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  • PIB 3.9B PIB 3.9B HLA Capital Buffer

    • 3.9B Guidance

      Under PIB section 1.4, the DFSA may designate an Authorised Firm as a systemically important bank (SIB). This section requires a SIB to maintain a further capital buffer, a higher loss absorbency capital buffer (HLA Capital Buffer), and sets out how the HLA Capital Buffer is calculated.

      Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

    • PIB 3.9B.1

      This section applies to an Authorised Firm in Category 1, 2 or 5 that the DFSA has designated as a SIB.

      Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

    • HLA Capital Buffer Requirement

      • PIB 3.9B.2

        A SIB must maintain an HLA Capital Buffer of CET1 Capital that is calculated using the following formula:

        HLA Capital Buffer = HLA Ratio x Relevant RWA

        where:

        "HLA Capital Buffer" is the HLA Capital Buffer that the Authorised Firm must maintain;

        "HLA Ratio" is the ratio determined by the DFSA for that Authorised Firm under PIB Rule 3.9B.6; and

        "Relevant RWA":

        (a) for a G-SIB, is the value of the its Risk Weighted Assets; or
        (b) for a D-SIB, is the value of its Risk Weighted Assets in jurisdictions for which it is considered to be systemically important.
        Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

      • PIB 3.9B.3

        If an Authorised Firm is both a G-SIB and a D-SIB, the HLA Capital Buffer that applies under this section is the higher of the amount calculated under PIB Rule 3.9B.2 for the firm as a G-SIB and the amount calculated under that Rule for the firm as a D-SIB.

        Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

      • PIB 3.9B.4

        An Authorised Firm must not apply CET1 Capital that it maintains to meet an HLA Capital Buffer Requirement towards meeting:

        (a) its Risk Capital Requirement;
        (b) its Capital Conservation Buffer Requirement;
        (c) its Countercyclical Capital Buffer Requirement; or
        (d) an Individual Capital Requirement that the DFSA has imposed on it under PIB chapter 10.

      • PIB 3.9B.5

        The HLA Capital Buffer Requirement applies on both a solo and a consolidated basis for Authorised Firms forming part of a Group.

        Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

    • HLA ratio

      • PIB 3.9B.6 PIB 3.9B.6

        (1) The DFSA must determine an HLA Ratio for each Authorised Firm that it designates as a G-SIB or D-SIB.
        (2) The HLA Ratio determined under (1) for a D-SIB must be not less than 1% and not more than 3.5%.
        (3) The DFSA may vary the HLA Ratio determined under this Rule, provided that for a D-SIB the ratio as varied is within the range specified in (2).
        (4) The procedures in Schedule 3 to the Regulatory Law apply to a DFSA decision to set or vary an HLA Ratio for an Authorised Firm.
        (5) If the DFSA decides to set or vary an HLA Ratio, the Authorised Firm may refer the matter to the FMT for review.
        (6) Paragraphs (4) and (5) do not apply to a decision relating to the HLA Ratio for a G-SIB designated under PIB Rule 1.4.1.
        Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]

        • PIB 3.9B.6 Guidance

          1. The DFSA is likely to base the HLA Ratio it determines for a G-SIB on the rate specified for that G-SIB by the Financial Stability Board, in consultation with the Basel Committee. For a D-SIB, the DFSA will determine an HLA Ratio that is between 1% and 3.5% (see PIB Rule 3.9B.6(2)).
          2. The Schedule 3 procedures and the right of review by the FMT do not apply to a rate applied to a G-SIB designated under PIB Rule 1.4.1. This is because the rate specified by the DFSA for such a G-SIB will be the rate recommended by the FSB and Basel Committee.
          Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]