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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
PIB App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Financial Markets Tribunal

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(1 version)
Dec 9 2012 onwards

PIB A5.2.3

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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.

An Authorised FirmG must calculate its Interest Rate Risk Capital RequirementG in Trading BookG positions in all fixed-rate and floating-rate debt SecuritiesG and instruments which behave like them, including:

(a) non-convertible preference shares;
(b) futures or forwards on a debt security or on interest rates;
(c) swaps (or contracts for differences) whose value is based on interest rates;
(d) the cash leg of a repurchase or a reverse repurchase agreement;
(e) forward foreign exchange contracts or currency futures;
(f) interest rate legs of equity swaps;
(g) interest rate legs of equity futures or forwards; and
(h) interest rate legs of equity based options treated under internal models in PIB section 5.3.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]