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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 4.8.4



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 all its SE ExposuresG , an Authorised FirmG must:

(a) calculate the value of the ExposureG for each of its SE ExposuresG in accordance with ExposureG measurement methodology specified in PIB section 4.9 and recognising the effects of any applicable Credit RiskG mitigation;
(b) allocate an applicable Credit Quality GradeG for that SE ExposureG in accordance with the RulesG in PIB section 4.11;
(c) calculate the RWAG amount for each SE ExposureG , except for those SE ExposuresG which the Authorised FirmG is required to include as deductions from any component of Capital ResourcesG , using the following formula:
RWA(SE) = SE x CRW
where:
(i) "RWA(SE)" refers to the risk-weighted ExposureG amount for that securitisation ExposureG ;
(ii) "SE" refers to the ExposureG value or amount for that SE ExposureG calculated in accordance with (a); and
(iii) "CRW" refers to the applicable risk weight for that SE ExposureG determined in accordance with (b); and
(d) add the RWAG amounts calculated in accordance with (c) for all its SE ExposuresG to the RWAG amounts calculated in accordance with PIB Rule 4.8.5 in respect of its Early AmortisationG ExposuresG .
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]