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Dubai Financial Services Authority (DFSA): Contents

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

PIB 4.8.5



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 Early AmortisationG ExposuresG , an Authorised FirmG must:

(a) calculate the value of the ExposureG (EAE) for each of its Early AmortisationG ExposuresG in accordance with ExposureG measurement methodology specified in PIB section 4.9 and recognising the effects of any applicable Credit RiskG mitigation;
(b) calculate the risk-weighted ExposureG amount for each Early AmortisationG ExposureG using the following formula:
RWA(EAE) = EAE x CRW
where:
(i) "RWA(EAE)" refers to the risk-weighted ExposureG amount for that Early AmortisationG ExposureG ;
(ii) "EAE" refers to the ExposureG value or amount, for that Early AmortisationG ExposureG calculated in accordance with (a); and
(iii) "CRW" refers to the applicable risk weight for the underlying ExposureG type as if the ExposureG had not been securitised; and
(c) add the RWAG amounts calculated in accordance with (b) for all its Early AmortisationG ExposuresG .
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]