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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
PIB 4 Credit Risk
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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB 4.12.25



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.

For the purposes of PIB Rule 4.12.24, an Authorised FirmG must calculate the unsecured portion of any CR ExposureG that is past due for more than 90 days as follows:

(a) for an Authorised FirmG using the FCSA:
Unsecured Portion = E – P – Cf
where:
(i) E = E calculated in accordance with PIB section 4.9;
(ii) P = notional amount of eligible credit protection received; and
(iii) Cf = fair value of eligible financial CollateralG received; or
(b) for an Authorised FirmG using the FCCA:
Unsecured Portion = E* – P
where —
(i) E* = E* calculated in accordance with PIB section 4.9; and
(ii) P = notional amount of eligible credit protection received.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]