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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
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Dec 9 2012 onwards

PIB A5.3.2

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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 Authorised FirmG must calculate its Equity Risk Capital RequirementG by:

(a) identifying all applicable positions within the scope of the requirement, including notional positions derived from certain instruments;
(b) NettingG positions where they meet the conditions for NettingG set in PIB Rule A5.3.19;
(c) calculating an Equity Risk Capital RequirementG for each individual position using the standard method in accordance with PIB Rule A5.3.23 or the simplified method in accordance with PIB Rule A5.3.31;
(d) in the case of a forward, future, option or company issued warrant on an equity, basket of equities or equity index, adding an Interest Rate Risk Capital RequirementG ; and
(e) summing the Capital RequirementsG calculated in accordance with (c) and (d).
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]