Entire Section

  • Credit Default Products

    • PIB A4.9.5

      (1) The Protection Buyer relies on the Protection Seller to pay the Credit Event Payment if a Credit Event occurs, and therefore must compute Credit RWAs for the Counterparty Risk involved.
      (2) The Protection Seller is exposed to the Protection Buyer only if there are premium or interest rate-related payments outstanding.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.9.6

      In the case of Total Return Swaps, since each party relies on the other for payment, each party must compute Credit RWAs.

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

    • PIB A4.9.7

      No Credit RWA applies to credit-linked notes unless a coupon or interest payment is outstanding.

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

    • PIB A4.9.8

      1) An Authorised Firm shall determine the Exposure value for clearing Exposures to non-qualifying CCPs as the amount in the table below:
      Type of Clearing Exposure Exposure Amount
      Segregated initial margin Nil
      Non-segregated initial margin Nominal amount of initial margin posted
      Pre-funded default fund contributions Nominal amount of the funded contribution
      Unfunded default fund contributions Nil
      Equity stakes Nominal amount
      (2) For the purposes of (1), a “non-qualifying CCP” is a CCP that does not meet the criteria set out in the definition of a Qualifying CCP in PIB Rule 1.2.1.
      Derived from DFSA RMI293/2021 (Made 24th February 2021). [VER38/04-21]