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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 App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
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Dec 9 2012 onwards

PIB A5.2.13

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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.

(1) An Authorised FirmG must calculate its Specific RiskG as the sum of the market values of the individual net positions (whether they are long or short) multiplied by the appropriate risk percentage in (3).
(2) An Authorised FirmG must not offset between different issues.
(3) An Authorised FirmG must determine the appropriate risk percentage by reference to the following table:

IssuerG Credit Quality GradesG Residual Term to MaturityG Risk PercentageG
Sovereign Debt

This category includes —
(a) all forms of government debt, including bonds, treasury bills and other short-term instruments; and
(b) securities issued by PSEs which qualify for a 0% risk weight for Credit RiskG .
An ExposureG to any debt SecurityG issued by-
(i) the central government or monetary authority; or
(ii) other central governments with a Credit Quality GradeG of 3 or better as set out in PIB chapter 4,
which is denominated in the domestic currency and funded in the same currency must be assigned a 0% Specific RiskG charge.
The DFSAG may, at its discretion, assign a higher risk charge other than the above to SecuritiesG issued by certain governments, especially in cases where the SecuritiesG are denominated in a currency other than that of the issuing government.
1 Any 0.00%
2 or 3 6 months or less 0.25%
More than 6 and up to 24 months 1.00%
More than 24 months 1.60%
4 or 5 Any 8.00%
6 Any 12.00%
Unrated Any 8.00%
Qualifying Debt

This category includes —
(a) any SecurityG that is issued by an MDB;
(b) any SecurityG (including one issued by a PSE) which has a Credit Quality GradeG of 3 or better as set out in PIB chapter 4; and
(c) any unrated SecurityG issued by a PSE which belongs to a country with a Credit Quality GradeG of 1 as set out in PIB chapter 4.
  6 months or less 0.25%
More than 6 and up to 24 months 1.00%
More than 24 months 1.60%
Other

For securities which have a high yield to redemption relative to government debt securities issued in the same country, the DFSAG will require the Authorised FirmG :
(a) to apply a higher Specific RiskG charge to such instruments; or
(b) to disallow offsetting for the purpose of defining the extent of General Market RiskG between such instruments and any other debt instruments.
4 Any 8% or such other percentage as the DFSAG may direct.
5 or 6 Any 12% or such other percentage as the DFSAG may direct.
Unrated Any 8% or such other percentage as the DFSAG may direct.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]