Entire Section

  • Own-Estimate Haircuts

    • PIB A4.3.17

      (1) An Authorised Firm must apply for approval from the DFSA if it intends to use own-estimate haircuts.
      (2) An Authorised Firm must not use own-estimate haircuts unless it has received approval to adopt the internal models approach to calculate the Market Risk Capital Requirement.
      (3) The DFSA may grant approval for an Authorised Firm to use own-estimate haircuts subject to such conditions or restrictions as the DFSA may impose.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.18

      If An Authorised Firm becomes aware after it has received approval to use own-estimate haircuts that it no longer complies with any of the requirements in Rules PIB A4.3.17 to PIB A4.3.23 or any of the conditions or restrictions imposed by the DFSA pursuant to PIB Rule A4.3.17 or no longer meets the Rules, it must

      (a) inform the DFSA as soon as practicable;
      (b) assess the effect of the situation in terms of the risk posed to the Authorised Firm;
      (c) prepare a plan to rectify the situation and inform the DFSA of its plan as soon as practicable; and
      (d) undertake prompt corrective action within a reasonable time in accordance with the plan prepared pursuant to (c).
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.19

      If An Authorised Firm fails to comply with PIB Rule A4.3.18, the DFSA may revoke its approval for the Authorised Firm to use own-estimate haircuts. The Authorised Firm may also be required to revise its estimates for the purpose of calculating regulatory Capital Requirements if its estimates of E*, does not adequately reflect its Exposure to Counterparty Credit Risk.

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