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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Laws
Recognised Jurisdictions and Funds
Declaration Notices
Financial Markets Tribunal
Archive
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER34/12-19]
PIB App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices

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  • PIB A5.2.18

    The General Market Risk requirement for each currency must be calculated as the sum of the following:

    (a) 10% of the matched weighted positions in each maturity band;
    (b) 40% of the matched weighted position in zone A;
    (c) 30% of the matched weighted position in zones B and C;
    (d) 40% of the matched weighted position between zones A and B, and between zones B and C;
    (e) 100% of the matched weighted position between zones A and C; and
    (f) 100% of the residual unmatched weighted positions.
    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]