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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]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
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  • Currency Mismatches

    • PIB 4.13.13

      (1) In the case where there is a currency mismatch between the credit protection and the underlying ExposureG , an Authorised FirmG must reduce the amount of the ExposureG deemed to be protected by applying a haircut, as follows:
      Protected portion GA = G (1 - HFX)
      where:
      (a) G = notional amount of the credit protection; and
      (b) HFX = haircut appropriate for currency mismatch between the credit protection and underlying obligation ExposureG based on a ten-business day holding period, assuming daily mark-to-market.
      (2) An Authorised FirmG must determine HFX in the following manner:
      (a) if the Authorised FirmG uses standard supervisory haircuts, HFX is 8%; and
      (b) if the Authorised FirmG uses own-estimate haircuts, it must estimate HFX according to Rules PIB A4.3.6 to PIB A4.3.26 in PIB App4 based on a ten-business day holding period, assuming daily mark-to-market.
      (3) If the credit protection is not marked-to-market daily, HFX must be scaled in accordance with PIB Rule A4.3.25.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]