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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB 4.8.3



Whole Section PDF

The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

To view past versions of this module in PDF format, please visit the Archive.

To calculate its RWAG for CR ExposuresG , an Authorised FirmG must:

(a) calculate the value of the ExposureG (represented as "E") for every on-balance sheet and every off-balance sheet asset in accordance with the ExposureG measurement methodology specified in PIB section 4.9 and recognising the effects of any applicable Credit RiskG mitigation;
(b) categorise that ExposureG in accordance with the RulesG in PIB section 4.10;
(c) allocate an applicable Credit Quality GradeG and risk weight for that ExposureG in accordance with the RulesG in section PIB 4.11 and PIB 4.12;
(d) calculate the RWAG amount for that ExposureG using the following formula:
RWA(CR) = E x CRW
where:
(i) "RWA(CR)" refers to the risk-weighted ExposureG amount for that CR ExposureG ;
(ii) "E" refers to the ExposureG value or amount, for that CR ExposureG ; and
(iii) "CRW" refers to the applicable risk weight for that CR ExposureG determined in accordance with (b) and (c); and
(e) add the RWAG amounts calculated in accordance with (d) for all its CR ExposuresG .
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]