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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
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  Versions
(1 version)
 
Jan 1 2015 onwards

PIB A9.2.7



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.

(1) Level 2A HQLA must be valued at market value and subject to a 15% haircut.
(2) Level 2A HQLA consists of:
(a) marketable securities representing claims on or guaranteed by sovereigns, central banks, PSEs or MDBs that satisfy all of the following conditions:
(i) they are assigned a 20% risk-weight according to PIB Chapter 4 and PIB App4 of this Module;
(ii) they are traded in large, deep and active repo or cash markets characterised by a low level of concentration;
(iii) they have a proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions (i.e. maximum decline of price or increase in haircut over a 30-day period during a relevant period of significant liquidity stress not exceeding 10%); and
(iv) they are not an obligation of a financial institution or any of its associated entities;
(b) corporate debt securities (including commercial paper) and covered bonds that satisfy all of the following conditions:
(i) in the case of corporate debt securities: they must not be issued by a financial institution or any of its associated entities and must include only plain vanilla assets (i.e. not include complex structured products or subordinated debt) whose valuation is readily available based on standard methods and does not depend on private knowledge;
(ii) in the case of covered bonds: they must not be issued by the Authorised FirmG itself or any of its associated entities;
(iii) the assets must have a Credit Quality Grade of 1 from a recognised ECAI or, if the assets do not have a credit assessment by a recognised ECAI, they must be internally rated as having a probability of default (PD) corresponding to a Credit Quality Grade of 1;
(iv) they must be traded in large, deep and active repo or cash markets characterised by a low level of concentration; and
(v) they must have a proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions (i.e. maximum decline of price or increase in haircut over a 30-day period during a relevant period of significant liquidity stress not exceeding 10%); and
(c) any other types of assets approved by the DFSAG under PIB Rule A9.2.9 as being eligible to be Level 2A HQLA.
[Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]