The DFSA Sourcebook - Reuters...PRU-EPRS/VER3/04-14 1.1 Instructional Guidelines – Form B10 – Balance Sheet Purpose Form B10 – The Balance sheet is intended to reflect the financial

PRU-EPRS/VER3/04-14

The DFSA Sourcebook

Prudential Returns Module

(PRU)

PRUDENTIAL RETURNS MODULE (PRU)

PRU-EPRS/VER3/04-14

Contents

The contents of this module are divided into the following chapters, sections and forms:

1 INSTRUCTIONAL GUIDELINES FOR PIB RETURNS 1.1 Form B10 Balance Sheet 1.2 Form B10 Appendix 1 Details of Non-Trading Book Assets 1.3 Form B10 Appendix 2 Details of Counterparty Risk Exposures 1.4 Form B10 Appendix 3 Market Risk in the Trading Book 1.5 Form B10 Appendix 4 Calculation of the DCR 1.6 Form B20 Balance Sheet – Islamic Financial Institutions 1.7 Form B20 Appendix 1 Details of Non-Trading Book Assets - Self-Financed 1.8 Form B20 Appendix 2 Details of Non-Trading Book Assets - PSIA Unrestricted

(“PSIAU”). 1.9 Form B20 Appendix 3 Details of Non-Trading Book Assets - PSIA Restricted

(“PSIAR”) 1.10 Form B20 Appendix 4 Details of Counterparty Risk Exposures - Self-Financed 1.11 Form B20 Appendix 5 Details of Counterparty Risk Exposures - PSIA

Unrestricted (“PSIAU”) 1.12 Form B20 Appendix 6 Details of Counterparty Risk Exposures - PSIA

Restricted (“PSIAR”) 1.13 Form B20 Appendix 7 Details of Market Risk in the Trading Book 1.14 Form B20 Appendix 8 Calculation of the Displaced Commercial Risk (“DCR”) 1.15 Form B20 Appendix 9 Analysis of Reserves Movement 1.16 Form B30 Income Statement 1.17 Form B40 Income Statement - Islamic Financial Institutions 1.18 Form B50 Expenditure Based Capital Minimum 1.19 Form B60 Capital Adequacy Schedule 1.20 Form B70 Large Exposures Schedule 1.21 Form B80 Liquidity Schedule – Maturity Mismatch 1.22 Form B90 Branch Return 1.23 Form B90 Appendix 1 Large Exposures - Branch 1.24 Form B120 Geographical Distribution of Assets and Liabilities 1.25 Form B130 Provisions for Impairment 1.26 Form B140 Exposures in Arrears 1.27 Form B150 Investment Activity Schedule 1.28 Form B160 Credit Activity Schedule 1.29 Form B170 Acceptance of Deposits Schedule 1.30 Form B180 Wealth Management Activity 1.31 Form B190 Asset Management, Custody & Trust Services 1.32 Form B200 Brokerage Activity 1.33 Form B210 Outward Remittances 1.34 Form B220 Inward Remittances 1.35 Form B230 Domestic Fund Activity 1.36 Form B240 Balances due from and due to Head Office, Own

Branches & Other Banks


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1.37 Form B260 Acting as a Trustee of a Fund and Fund Administration Activity

1.38 Form B270 Related Party Transactions 1.39 Internal Risk Assessment Process (IRAP) and Internal Capital Adequacy

Assessment Process (ICAAP)

2 PIB FORMS

Form B10 Balance Sheet Form B10 Appendix 1 Details of Non-Trading Book Assets Form B10 Appendix 2 Details of Counterparty Risk Exposures Form B10 Appendix 3 Market Risk in the Trading Book Form B10 Appendix 4 Calculation of the DCR Form B20 Balance Sheet – Islamic Financial Institutions Form B20 Appendix 1 Details of Non-Trading Book Assets - Self-Financed Form B20 Appendix 2 Details of Non-Trading Book Assets - PSIA Unrestricted

(“PSIAU”). Form B20 Appendix 3 Details of Non-Trading Book Assets - PSIA Restricted (“PSIAR”) Form B20 Appendix 4 Details of Counterparty Risk Exposures - Self-Financed Form B20 Appendix 5 Details of Counterparty Risk Exposures - PSIA Unrestricted

(“PSIAU”) Form B20 Appendix 6 Details of Counterparty Risk Exposures - PSIA Restricted

(“PSIAR”) Form B20 Appendix 7 Details of Market Risk in the Trading Book Form B20 Appendix 8 Calculation of the Displaced Commercial Risk (“DCR”) Form B20 Appendix 9 Analysis of Reserves Movement Form B30 Income Statement Form B40 Income Statement - Islamic Financial Institutions Form B50 Expenditure Based Capital Minimum Form B60 Capital Adequacy Schedule Form B70 Large Exposures Schedule Form B70 Appendix 1 Detail of Largest 25 Exposures Arising from Islamic Contracts Form B80 Liquidity Schedule – Maturity Mismatch Form B90 Branch Return Form B90 Appendix 1 Large Exposures – Branch Form B100 Declaration by Authorised Firm Form B120 Geographical Distribution of Assets and Liabilities Form B130 Provisions for Impairment Form B140 Exposures in Arrears Form B150 Investment Activity Schedule Form B160 Credit Activity Schedule Form B170 Acceptance of Deposits Schedule Form B180 Wealth Management Activity Form B190 Asset Management, Custody & Trust Services Form B200 Brokerage Activity Form B210 Outward Remittances Form B220 Inward Remittances Form B230 Domestic Fund Activity


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Form B240 Balances due from and due to Head Office, Own Branches & Other Banks

Form B260 Acting as a Trustee of a Fund and Fund Administration Activity Form B270 Related Party Transactions

3 INSTRUCTIONAL GUIDELINES 3.1 Form IN10 – Statement of Financial Position 3.2 Form IN20 – Statement of Capital Adequacy 3.3 Form IN30 – Statement of Financial Performance 3.4 Form IN40 – Statement of Premium Revenue and Reinsurance Expenses 3.5 Form IN50 – Statement of Claims Expense & Recovery Revenue 3.6 Form IN60 – Statement of Movements in Insurance Provisions 3.7 Form IN70 – Statement of Investment Income 3.8 Form IN80 – Statement of Acquisition Expenses 3.9 Form IN90 – Reconciliation to Financial Statements 3.10 Form IN100 – Summary Statement to Operations 3.11 Form IN110 – Reconciliation of Direct to Total Long-Term Insurance Business 3.12 Form IN120 – Statement of Direct Long-Term Insurance Business 3.13 Form IN130 – Statement of Direct Long-Term Insurance Liabilities 3.14 Form IN140 – Statement of Assets Covering Direct Linked Long-Term

Insurance Liabilities 3.15 Form IN150 – Statement of Assets Covering Non-Linked Long-Term Insurance

Liabilities and Minimum Capital Requirement 3.16 Form IN160 – Calculation of Direct Long-Term Insurance Element of Long-

Term Insurance Component 3.17 Form IN170 – Financial Group Capital Adequacy Report

4 PIN FORMS IN10 Statement of Financial Position IN20 Statement of Capital Adequacy IN30 Statement of Financial Performance IN40 Statement of Premium Revenue and Reinsurance Expenses IN50 Statement of Claims Expense & Recovery Revenue IN60 Statement of Movements in Insurance Provisions IN70 Statement of Investment Income IN80 Statement of Acquisition Expenses IN90 Reconciliation to Financial Statements IN100 Summary Statement to Operations IN110 Reconciliation of Direct to Total Long-Term Insurance Business IN120 Statement of Direct Long-Term Insurance Business IN130 Statement of Direct Long-Term Insurance Liabilities IN140 Statement of Assets Covering Direct Linked Long-Term Insurance Liabilities IN150 Statement of Assets Covering Non-Linked Long-Term Insurance Liabilities

and Minimum Capital Requirement IN160 Calculation of Direct Long-Term Insurance Element of Long- Term Insurance

Component IN170 Financial Group Capital Adequacy Report


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INTRODUCTION

Application

Guidance

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

2. Chapter 1 contains instructional guidelines in respect of the forms in Chapter 2. 3. Chapter 2 contains the forms referred to in PIB. 4. Chapter 3 contains instructional guidelines in respect of the forms in Chapter 4. 5. 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 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 phases are not also defined terms and, therefore, will not be defined in GLO, PIB or PIN.


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1 INSTRUCTIONAL GUIDELINES This chapter of PRU contains instructional guidelines for forms referred to in PIB. The instructional guidelines for each form are set out in the sections specified below:

1.1 Form B10 Balance Sheet 1.2 Form B10 Appendix 1 Details of Non-Trading Book Assets 1.3 Form B10 Appendix 2 Details of Counterparty Risk Exposures 1.4 Form B10 Appendix 3 Market Risk in the Trading Book 1.5 Form B10 Appendix 4 Calculation of the DCR 1.6 Form B20 Balance Sheet – Islamic Financial Institutions 1.7 Form B20 Appendix 1 Details of Non-Trading Book Assets - Self-Financed 1.8 Form B20 Appendix 2 Details of Non-Trading Book Assets - PSIA Unrestricted (“PSIAU”). 1.9 Form B20 Appendix 3 Details of Non-Trading Book Assets - PSIA Restricted (“PSIAR”) 1.10 Form B20 Appendix 4 Details of Counterparty Risk Exposures - Self-Financed 1.11 Form B20 Appendix 5 Details of Counterparty Risk Exposures - PSIA Unrestricted (“PSIAU”) 1.12 Form B20 Appendix 6 Details of Counterparty Risk Exposures - PSIA Restricted (“PSIAR”) 1.13 Form B20 Appendix 7 Details of Market Risk in the Trading Book 1.14 Form B20 Appendix 8 Calculation of the Displaced Commercial Risk (“DCR”) 1.15 Form B20 Appendix 9 Analysis of Reserves Movement 1.16 Form B30 Income Statement 1.17 Form B40 Income Statement - Islamic Financial Institutions 1.18 Form B50 Expenditure Based Capital Minimum 1.19 Form B60 Capital Adequacy Schedule 1.20 Form B70 Large Exposures Schedule 1.21 Form B80 Liquidity Schedule – Maturity Mismatch 1.22 Form B90 Branch Return 1.23 Form B90 Appendix 1 Large Exposures - Branch 1.24 Form B120 Geographical Distribution of Assets and Liabilities 1.25 Form B130 Provisions for Impairment 1.26 Form B140 Exposures in Arrears 1.27 Form B150 Investment Activity Schedule 1.28 Form B160 Credit Activity Schedule 1.29 Form B170 Acceptance of Deposits Schedule 1.30 Form B180 Wealth Management Activity 1.31 Form B190 Asset Management, Custody & Trust Services 1.32 Form B200 Brokerage Activity 1.33 Form B210 Outward Remittances 1.34 Form B220 Inward Remittances 1.35 Form B230 Domestic Fund Activity 1.36 Form B240 Balances due from and due to Head Office, Own Branches & Other

Banks 1.37 Form B260 Acting as a Trustee of a Fund and Fund Administration Activity 1.38 Form B270 Related Party Transactions 1.39 Internal Risk Assessment Process (IRAP) and Internal Capital Adequacy Assessment Process

(ICAAP)


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1.1 Instructional Guidelines – Form B10 – Balance Sheet

Purpose Form B10 – The Balance sheet is intended to reflect the financial position of an Authorised Firm at the end of the reporting period. Applicability This form is applicable to Authorised Firms categorised under prudential categories 1, 2, 3A, 3B, 3C and 4. This form is not applicable to Authorised Firms operating through a Branch in the DIFC and Authorised Firms managing Unrestricted PSIAs. Instead, Authorised Firms managing Unrestricted PSIAs should use form B20 and Branches should use form B90 along with the respective appendices. Content The form is designed to capture information pertaining to the Authorised Firm’s on-balance sheet and off-balance sheet assets, liabilities and shareholders’ equity at a given point in time. Structure of the form in EPRS B10 is presented as a single form. Instructional Guidelines

Item /

Section No. Item / Section Instructional Guidelines

On Balance sheet items B100_0110 Cash in hand &

Gold bullion Include, for example, the following amounts:

Notes and coins; and Long positions in Gold bullion (including Tola Bars).

B100_0120 Balances with the Central Banks

Amounts placed with central banks including funds required to be placed on deposit with central banks and monetary authorities.

B100_0130 Money market placements

Include Deposits on call and other money market placements with banks or other money market participants.

B100_0140 Treasury bills and other eligible bills

Treasury bills issued by national governments or by Central Banks on behalf of governments. Also include bills issued by other entities, which are eligible for rediscounting with the central bank.


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B100_0211 Derivative financial instruments

The assets reported here should include, but are not limited to, positions representing the following instruments, recorded at fair value:

Forward and Futures contracts in currencies, interest rates and other financial assets;

Forward rate agreements; Currency and interest rate swaps; Credit Derivatives; and Option contracts on currency, interest rate and other financial

assets. These Derivatives should include both the exchange-traded and over-the-counter versions. Derivatives held for hedging purposes should be included under section B100_030T.

B100_0212 Other Financial instruments (held for trading)

Include investments acquired principally for the purpose of selling or repurchasing them in the near term for short-term-profit-taking. This would include, but not be limited to, debt, equity and hybrid instruments.

B100_0220 Other financial instruments – Designated at fair value through profit and loss

Include all financial instruments which are, upon initial recognition, designated by the entity as financial assets to be measured at fair value through profit or loss other than the trading securities included in B100_0211 and B100_0212.

B100_0230 Available-for-sale Include non-Derivative financial assets that are designated as available for sale by the firm or that have not been classified under any of the other categories of investments.

B100_02401101.2.5

Held-to-maturity Include non-Derivative financial assets with fixed or determinable payments and fixed maturities that the firm has a positive intention and ability to hold to maturity.

B100_0310 and B100_0320

Derivatives – Hedge accounting -Fair value hedges -Cash flow hedges

Include all the Derivative instruments held for the purposes of hedging. Derivatives held for trading should be accounted for under B100_0211.

B100_040T Loans and advances Under this section include the amounts arising from, for example: Revolving credit facilities; Credit card outstanding balances; Housing loans (both variable and fixed rates); Term loans (both variable and fixed rates); The book value of assets leased out under finance lease agreements; Loans made under conditional hire purchase contracts; Advances purchased by or assigned to the reporting institutions,

factoring or similar arrangements; and Other loans and advances.

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


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The amounts reported should be gross of provisions (as specific and general provisions should be reported in the Liabilities section of the balance sheet) and net of interest receivable.

B100_0510 Murabaha and Istisna’a receivables

Report here all receivables relating to Murabaha and Istisna’a contracts. Refer to FAS 2 and FAS 10 of AAOIFI respectively.

B100_0520 Ijarah assets and receivables

Include Ijarah assets net of depreciation /amortisation and Ijarah receivables. Refer to FAS 8 of AAOIFI.

B100_0530 Mudaraba Financing Financing provided on a Mudaraba basis should be reported here. Refer to FAS 3 of AAOIFI.

B100_0540 Musharaka Financing

Report financing provided on a Musharaka basis. Refer to FAS 4 of AAOIFI. Investment in the Share capital of another company should be reported under “Other investments”, under B100_0550.

B100_0550 Other investments Include any other investments undertaken through Islamic Contracts, including Parallel Istisna’a assets (refer FAS 10 of AAOIFI) and capital provided on Salam contracts (refer FAS 7 AAOIFI).

B100_0700 Fixed assets Include, for example, the value of the following: Plant and equipment, the residual value of items leased out under an

operating lease (excluding balances relating to named Ijarah assets which should be included separately under B100_0520); and

Own premises being occupied or developed for occupation by the Authorised Firm, property (excluding property acquired / held available for sale which should be included in “Other Assets”, B100_0920).

The amounts reported here should be net of accumulated depreciation and amortisation.

B100_0810 Goodwill Include amounts relating to any purchased goodwill. B100_0820 Other intangible

assets Included, for example:

Capitalised development costs; Brand names, trademarks and similar rights; and Licences and exchange seats which may be held as part of the

Authorised Firm’s trading requirement. Off Balance sheet items

B100_1010 Direct credit substitutes

These relate to the financial requirements imposed by a Counterparty where the risk of loss to the Authorised Firm on the Transaction is equivalent to that arising from a direct claim on the Counterparty. The indicative examples of items to be Included here are Guarantees of a financial nature to stand behind the current obligations

of Clients (e.g. loan guarantees); Guarantees of leasing operations; Letters of credit and Stand-by letters of credit to the extent that they

do not qualify for inclusion in item B100_1030 “Trade related contingents” below;

Guarantees of a capital nature such as undertakings given to a non-bank financial company which are considered as capital by the appropriate regulatory body. Guarantees given to a company not connected to the reporting institution should be risk weighted at 100%


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and those for connected companies should be deducted from the reporting institution’s capital base; and

Acceptances granted and risk participation in bankers’ acceptances. Where the Authorised Firm’s own acceptances have been discounted by that institution the nominal value of the bills held should be deducted from the nominal amount of the bills issued under the facility and a corresponding on-balance sheet entry made.


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B100_1020 Transaction related contingents

These Exposures relate to the on-going trading activities of a Counterparty where the risk of loss to the Authorised Firm depends on the likelihood of a future event which is independent of the creditworthiness of the Counterparty. They are essentially guarantees that support particular non financial obligations rather than a Client’s financial obligations. Include here: Advance payment guarantees; and Performance bonds including bid or tender bonds, warranties and

indemnities (indemnities given for lost Share certificates or bills of lading and guarantees of the validity of papers rather than of payment under certain conditions should be reported here);

Stand-by letters of credit relating to a particular contract or to non-financial Transactions (including arrangements backing, inter alia, subcontractors’ and supplier’s performance, labour and materials, contracts and construction tenders / bids).

B100_1030 Trade related contingents

Report short term self-liquidating trade related items such as documentary letters of credit issued by the Authorised Firm that are collateralised by the underlying shipment i.e. the credit provides for the Authorised Firm to retain title to the underlying shipment. letters of credit issued without provision for the Authorised Firm to retain title to the underlying shipment should be reported under direct credit substitutes above.

B100_1040 Sale and Repurchase Agreements

In this item, report only the sale and repurchase agreements where the asset sold is not reported on the balance sheet. Where the asset is off-balance sheet, the appropriate Counterparty weighting is determined by the issuer of the security and not according to the Counterparty with whom the Transaction has been undertaken.

B100_1050 Forward Assets Purchases

The appropriate Counterparty weighting should be determined by the asset to be purchased and not the Counterparty with whom the contract has been entered into. Include commitments for loans and other on-balance sheet items with definitive drawdown schedules. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.

B100_1060 Forward Deposits Placed

Relates to agreements between two parties whereby one will pay and the other receive an agreed rate of interest on a Deposit to be placed by one with the other at some pre-determined rate in the future. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.

B100_1070 Uncalled partly- paid shares and securities

Include under this item calls with specific dates. If there is no specific date for a call, the item should be included as a long term commitment under item no. B100_1122 “Other Commitments”.

B100_1080 NIF’s and RUF’s Note issuance and revolving underwriting facilities should include the Authorised Firm’s underwriting obligations of any maturity. Where the facility has been drawn down by the borrower and the notes are held by someone other than the Authorised Firm, the underwriting obligation should continue to be reported at the nominal amount.

B100_1090 Endorsement of Bills These should be reported at the full nominal amount, less any amount for bills which the Authorised Firm currently holds but had previously


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endorsed. B100_1111 & B100_1122

Other commitments All other undrawn commitments are to be reported here, divided into commitments of maturity under and over one year.

B100_1110 Assets funded by restricted PSIAs

Total amount of assets managed under Restricted PSIA by the Authorised Firm.

B100_210T Deposits In this section, identify and report Deposits due to banks and Financial Institutions in item no B100_2110. All other Deposits are to be reported as Deposits due to other Clients - item no B100_2120.

B100_2310 Provisions for bad and doubtful debts

All specific and general provisions in respect of all assets, including loans and advances and other receivables should be reported under this section. Exclude provisions against Islamic Contracts which should be reported in item no B100_2640.

B100_2400 Derivative financial instruments – held for trading

The indicative examples of liabilities to be reported under this item include, but are not limited to, liabilities arising out of positions representing the following instruments, recorded at fair value:



assets. This item includes both exchange-traded and over-the-counter Derivatives. Also include under this item other trading liabilities.

B100_260T Liabilities arising from Islamic Contracts

Liabilities arising from Islamic Contracts include advances received against Salam contracts (defined in Para 3 and 19 of FAS 7 issued by AAOIFI and Ijarah investment payables (refer to FAS 8 of AAOIFI). Report any provisions against Islamic Contracts in item B100_2640.

B100_3100 Liabilities relating to Restricted PSIA

Include under this section, off-balance sheet liabilities related to restricted PSIA investments.

B100_4110 Ordinary Shares Include in respect of this item the amount of ordinary Share capital issued, reported at nominal paid up value. Do not report the unpaid element of partly paid Shares or authorised but unissued Share capital. Authorised Firms should exclude holdings in their own Shares.

B100_4120 Preference Shares Report the value of the preference Shares issued, which rank above ordinary Shares in the event of liquidation.

B100_4130 Partnership Capital and other

Include here other types of equity which have the same properties of permanent Share capital. This could include partnership capital accounts, capital items for unincorporated associations etc.

B100_4200 Share premium account

Any amounts received by the Authorised Firm in excess of the nominal paid up value.

B100_4310 Asset revaluation reserve

Include in this item, reserves arising from the revaluation of assets for which it has been necessary to set up this reserve.


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B100_4320 Goodwill reserve Include reserves arising from purchased goodwill or other situations for which it has been necessary to set up this or any other reserve.

B100_4330 Investment Risk reserve

Prudential category 5 Authorised Firms should include in respect of this item the amount that is appropriated out of the income of investment account holders, after allocating the Mudarib share, in order to meet future losses attributable to investment account holders. Refer also to FAS 11 of AAOIFI.

B100_4340 Profit Equalisation Reserve

Prudential category 5 Authorised Firms should include in respect of this item the amount appropriated out of the Mudaraba income, before allocating the Mudarib share, in order to maintain a certain level of investment returns for investment account holders and to increase owners’ equity. Refer also to FAS 11 of AAOIFI.

B100_4350 General Reserve Include here all the reserves which have not been reported under any of the above categories in the section “Reserves” – B100_430T.

B100_430T Total Reserves This is calculated by EPRS and is calculated by adding the items. B100_4310 + B100_4320 + B100_4330 + B100_4340+ B100_4350.

B100_4500 Minority Interests Report amounts attributable to minority shareholders from the overall equity figure.

B100_400T Total shareholders’ equity

This is calculated by EPRS as the sum of items B100_430T, B100_410T, B100_4200 and B100_4400 less B100_4500.

B100_500T Total liabilities and shareholders’ equity

This is calculated by the EPRS as the sum of items B100_200T and B100_400T.


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1.2 Instructional Guidelines – Form B10 – Appendix 1 – Details of Non-Trading Book Assets Purpose Form B10A1 is intended to capture the information regarding the calculation of risk weighted assets (“RWA”) in the Non-Trading Book of an Authorised Firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms, and are categorised under prudential categories 1, 2, and 3A. This form is not applicable to Authorised Firms operating through a Branch in the DIFC. Content The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book of an Authorised Firm and calculate the applicable capital charge. Structure of the form in EPRS B10A1 consists of following three linked forms

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

Accordingly, all on-balance sheet items should be analysed in the first linked form, off balance sheet items in the second linked form, and Securitisation Exposures in the third linked form. The main form has the links to the three linked forms and also displays the total RWA calculated by each of the linked forms. The main form also calculates the total Non-Trading Book Risk Weighted Asset (NTB RWA) and the CRCOM applicable to the Authorised Firm.

Instructional Guidelines:

1. In order to complete this Form Authorised Firms should refer to the detailed Rules and guidance

set out in PIB Chapter 4 and Appendix 4 to understand the rationale behind risk weighting of assets in the NTB and the relevant Rules for risk weighting.

2. Form B10A1 is a simple form requiring the Authorised Firm to report its total on-balance sheet Exposures ‘E’ into each of the Credit Risk Weight % buckets. The Form will automatically calculate the RWA. Firms should complete the categorisation of Credit Risk Exposures in


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accordance with PIB 4.10 before reporting the total Exposures ‘E’ in the second column of the Form.

3. PIB Section A4.10 contains detailed Rules on classifying Credit Risk Exposures (“CR

Exposures”) and section 4.12 contains detailed Rules for the application of Risk Weights for each category of CR Exposure. If an Authorised Firm is uncertain as to where to classify a particular Exposure, it should contact the DFSA for guidance.

4. Detailed guidance is provided at PIB section 4.9 in order to calculate the value of E to be reported in this Form. E should be reported net of any individual impairment and incorporating any changes required to incorporate the effect of acceptable Credit Risk mitigations as set out in PIB section 4.13.

5. On-balance sheet items Form: Analyse each of the on-balance sheet items and classify them into various risk weight categories as per the applicable PIB Rules referred above. The applicable risk weight categories are listed for each of the asset groups at PIB 4.12. The total value of assets classified into a particular risk weight category should be entered in the second column – titled “Exposure - E”, against the respective risk weight percentages.

6. Off-balance sheet items Form: The second linked form which deals with off-balance sheet items

provides for entry of the aggregate amount of off-balance sheet items classified into categories representing a specific Credit Conversion Factor (“CCF”). Each CCF is dealt with in a separate table. All the off-balance sheet items should be analysed and classified on the basis of the CCF applicable to them in accordance with PIB A4.2. These are then analysed and classified into the various risk weights as per the Rules in PIB Section 4.12 and in line with the guidance provided above. The aggregate Non-Trading Book amount for that particular CCF is then classified in to those pertaining to different risk weight categories. The RWA is calculated automatically by the form.

7. Securitisation Exposure Form – this form has two further linked forms. The first Form sets out

details of the Securitisation Exposures (“SE”). Details of the calculation of SE are set out in detail in PIB 4.8.4. Authorised Firms are required to report total Exposures (SE) in the second column corresponding to the appropriate risk weight as determined by PIB section 4.14.

8. The second linked form calculates the RWA for securitisations with early amortisation provisions.

This form has purposely been left in free form as the Authorised Firm will be required to manually calculate both its investors interest and the applicable RWA. The applicable Rules for the calculation of these provisions are set out at PIB section 4.14.51.

9. Capital charge on the Non-Trading Book assets (i.e. CRCOM) is derived by multiplying the sum

of risk weighted assets from the Non-Trading Book by 10%. The main form of B10A1 indicates the total Non-Trading Book risk weighted assets and the resultant CRCOM. CRCOM thus calculated is used in Form B60 for the purposes of calculating capital adequacy.


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1.3 Instructional Guidelines – Form B10 – Appendix 2 – Details of Counterparty Risk Exposures Purpose Form B10A2 is intended to capture the details regarding the Counterparty Risk of an Authorised Firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms, and are categorised under prudential categories 1, 2, and 3A. This form is not applicable to Authorised Firms operating through a Branch in the DIFC. Content The form is designed to capture the data on Counterparty Risk Exposures arising from Unsettled Transactions, OTC Derivative trades, Securities Financing Transactions and Deferred Settlement Transactions included in the trading and Non-Trading Book of an Authorised Firm. The form enables the calculation of amount at risk, weighted amount and the applicable Capital Requirement for Counterparty Risk. Structure of the form in EPRS B10A2 consists of four linked forms covering the main sections of this form dealing with “Counterparty Risk on Unsettled Transactions RWA”, “OTC Derivatives RWA”, ”Securities Financing Transactions RWA” and “Deferred Settlement Transactions RWA”. In each of the linked forms, “Exposure” and other information required are to be provided in the respective columns and the weighted amounts are calculated as per the applicable Risk Weight and multiplier, where it applies. The total Risk Weighted Assets for Counterparty Risk reported in the linked forms will be displayed as a result on the main form. Instructional Guidelines 1. The details for calculating the Exposures on these risks are set out in PIB Sections A4.6 – A4.8 of

the DFSA Rulebook.

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


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1.4 Instructional Guidelines – Form B10 – Appendix 3 – Market Risk in

the Trading Book Purpose Form B10A3 is intended to capture information on capital charges applicable to market risk Exposures in the Trading Book of an Authorised Firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms categorised under prudential categories 1 and 2. This form is not applicable to Authorised Firms operating through a Branch in the DIFC, Islamic Financial Institutions IFIs and Authorised Firms managing PSIAs. Content The form is designed to enable Authorised Firms to report the capital charges applicable to the various elements of market risk Exposures in their Trading Book and the resultant capital charge for market risk i.e. Market Risk Capital Requirement Structure of the form in EPRS B10A3 is presented as a single form in the EPRS.

Instructional Guidelines

Item No. Item Instructional Guidelines B103_1100, B103_1200, B103_1400, B103_1500, B103_1600 B103_1700

Various components of Market Risk Capital Requirement

Detailed Rules and Guidance in respect of the Market Risk Capital Requirement and each of its components are contained in chapter 5 of the PIB module. Total of Market Risk Capital Requirement reflected in this form is transferred to form B60 and shown in B600_2630 – Market Risk Capital Requirement. The DFSA acknowledges that even for Authorised Firms with relatively straightforward Exposures on the trading books, the underlying calculations for various market risks can be detailed and complex. The DFSA requires Authorised Firms to report only the summary capital charge for various elements of market risk recognised in the Rules under PIB Chapter 5 of the DFSA Rulebook. However, the DFSA expects Authorised Firms to maintain detailed audit trails that substantiate the


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capital charges reported in this form. Authorised Firms are also reminded that they should make this information available for review as and when required. In the event of any uncertainty, Authorised Firms are advised to contact their supervisor for clarity. Authorised Firms are expected to review the material set out Appendix 5 of the PIB module with care given the multiplicity of methods that can be used to calculate the capital requirement on Interest Rate Risk, Equity Risk, FX Risk, Commodities Risk, Options Risk, Securities Underwriting Risk and Collective Investment Fund Risk.

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


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1.5 Instructional Guidelines – Form B10 – Appendix 4 – Calculation of the DCR

Purpose Form B10A4 is intended to reflect the data on different elements of an Authorised Firm’s Displaced Commercial Risk (DCR) Capital Requirement.. Applicability This form is applicable to Authorised Firms falling under prudential category 5. Note that the DCR only applies in respect of Unrestricted PSIA accounts. Content The form is designed to capture the credit and market risk capital requirements pertaining to the assets of both restricted and Unrestricted PSIA PSIA accounts and calculate the Displaced Commercial Risk capital charge in respect of the PSIAs managed by an Authorised Firm as per applicable PIB Rules. Structure of the form in EPRS The form does no allow any manual data entry. The values required for completion of this form are directly sourced from the detailed appendices relating to CRCOM, Counterparty Risk Capital Requirement and Market Risk Capital Requirement pertaining to the restricted and Unrestricted PSIA businesses (Appendices B20A2, B20A3, B20A5, B20A6 and B20A7 respectively) that precede this form. So, Authorised Firms are advised to complete the appendices referred above before attempting to complete this form.

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

Item No. Item Instructional Guidelines B104_010T PSIACOM Credit PSIACOM Credit comprised CRCOM and CPCOM calculated on

PSIA assets. It is the sum of item nos. [B104_0110 and B104_0120] below.

B104_0110 CPCOM CPCOM for PSIAU comes from Form B20A5.

B104_0120 CRCOM CRCOM for PSIAU comes from Form B20A2.


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B104_025T PSIACOM Market The figures for PSIACOM Market are all derived from Form B20A7. B104_000T Calculation of DCR DCR represents (PSIACOM Credit +PSIACOM Market) * 35%. This

figure is transferred to Form B60, item no. B104_000T.


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1.6 Instructional Guidelines – Form B20 – Balance Sheet – Islamic Financial Institutions

Purpose Form B20 – Balance sheet is intended to capture the financial position of an Islamic Financial Institution (“IFI”) at the end of the reporting period. Applicability This form is applicable to Authorised Firms categorised under prudential category 5. Content The form is designed to capture information pertaining to the Authorised Firm’s on-balance sheet and off-balance sheet assets, liabilities and shareholders’ equity at a given point in time. The form enables reporting of assets and liabilities pertaining to the Restricted and Unrestricted PSIA accounts separately, apart from presenting the balance sheet of the IFI. Structure of the form in EPRS The form is split into two linked forms. The first linked form is intended to capture information pertaining to assets and liabilities on the Authorised Firm’s own balance sheet which are its self-financed business and the assets and liabilities of Unrestricted PSIAs managed by the Authorised Firm. The second linked form is designed to capture information pertaining to the assets of Restricted PSIAs managed by the Authorised Firm. Instructional Guidelines The form enables effectively three sets of returns on balance sheet information for Authorised Firms using this form. Whilst AAOIFI permits Unrestricted PSIA assets to be commingled with self financed assets for balance sheet reporting purposes, the need to maintain separate records for each asset class is paramount. Restricted PSIA assets and liabilities cannot be commingled with the former and should be reported off balance sheet. In the event of any uncertainty, Authorised Firms are required to consult with the DFSA to obtain the necessary clarity.

Item No Item Instructional Guidelines

B100_0110 Cash in hand & Gold bullion

Include, for example, the following amounts: Notes and coins; and Long positions in Gold bullion (including Tola Bars).

B100_0120 Balances with the Central Banks

Amounts placed with central banks including funds required to be placed on Deposit with central banks and monetary authorities.

B100_0130 Money market placements

Include Deposits at call and other money market placements with banks or other money market participants.


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B100_0140 Treasury bills and other eligible bills

Treasury bills issued by the national governments or by the Central banks on behalf of the governments. Also include bills issued by other entities, which are eligible for rediscounting with the central bank.

B100_0211 Derivative financial instruments

The assets reported here should include, but are not limited to, positions representing the following instruments, recorded at fair value:



assets. These Derivatives include both the exchange-traded and over-the-counter versions. Derivatives held for hedging purposes should be included under section B100_030T.

B100_0212 Other financial instruments (held for trading)

Include investments acquired principally for the purpose of selling or repurchasing them in the near term for short-term-profit-taking. This would include but not limited to, debt, equity and hybrid instruments

B100_0220 Other financial instruments designated at fair value through profit and loss

Include all financial instruments which are, upon initial recognition, designated by the entity as financial assets to be measured at fair value through profit or loss other than the trading securities included in B100_0211 and B100_0212.

B100_0230 Available-for-sale Include non-Derivative financial assets that are designated as available for sale by the firm or that have not been classified under any of the other categories of investments.

B100_0240 Held-to-maturity Include non-Derivative financial assets with fixed or determinable payments and fixed maturity that the firm has positive intention and ability to hold to maturity.

B100_040T Loans and advances Under this section include the amounts arising from, for example: Revolving credit facilities; Credit cards outstanding balances; Housing loans (both variable and fixed rates); Term loans (both variable and fixed rates); The book value of assets leased out under finance lease agreements; Loans made under conditional hire purchase contracts; Advances purchased by or assigned to the reporting institutions,

factoring or similar arrangements; and Other loans and advances.

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

The amounts reported should be gross of provisions (as specific and general provisions should be reported in the liabilities section of the balance sheet)


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and net of interest receivable.B100_0510 Murabaha and

Istisna’a receivables Report here all receivables relating to Murabaha and Istisna’a contracts. Refer to FAS 2 and FAS 10 of AAOIFI respectively.

B100_0520 Ijarah assets and receivables

Include Ijarah assets net of depreciation / amortisation and Ijarah receivables. Refer to FAS 8 of AAOIFI.

B100_0530 Mudaraba Financing Financing provided on a Mudaraba basis should be reported here. Refer to FAS 3 of AAOIFI.

B100_0540 Musharaka Financing

Report financing provided on a Musharaka basis. Refer to FAS 4 of AAOIFI. Investment in the Share capital of another company should be reported under “Other investments”, under B100_0550.

B200_0550 Salam Financing provided on Salam contract should be reported here. Refer to FAS 7 of AAOIFI.

B200_0560 Parallel Istisna’a Parallel Istisna’a receivables / assets should be reported here. Refer to FAS 10 of AAOFI.

B100_0550 Other investments Include any other investments undertaken through Islamic Contracts, including Parallel Istisna’a assets (refer FAS 10 of AAOIFI) and capital provided on Salam contracts (refer FAS 7 AAOIFI).

B100_0700 Fixed assets Include, for example, the value of the following: Plant and equipment, the residual value of items leased out under an

operating lease (excluding balances relating to named Ijarah assets which should be included separately under B100_0520); and

Own premises being occupied or developed for occupation by the Authorised Firm, and property (excluding property acquired / held available for sale which should be included in “Other Assets”, B100_0920).

The amounts reported here should be net of accumulated depreciation and amortisation.

B100_0810 Goodwill Include amounts relating to any purchased goodwill. B100_0820 Other intangible

assets Include, for example:

Capitalised development costs; Brand names, trademarks and similar rights; and Licences and exchange seats which may be held as part of the

Authorised Firm’s trading requirement. Off Balance sheet items

B100_1010 Direct credit substitutes

These relate to the financial requirements of Counterparty where the risk of loss to the Authorised Firm on the Transaction is equivalent to that arising from a direct claim on the Counterparty. The indicative examples of items to be Included here are Guarantees of a financial nature to stand behind the current obligations

of Clients (e.g. loan guarantees); Guarantees of leasing operations; Letters of credit and Stand-by letters of credit to the extent that they

do not qualify for inclusion in item B100_1030 “Trade related contingents” below;

Guarantees of a capital nature such as undertakings given to a non-bank financial company which are considered as capital by the appropriate regulatory body. Guarantees given to a company not


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connected to the reporting institution should be risk weighted at 100% and those for connected companies should be deducted from the reporting institution’s capital base; and

Acceptances granted and risk participation in bankers’ acceptances. Where the Authorised Firm’s own acceptances have been discounted by that institution the nominal value of the bills held should be deducted from the nominal amount of the bills issued under the facility and a corresponding on-balance sheet entry made.

B100_1020 Transaction related contingents

These Exposures relate to the on-going trading activities of a Counterparty where the risk of loss to the Authorised Firm depends on the likelihood of a future event which is independent of the creditworthiness of the Counterparty. They are essentially guarantees that support particular non financial obligations rather than a Client’s financial obligations. Include here: Advance payment guarantees; and Performance bonds including bid or tender bonds, warranties and

indemnities (indemnities given for lost Share certificates or bills of lading and guarantees of the validity of papers rather than of payment under certain conditions should be reported here).

Stand-by letters of credit relating to a particular contract or to non-financial transactions (including arrangements backing, inter alia, subcontractors’ and supplier’s performance, labour and materials, contracts and construction tenders / bids).

B100_1030 Trade related contingents

Report short term self-liquidating trade-related items such as documentary letters of credit issued by the Authorised Firm that are collateralised by the underlying shipment i.e. the credit provides for the Authorised Firm to retain title to the underlying shipment. letters of credit issued without provision for the Authorised Firm to retain title to the underlying shipment should be reported under direct credit substitutes above.

B100_1040 Sale and Repurchase Agreements

In this item, report only the sale and repurchase agreements where the asset sold is not reported on the balance sheet. Where the asset is off-balance sheet, the appropriate Counterparty weighting is determined by the issuer of the security and not according to the Counterparty with whom the Transaction has been undertaken.

B100_1050 Forward Assets Purchases

The appropriate Counterparty weighting should be determined by the asset to be purchased and not the Counterparty with whom the contract has been entered into. Include commitments for loans and other on-balance sheet items with definitive drawdown schedules. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.

B100_1060 Forward Deposits Placed

Relates to agreements between two parties whereby one will pay and the other receive an agreed rate of interest on a Deposit to be placed by one with the other at some pre-determined rate in the future. Exclude foreign currency spot Deposits with value date of up to two business days after trade date.

B100_1070 Uncalled partly-paid shares and securities

Only include here if there is a specific date for a call. If there is no specific date for a call, the item should be included as a long term commitment


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under item no. B100_1122 “Other Commitments”. B100_1080 NIF’s and RUF’s Note issuance and revolving underwriting facilities should include the

Authorised Firm’s underwriting obligations of any maturity. Where the facility has been drawn down by the borrower and the notes are held by someone other than the Authorised Firm, the underwriting obligation should continue to be reported at the nominal amount.


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B100_1090 Endorsement of Bills These should be reported at the full nominal amount, less any amount for bills which the Authorised Firm currently holds but had previously endorsed.

B100_1111 & B100_1122

Other Commitments All other undrawn commitments are reportable here, divided into commitments under and over one year.

B100_000T to B100_100T

Assets funded by restricted PSIAs

The methodology for calculating Exposures financed by PSIAs are, in principle, no different to calculating Exposures for a reporting institution’s self-financed assets. All the Instructional Guidelines above apply in their entirety unless stated otherwise.

B100_210T Deposits In this section, identify and report Deposits due to banks and Financial Institutions in item no B100_2110. All other Deposits are to be reported as Deposits due to other Clients - item no B100_2120.

B100_230T Provisions All specific and general provisions in respect of all assets, including loans and advances and other receivables should be reported under this section. Exclude provisions against Islamic Contracts which should be reported in item no B100_2640.

B100_260T Liabilities arising from Islamic Contracts

Liabilities arising from Islamic Contracts include advances received against Salam contracts (defined in Para 3 and 19 of FAS 7 issued by AAOIFI and Ijarah investment payables (refer to FAS 8 of AAOIFI). Report any provisions against Islamic Contracts in item B100_2640.

Off balance sheet liabilities

Liabilities relating to Restricted PSIA

Include under this section, off-balance sheet liabilities related to restricted PSIA investments.

B100_4110 Ordinary Shares Include in respect of this item the amount of ordinary Share capital issued, reported at nominal paid up value. Do not report the unpaid element of partly paid shares or authorised but unissued Share capital. Authorised Firms should exclude holdings in their own shares.

B100_4120 Preference Shares Report the value of the preference shares issued, which rank above ordinary shares in the event of liquidation.

B100_4130 Partnership Capital and other

Include here other types of equity which have the same properties of permanent Share capital. This could include partnership capital accounts, capital items for unincorporated associations etc.

B100_4200 Share premium account

Any amounts received by the Authorised Firm in excess of the nominal paid up value.

B100_4310 Asset revaluation reserve

Include in this item, reserves arising from the revaluation of assets for which it has been necessary to set up this reserve.

B100_4320 Goodwill reserve Include reserves arising from purchased goodwill or other situations for which it has been necessary to set up this or any other reserve.

B100_4330 Investment Risk reserve

Prudential category 5 Authorised Firms should include in respect of this item the amount that is appropriated out of the income of investment account holders, after allocating the Mudarib share, in order to meet future losses attributable to investment account holders. Refer also to FAS 11 of AAOIFI.

B100_4340 Profit Equalisation reserve

Category 5 Authorised Firms should include in respect of this item the amount appropriated out of the Mudaraba income, before allocating the


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Mudarib share, in order to maintain a certain level of investment returns for investment account holders and to increase owners’ equity. Refer also to FAS 11 of AAOIFI.

B100_430T Total Reserves This is calculated by the EPRS and is calculated by adding the items. B100_4310 + B100_4320 + B100_4330 + B100_4340+ B100_4350.

B100_4500 Minority Interests Report amounts attributable to minority shareholders from the overall equity figure.

B100_400T Total shareholders’ equity

This is calculated by the EPRS as the sum of items B100_430T, B100_410T, B100_4200 and B100_4400 less B100_4500.

B100_500T Total liabilities and shareholders’ equity

This is calculated by the EPRS as the sum of items B100_200T and B100_400T.


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1.7 Instructional Guidelines – Form B20 – Appendix 1 – Details of Non-Trading Book Assets - self-financed

Purpose Form B20A1 is intended to capture the details regarding the calculation of risk weighted assets in respect of the self-financed assets in the Non-Trading Book (“NTB”) of an Authorised Firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window. Content The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book and the applicable capital charge. Structure of the form in EPRS B20A1 consists of following three linked forms

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

Accordingly, all on balance sheet items should be analysed in the first linked form, off balance sheet items in the second linked form, and securitisation Exposures in the third linked form. The main form has the links to the three linked forms and also displays the total RWA calculated by each of the linked forms. The main form also calculates the total Non-Trading Book Risk Weighted Asset (NTB RWA) and the CRCOM applicable to the Authorised Firm.


1. In order to complete this form Authorised Firms should refer to the detailed Rules and guidance

set out in PIB Chapter 4 and Appendix 4 to understand the rationale behind risk weighting of assets in the NTB and the relevant Rules for risk weighting.

2. Form B10A1 is a simple form requiring the Authorised Firm to report its total on-balance sheet

Exposures ‘E’ into each of the Credit Risk Weight % buckets. The form will automatically


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calculate the RWA. Firms should complete the categorisation of Credit Risk Exposures in accordance with PIB 4.10 before reporting the total Exposures ‘E’ in the second column of the form.

3. PIB Section A4.10 contains detailed Rules on classifying Credit Risk Exposures (“CR

Exposures”) and Section 4.12 contains detailed Rules for the application of Risk Weights for each category of CR Exposure. If an Authorised Firm is uncertain as to where to classify a particular Exposure, it should contact the DFSA to obtain this clarity.

4. Detailed guidance is provided at PIB section 4.9 in order to calculate the value of E to be reported

in this form. E should be reported net of any individual impairment and incorporating any changes required to incorporate the effect of acceptable Credit Risk mitigations as set out in PIB section 4.13.

5. On balance sheet items form: Analyse each of the on-balance sheet items and classify them into

various risk weight categories as per applicable PIB Rules referred to above. The applicable risk weight categories are listed for each of the asset groups in PIB 4.12. The total value of assets classified into a particular risk weight category should be entered in the second column – titled “Exposure - E”, against the respective risk weight percentages.

6. Off-balance sheet items form: The second linked form which deals with off-balance sheet items

provides for entry of the aggregate amount of off-balance sheet items classified into categories representing a specific Credit Conversion Factor (“CCF”). Each CCF is dealt with in a separate table. All the off-balance sheet items should be analysed and classified on the basis of the CCF applicable to them in accordance with PIBA4.2. These are then analysed and classified into various risk weights as per Rules in PIB Section 4.12 and in line with the guidance provided above. The aggregate NTB amount for that particular CCF is then classified in to those pertaining to different risk weight categories. The RWA is calculated automatically by the form.

7. Securitisation Exposure form – this form has two further linked forms. The first form sets out details of the Securitisation Exposures (“SE”). Details of the calculation of SE are set out in detail in PIB 4.8.4. Authorised Firms are required to report total SE in the ‘Exposure –E’ column corresponding to the appropriate risk weight as determined by PIB section 4.14.

8. The second linked form calculates the RWA for securitisations with early amortisation provisions.

This form has purposely been left in free form as the Authorised Firm will be required to manually calculate both its investors interest and the applicable RWA. The applicable Rules for the calculation of these provisions are set out at PIB section 4.14.51.

9. Capital Requirement for Non-Trading Book Assets (i.e. CRCOM) is derived by multiplying the

sum of Risk Weighted Assets from the NTB by 10%. The main form of B10A1 indicates the total Non-Trading Book risk weighted assets and the resultant CRCOM. CRCOM thus calculated is used in Form B60 for the purposes of calculating capital adequacy.


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1.8 Instructional Guidelines – Form B20 – Appendix 2 – Details of Non-Trading Book Assets - PSIA Unrestricted (“PSIAU”).

Purpose Form B20A2 is intended to capture the details regarding the calculation of risk weighted assets in respect of the PSIAU assets in the Non-Trading Book of an Authorised Firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window. Content The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book and the applicable capital charge which is essential for calculation of the DCR capital requirement. Structure of the form in EPRS This form is identical to the form B20A1 in EPRS. Instructional Guidelines 1. All the Instructional Guidelines provided for form B20A1 are applicable to this form also.

However, this form is meant only for Exposures relating to assets funded by PSIAU investments. 2. Note that the Capital Requirement for Non-Trading Bool assets figure as calculated in this form is

transferred to Form B20A8, item no B104_0120.


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1.9 Instructional Guidelines – Form B20 – Appendix 3 – Details of Non-Trading Book Assets - PSIA Restricted (“PSIAR”) Purpose Form B20A3 is intended to capture the details regarding the calculation of risk weighted assets in respect of the PSIAR assets in the Non-Trading Book of an Authorised Firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 who are managing PSIAs within an Islamic Window. Content The form is designed to capture the details regarding the risk weighted assets on the Non-Trading Book and the applicable capital charge which is essential for calculation of the DCR capital requirement. Structure of the form in EPRS This form is identical to the form B20A1 in EPRS.


1. All the Instructional Guidelines provided for form B20A1 are applicable to this form also.

However, this form is meant only for Exposures relating to assets funded by the PSIAR investments.

2. Note that the Capital Requirement for Non-Trading Book Assets figure as calculated in this form

is transferred to Form B20A8, item no B104_0120.


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1.10 Instructional Guidelines – Form B20 – Appendix 4 – Details of Counterparty Risk Exposures - Self-financed

Purpose Form B20A4 is intended to capture the details regarding Counterparty Risk Exposures of an Authorised Firm, particularly those arising from Exposures self-financed by the firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window. Content The form is designed to capture the data on Counterparty Risk Exposures arising from Unsettled Transactions, OTC Derivative trades, securities financing transactions and deferred settlement transactions included in the Trading Book and Non-Trading Book of an Authorised Firm. The form enables the calculation of amount at risk, weighted amount and the applicable Capital Requirement for Counterparty Risk. Structure of the form in EPRS B20A4 consists of four linked forms covering the four main sections of this form dealing with “Counterparty Risk on Unsettled Transactions RWA”, “OTC Derivatives RWA”, Securities Financing Transactions RWA and “Deferred Settlement Transactions RWA”. In each of the linked forms, the amount of “Exposure” and other information required are to be provided in the respective columns and the weighted amounts are calculated as per the applicable risk weights and multiplier where it applies. The total Risk Weighted Assets for Counterparty Risk reported in the linked forms will be displayed as a result on the main form.

Instructional Guidelines 1. This form is restricted to calculating the risk weighted capital charge for self financed assets

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

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


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1.11 Instructional Guidelines – Form B20 – Appendix 5 – Details of Counterparty Risk Exposures - PSIA Unrestricted (“PSIAU”)

Purpose Form B20A5 is intended to capture the details regarding the Counterparty Risk Exposures of an Authorised Firm, particularly those arising from EExposures funded by the PSIAU funds. Applicability This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window. Content & Structure of the form in EPRS This form is identical to the form B20A4 in respect of its content and structure in EPRS. Instructional Guidelines All the Instructional Guidelines provided for form B20A4 are applicable to this form also. However, this form is meant only for Exposures relating to assets funded by the PSIAU investments. Note that the Capital Requirement for Counterparty Risk figure as calculated in this form is transferred to Form B20A8, item no B104_0110.


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1.12 Instructional Guidelines – Form B20 – Appendix 6 – Details of Counterparty Risk Exposures - PSIA Restricted (“PSIAR”)

Purpose Form B20A6 is intended to capture the details regarding the Counterparty Risk Exposures of an Authorised Firm, particularly those arising from Exposures funded by the PSIAR. Applicability This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window. Content & Structure of the form in EPRS This form is identical to the form B20A4 in respect of its content and structure in EPRS.


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


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1.13 Instructional Guidelines – Form B20 – Appendix 7 – Details of Market Risk in the Trading Book

Purpose Form B20A7 is intended to capture the details regarding the market risk in the Trading Book of an Authorised Firm. Applicability This form is applicable to Authorised Firms which are Domestic Firms and are categorised under prudential category 5. It is also applicable to Authorised Firms which are Domestic Firms classified under prudential category 1 and involved in managing PSIAs within an Islamic Window. Content The form is designed to enable Authorised Firms to report the capital charges applicable to the various elements of market risk ExposureExposures in their Trading Book and the resultant capital charge for market risk. Structure of the form in EPRS The form is split into two linked forms namely, “Interest Rate Risk Capital Requirement” and “All Other Risks”. Instructional Guidelines

1. The first linked form (“Interest Rate Risk Capital Requirement”) enables the calculation of the

Specific Risk component of Interest Rate Risk Capital Requirement. Note that the relevant amounts have to be entered in respect of self financed, PSIA Unrestricted and PSIA Restricted businesses, separately in the respective columns provided.

2. In the second linked (“All Other Risk”) form summary amounts of all other components of market

risk capital requirement such as total Interest Rate Risk, Equity Risk, Foreign Exchange Risk, Commodities Risk, Options Risk, Securities Underwriting Risk and Collective Investment Fund Risk are required to be entered. The relevant amounts should be provided for self financed, PSIA Unrestricted and PSIA Restricted business separately in the respective columns provided.

3. Authorised Firms are asked to review the Rules set out PIB Appendix 5 with care given the

multiplicity of methods that can be used to calculate the capital requirement on Interest Rate Risk, Equity Risk, FX Risk, Commodities Risk, Options Risk, Securities Underwriting Risk and Collective Investment Fund Risk.


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4. The DFSA acknowledges that even for Authorised Firms with relatively straightforward Exposures on the trading books, the underlying calculations for various market risks can be detailed and complex. The DFSA requires only the summary numbers to be reported but expects Authorised Firms to maintain detailed audit trails that substantiate the risk requirements. Authorised Firms are also reminded that they should make this information available for review as and when required.

5. In the event of any uncertainty, Authorised Firms are advised to contact their supervisor for

clarity. 6. Where Authorised Firms intend to use internally developed market risk models for the purposes of

valuing positions and calculating capital requirements as per PIB Section 5.11, particular attention is drawn to PIB Section A5.9 including the qualitative criteria.

Item No. Item Instructional Guidelines B103_1100, B103_1200, B103_1400, B103_1500, B103_1600, B103_1700

Various components of Market Risk Capital Requirements

Detailed Rules and Guidance in respect of the Market Risk Capital Requirement and each of its components are contained in PIB Chapter 5. Total of Market Risk Capital Requirement reflected in this form is transferred to form B60 and shown in B600_2630 – Market Risk Capital Requirement.


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1.14 Instructional Guidelines – Form B20 – Appendix 8 – Calculation of the Displaced Commercial Risk (“DCR”)

Purpose Form B20A8 is intended to capture the details regarding the Displaced Commercial Risk charge. Applicability This form is applicable to Authorised Firms categorised under prudential category 5 Note that the DCR only applies in respect of Unrestricted PSIA. Content The form is designed to capture the details regarding the Displaced Commercial Risk charge in respect of Islamic Finance Business. Structure of the form in EPRS The form does not allow any manual data entry. The values in this form are directly transferred by EPRS from the detailed forms relating to the calculation of CRCOM, CPCOM and MRCOM in respect of PSIAU businesses (Appendices B20A2, B20A3, B20A5, B20A6 and B20A7 respectively) that precede it. So, Authorised Firms are advised to complete the appendices referred above before attempting to complete this form.


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

Item No. Item Instructional Guidelines B104_010T PSIACOM Credit PSIACOM Credit is comprised of CRCOM and CPCOM and is

calculated on PSIA assets. It is the sum of item nos. [B104_0110 and B104_0120] below.

B104_0110 CPCOM CPCOM for PSIAU comes from Form B20A5. B104_0120 CRCOM CRCOM for PSIAU comes from Form B20A2. B104_025T PSIACOM Market The figures for PSIACOM Market are all derived from Form B20A7. B104_000T Calculation of DCR DCR represents (PSIACOM Credit +PSIACOM Market) * 35%. This

figure is transferred to Form B60, item no B104_000T.


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1.15 Instructional Guidelines – Form B20 – Appendix 9 – Analysis of

Reserves Movement Purpose Form B20A9 is intended to capture the details regarding the changes in the reserves pertaining to the Islamic Finance Business. Applicability This form is applicable to Authorised Firms categorised under prudential category 5. Note that the DCR only applies in respect of PSIA assets for unrestricted categories. Content The form is designed to capture the details regarding the details regarding the changes in the reserves pertaining to the Islamic Finance Business. The form provides two separate columns for data to be input in respect PSIA Unrestricted businesses.


Item No. Item Instructional Guidelines B290_1010 Capital invested Report here the total amount of capital invested by PSIAU account

holders (on balance sheet) gross of provisions. B290_1020 Net asset value Report here the net amount after provisions. B290_1030 Percentage for

profit equalisation reserve

Report the percentage used for allocation to the profit equalisation reserves.

B290_1040 Amount of profit equalisation reserve

This represents the amount after the net asset value has been multiplied by the percentage of the profit equalisation reserve.

B290_1050 Mudarib fee Report here the Mudarib fee which the Authorised Firm is entitled to receive for undertaking the investment of the funds provided by the PSIA holders. The fee is agreed by the investment account holders and the bank before the implementation of any contract. In case of a loss, the bank is not entitled to any Mudarib fee and the loss is borne by the investment account holders.

B290_1060 Net amount after Mudarib fee

Report here the balance after the amount of profit equalisation reserve and the Mudarib fee has been deducted from the net asset value.

B290_1070 Percentage of investment risk reserve

Report here the percentage of the investment risk reserve applicable to the net amount after the Mudarib fee.

B290_1080 Amount of investment risk

Report under this item the amount of the reserve being the product of the balance in Item B290_1060 multiplied by the percentage in item


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reserve B290_1070 above.B290_1090 Amount attributed

to PSIAs This amount is the residual amount allocated to the PSIA account holders after the deduction of the amounts for the profit equalisation reserve, Mudarib fee and investment risk reserves.

1.16 Instructional Guidelines – Form B30 - Income Statement

Purpose Form B30 – Profit and Loss Statement is intended to capture the results of operations of an Authorised Firm during the reporting period. Applicability This form is applicable to Authorised Firms categorised under prudential categories 1, 2, 3A, 3B, 3C and 4. This form is not applicable to Islamic Financial Institutions (“IFI”) in prudential category 5 and Authorised Firms operating through a Branch in the DIFC. Instead, IFIs and Branches should use the forms B40 and B90 respectively. Content The form is designed to capture information pertaining to the Authorised Firm’s income, expenses and profit for the reporting period.

Instructional Guidelines 1. All figures relating to income statement items in any of the quarterly returns should correspond to

the current reporting period (quarter) and not cumulative or year-to-date amounts. 2. The instructional guidelines below are regarding certain specific data elements in the form:

Item No. Item Instructional Guidelines B300_1100 Interest income Include both actually received interest and receivable interest

which has accrued but has not yet been received, generated for example by:

Cash and liquid assets; Trading securities; Investment securities; Derivatives in the non-trading book; Loans and advances; Investment / loans to parent entity / loans to

associates / joint venture; Other investments; and Other interest earning assets.


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B300_1200 Interest expense Include both interest actually paid and interest payable which has accrued but has not yet been paid, linked to, for example:

Deposits; Other borrowings; Derivatives in the non-trading book; Bonds, notes and other borrowings; Loan capital; Loan from parent entity; Loan from associates / joint ventures; and Other interest bearing liabilities.

B300_2100 Income from fees and commissions

Include income received and income receivable but has been accrued for services provided by the Authorised Firm, for example the provision of:

Current account facilities; Corporate advice; Investment management and trustee services; Guarantees and indemnities; Commission on the sale of insurance or travellers

cheques; and Foreign exchange services (if they can be separately

identified). B300_2200 Fees and commission

expense Include revenue generated for all services rendered to the company by third parties (excluding those which have the character of interest).

B300_3200 Net income from trading securities

Include all profits or losses (including revaluation profits or losses) other than those arising from the sale of investments in subsidiary or associated companies, trade investments or the amortisation of premiums or discounts on the purchase of fixed maturity investments which are not held for dealing.

B300_3300 Net income from investment securities

Include net income / (losses) from investments other than the trading securities, such as available for sale and held to maturity investments.

B300_3400 Income from Islamic Contracts

Income derived from any Islamic contracts in which the Authorised Firm has invested in.

B300_3500 Other operating income Include under this heading income from any other source (other than extraordinary items), for example:

Revaluations of foreign exchange positions; Revaluation of any investment in subsidiaries or

associates (if equity accounting); Share of profits from associated companies (if

reporting on a consolidated basis); Profit or loss on the sale of non-trading assets – e.g.

premises, equipment, subsidiary and associated companies and trade investments;

Revaluation surpluses / deficits - following normal accounting practice; and

Any other source (other than extraordinary items) B300_3610 General provisions Report here the general provisions recorded by the Authorised

Firm to reflect the overall level of credit losses expected in respect of the Authorised Firm’s Exposures.


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B300_3620 Specific provisions This item includes total provisions made to cover losses foreseen in respect of specific Exposures.


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B300_3630 Provisions for Islamic Contracts

Include here provisions arising from any Islamic business undertaken

B300_3650 Other To include, for example, provisions made for taxation or dividends.

B300_3700 Staff expenses Include, for example: Salary costs; Employer’s contribution to any pension scheme; and Costs of staff benefits paid on a per capita basis such

as private medical insurance. B300_3800 Depreciation &

Amortisation Charges relating, for example, to depreciation / amortisation of property, plant and equipment and other amounts written off in respect of tangible and intangible fixed assets.

B300_3900 Other operating expenses Examples of expenses can be as follows: Occupancy expenses – for example, rates, rent,

insurance of building, lighting, heating, maintenance costs and subsidised restaurants;

Equipment; Other overhead expenses; and All other expenditure not falling into one of the other

specific categories. B300_300T Operating profit from

ordinary activities This item is calculated by EPRS and is calculated as the sum of B30 item nos. B300_1100 to B300_3900. (excluding sub totals at items nos B300_100T and B300_200T).

B300_4100 Net income from subsidiaries and associated companies

Profit / losses received from subsidiaries, joints ventures and other associated undertakings.

B300_4200 Profit (loss) from extraordinary Items

For example: Profit or losses on sale or termination of an operation; and Profits or losses on disposal of fixed assets.

B300_400T Profit (loss) before tax This item is calculated by EPRS and is calculated as the sum of B30 item nos. B300_300T, B300_4100 and B300_4200.

B300_5100 Tax on (profit) / loss Any amount that has been or is expected to be paid in taxation.

B300_500T Profit / (loss) after tax This item is calculated by EPRS and is calculated as the sum of B30 item nos. B300_400T and B300_5100.

B300_600T Net profit / (loss) The amount of profit / loss that could be distributed to shareholders (or partners) or retained for future use within the company. This is calculated by EPRS as the sum of B30 item nos B300_500T and B300_6100.

B300_7100 Dividends and other distributions, declared or paid

The amount to be distributed in the current year to shareholders out of the profits of a company.

B300_7200 Partners’ drawings, declared or paid

The amount to be distributed in the current year to partners out of the profits of a partnership.

B300_7300 Other adjustments Any other adjustments that affect the retained profits. B300_700T Retained profits for the

reporting period Profits that have not been paid out as dividends to shareholders or withdrawn by partners but retained for further investment by the company. This is calculated by EPRS as the sum of B30 item nos


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B300_600T, B300_7100, B300_7200 and B300_7300.


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1.17 Instructional Guidelines – Form B40 – Income Statement - Islamic Financial Institutions

Purpose Form B40 – Profit and Loss Statement is intended to capture the results of operations of an Islamic Financial Institution during the reporting period. Applicability This form is applicable to Authorised Firms categorised under prudential category 5. Content The form is designed to capture information pertaining to an Islamic Financial Institution’s income, expenses and profit for the reporting period. Instructional Guidelines 1. All figures relating to income statement items in any of the quarterly returns should correspond to

the current reporting period (quarter) and not cumulative or year-to-date amounts. 2. The instructional guidelines below are regarding certain specific data elements in the form:

Item No. Item Instructional Guidelines B400_1010 Income from jointly financed

accounts Authorised Firms should include in respect of this item income earned on funds from jointly financed investment accounts (i.e. Unrestricted PSIAs and self-financed). The income should be gross before allocating to the Unrestricted PSIAs and the bank’s Mudarib fee.

B400_1020 Allocated to unrestricted account holders (before Mudarib fee)

Authorised Firms should include in respect of this item the amount allocated from B40 item no. B400_1010 above to the Unrestricted PSIAs as their share of the income. Note that this number should be entered as positive amount.

B400_1030 Authorised Firm's Mudarib fee from managing jointly financed accounts

Authorised Firms should include in respect of this item the amount of the Mudarib fee that they are entitled to receive for the management of the Unrestricted PSIAs.

B400_1040 Authorised Firm's fees from managing other (restricted) accounts

Include any amounts owing to the Authorised Firm as fees for managing PSIAR accounts.

B400_2010 Authorised Firm's income from its own non-financing activities

Authorised Firms should include in respect of this item the income received from non-financing activities (e.g. Murabaha sales) that result from the employment of the Authorised Firm’s own funds and current accounts. The income should have been generated from funds that have been employed


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separately from the PSIA funds.B400_2020 Authorised Firm's income

from its own financing and investment activities

Authorised Firms should include in respect of this item the income received from financing and investment activities that results from the employment of the Authorised Firm’s own funds and current accounts. The Bank is solely entitled to profits / (losses) from these activities.

B400_2030 Net fees and commission income

Authorised Firms should include in respect of this item the income received for services provided such as trade related letters of credit, corporate advice, investment management and trustee services, Kefala (guarantees) and indemnities.

B400_2040 Other operating income Include income from any other source not included in any of the above.

B300_3700 Staff expenses Include costs such as: Wages and salaries; Social security contributions; Contribution to any pension schemes (employer’s

share); and Costs of staff benefits paid.

B400_3040 Premises and equipment costs Should

Documents

The DFSA Sourcebook - Reuters...PRU-EPRS/VER3/04-14 1.1 Instructional Guidelines – Form B10 – Balance Sheet Purpose Form B10 – The Balance sheet is intended to reflect the financial