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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]
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Financial Markets Tribunal
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  Versions
(1 version)
 
Jan 1 2018 onwards

PIB A9.4.1

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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 ASFG by:
(a) assigning the carrying value of each liability and capital instrument to the applicable ASF CategoryG set out in the table;
(b) adjusting the carrying value of each liability and capital instrument by multiplying it by the applicable ASF FactorG as set out in the table; and
(c) adding together each adjusted carrying value.
ASF CategoriesG and associated ASF FactorsG
ASF FactorG
Components of ASF CategoryG
100%
(a) the total amount of regulatory capital, before the application of capital deductions, excluding the proportion of Tier 2 instruments with residual maturity of less than one year;
(b) the total amount of any capital instrument not included in (a) that has an effective residual maturity of one year or more, but excluding any instruments with explicit or embedded options that, if exercised, would reduce the expected maturity to less than one year; and
(c) the total amount of secured and unsecured borrowings and liabilities (including term deposits) with effective residual maturities of one year or more. Cash flows falling below the one-year horizon but arising from liabilities with a final maturity greater than one year do not qualify for the 100% ASF Factor.
95%
•  "stable" non-maturity (demand) deposits, term deposits and/or PSIAus with residual maturities of less than one year provided by retail and small business customers.
90%
•  "less stable" non-maturity (demand) deposits, term deposits and/or PSIAus with residual maturities of less than one year provided by retail and small business customers.
50%
(a) funding (secured and unsecured) with a residual maturity of less than one year provided by non-financial corporate customers;
(b) operational deposits or operational accounts;
(c) funding with residual maturity of less than one year from sovereigns, public sector enterprises (PSEs), and multilateral and national development banks;
(d) other funding (secured and unsecured) not included in the categories above with residual maturity between six months to less than one year, including funding from Central Banks and financial institutions; and
(e) funding with residual maturity of less than one year provided by non-financial corporate customers.
0%
(a) all other liabilities and equity categories not included in the above categories, including other funding with residual maturity of less than six months from Central Banks and financial institutions;
(b) other liabilities without a stated maturity. This category may include short positions and open maturity positions. Two exceptions can be recognised for liabilities without a stated maturity:
(i) deferred tax liabilities, which should be treated according to the nearest possible date on which such liabilities could be realised; and
(ii) minority interest, which should be treated according to the term of the instrument, usually in perpetuity.
These liabilities would then be assigned either a 100% ASF Factor, if the effective maturity is one year or greater, or 50%, if the effective maturity is between six months and less than one year;
(c) NSFR derivative liabilities (net of NSFR derivative assets) if NSFR derivative liabilities are greater than NSFR derivative assets;
(d) Net NSFR Shari'a compliant hedging liabilities (if NSFR Shari'a compliant hedging liabilities are greater than NSFR Shari'a compliant hedging assets); and
(e) "trade date" payables arising from purchases of financial instruments, foreign currencies and commodities that:
(i) are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction; or
(ii) have failed to, but are still expected to, settle.
[Derived from] DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]