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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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  • PIB 3.18.3

    For the purpose of determining the Exposure Measure, the value of exposures of an Authorised FirmG must be calculated in accordance with the International Financial Reporting Standards (IFRS) subject to the following adjustments:

    (a) on-balance sheet, non-derivative exposures must be net of specific allowances and valuation adjustments (e.g. credit valuation adjustments);
    (b) physical or financial collateral, guarantees or credit risk mitigation purchased must not be used to reduce on-balance sheet exposures; and
    (c) loans must not be netted with deposits.
    [Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]

    • PIB 3.18.3 Guidance

      1. The following GuidanceG is intended to illustrate how an Authorised FirmG should calculate its Leverage Ratio under this section.
      2. The Exposure Measure under PIB Rule 3.18.3 should be calculated as the sum of:
      a. on-balance sheet items; and
      b. off-balance sheet items.
      3. In relation to on-balance sheet items:
      a. for SFTs, the exposure value should be calculated in accordance with IFRS and the netting requirements referred to in PIB Rule 4.9.14;
      b. for DerivativesG , including credit protection sold, the exposure value should be calculated as the sum of the on-balance sheet value in accordance with IFRS and an add-on for potential future exposure calculated in accordance with Rules PIB A4.6.14 to PIB A4.6.21 of App 4; and
      c. for other on-balance sheet items, the exposure value should be calculated based on their balance sheet values in accordance with PIB Rule 4.9.3.
      4. In relation to off-balance sheet items:
      a. for commitments that are unconditionally cancellable at any time by the Authorised FirmG without prior notice, the exposure value should be the notional amount for the item multiplied by a CCF of 10%; and
      b. for other off-balance sheet items, including:
      i. direct credit substitutes;
      ii. certain transaction-related contingent items;
      iii. short-term self-liquidating trade-related contingent items and commitments to underwrite debt and equity securities;
      iv. note issuance facilities and revolving underwriting facilities;
      v. transactions, other than SFTs, involving the posting of securities held by the Authorised FirmG as collateral;
      vi. asset sales with recourse, where the credit risk remains with the Authorised FirmG ;
      vii. other commitments with certain drawdown;
      viii. any other commitments; and
      ix. unsettled transactions,
      the exposure value should be the notional amount for each of the items multiplied by a CCF of 100%.
      5. For an Islamic Financial InstitutionG , assets corresponding to Unrestricted PSIAsG will fall within the Exposure Measure and, therefore, are considered for the purpose of the Leverage Ratio calculation.
      6. Further GuidanceG about the method for completing forms relating to Leverage Ratios can be found in PRUG .
      [Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]