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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]
PIB 4 Credit Risk
PIB 4 Part 3 — CRDOM
PIB 4.14 Securitisation
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Financial Markets Tribunal

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  • PIB 4.14.6

    In order to qualify for using the RulesG specified in this section, and particularly the risk weighting approach outlined below, an Authorised FirmG must demonstrate the following:

    (a) a comprehensive understanding of the risk characteristics of its individual securitisation ExposuresG , whether on balance sheet or off balance sheet, as well as the risk characteristics of the pools underlying securitisation ExposuresG ;
    (b) ability to access the performance information on the underlying pools on an on-going basis in a timely manner; and
    (c) a thorough understanding of all structural features of a securitisation transaction that would materially impact the performance of the Authorised Firm'sG ExposureG to the transaction, such as waterfall triggers, Credit EnhancementsG , liquidity enhancements, market value triggers and deal specific definitions of default.
    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.14.6 Guidance

      1. An Authorised FirmG which is an investor, OriginatorG or SponsorG of a SecuritisationG should fully understand the risks it has assumed in order to ensure that it can accurately determine the Capital RequirementsG for the ExposuresG arising from the securitisation in accordance with the RulesG in this section.
      2. For the purposes of PIB Rule 4.14.6(b) information should include the percentage of loans 30,60, 90 days past due, default rates, prepayment rates, loans in foreclosure, property type, occupancy, average credit score etc. For Re-securitisationsG , Authorised FirmsG should have information relating to not only the underlying securitisation transactions but also the characteristics and performance of the underlying pools of such transactions.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]