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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]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
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Notices
Financial Markets Tribunal
Archive

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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB 4.13.16

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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 calculate the value of the Credit RiskG mitigation adjusted for any maturity mismatch (referred to as "PA"), using the following formula:
PA = P(t-0.25)/(T-0.25)
where —
(a) P = value of the credit protection (e.g. CollateralG amount, guarantee amount) adjusted for any haircuts;
(b) t = min (T, residual maturity of the Credit RiskG mitigant) expressed in years; and
(c) T = min (5, residual maturity of the ExposureG ) expressed in years.
(2) For residual maturity of the ExposureG in the case of a basket of ExposuresG with different maturities, an Authorised FirmG must use the longest maturity of any of the ExposuresG as the maturity of all the ExposuresG being hedged.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]