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 Authorised Firm.
(b) In the case of a Financial Group, a list of all the entities forming part of the Financial Group and a brief description of each of those entities. In addition, a description of differences in the basis of consolidation for regulatory purposes compared to that required under the International Financial Reporting Standards. The description must include a brief description of the entities:
(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 Capital Resources;
(v) from which surplus capital is recognised, if any; and
(vi) that are not consolidated and not deducted.
(c) Any restrictions or impediments on transfer of funds or regulatory capital within the Financial Group.

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 Capital Resources — CET 1 Capital, AT1 Capital and T2 Capital.
Quantitative Disclosures (b)
(i) Amounts of every element eligible for inclusion in CET1 Capital;
(ii) Regulatory adjustments to CET1 Capital;
(iii) Deductions from CET1 Capital; and
(iv) Amount of total CET1 Capital.
(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.
(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.
(e) Amount of eligible Capital Resources.

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 CRCOM;
(ii) Amount of Credit RWA for each asset class giving rise to CR Exposures and for SE Exposures; and
(iii) Amount of Credit RWAs for Early AmortisationExposures, included in SE Exposures, if any.
(c) Market Risk Capital Requirement for each component of Market Risk as listed in PIB Rule 5.1.1, calculated using:
(i) Rules prescribed in PIB chapter 5;
(ii) Internal Models Approach; or
(iii) both (i) and (ii).
(d) Operational RiskCapital Requirement calculated under the following approaches, where applicable:
(i) Basic Indicator Approach;
(ii) Standardised Approach;
(iii) Alternative Standardised Approach; or
(iv) a combination of any of the above.
(e) Capital Requirement at the solo and at the Financial Group level.
(f)
(i) CET1 Capital ratio as a percentage of total RWAs;
(ii) T1 Capital ratio as a percentage of total RWAs;
(iii) Capital Resources as a percentage of total RWAs; and
(iv) These ratios need to disclosed at both the Authorised Firm level and at the Financial Group level.
(g) The ratios referred to in (f) must be disclosed for each significant entity in the case of a Financial Group.

Table 4 — Credit Risk — general disclosures

Qualitative Disclosures (a) A description of the policies of the Authorised Firm in relation to :
(i) past due and impaired loans in accordance with the International Financial Reporting Standards;
(ii) assessment of the level of individual and collective impairment provisions in accordance with the International Financial Reporting Standards;
(iii) Credit Risk management; and
(iv) the nature of the Exposures within each asset class.

For each asset class:

(i) the name of each recognised external credit rating agency which ratings are used by the Authorised Firm, and the reasons for any changes in the use of a recognised external credit rating agency;
(ii) the types of Exposure for which ratings of each recognised external credit rating agency are used;
(iii) a description of the process used to transfer public issue ratings onto comparable assets in the Non-Trading Book; and
(iv) the alignment of the alphanumerical scale of each recognised external credit rating agency used by the Authorised Firm with relevant risk weights.
Quantitative Disclosures (b) Total gross credit Exposures, and average gross credit Exposures over the reporting period, broken down by major types of credit Exposure.
(c) Geographic distribution of credit Exposures, broken down in significant areas by major types of credit Exposure.
(d) Industry or Counterparty-type distribution of credit Exposures, broken down by major types of credit Exposure.
(e) Residual contractual maturity broken down by major types of credit Exposure.
(f) By major industry or Counterparty type:
(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.
(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.
(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 Exposures) for the total rated and unrated credit Exposures after taking into account the effects of Credit Risk mitigation.

Table 5 — Credit Risk mitigation disclosures

Qualitative Disclosures (a) A description of the following items with respect to Credit Risk mitigation:
(i) policies and procedures for, and an indication of the extent to which the Authorised Firm makes use of, on-balance sheet Netting;
(ii) policies and procedures for Collateral valuation and management;
(iii) the main types of Collateral taken by the Authorised Firm;
(iv) the main types of guarantor or Credit DerivativeCounterparty and their creditworthiness; and
(v) information about Market Risk or Credit Risk concentrations within the mitigation taken
Quantitative Disclosures (b) For each separately disclosed asset class, the extent to which credit Exposures are covered by eligible financial Collateral, after the application of haircuts.
(c) For each separately disclosed asset class, the amount by which credit Exposures have been reduced by eligible credit protection.

Table 6 — General disclosures for Exposures related to CounterpartyCredit Risk

Qualitative Disclosures (a) A description of the following items in relation to OTC Derivative transactions and CounterpartyCredit Risk:
(i) methodologies used to assign economic capital and credit limits for Counterparty credit Exposures;
(ii) policies for securing Collateral and establishing credit reserves;
(iii) policies with respect to Exposures that give rise to general or specific wrong-way risk; and
(iv) impact of the amount of Collateral the Authorised Firm would have to provide given a credit rating downgrade.
Quantitative Disclosures (b)
(i) Gross positive fair value of contracts, Netting benefits, netted current credit Exposure, amount and type of Collateral held, and the net Derivatives credit Exposure;
(ii) Exposure amounts calculated under the current Exposure method; and
(iii) The notional value of Credit Derivative hedges, and the distribution of current credit Exposure by types of credit Exposure.
(c) Credit Derivative transactions that create Exposures to CounterpartyCredit Risk (notional value), segregated between use for the credit portfolio of the Authorised Firm and the intermediation activities of the firm, including the distribution of Credit Derivatives used, analysed further in terms of protection bought and sold within each type of Credit Derivative.

Table 7 — SecuritisationExposures

Qualitative Disclosures (a) A description of the following items with respect to securitisation (including Synthetic Securitisation):
(i) objectives of the Authorised Firm in relation to its securitisation, including the extent to which the securitisation transfers Credit Risk of the underlying securitised Exposures away from the Authorised Firm to other entities and including the types of risks assumed and retained with Re-securitisation activity;
(ii) the nature of other risks (e.g. Liquidity Risk) inherent in securitised assets
(iii) the various roles played by the Authorised Firm in the securitisation process and an indication of the extent of the involvement of the firm in each of them;
(iv) the processes in place to monitor changes in the Credit Risk and Market Risk of securitisation Exposures (e.g., how the behaviour of the underlying assets impacts securitisation Exposures) including how those processes differ for Re-securitisation exposures.
(v) the Authorised Firm's policy governing the use of Credit Risk mitigation to mitigate the risks retained through securitisation and Re-securitisationExposures;
(vi) the regulatory capital approaches applied to the securitisation activities of the Authorised Firm, including the type of securitisation Exposures to which each approach applies; and
(vii) where an Authorised Firm provides Implicit Support to a securitisation, a statement that it has provided non-contractual support and a description of the capital impact of doing so.
(b) A list of:
(i) the types of SPEs that the Authorised Firm, as a Sponsor, uses to securitise third party Exposures, indicating whether the firm has Exposure to these SPEs, either on or off-balance sheet; and
(ii) entities that the firm manages or advises that invest either in the securitisation Exposures that the firm has securitised or in SPEs that the firm Sponsors.
(c) A summary of the accounting policies of the Authorised Firm for securitisation, including:
(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 Synthetic Securitisation if this is not covered by other accounting policies (e.g. on Derivatives);
(vi) how Exposures intended to be securitised (e.g. in the pipeline or warehouse) are valued and whether they are recorded in the Non-Trading Book or the Trading Book; and
(vii) policies for recognising liabilities on the balance sheet for arrangements that could require the Authorised Firm to provide financial support for securitised assets.
(d) In the Non-Trading Book, the names of recognised external credit rating agencies used for securitisations and the types of securitisation Exposure for which each agency is used.
(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 Non-Trading Book and Trading Book) since the last reporting period.
(f) The total amount of outstanding Exposures securitised by the Authorised Firm and defined under the securitisation framework set out in PIB chapter 4, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor.
(g) For Exposures securitised by the Authorised Firm and defined under the securitisation framework set out in PIB chapter 4:
(i) the amount of securitised assets that are classified or past due under the PIBRules, broken down by Exposure type; and
(ii) losses recognised by the firm during the current period broken down by Exposure type.
(h) The total amount of outstanding Exposures intended to be securitised broken down by Exposure type.
(i) Summary of securitisation of the current period, including the total amount of Exposures securitised by Exposure type, and the recognised gain or loss on sale by Exposure type.
(j) Aggregate amount of:
(i) on-balance sheet securitisation Exposures retained or purchased broken down by Exposure type; and
(ii) off-balance sheet securitisation Exposures broken down by Exposure type.
(k) Aggregate amount of securitisation Exposures retained or purchased and the associated capital charges, broken down between securitisation and Re-securitisationExposures and further broken down into a meaningful number of risk weight bands for each regulatory capital approach. Exposures included as deductions from T1 Capital, credit-enhancing interest only strips and other Exposures included as deductions from T1 Capital and deductions from T2 Capital must be disclosed separately by Exposure type.
(l) For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:
(i) the aggregate drawn Exposures attributed to the interests of the seller and the investor;
(ii) the aggregate capital charges incurred by the Authorised Firm against its retained (i.e. the seller's) shares of the drawn balances and undrawn lines; and
(iii) the aggregate capital charges incurred by the firm against the shares of drawn balances and undrawn lines of the investor.
(m) Aggregate amount of Re-securitisationExposures retained or purchased broken down according to:
(i) Exposures to which Credit Risk mitigation is applied and those not applied; and
(ii) Exposures to guarantors broken down according to guarantor credit worthiness categories or guarantor name.
Quantitative disclosures: Trading Book (n) The total amount of outstanding Exposures securitised by the Authorised Firm and defined under the securitisation framework set out in PIB chapter 4, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor.
(o) The total amount of outstanding Exposures intended to be securitised broken down by Exposure type.
(p) Summary of securitisation of the current period, including the total amount of Exposures securitised by Exposure type, and the recognised gain or loss on sale by Exposure type.
(q) Aggregate amount of Exposures securitised by the Authorised Firm for which the firm has retained some Exposures and which is subject to the Market Risk approach, broken down in terms of traditional and Synthetic, by Exposure type.
(r) Aggregate amount of:
(i) on-balance sheet securitisation Exposures retained or purchased broken down by Exposure type; and
(ii) off-balance sheet securitisation Exposures broken down by Exposure type.
(s) Aggregate amount of securitisation Exposures retained or purchased separately for:
(i) securitisation Exposures retained or purchased subject to the comprehensive risk measure for Specific Risk; and
(ii) securitisation Exposures subject to the securitisation framework for Specific Risk broken down into a meaningful number of risk weight bands for each regulatory capital approach.
(t) Aggregate amount of:
(i) the Capital Requirements for the securitisation Exposures (Re-securitisation or securitisation), subject to the securitisation framework broken down into a meaningful number of risk weight bands for each regulatory capital approach; and
(ii) securitisation Exposures that are included as deductions from CET1 Capital, credit enhancing interest-only strips and other Exposures included as deductions from AT1 Capital and deductions from T2 Capital disclosed separately by Exposure type.
(u) For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:
(i) the aggregate drawn Exposures attributed to the interests of the seller and the investor;
(ii) the aggregate capital charges incurred by the Authorised Firm against its retained (i.e. the seller's) shares of the drawn balances and undrawn lines; and
(iii) the aggregate capital charges incurred by the firm against the shares of drawn balances and undrawn lines of the investor.
(v) Aggregate amount of Re-securitisationExposures retained or purchased broken down according to:
(i) Exposures to which Credit Risk mitigation is applied and those not applied; and
(ii) Exposures to guarantors broken down according to guarantor creditworthiness categories or guarantor name.

Table 8 — Market Risk Disclosures

Qualitative Disclosures (a) A description of risk management objectives and policies covering all Market RiskExposures.
Quantitative Disclosures (b) The Capital Requirements for the following risks as set out in PIB chapter 5 of the PIB module:
(i) Interest Rate Risk;
(ii) Equity Position Risk;
(iii) Foreign Exchange Risk;
(iv) Commodity Risk;
(v) Option Risk;
(vi) Collective Investment Fund Risk; and
(vii) SecuritiesUnderwriting Risk.

Table 9 — Market Risk — disclosures for the internal models approach

Qualitative Disclosures (a) A description of the valuation methodologies employed by the Authorised Firm.
(b) A description of the soundness standards on which the internal capital adequacy assessment of the Authorised Firm is based, as well as the methodologies used to achieve a capital adequacy assessment that is consistent with those soundness standards.
(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.
(d) The scope of approval by the DFSA.
(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 Authorised Firm to determine liquidity horizons;
(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.
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.

Table 10 — Operational Risk

Qualitative Disclosures (a) A description of the regulatory approach or approaches to the calculation of Operational RiskCapital Requirements.

Table 11 — Interest Rate Risk in the Non-Trading Book

Qualitative Disclosures (a) A description of the key assumptions made by the Authorised Firm including assumptions regarding loan prepayments and behaviour of non-maturity deposits, and frequency with which interest rate risk in the Non-Trading Book is measured, in addition to the general disclosures set out in PIB chapter 9 in respect of interest rate risk in the Non-Trading Book.
Quantitative Disclosures (b) The changes in earnings or economic value (or relevant measure used by the Authorised Firm) for upward and downward rate shocks according to the internal method of the Authorised Firm for measuring interest rate risk in the Non-Trading Book, broken down by currency, where applicable.

Table 12 — Leverage Ratios

Qualitative Disclosures
(a)
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]