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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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
Financial Markets Tribunal

Whole SectionText only Print Print Manager Link

(1 version)
Dec 9 2012 onwards

PIB 7 Guidance

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. This chapter relates to interest rate risk in the Non-Trading BookG . In relation to the Trading BookG , an Interest Rate Risk Capital RequirementG is imposed as a component of the Market Risk Capital RequirementG under PIB chapter 5.
2. Non-Trading BookG interest rate risk is normally a major source of risk for a bank or a firm that deals on its own account (including underwriting on a firm commitment basis) and whose Non-Trading BookG assets equal or exceed 15% of its total assets. Interest rate risk in the Non-Trading BookG may arise from a number of sources, for example:
a. risks related to the mismatch of repricing of assets and liabilities and off balance sheet short and long-term positions;
b. risks arising from hedging exposure to one interest rate with exposure to a rate which reprices under slightly different conditions;
c. risks related to the uncertainties of occurrence of transactions, for example, when expected future transactions do not equal the actual transactions; and
d. risks arising from consumers redeeming fixed rate products when market rates change.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]