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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 App4 Credit Risk
Sourcebook Modules
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DFSA Codes of Practice
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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A4.3.27



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.

Subject to PIB A4.3.28, an Authorised FirmG which has taken eligible financial CollateralG for a CR ExposureG and is using the FCSA may recognise the effects of Credit RiskG mitigation of the eligible financial CollateralG as follows:

(a) break down the ExposureG into —
(i) a collateralised portion with E equal to the latest fair value of the eligible financial CollateralG ; and
(ii) an uncollateralised portion with E equal to the E of the CR ExposureG less the latest fair value of the eligible financial CollateralG ;
and
(b) for the purposes of calculating the Credit RWAG amount pursuant to PIB Rule 4.8.3, use:
(i) for the collateralised portion, the CRW that is applicable to the eligible financial CollateralG as though the Authorised FirmG had a direct ExposureG to that CollateralG ; and
(ii) for the uncollateralised portion, the CRW that is applicable to the obligor.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]