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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Recognised Jurisdictions and Funds
Declaration Notices
Financial Markets Tribunal
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER34/12-19]
PIB App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases

Whole SectionText only Print Print Manager Link

(1 version)
Dec 9 2012 onwards

PIB A5.3.12

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.

An Authorised FirmG must treat an equity swap as two notional positions: an interest rate leg and an equity leg, as follows:

(a) the interest rate leg must be included in the Interest Rate RiskG Calculation and treated as a notional government SecurityG in accordance with the provisions for interest rate swaps in PIB section 5.4; and.
(b) the equity leg must be treated as a long or short position in:
(i) where the payout or receipt of funds is based on, respectively, the appreciation or depreciation in price of the underlying equities, a future; or
(ii) where the payout is the appreciation in price of the underlying equities, an option, in which case the Authorised FirmG must calculate an Option Risk Capital RequirementG in accordance with PIB section 5.8.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]