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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Financial Markets Tribunal

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(1 version)
Jan 1 2015 onwards

PIB A9.2.5

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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) Assets eligible to be included in the stock of HQLA for the purpose of the LCR calculation are classified under the following two categories:
(a) Level 1 HQLA, consisting of the highest quality and most liquid assets; and
(b) Level 2 HQLA, including Level 2A HQLA and Level 2B HQLA, consisting of other high quality liquid assets.
(2) When calculating the total stock of HQLA, an Authorised FirmG must apply the following caps in respect of each category of assets:
(a) Level 1 HQLA can be included in the total stock of HQLA without any limit (i.e. up to 100% of HQLA);
(b) Total Level 2 HQLA, including both Level 2A HQLA and Level 2B HQLA, can comprise only up to 40% of the total stock of HQLA; and
(c) Level 2B HQLA can comprise only up to 15% of the total stock of HQLA within the overall 40% limit on Level 2 HQLA in (b).
(3) The caps on Level 2 HQLA and Level 2B HQLA must be determined after applying the haircuts required under Rules PIB A9.2.7 and PIB A9.2.8, and after unwinding the amounts of HQLA involved in short-term secured funding, secured lending and collateral swap transactions maturing within 30 calendar days that involve the exchange of HQLA.
(4) The assets to be included in each category of HQLA must be restricted to assets being held or owned by the Authorised FirmG on the first day of the stress period, irrespective of their residual maturity.
[Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]