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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]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
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  • Measuring the Overall Net Open Position

    • PIB A5.4.4

      (1) An Authorised FirmG must convert the net position in each Foreign CurrencyG and in gold at spot rates into the reporting currency.
      (2) The overall net open position is measured by aggregating:
      (a) the sum of the net short positions or the sum of the net long positions, whichever is the greater; plus
      (b) the net position (short or long) in gold, regardless of sign.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A5.4.5

      The Foreign Exchange Risk Capital ChargeG is 8% of the overall net open position.

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

      • PIB A5.4.5 Guidance

        1. An example of how to calculate the overall net open position is as follows:
        YEN EURO GB   Saudi Riyal $   Gold
        +50 +100 +150 -20 -180 -35
        TOTAL +300 TOTAL -200 TOTAL 35
        2. The Foreign Exchange Risk Capital ChargeG would be 8% of the higher of either the net long currency positions or the net short currency positions (i.e. 300) plus the net position in gold (35) = 335 x 8%=26.8.
        3. Forward currency and gold positions will normally be valued at current spot market exchange rates. Using forward exchange rates would be inappropriate since it would result in the measured positions reflecting to some extent current interest rate differentials. However, an Authorised FirmG which bases its normal management accounting on net present values is expected to use the net present values of each position, discounted using current interest rates and valued at current spot rates, for measuring its forward currency and gold positions.
        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]