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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Recognised Jurisdictions and Funds
Declaration Notices
Financial Markets Tribunal
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER34/12-19]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases

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  • PIB A4.9 Exposures to Central Counterparties (CCPs)

    • PIB A4.9.1

      An Authorised Firm may determine the Exposure value of a Credit Risk Exposure outstanding with a CCP in accordance with PIB A4.9.2, provided that the CCP's Counterparty Credit Risk Exposure with all participants in its arrangements are fully collateralised on a daily basis.

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

    • PIB A4.9.2

      An Authorised Firm may attribute an Exposure value of zero, for purposes of calculating the CRCOM to Derivative contracts and deferred settlement transactions, or to other Exposures arising in respect of those contracts or transactions (excluding an Exposure arising from Collateral held with CCPs as part of its default fund) where such Exposures are outstanding with a CCP and have not been rejected by the CCP.

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

    • PIB A4.9.3

      An Authorised Firm which purchases Credit Derivative protection against a Non-Trading Book Exposure or against a Counterparty Credit Risk Exposure, must compute Market Risk Capital Requirements for the hedged asset in accordance with the relevant Rules in PIB chapter 5.

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

    • PIB A4.9.4

      An Authorised Firm must assign an Exposure value of zero for purposes of determination of CRCOM, for credit default swaps sold by it, where such credit default swaps are treated as credit protection provided by the Authorised Firm and subject to a Capital Requirement for Credit Risk for the full amount.

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

    • Credit Default Products

      • PIB A4.9.5

        (1) The Protection Buyer relies on the Protection Seller to pay the Credit Event Payment if a Credit Event occurs, and therefore must compute Credit RWAs for the Counterparty Risk involved.
        (2) The Protection Seller is exposed to the Protection Buyer only if there are premium or interest rate-related payments outstanding.
        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A4.9.6

        In the case of Total Return Swaps, since each party relies on the other for payment, each party must compute Credit RWAs.

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

      • PIB A4.9.7

        No Credit RWA applies to credit-linked notes unless a coupon or interest payment is outstanding.

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