Home   Browse contents   View updates   Search  
     Quick search
Go
   

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 App4 Credit Risk
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 A4.3.6

View whole sectionWhole 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 using standard supervisory haircuts or own-estimate haircuts under the FCCA must calculate E* for any collateralised transaction not covered by a qualifying bilateral NettingG agreement or a qualifying cross-product NettingG agreement other than OTC DerivativeG transactions or long settlement transactions, using the following formula:

E* = max {0, [E (or EAD)(1 + HE) – C(1 – HC – HFX)]}

where;

E* = ExposureG value after risk mitigation;

E = fair value of the ExposureG calculated in accordance with PIB section 4.9;

HE = haircut appropriate to the ExposureG ;

C = fair value of the eligible financial CollateralG received;

HC = haircut appropriate to the CollateralG , or if the CollateralG is a basket of assets, the weighted sum of the haircuts appropriate to the assets in the basket where each weight is the proportion of the asset in the basket in units of currency; and

HFX = haircut appropriate for currency mismatch between the CollateralG and ExposureG .

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]