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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
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  • Including liquid assets in the Maturity Ladder

    • PIB A9.3.2

      (1) Liquid assets are included at market value in the relevant section of the Maturity LadderG .
      (2) An asset is regarded as liquid if:
      (a) prices are regularly quoted for the asset;
      (b) the asset is regularly traded;
      (c) the asset may readily be sold, including by repurchase agreement, either on an exchange, or in a deep and liquid market for payment in cash; and
      (d) settlement is according to a prescribed timetable rather than a negotiated timetable.
      (3) Deleted
      (4) The discount factor to be applied to types of marketable assets when completing the maturity mismatch ratio calculation must be determined by reference to the following table and PIB Rules A9.2.6 to A9.2.9 (which define which assets are eligible to be included in each HQLA level):
      Liquid assets Discount
      Level 1 HQLA 0%
      Level 2A HQLA 15%
      Level 2B HQLA - Eligible asset backed securities 25%
      Level 2B HQLA - Other HQLA 50%
      Non-HQLA eligible trading assets that are Investment Grade 60%
      (5) The DFSAG may vary the discounts to reflect the conditions of a particular market or institution.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
      [Amended] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]
      [Amended] DFSA RM227/2018 (Made 6th June 2018). [VER32/08-18]