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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]
PIB App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Financial Markets Tribunal

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  • Large Exposure Risk from Underwriting Securities: Calculating the Net Underwriting Exposure

    • PIB A5.8.11

      For Concentration RiskG purposes, the total amount of an Authorised Firm'sG Trading BookG ExposuresG to any PersonG must include net UnderwritingG ExposureG to that PersonG .

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

    • PIB A5.8.12

      An Authorised FirmG must include any other ExposuresG arising out of underwriting (including any CounterpartyG ExposuresG to any sub-underwriters) for the purposes of calculating the total amount of its Trading BookG ExposuresG to a PersonG for Concentration RiskG purposes.

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

    • PIB A5.8.13

      An Authorised FirmG , before entering into a new UnderwritingG commitment, must be able to recalculate the Concentration RiskG capital component to the level of detail necessary to ensure that the firm's Capital ResourcesG Requirement does not exceed the firm's Capital ResourcesG .

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

    • PIB A5.8.14

      An Authorised FirmG must calculate the net UnderwritingG ExposureG to an IssuerG by applying the relevant reduction factors in the table below to its net UnderwritingG position calculated under PIB Rule A5.8.6.

      Time Reduction factor to be applied to net underwriting position
      Initial commitment to working day 0 100%
      Working day 0 100%
      Working day 1 90%
      Working day 2 75%
      Working day 3 75%
      Working day 4 50%
      Working day 5 25%
      Working day 6 onwards 0%
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A5.8.14 Guidance

        The effect of the RuleG and the table above is that there is no concentration limit for net UnderwritingG ExposuresG between initial commitment and the end of working day 0.

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