PIB App11 Public Disclosure Requirements
Past version: effective from 01/02/2016 - 31/12/2017
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Table 1 — Scope of application
Qualitative Disclosures | (a) |
The name of the |
(b) |
In the case of a
(i) that are fully consolidated;
(ii) that are consolidated on a pro-rata basis;
(iii) that are equity-accounted;
(iv) that are included as deductions from any of the components of
(v) from which surplus capital is recognised, if any; and
(vi) that are not consolidated and not deducted.
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(c) |
Any restrictions or impediments on transfer of funds or regulatory capital within the |
Table 2 — Capital
Quantitative Disclosures | (a) |
A description of the terms and conditions and main features of all capital instruments included within every component of |
Quantitative Disclosures | (b) |
(i) Amounts of every element eligible for inclusion in CET1 Capital;
(ii)
(iii) Deductions from CET1 Capital; and
(iv) Amount of total CET1 Capital.
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(c) |
(i) Amounts of every element eligible for inclusion in AT1 Capital;
(ii) Regulatory adjustments to AT1 Capital;
(iii) Deductions from AT1 Capital; and
(iv) Amount of total AT1 Capital.
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(d) |
(i) Amounts of every element eligible for inclusion in T2 Capital;
(ii) Regulatory adjustments to T2 Capital;
(iii) Deductions from T2 Capital; and
(iv) Amount of total T2 Capital.
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(e) |
Amount of eligible |
Table 3 — Capital Adequacy
Qualitative Disclosures | (a) |
A description of the overall capital management system and approach to assessing the adequacy of its capital to support current and future activities. This should include description of systems, controls and processes for capital management and capital mobilisation plans for the medium term. |
Quantitative Disclosures | (b) |
(i) Amount of
(ii) Amount of
(iii) Amount of
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(c) |
(i)
(ii)
(iii) both (i) and (ii).
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(d) |
(i)
(ii)
(iii)
(iv) a combination of any of the above.
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(e) |
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(f) |
(i) CET1 Capital ratio as a percentage of total
(ii) T1 Capital ratio as a percentage of total
(iii)
(iv) These ratios need to disclosed at both the
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(g) |
The ratios referred to in (f) must be disclosed for each significant entity in the case of a |
Table 4 —
Qualitative Disclosures | (a) |
A description of the policies of the
(i) past due and impaired loans in accordance with the
(ii) assessment of the level of individual and collective impairment provisions in accordance with the
(iii)
(iv) the nature of the
For each asset class:
(i) the name of each recognised external credit rating agency which ratings are used by the
(ii) the types of
(iii) a description of the process used to transfer public issue ratings onto comparable assets in the
(iv) the alignment of the alphanumerical scale of each recognised external credit rating agency used by the
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Quantitative Disclosures | (b) |
Total gross credit |
(c) |
Geographic distribution of credit |
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(d) |
Industry or |
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(e) |
Residual contractual maturity broken down by major types of credit |
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(f) |
By major industry or
(i) amount of classified loans;
(ii) amount of past due loans;
(iii) individual and collective impairment provisions; and
(iv) charges for individual impairment provisions and charge-offs during the period.
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(g) |
By significant geographic area:
(i) amount of classified loans;
(ii) amount of past due loans; and
(iii) individual and collective impairment provisions, where feasible.
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(h) | Reconciliation of changes in the provisions for loan impairment, and separate disclosures for charge-offs and recoveries that are recorded directly to the income statement. | |
(i) |
An analysis by risk-weights (including deducted |
Table 5 —
Qualitative Disclosures | (a) |
A description of the following items with respect to
(i) policies and procedures for, and an indication of the extent to which the
(ii) policies and procedures for
(iii) the main types of
(iv) the main types of guarantor or
(v) information about
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Quantitative Disclosures | (b) |
For each separately disclosed asset class, the extent to which credit |
(c) |
For each separately disclosed asset class, the amount by which credit |
Table 6 — General disclosures for
Qualitative Disclosures | (a) |
A description of the following items in relation to OTC
(i) methodologies used to assign economic capital and credit limits for
(ii) policies for securing
(iii) policies with respect to
(iv) impact of the amount of
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Quantitative Disclosures | (b) |
(i) Gross positive fair value of contracts,
(ii)
(iii) The notional value of
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(c) |
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Table 7 —
Qualitative Disclosures | (a) |
A description of the following items with respect to securitisation (including
(i) objectives of the
(ii) the nature of other risks (e.g.
(iii) the various roles played by the
(iv) the processes in place to monitor changes in the
(v) the
(vi) the regulatory capital approaches applied to the securitisation activities of the
(vii) where an
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(b) |
A list of:
(i) the types of SPEs that the
(ii) entities that the firm manages or advises that invest either in the securitisation
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(c) |
A summary of the accounting policies of the
(i) whether the securitisation is treated as sales or financings;
(ii) recognition of gain-on-sale;
(iii) methods and key assumptions (including inputs) for valuing positions retained or purchased;
(iv) changes in methods and key assumptions from the previous period and the impact of such changes;
(v) treatment of
(vi) how
(vii) policies for recognising liabilities on the balance sheet for arrangements that could require the
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(d) |
In the |
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(e) |
An explanation of significant changes to any of the quantitative information (e.g. amounts of assets intended to be securitised, movement of assets between |
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(f) |
The total amount of outstanding |
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(g) |
For
(i) the amount of securitised assets that are classified or past due under the
(ii) losses recognised by the firm during the current period broken down by
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(h) |
The total amount of outstanding |
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(i) |
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(j) |
Aggregate amount of:
(i) on-balance sheet securitisation
(ii) off-balance sheet securitisation
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(k) |
Aggregate amount of securitisation |
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(l) |
For securitisation subject to the
(i) the aggregate drawn
(ii) the aggregate capital charges incurred by the
(iii) the aggregate capital charges incurred by the firm against the shares of drawn balances and undrawn lines of the investor.
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(m) |
Aggregate amount of
(i)
(ii)
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Quantitative disclosures: |
(n) |
The total amount of outstanding |
(o) |
The total amount of outstanding |
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(p) |
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(q) |
Aggregate amount of |
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(r) |
Aggregate amount of:
(i) on-balance sheet securitisation
(ii) off-balance sheet securitisation
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(s) |
Aggregate amount of securitisation
(i) securitisation
(ii) securitisation
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(t) |
Aggregate amount of:
(i) the
(ii) securitisation
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(u) |
For securitisation subject to the
(i) the aggregate drawn
(ii) the aggregate capital charges incurred by the
(iii) the aggregate capital charges incurred by the firm against the shares of drawn balances and undrawn lines of the investor.
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(v) |
Aggregate amount of
(i)
(ii)
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Table 8 —
Qualitative Disclosures | (a) |
A description of risk management objectives and policies covering all |
Quantitative Disclosures | (b) |
The
(i)
(ii)
(iii)
(iv)
(v)
(vi)
(vii)
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Table 9 —
Qualitative Disclosures | (a) |
A description of the valuation methodologies employed by the |
(b) |
A description of the soundness standards on which the internal capital adequacy assessment of the |
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(c) |
For each portfolio covered by the internal models approach:
(i) the characteristics of the models used;
(ii) a description of stress testing applied to the portfolio; and
(iii) a description of the approach used for back testing and validating the accuracy and consistency of the internal models and modelling processes.
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(d) |
The scope of approval by the |
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(e) |
A description of the methodologies used and the risks measured through the use of internal models for the incremental risk capital charge and the comprehensive risk capital charge. Included in the qualitative description should be:
(i) the approach used by the
(ii) the methodologies used to achieve a capital assessment that is consistent with the required soundness standard; and
(iii) the approaches used in the validation of the models.
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Quantitative Disclosures | (f) |
For trading portfolios under the internal models approach:
(i) the high, mean and low VaR values over the reporting period and period-end;
(ii) the high, mean and low stressed VaR values over the reporting period and period-end;
(iii) the high, mean and low incremental and comprehensive risk capital charges over the reporting period and period-end; and
(iv) a comparison of VaR estimates with actual gains or losses experienced by the Reporting Firm, with analysis of outliers in back test results.
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Table 10 —
Qualitative Disclosures | (a) |
A description of the regulatory approach or approaches to the calculation of |
Table 11 —
Qualitative Disclosures | (a) |
A description of the key assumptions made by the |
Quantitative Disclosures | (b) |
The changes in earnings or economic value (or relevant measure used by the |
Table 12 — Leverage Ratios
Qualitative Disclosures |
(a)
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The source of material differences between the bank's total balance sheet assets in their financial statements and on-balance sheet exposures in the common disclosure template in Form B300. |
Quantitative Disclosures |
(b)
(c) |
A comparison of the Authorised Firm's total accounting asset amounts and Leverage Ratio exposures using the summary comparison template in Form B300. A breakdown of the main Leverage Ratio regulatory elements using the common disclosure template in Form B300. |
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
[Amended] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]
[Amended] DFSA RM157/2015 (Made 9th December 2015) [VER24/02-16]
[Amended] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]
[Amended] DFSA RM157/2015 (Made 9th December 2015) [VER24/02-16]