Entire Section

  • Measuring Exposure to Counterparties and Issuers

    • PIB A4.11.10

      Rules PIB A4.11.12 to PIB A4.11.28 apply to both Non-Trading Book and Trading Book Exposures.

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

    • PIB A4.11.11

      When calculating an Exposure, an Authorised Firm must include accrued interest and dividends due.

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

    • PIB A4.11.12

      An Authorised Firm must not offset Non-Trading Book and Trading Book Exposures.

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

    • PIB A4.11.13

      A net short position is not an Exposure for the purposes of Concentration Risk.

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

    • PIB A4.11.14

      (1) Subject to (2), the value of an Authorised Firm's Exposure to a Counterparty, whether in its Non-Trading Book or its Trading Book, is the amount at risk calculated in accordance with PIB chapter 4.
      (2) For the purposes of calculating the value of an Authorised Firm's Exposure to a Counterparty under (1), the CCF factors taken into account under PIB A4.2 are subject to a minimum floor of 10%.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
      [Amended] DFSA RMI293/2021 (Made 24th February 2021). [VER38/04-21]