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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Laws
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
PIB App4 Credit Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
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  • PIB A4.7 Credit RWA — Repurchase Agreements, Reverse Repurchase Agreements, Similar Transactions and Other Deferred Settlements

    • PIB A4.7.1

      This section applies to transactions in the Trading BookG in relation to repurchase agreements, reverse repurchase agreements, similar transactions and deferred settlements.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.2

      For repurchase agreements and reverse repurchase agreements the formula for Credit RWAG , which must be calculated from T, is as follows: Credit RWAG = E x CRW.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.3

      For repurchase agreements: E = MV of the SecuritiesG sold − value of the CollateralG or cash received.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.4

      For reverse repurchase agreements: E = Amount paid or CollateralG given − MV of the SecuritiesG received.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.5

      If the E calculated is negative: Credit RWAG = 0.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.6

      The MV of SecuritiesG and the value of cash lodged must include accrued interest.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.7

      The MV of SecuritiesG and the value of CollateralG under PIB A4.7.3 to PIB A4.7.6 should be calculated in accordance with the Credit RiskG mitigation provisions set out in PIB section 4.13.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.8

      For deferred settlement purchases and sales transactions over the spot period: Credit RWAG = 0.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.9

      The 'spot period' means the shortest time between T and:

      (a) the contractual settlement date;
      (b) the normal local market settlement date; and
      (c) T + five business days.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.10

      For deferred settlement purchases and sales transactions with a contractual settlement date after the spot period as set out above but less than T + five business days:

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.11

      Credit RWAG for deferred settlement transactions = E x CRW

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.12

      For deferred settlement purchases and sales transactions with a contractual settlement date exceeding T + five business days: Credit RWAG for deferred settlement transactions = E x CRW x the appropriate multiplier from the table below:

      Number of business days calculated from T Percentages used for calculation of CRCOMG on deferred settlement transactions
      6–30 5
      31–45 7.5
      46 or more 10
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A4.7.12 Guidance

        Credit RWAG for deferred settlement transactions applies even if the deferred settlement contract is not overdue.

        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]