meeting those liabilities under contracts of insurance effected by it, and in the opinion of the Directors, formed on reasonable grounds, are appropriate assets for that purpose; and
        b. are not reported by the Insurer on form IN140 or in any other part of this form.
        4. In this form an Insurer must report the amount of its assets disclosed on form IN10 that are held to cover contract liabilities under participating Direct Long-Term Insurance Business. The instructional guidelines at section 3.1 apply to the completion of this form where an item on this form has the same description as an item on form IN10, except that no distinction is made on this form between current and non-current assets.
        5. An Insurer must present at item N150_1300 the amount of any assets not reported under any of the other items in this form that are held to cover contract liabilities under participating Direct Long-Term Insurance Business. Where an Insurer includes an amount at this item, particulars of the asset must be included in a Supplementary Note, including a description of how that asset is disclosed on form IN10.
        6. An Insurer must disclose at item N150_1330 the amount of assets included in total assets in this form that represent amounts due from, balances with or investments in Related parties, other than amounts due under insurance contracts.
        7. Total assets as reported in this form must be not less than the amount of gross policy liabilities less the amount of reinsurance recoverable and any element of the amount reported under "Additional Provisions in respect of direct participating policies (both vested and non-vested) as reported in form IN130.
        8. An Insurer must report in part II of this form which is presented as the second linked form in the EPRS the amount of its assets disclosed on Form IN10 that are held to cover contract liabilities under non-participating Direct Long-Term Insurance Business other than Class III. The Rules at section 3.5 apply to the completion of this form where an item on this form has the same description as an item on form IN10, except that no distinction is made on this form between current and non-current assets.
        9. An Insurer must present at item N150_1300 the amount of any assets not reported under any of the other items in this form that are held to cover contract liabilities under non-participating Direct Long-Term Insurance Business other than Class III. Where an Insurer includes an amount at this item, particulars of the asset must be included in a Supplementary Note, including a description of how that asset is disclosed on form IN10.
        10. An Insurer must disclose at item N150_1330 the amount of assets included total assets that represent amounts due from, balances with or investments in Related parties, other than amounts due under insurance contracts.
        11. Total assets reported in this form must be not less than the amount of gross policy liabilities less the amount of reinsurance recoverable and any element of the amount reported under "Additional Provisions in respect of direct non-participating business other than Class III as reported in form IN130.
        12. An Insurer must report in part III of this form which is presented as the third linked form in the EPRS the amount of its assets disclosed on Form IN10 that are held to cover the Minimum Capital Requirement in respect of Direct Long-Term Insurance Business. The Rules at section 3.5 apply to the completion of this form where an item on this form has the same description as an item on form IN10, except that no distinction is made on this form between current and non-current assets.
        13. An Insurer must present at item N150_1300 the amount of any assets not reported under any of the other items in this form that are held to cover the Minimum Capital Requirement in respect of Direct Long-Term Insurance Business. Where an Insurer includes an amount at this item, particulars of the asset must be included in a Supplementary Note, including a description of how that asset is disclosed on form IN10.
        14. An Insurer must disclose at item N150_1330 the amount of assets included in total assets as reported in this form, that represent amounts due from, balances with or investments in Related parties, other than amounts due under insurance contracts.
        15. For each asset which an Insurer is required to disclose on this form, the Insurer must also disclose in the column titled "Expected yields", the lower of the two following figures, expressed as a percentage:
        a. the actual annual yield achieved on the assets disclosed under that item; and
        b. the annual yield expected to be achieved on the assets disclosed under that item, in the year following the reporting date.
        16. Where the figure in column 1 is derived as the result of a mathematical calculation expressed on the face of the Form. The amount to be disclosed in column 2 is not the sum of the values in column 2 for the items specified in the mathematical calculation expressed on the face of the form, but the yield in accordance with instrumental guideline 17 on the assets disclosed at the item in question in column 1.

        Structure of the form in the EPRS

        17. IN150 is comprised of three linked forms each of which present the three parts of IN150. The main form consists of the links to the three linked forms. The first linked form includes part I — Assets covering participating contract liabilities. The second linked form includes part II — Assets covering non-participating contract liabilities. The third linked form includes part III — Assets covering minimum capital requirement.

      • 3.16. Form IN160 — Calculation of Direct Long-Term Insurance Element of Long-Term Insurance Component

        1. This form is required only for an Annual Regulatory Return prepared by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business, and is required only in respect of that business.
        2. This form, which is prepared only by a DIFC Incorporated Insurer conducting Direct Long-Term Insurance Business, provides an Insurer with a working schedule for the calculation of the element of the Long-Term Insurance Risk Component that is attributable to its Direct Long-Term Insurance Business, and permits the DFSA to assess the compliance of that calculation with the Rules in PIN A4.12.
        3. In the first linked form A-Percentage of insurance provisions the Insurer must report, for each Class of Business, or for each sub-division of a Class of Business as shown on the face of the form,
        a. the amount of the Long-Term Insurance Liability, gross and net of reinsurance respectively
        b. Reinsurance ratio and the column titled "Result" are calculated by EPRS. The reinsurance ratio is calculated as the net provisions divided by the gross provisions, except that if the result is less than 85%, the figure shall be 85%.
        c. The result column is calculated by multiplying the gross provisions with the percentage factor and with the reinsurance ratio.
        4. The total gross provisions reported in this linked form must agree to the amount of gross policy liabilities reported in form IN130 in respect of both vested and non-vested direct participating business less the reinsurance recoverables in respect of these classes of business as reported in IN 130.
        5. In the second linked form B-Percentages of capital at risk, an Insurer must report, for all Direct Long-Term Insurance Business, according to the extent of death risk borne by the Insurer as shown on the face of the form,
        a. the amount of capital at risk, gross and net of reinsurance respectively, where capital at risk has the meaning given in PIN Rule A4.12.2(c);
        b. Reinsurance ratio and the column titled "Result" are calculated by EPRS. The reinsurance ratio is calculated as the net provisions divided by the gross provisions, except that if the result is less than 50%, the figure shall be 50%.
        c. The result column is calculated by multiplying the gross provisions with the percentage factor and with the reinsurance ratio.
        6. At item N160_1190, the Insurer must report
        a. the amount of net administrative expenses incurred in the reporting period in respect of linked Direct Long-Term Insurance Business where the Insurer bears no investment risk and expenses are not fixed for a period of more than five years.
        b. the result in the right most column is determined by multiplying the expenses reported with the applicable percentage factor.
        7. At item N160_1210 the Insurer must report
        a. the amount of gross premiums in the reporting period in respect of Class IV as reported in form IN120 in respect of permanent health business, multiplied by 18% so far as concerns the amount up to $50 million and by 16% so far as concerns any amount in excess of $50 million;
        b. the reinsurance ratio, expressed as a percentage is calculated by EPRS by dividing the amount of total gross premiums in respect of permanent health business as reported in form IN120 (across all policy types) less the amount of reinsurance premiums ceded in respect of that business with the amount of total gross premiums, except that if the result of this calculation is less than 50% the figure shall be 50%.
        8. At item N160_1220 the Insurer must report
        a. the amount of gross claims incurred in the reporting period in respect of Class IV, multiplied by 26% so far as concerns the amount up to $35 million and by 23% so far as concerns any amount in excess of $35 million.
        b. the reinsurance ratio, expressed as a percentage is calculated by EPRS by dividing the gross claims incurred minus claims recovered, by the gross claims incurred, except that if the result of this calculation is less than 50% the figure shall be 50%.
        c. gross claims incurred means the amount of gross claims paid in respect of linked long-term business as reported in form IN50 plus the amount, if any, in respect of Direct Long Term Insurance Business of Class IV reported in IN10 as outstanding claims provision (including IBNR) form IN10 and less any such amount included at those items for the prior year in that form: and
        d. claims recovered means the amount of reinsurance and other recoveries in respect of paid claims relating to linked long-term business as reported in form IN50 plus the amount, if any, in respect of Direct Long Term Insurance Business of Class IV reported in IN10 as recoveries other than insurance and amounts due under reinsurance contracts and less any such amount included at those items for the prior year in that form.
        9. At item N160_1240 the Insurer must report
        a. the amount of assets attributable to the Insurer's Direct Long Term Insurance Business of Class V.
        b. the result is determined by EPRS by multiplying the amount with the percentage factor.
        10. The result of this form as calculated by EPRS and displayed in the fourth linked form — D -Result: Direct Long-Term Insurance Element of Long-Term Insurance Risk Component must equal the amount at form IN110 item N110_1260.

        Structure of the form in the EPRS

        11. IN160 is comprised of four linked forms each of which present the four sections of the form. The main form consists of the links to the four linked forms. The first linked form includes section A — Percentage of Insurance Provisions and the second linked form includes the section B -percentage of Capital at Risk. The third linked form presents the section C—Percentage of other factors while the section D which gives the result is in the fourth linked form. The linked forms can be accessed by following the instructions on the main form.

      • 3.17. Form IN180 — Statement of Claims Development

        div class="list">1. The following fields are to be completed on a cumulative basis: gross and net earned premium for accident year; gross and net written premium for underwriting year; number of claims reported; and gross and net claim payments.

        2. The following fields are not to be completed on a cumulative basis: number of claims outstanding; gross and net case estimates; and gross and net incurred but not reported (IBNR) / incurred but not enough reported (IBNER).
        3. An accident year refers to the financial year of the insurer that the losses/claims are incurred.
        4. Gross earned premium is the value of premium revenue earned during the relevant period. The premium should be reported gross of any associated outwards reinsurance expense.
        5. Net earned premium is the value of premium revenue earned during the relevant period. The premium should be reported net of any associated outwards reinsurance expense.
        6. Number of claims reported is the accumulated number of insurance claims reported, as at the relevant date.
        7. Number of claims outstanding is the number of outstanding claims, including the actuarial gross central estimate of the number of insurance claims outstanding, as at the relevant date.
        8. Gross claim payments (net of non-reinsurance recoveries) is the value of insurance claims payments, as at the relevant date. This item is to be reported gross of any associated reinsurance recoveries, but net of any associated non-reinsurance recoveries.
        9. Net claim payments (net of reinsurance and non-reinsurance recoveries) is the value of insurance claims payments, as at the relevant date. This item is to be reported net of any associated reinsurance and non-reinsurance recoveries. This includes reinsurance and non-reinsurance recoveries that have been received or are expected to be received only in relation to claims already paid.
        10. Gross case estimates (net of non-reinsurance recoveries) is the value of gross case estimates included in the outstanding claims liabilities (OCL) as at the relevant date. For the purposes of this item, case estimates must be reported: as the balance outstanding at the relevant date; gross of reinsurance recoveries; net of non-reinsurance recoveries; and excluding claims IBNR/IBNER, claims handling expenses and risk margins.
        11. Net case estimates (net of reinsurance and non-reinsurance recoveries) is the value of net case estimates included in the OCL as at the relevant date. For the purposes of this item, case estimates must be reported: as the balance outstanding at the relevant date; net of reinsurance and non-reinsurance recoveries; and excluding IBNR/IBNER, claims handling expenses and risk margins.
        12. Gross IBNR/IBNER (net of non-reinsurance recoveries) is the value of gross IBNR/IBNER included in the OCL as at the relevant date. For the purposes of this item, the IBNR/IBNER must be reported: as the balance outstanding at the relevant date; inflated and undiscounted; gross of reinsurance recoveries; net of non-reinsurance recoveries; excluding claims handling expenses; and as the central estimate only (i.e. do not include a risk margin).
        13. Net IBNR/IBNER (net of reinsurance and non-reinsurance recoveries) is the value of net IBNR/IBNER included in the OCL as at the relevant date. For the purposes of this item, the IBNR/IBNER must be reported: as the balance outstanding at the relevant date; inflated and undiscounted; net of reinsurance recoveries; net of non-reinsurance recoveries; excluding claims handling expenses; and as the central estimate only (i.e. do not include a risk margin).
        14. Total gross ultimate cost (IUD) is the value of the total gross ultimate cost (inflated & undiscounted) of claims, as at the relevant date. This is calculated as the sum of Columns 6, 8 and 10.
        15. Total net ultimate cost (IUD) is the value of the total net ultimate cost (inflated & undiscounted) of claims, as at the relevant date. This is calculated as the sum of Columns 7, 9 and 11.
        16. Reinsurance business must be completed on an underwriting year basis. Underwriting year refers to the financial year of the insurer in which the policy incepts, regardless of when the premiums and claims are actually reported, booked or paid.
        17. Gross written premium is the value of gross written insurance premium revenue recognised during the relevant period. The premium should be reported gross of any associated outwards reinsurance expense.
        18. Net written premium is the value of net written insurance premium revenue recognised during the relevant period. The premium should be reported net of any associated outwards reinsurance expense.
        19. Discount on net outstanding claims includes the claims handling expense allowance in the net actuarial central estimate of outstanding claims. This is only required as an aggregate total for direct business and reinsurance business.

      • 3.18. Form IN200 — Statement of Underwriting Performance

        1. This form is required to provide the DFSA a snap shot of underwriting performance of the Authorised Firm as per lines of business. Some of the information provided in other Forms will be used in this form again. This form requires the Authorised Firm to calculate Loss Ratio, Expense Ratio and Combined Ratio as per the lines of business. Loss Ratio is the ratio of claims incurred to earned premiums. Expense Ratio is the ratio of expenses to earned premiums. Combined Ratio is the sum of the loss ratio (claims ratio) and the expense ratio.

      • 3.19. Form IN210 — Statement of Revenue by Jurisdiction

        1. This form is required to provide the DFSA a further breakdown of premiums and claims by more granular lines of business and by jurisdictions where the risks are situated in. The Firm is required to select each jurisdiction through the Country custom dimension located above the Form.