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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

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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB 4.14.37



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) Where an Authorised FirmG holds or guarantees unrated securitisation ExposureG from the most senior tranche in a securitisation, the Authorised FirmG may apply the "look through" treatment, provided the composition of the underlying pool of ExposuresG securitised is known at all times and the Authorised FirmG is able to determine the applicable risk weights for the underlying ExposuresG .
(2) An Authorised FirmG applying the look-through treatment to an unrated securitisation ExposureG , pursuant to (1), must apply to that securitisation ExposureG the weighted average of the risk weights of the underlying ExposuresG determined in accordance with the RulesG in this chapter, multiplied by a concentration factor.
(3) For the purposes of (2), the concentration factor is calculated as the sum of the nominal amounts of all the tranches in that securitisation divided by the sum of the nominal amounts of the tranches junior to, or pari-passu with, the tranche in which the position is held, including that tranche itself. The resulting weighted average risk weight must not be higher than 1000% or lower than the risk weight applicable to a more senior tranche which is rated.
(4) Where the Authorised FirmG is unable to determine the risk weights for the underlying ExposuresG in accordance with this RuleG , the unrated securitisation position will not be eligible for the relief and must be deducted from CET 1 Capital of the Authorised FirmG .
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]