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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]
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Consultation Papers
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DFSA Codes of Practice
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Financial Markets Tribunal
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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A5.7.10



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) An Authorised FirmG may calculate the risk Capital RequirementsG for positions in FundsG in accordance with the methods set out in various sections of PIB chapter 5 applicable to various underlying assets or investments, on assumed positions representing those necessary to replicate the composition and performance of the externally generated index or fixed basket of equities or debt securities, subject to the following conditions:
(a) the Fund'sG mandate is to replicate the composition and performance of an externally generated index or fixed basket of equities or debt securities; and
(b) a minimum correlation of 0.9 between daily price movements of the FundG and the index or basket of equities or debt securities it tracks, exists over the previous six month period.
(2) Correlation as referred to in (1)(b) means the correlation coefficient between daily returns on the FundG and that on the index or basket of equities or debt securities it tracks.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]