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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]
PIB App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
Archive

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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A5.2.9

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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.

An interest rate and a currency swap must be treated as two notional government SecuritiesG as follows:

(a) where the Authorised FirmG is receiving fixed rate interest and paying floating rate interest:
(i) a notional long position with a maturity equal to the length of the swap; and
(ii) a notional short position with a maturity equal to the period remaining to the next interest rate reset date;
(b) where the Authorised FirmG is paying fixed rate interest and receiving floating rate interest:
(i) a notional short position with a maturity equal to the length of the swap; and
(ii) a notional long position with a maturity equal to the period remaining to the next interest rate reset date;
(c) where the Authorised FirmG is receiving fixed rate interest and paying fixed rate interest:
(i) a notional long position with a maturity equal to the length of the swap; and
(ii) a notional short position with a maturity equal to the length of the swap.
(d) where the Authorised FirmG is receiving floating rate interest and paying floating rate interest:
(i) a notional long position with a maturity equal to the period remaining to the next interest date reset date; and
(ii) a notional short position with a maturity equal to the period remaining to the next interest rate reset date; and
(e) the two notional government SecuritiesG must have a coupon equal to the rate of interest payable or receivable on the leg.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]