Entire Section

  • Applicability and Limits

    • PIB 4.15.1

      This section applies with respect to Trading Book transactions as calculated in PIB App2 and Non-Trading Book transactions as calculated in PIB section 4.8.

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

    • PIB 4.15.2

      For the purposes of this section an Exposure that arises in the Trading Book is calculated by summing the following:

      (a) the net positive position (long positions net of short positions) for each financial instrument as set out in Rules PIB A4.11.10 to PIB A4.11.28;
      (b) the Authorised Firm’s net Underwriting Exposures for any Counterparty; and
      (c) any other Exposures arising from transactions, agreements and contracts that would give rise to Counterparty Credit Risk.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
      [Amended] DFSA RMI293/2021 (Made 24th February 2021). [VER38/04-21]

    • PIB 4.15.3

      For the purposes of this section an Authorised Firm must:

      (a) identify its Exposures;
      (b) identify its Counterparties, including whether any are Closely Related to each other or Connected to the Authorised Firm;
      (c) measure the size of its Exposures;
      (d) establish the value of its Exposures;
      (e) determine the size of its Exposures as a proportion of its Capital Resources;
      (f) identify whether it has Exposures which are subject to the requirements of PIB section 4.13 (Credit Risk mitigation);
      (g) identify which, if any, of its Exposures are exempt in accordance with PIB section A4.11 from the limits set out in Rules PIB 4.15.4 to PIB 4.15.7;
      (h) aggregate its Exposures to the same Counterparty or group of Closely Related Counterparties or group of Connected Counterparties;
      (i) monitor and control its Exposures on a daily basis within the Concentration Risk limits; and
      (j) notify the DFSA immediately of any breach of the limits set out in this section and confirm it in writing.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]