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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
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Dec 9 2012 onwards

PIB A5.2.16

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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.

In applying the simplified framework, an Authorised FirmG must calculate its General Market RiskG requirement for each currency by taking the following steps:

(a) allocating the individual net positions to one of the time bands in the table below, as follows:
(i) fixed-rate instruments are allotted their time bands based upon the residual time to maturity; and
(ii) floating-rate instruments are allocated to time bands based upon the time remaining to the re-determination of the coupon;
(b) adding the market values of the individual net positions within each band irrespective of whether they are long or short positions to produce a gross position figure;
(c) multiplying the amount in (b) by the risk percentage for the relevant maturity band in the table below; and
(d) adding the calculations in (c) to arrive at the General Market RiskG requirement.
ZoneG Time band Risk percentage
  Coupon of 3% or more Coupon of less than 3%  
A 0≤1month 0≤1month 0.00%
> 1 ≤3months > 1 ≤3months 0.20%
> 3 ≤6 months > 3 ≤6 months 0.40%
> 6 ≤12 months > 6≤12 months 0.70%
B > 1 ≤2 years > 1.0 ≤1.9 years 1.25%
> 2 ≤3 years > 1.9 ≤2.8 years 1.75%
> 3 ≤4 years > 2.8 ≤3.6 years 2.25%
C > 4 ≤5 years > 3.6 ≤4.3 years 2.75%
> 5 ≤7 years > 4.3 ≤ 5.7 years 3.25%
> 7≤10 years > 5.7 ≤ 7.3 years 3.75%
> 10 ≤15 years > 7.3 ≤9.3 years 4.50%
> 15 ≤20 years > 9.3 ≤ 10.6 years 5.25%
> 20 years > 10.6 ≤12.0 years 6.00%
  > 12.0 ≤20.0 years 8.00%
  > 20 years 12.50%
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]