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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
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Financial Markets Tribunal
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Dec 9 2012 onwards

PIB A5.3.3

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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.

(1) For the purposes of PIB Rule A5.3.2(a) an Authorised FirmG must calculate an Equity Risk Capital RequirementG for long and short Trading BookG positions in equities and instruments which exhibit behaviour similar to equities including but not limited to:
(a) depository receipts;
(b) futures or forwards on an equity, baskets of equities or equity indices;
(c) net underwriting commitments; and
(d) investments in unleveraged Collective Investment FundsG .
(2) An Authorised FirmG should calculate either an Equity Risk Capital RequirementG or an Option Risk Capital RequirementG for a Trading BookG position in:
(a) an equity hedging an option;
(b) an equity hedging a company-issued warrant;
(c) an option on an equity, basket of equities, equity index or equity future provided it is in the money by at least the risk percentage stipulated in PIB A5.3.31; and
(d) a company issued warrant which relates to an equity, basket of equities or equity index provided it is in the money by at least the risk percentage stipulated in PIB A5.3.31.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]