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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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  • PIB A4.9 Exposures to Central Counterparties (CCPs)

    • PIB A4.9.1

      An Authorised FirmG may determine the ExposureG value of a Credit RiskG ExposureG outstanding with a CCP in accordance with PIB A4.9.2, provided that the CCP's CounterpartyG Credit RiskG ExposureG with all participants in its arrangements are fully collateralised on a daily basis.

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

    • PIB A4.9.2

      An Authorised FirmG may attribute an ExposureG value of zero, for purposes of calculating the CRCOMG to DerivativeG contracts and deferred settlement transactions, or to other ExposuresG arising in respect of those contracts or transactions (excluding an ExposureG arising from CollateralG held with CCPs as part of its default fund) where such ExposuresG are outstanding with a CCP and have not been rejected by the CCP.

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

    • PIB A4.9.3

      An Authorised FirmG which purchases Credit DerivativeG protection against a Non-Trading BookG ExposureG or against a CounterpartyG Credit RiskG ExposureG , must compute Market Risk Capital RequirementsG for the hedged asset in accordance with the relevant RulesG in PIB chapter 5.

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

    • PIB A4.9.4

      An Authorised FirmG must assign an ExposureG value of zero for purposes of determination of CRCOMG , for credit default swaps sold by it, where such credit default swaps are treated as credit protection provided by the Authorised FirmG and subject to a Capital RequirementG for Credit RiskG for the full amount.

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

    • Credit Default Products

      • PIB A4.9.5

        (1) The Protection BuyerG relies on the Protection SellerG to pay the Credit Event PaymentG if a Credit EventG occurs, and therefore must compute Credit RWAsG for the Counterparty RiskG involved.
        (2) The Protection SellerG is exposed to the Protection BuyerG only if there are premium or interest rate-related payments outstanding.
        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A4.9.6

        In the case of Total Return SwapsG , since each party relies on the other for payment, each party must compute Credit RWAsG .

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

      • PIB A4.9.7

        No Credit RWAG applies to credit-linked notesG unless a coupon or interest payment is outstanding.

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