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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 A9.2.8



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 2B HQLA must be valued at market value and subject to an appropriate haircut, as specified in (2), for each type of asset.
(2) Level 2B HQLA consists of:
(a) residential mortgage backed securities that satisfy all of the following conditions, subject to a 25% haircut:
(i) they are not issued by, and the underlying assets have not been originated by, the Authorised FirmG itself or any of its affiliated entities;
(ii) they have a Credit Quality Grade of 1 from a recognised ECAI;
(iii) they are traded in large, deep and active repo or cash markets characterised by a low level of concentration;
(iv) 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 20%);
(v) the underlying asset pool is restricted to residential mortgages and does not contain structured products;
(vi) the underlying mortgages are “full recourse'' loans (i.e. in the case of foreclosure the mortgage owner remains liable for any shortfall in sales proceeds from the property) and have a maximum loan-to-value ratio (LTV) of 80% on average at issuance; and
(vii) the securitisations are subject to “risk retention” regulations which require issuers to retain an interest in the assets they securitise;
(b) corporate debt securities (including commercial paper) that satisfy all of the following conditions, subject to a 50% haircut:
(i) they are not issued by a financial institution or any of its affiliated entities;
(ii) they have a Credit Quality Grade of 2 or 3 from a recognised ECAI or, in the case the assets do not have a credit assessment by a recognised ECAI, are internally rated as having a probability of default (PD) corresponding to a Credit Quality Grade of 2 or 3;
(iii) they are traded in large, deep and active repo or cash markets characterised by a low level of concentration; and
(iv) 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 20%);
(c) equity shares that satisfy all of the following conditions, subject to a 50% haircut:
(i) they are not issued by a financial institution or any of its affiliated entities;
(ii) they are exchange traded and centrally cleared;
(iii) they are a constituent of the major stock index in the home jurisdiction, or where the liquidity risk is taken, as decided by the supervisor in the jurisdiction where the index is located;
(iv) they are denominated in the domestic currency of an Authorised Firm'sG home jurisdiction or in the currency of the jurisdiction where an Authorised Firm'sG liquidity risk is taken;
(v) they are traded in large, deep and active repo or cash markets characterised by a low level of concentration; and
(vi) 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 40%); and
(d) any other types of assets approved by the DFSAG under PIB Rule A9.2.9 as being eligible to be Level 2B HQLA.
[Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]