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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Laws
Recognised Jurisdictions and Funds
Declaration Notices
Financial Markets Tribunal
Archive
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
Notices

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  • Derivation of Notional Positions for Certain Instruments (Including Interest Rate Derivatives)

    • PIB A5.2.5

      (1) The interest rate risk measurement must include all interest rate derivatives and off-balance sheet instruments in the Trading BookG that react to changes in interest rates, including forward rate agreements other forward contracts, futures, interest rate and cross-currency swaps and forward foreign exchange positions.
      (2) DerivativesG must be converted into positions in the relevant underlying instruments and are subject to Specific and General Market RiskG requirements set out in Rules PIB A5.2.13 and PIB A5.2.15. The amounts used in the calculation must be the market values of the principal amount of the underlying instrument or of the notional underlying instrument.
      (3) The manner in which an Authorised FirmG must derive a notional position (in the currency concerned) for certain instruments (including interest rate derivatives) is set out in Rules PIB A5.2.6 to PIB A5.2.12.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]