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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 App5 Market Risk
Sourcebook Modules
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Policy Statements
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Amendments to Legislation
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  • Calculating the Reduced Net Underwriting Position

    • PIB A5.8.10

      To calculate the reduced net UnderwritingG position an Authorised FirmG must apply the reduction factors in the table below to the net UnderwritingG position calculated under PIB Rule A5.8.6 as follows:

      (a) in respect of debt SecuritiesG , an Authorised FirmG must calculate two reduced net UnderwritingG positions; one for inclusion in the Authorised Firm'sG interest rate Specific RiskG calculation, the other for inclusion in its interest rate General Market RiskG calculation; and
      (b) in respect of equities, an Authorised FirmG must calculate only one reduced net UnderwritingG position, and then include it in the simplified equity method.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]