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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]
PIB 4 Credit Risk
PIB 4 Part 3 — CRDOM
PIB 4.14 Securitisation
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
Archive

Whole SectionText only Print Print Manager Link


  Versions
(1 version)
 
Dec 9 2012 onwards

PIB 4.14.31



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.

An Authorised FirmG must assign a risk weight for any SE ExposureG in accordance with the tables below, to calculate the Credit RWAG amounts for that ExposureG .

Risk WeightsG for Long-Term securitisation ExposuresG

Long Term rating category
Credit Quality GradeG 1 2 3 4 5 and above including unrated
Risk WeightG to be applied to securitisation ExposuresG (excluding Re-securitisationG ExposuresG ) 20% 50% 100% 350% 1000% or Deduction from Capital ResourcesG
Risk weight applied to Re-securitisationG ExposuresG 40% 100% 225% 650% 1000% or Deduction from Capital ResourcesG

Risk WeightsG for Short-Term securitisation ExposuresG

Short-term rating category
Credit Quality GradeG I II III IV and above including unrated
Risk WeightG to be applied 20% 50% 100% 1000% or Deduction from Capital ResourcesG
Risk WeightG applied to Re-securitisationG ExposuresG 40% 100% 225% 1000% or deduction from Capital ResourcesG
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]