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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Recognised Jurisdictions and Funds
Declaration Notices
Financial Markets Tribunal
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER34/12-19]
PIB App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases

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  • PIB A5.2.3

    An Authorised FirmG must calculate its Interest Rate Risk Capital RequirementG in Trading BookG positions in all fixed-rate and floating-rate debt SecuritiesG and instruments which behave like them, including:

    (a) non-convertible preference shares;
    (b) futures or forwards on a debt security or on interest rates;
    (c) swaps (or contracts for differences) whose value is based on interest rates;
    (d) the cash leg of a repurchase or a reverse repurchase agreement;
    (e) forward foreign exchange contracts or currency futures;
    (f) interest rate legs of equity swaps;
    (g) interest rate legs of equity futures or forwards; and
    (h) interest rate legs of equity based options treated under internal models in PIB section 5.3.
    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A5.2.3 Guidance

      Where these positions will require the derivation of notional positions before they can be included in the calculation of Specific RiskG and General Market RiskG requirements, an Authorised FirmG must derive the notional positions in accordance with Rules PIB A5.2.5 to PIB A5.2.12.

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