Home   Browse contents   View updates   Search  
     Quick search
Go
   

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]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
Archive

Whole SectionText only Print Print Manager Link


  Versions
(1 version)
 
Jan 1 2018 onwards

PIB A9.4.2

View whole sectionWhole 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) An Authorised FirmG must calculate its RSF by adding together:
(a) the adjusted carrying values of its assets, calculated in accordance with (2); and
(b) the adjusted carrying values of its off-balance sheet (OBS) ExposuresG (or potential liquidity Exposures), calculated in accordance with (3).
(2) An Authorised FirmG must calculate the adjusted carrying values of its respective assets by:
(a) assigning the carrying value of each asset to the applicable RSF CategoryG set out in Table 1 to this RuleG ;
(b) adjusting the carrying value of each asset by multiplying it by the applicable RSF FactorG set out in Table 1; and
(c) adding together each adjusted carrying value.
(3) An Authorised FirmG must calculate the adjusted carrying values of its respective OBS ExposuresG (or potential liquidity Exposures) by:
(a) assigning the carrying value of each ExposureG to one of the OBS-RSF Categories set out in Table 2 to this Rule;
(b) adjusting the carrying value of each asset by multiplying it by the applicable OBS-RSF FactorG for that OBS-RSF CategoryG , as set out in Table 2; and
(c) adding together each adjusted carrying value.
Table 1 - RSF Factors and CategoriesG
RSF FactorrG
Components of RSF CategoryG
0%
(a) coins and banknotes immediately available to meet obligations;
(b) all Central BanksG reserves (including required reserves and excess reserves);
(c) all claims on Central BanksG with residual maturities of less than six months; and
(d) trade date receivables arising from sales 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.
5% Unencumbered assets included in PIB Rule A9.2.6(2) (Level 1 HQLA), excluding assets receiving a 0% RSF FactorG as specified above.
10% Unencumbered loans to financial institutions with residual maturities of less than six months, if the loan is secured against Level 1 HQLA included in PIB Rule A9.2.6, and where the bank has the ability freely to hypothecate the received collateral for the life of the loan.
15% Unencumbered assets as defined in PIB Rule A9.2.7(2) (Level 2 HQLA).
50%
(a) unencumbered assets included in PIB Rule A9.2.8(2) (Level 2B HQLA), excluding any haircuts required under that RuleG ;
(b) any HQLA as defined in PIB Rules A9.2.6 to A9.2.8 that are encumbered for a period of between six months and less than one year;
(c) all loans to financial institutions and Central BanksG with residual maturity of between six months and less than one year;
(d) operational deposits, that is, deposits held at other financial institutions for operational purposes, that are subject to the 50% ASF FactorG set out in the table in PIB Rule A9.4.1; and
(e) all other non-HQLA not included in the above categories that have a residual maturity of less than one year, including loans to non-financial corporate clients, loans to retail customers (i.e. natural persons) and small business customers, and loans to sovereigns and PSEs.
65%
(a) unencumbered residential mortgages with a residual maturity of one year or more that would qualify for a 50% or lower risk weight under PIB Rule 4.12.17; and
(b) other unencumbered loans not included in the above categories, excluding loans to financial institutions, with a residual maturity of one year or more that would qualify for a 50% or lower risk weight under PIB section 4.12 (Risk Weights).
85%
(a) cash, securities or other assets posted as initial margin for derivative contracts or Shari'a compliant hedging contracts and cash or other assets provided to contribute to the default fund of a Central Counterparty (CCP)G . Where securities or other assets posted as initial margin for derivative contracts would otherwise receive a higher RSF FactorG , they should retain that higher factor;
(b) other unencumbered performing loans that do not qualify for the 50% or lower risk weight under PIB section 4.12 and have residual maturities of one year or more, excluding loans to financial institutions.
(c) unencumbered securities with a remaining maturity of one year or more and exchange-traded equities, that are not in default and do not qualify as HQLA; and
(d) physical traded commodities, including gold.
100%
(a) all assets that are encumbered for a period of one year or more;
(b) NSFRG derivative assets (net of NSFRG derivative liabilities) if NSFRG derivative assets are greater than NSFRG derivative liabilities;
(c) NSFRG Shar'a compliant hedging assets net of NSFRG Shari'a compliant hedging liabilities if NSFRG Shari'a compliant hedging assets are greater than NSFRG Shari'a compliant hedging liabilities;
(d) all other assets not included in the above categories, including non-performing loans, loans to financial institutions with a residual maturity of one year or more, non-exchange-traded equities, fixed assets, items deducted from regulatory capital, retained interest, insurance assets, subsidiary interests and defaulted securities;
(e) 20% of derivative liabilities (i.e. negative replacement cost amounts), before deducting variation margin posted; and
(f) 20% of Shari'a compliant hedging liabilities.

Table 2 - OBS-RSF Factors and CategoriesG
OBS-RSF FactorG
Components of OBS-RSF CategoryG
3% Trade finance related obligations (including guarantees and letters of credit).
5%
(a) irrevocable and conditionally revocable credit and liquidity facilities to any client; and
(b) unconditionally revocable credit and liquidity facilities.
10%
(a) the following non-contractual obligations:
(i) structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate notes; and
(ii) managed funds that are marketed with the objective of maintaining a stable value; and
(b) guarantees and letters of credit unrelated to trade finance obligations.
100%

The following non-contractual obligations:

(a) potential requests for debt repurchases of the bank's own debt or that of related conduits, securities investment vehicles and other such financing facilities; and
(b) other non-contractual obligations not mentioned above.
Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]