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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
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
Archive

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  • Cash Legs of Repos

    • PIB A5.2.11

      The forward cash leg of a repo must be treated as a notional short position in a government Security with a maturity equal to that of the repo and coupon equal to the repo rate.

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

      • PIB A5.2.11 Guidance

        If a Security is repo'd, the Authorised Firm continues to calculate an Interest Rate Risk Capital Requirement on the Security because, although legal ownership transfers to the Counterparty, the economic benefit or loss remains with the Authorised Firm.

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