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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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  • Introduction

    • PIB 7 Guidance

      1. This chapter relates to interest rate risk in the Non-Trading BookG . In relation to the Trading BookG , an Interest Rate Risk Capital RequirementG is imposed as a component of the Market Risk Capital RequirementG under PIB chapter 5.
      2. Non-Trading BookG interest rate risk is normally a major source of risk for a bank or a firm that deals on its own account (including underwriting on a firm commitment basis) and whose Non-Trading BookG assets equal or exceed 15% of its total assets. Interest rate risk in the Non-Trading BookG may arise from a number of sources, for example:
      a. risks related to the mismatch of repricing of assets and liabilities and off balance sheet short and long-term positions;
      b. risks arising from hedging exposure to one interest rate with exposure to a rate which reprices under slightly different conditions;
      c. risks related to the uncertainties of occurrence of transactions, for example, when expected future transactions do not equal the actual transactions; and
      d. risks arising from consumers redeeming fixed rate products when market rates change.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]