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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 4.13.15



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.

(1) An Authorised FirmG must determine the maturity of the underlying ExposureG and the maturity of the Credit RiskG mitigant conservatively. The residual maturity of the underlying ExposureG must be gauged as the longest possible remaining time before the CounterpartyG is scheduled to fulfil its obligation, taking into account any applicable grace period.
(2) In the case of Credit RiskG mitigant, embedded options which may reduce the term of the credit protection must be taken into account so that the shortest possible residual maturity is used. Where a call is at the discretion of the protection seller, the residual maturity will be at the first call date. If the call is at the discretion of the Authorised FirmG but the terms of the arrangement at origination of the Credit DerivativeG contain a positive incentive for the Authorised FirmG to call the transaction before contractual maturity, the remaining time to the first call date will be deemed to be the residual maturity.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]