Entire Section

  • Exposures to Issuers

    • PIB A4.11.15

      An Authorised Firm must calculate the value of an Exposure to the Issuer of a Security which is held in the Authorised Firm's Non-Trading Book as the sum of the excess, where positive, of the book value of all long positions over all short positions (the net long position), for each identical instrument issued by that Issuer.

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

    • PIB A4.11.16

      For the purposes of PIB Rule A4.11.15, short positions in one Security may be used to offset long positions in a non-identical Security issued by the same Issuer if:

      (a) both Securities are denominated in the same currency; and
      (b) where both Securities are:
      (i) fixed rate or index-linked, and are within the same residual maturity time band; or
      (ii) floating rate.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.11.17

      An Authorised Firm must calculate the value of an Exposure to the Issuer of a Security or a credit derivative used as a hedge that is held in the Authorised Firm's Trading Book by calculating the excess of the current market value of all long positions over all short positions in all the Securities or credit derivatives issued by that Issuer, based on the seniority of those Securities or credit derivatives in the liquidation of the Issuer.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
      [Added] DFSA RMI293/2021 (Made 24th February 2021). [VER38/04-21]

    • PIB A4.11.18

      An Authorised Firm must not offset an Exposure to one Issuer against an Exposure to another even where the Issuers are in a group of Closely Related Counterparties.

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

    • PIB A4.11.19

      An Authorised Firm must include as a long position a commitment by it to buy:

      (a) a debt Security or an equity at a future date; and
      (b) under a note issuance facility, at the request of the Issuer, a Security that is unsold on the issue date.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.11.20

      An Authorised Firm must include as a short position a commitment by it to sell a debt Security or equity at a future date.

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

    • PIB A4.11.21 PIB A4.11.21

      Where the equity leg of an equity swap is based on the change in value of an individual equity, it is treated as an Exposure to the Issuer of the equity.

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

      • PIB A4.11.21 Guidance

        An interest rate leg of an equity swap, or interest rate or currency swap does not generate an Exposure to an Issuer.

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

    • PIB A4.11.22

      An Authorised Firm must, when determining its Exposure to an Issuer arising from an Option, use an Exposure value based on the level of change in the price that will result from the default of the underlying instrument.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
      [Amended] DFSA RMI293/2021 (Made 24th February 2021). [VER38/04-21]

    • PIB A4.11.23

      (1) An Authorised Firm must treat the value of:
      (a) a call Option as equal to market value; and
      (b) a put Option as equal to the strike price minus market value.
      (2) An Authorised Firm must aggregate the resulting option Exposures to each underlying counterparty and if there is a negative net Exposure after aggregation of all option Exposures, the option Exposure must be set to nil.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
      [Amended] DFSA RMI293/2021 (Made 24th February 2021). [VER38/04-21]

    • PIB A4.11.24 PIB A4.11.24

      An Authorised Firm must, for the purposes of Concentration Risk, treat an Exposure to an Issuer arising from an index or basket of debt Securities or a non-broad-based equity index or basket, as a series of Exposures to the Issuers of the underlying instruments or equities in accordance with the procedures in PIB chapter 4.

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

      • PIB A4.11.24 Guidance

        Broadly based equity indices should not be broken down into their constituent stocks. A position related to a broadly based equity index does not generate an Exposure to any Issuer.

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

    • PIB A4.11.25

      An Authorised Firm which receives cash on a repurchase agreement must treat the cash as if it is on its balance sheet and in accordance with sections PIB 4.9 and PIB 4.13. Any Collateral received against repurchase agreements or Securities and commodities borrowing must also be treated as a balance sheet item under sections PIB 4.9 and PIB 4.13.

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

    • PIB A4.11.26

      An Authorised Firm must treat a reverse repurchase agreement or Securities and commodities lending in its Non-Trading Book as a collateralised loan and the Collateral it holds as an asset, provided that the Collateral is eligible financial Collateral as defined in PIB Rule 4.13.5. If the Collateral is not such an eligible financial Collateral, the Authorised Firm must treat the transaction as an unsecured loan to the Counterparty.

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

    • PIB A4.11.27

      An Authorised Firm with repurchase agreements and reverse repurchase agreements in its Trading Book has an Exposure to:

      (a) the Issuer of the Security it has sold in a repurchase agreement; and
      (b) the Counterparty where the Securities or cash given by the Authorised Firm exceed the Securities or cash it receives (i.e. there is a net margin given by the Authorised Firm) in a repurchase agreement or reverse repurchase agreement.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.11.28

      An Authorised Firm must calculate in accordance with PIB section 5.10 an Exposure to the Issuer arising from the Underwriting or sub-underwriting of a new Issue of Securities.

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