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)
 
Dec 9 2012 onwards

PIB 4.13.13



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) In the case where there is a currency mismatch between the credit protection and the underlying ExposureG , an Authorised FirmG must reduce the amount of the ExposureG deemed to be protected by applying a haircut, as follows:
Protected portion GA = G (1 - HFX)
where:
(a) G = notional amount of the credit protection; and
(b) HFX = haircut appropriate for currency mismatch between the credit protection and underlying obligation ExposureG based on a ten-business day holding period, assuming daily mark-to-market.
(2) An Authorised FirmG must determine HFX in the following manner:
(a) if the Authorised FirmG uses standard supervisory haircuts, HFX is 8%; and
(b) if the Authorised FirmG uses own-estimate haircuts, it must estimate HFX according to Rules PIB A4.3.6 to PIB A4.3.26 in PIB App4 based on a ten-business day holding period, assuming daily mark-to-market.
(3) If the credit protection is not marked-to-market daily, HFX must be scaled in accordance with PIB Rule A4.3.25.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]