Credit Default Products
PIB A4.9.5(1) The
Protection Buyerrelies on the Protection Sellerto pay the Credit Event Paymentif a Credit Eventoccurs, and therefore must compute Credit RWAsfor the Counterparty Riskinvolved.(2) The Protection Selleris exposed to the Protection Buyeronly if there are premium or interest rate-related payments outstanding.
In the case of
Total Return Swaps, since each party relies on the other for payment, each party must compute Credit RWAs.
Credit RWAapplies to credit-linked notesunless a coupon or interest payment is outstanding.
PIB A4.9.81) 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]