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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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Recognised Jurisdictions and Funds
Declaration Notices
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Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER34/12-19]
PIB App5 Market Risk
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Whole SectionText only Print Print Manager Link


  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A5.2.18 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.

A worked example under the Maturity MethodG of the General Market RiskG requirement calculation is as follows:

ZoneG Maturity Band Individual NetG Positions Risk percentages Weighted Individual NetG Positions By Maturity Band By ZoneG Between ZonesG
  Coupon ≥3% Coupon <3% Long Short   Long Short Matched Unmatched Matched Unmatched Matched Unmatched
A ≤ 1 month ≤ 1 month $100 -$50 0.00% $0.00 $0.00 $0.00 $0.00        
  1–3 months 1–3 months $200 -$100 0.20% $0.40 -$0.20 $0.20 $0.20 $0.00 $1.30    
  3–6 months 3–6 months $300 -$200 0.40% $1.20 -$0.80 $0.80 $0.40        
  6–12 months 6–12 months $400 -$300 0.70% $2.80 -$2.10 $2.10 $0.70        
                           
B 1–2 years 1–1.9 years $100 -$200 1.25% $1.25 -$2.50 $1.25 -$1.25     Zone 1G &2  
  2–3 years 1.9–2.8 years $200 -$300 1.75% $3.50 -$5.25 $3.50 -$1.75 $0.00 -$5.25 $1.30  
  3–4 years 2.8–3.6 years $300 -$400 2.25% $6.75 -$9.00 $6.75 -$2.25       Zones 1&3G
                          $0.00
C 4–5 years 3.6–4.3 years $100 -$100 2.75% $2.75 -$2.75 $2.75 $0.00     Zone 2G &3  
  5–7 years 4.3–5.7 years $200 -$200 3.25% $6.50 -$6.50 $6.50 $0.00     $3.95  
  7–10 years 5.7–7.3 years $300 -$100 3.75% $11.25 -$3.75 $3.75 $7.50        
  10–15 years 7.3–9.3 years $100 -$200 4.50% $4.50 -$9.00 $4.50 -$4.50 $4.50 $8.25    
  15–20 years 9.3–10.6 years $200 -$100 5.25% $10.50 $5.25 $5.25 $5.25        
  > 20 years 10.6–12 years $300 -$300 6.00% $18.00 -$18.00 $18.00 $0.00        
    12–20 years     8.00%                
    > 20 years     12.50%                
                $55.35     $4.30    

Total General Market RiskG requirement = 10% ($55.35) + 40% ($0.00) + 30% ($0.00 + $4.50) + 40% ($1.30 + $3.95) + 100% ($4.30) + 100% ($0.00) = $13.29

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]