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

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

    • PIB A5.8.11

      For Concentration Risk purposes, the total amount of an Authorised Firm's Trading Book Exposures to any Person must include net Underwriting Exposure to that Person.

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

    • PIB A5.8.12

      An Authorised Firm must include any other Exposures arising out of underwriting (including any Counterparty Exposures to any sub-underwriters) for the purposes of calculating the total amount of its Trading Book Exposures to a Person for Concentration Risk purposes.

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

    • PIB A5.8.13

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

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

    • PIB A5.8.14

      An Authorised Firm must calculate the net Underwriting Exposure to an Issuer by applying the relevant reduction factors in the table below to its net Underwriting 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 Rule and the table above is that there is no concentration limit for net Underwriting Exposures between initial commitment and the end of working day 0.

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