PIB 3.18.3
For the purpose of determining the Exposure Measure, the value of exposures of an
(a) on-balance sheet, non-derivative exposures must be net of specific allowances and valuation adjustments (e.g. credit valuation adjustments);
(b) physical or financial collateral, guarantees or credit risk mitigation purchased must not be used to reduce on-balance sheet exposures;
(c) loans must not be netted with deposits;
(d) collateral must not be netted against a derivative position, whether or not netting is allowed;
(e) collateral posted against a derivative position must be added to the Exposure Measure if posting the collateral has resulted in a reduction in the Firm’s balance sheet;
(f) if an Authorised Firm writes a credit derivative, it must include the notional value of the derivative in its Exposure Measure without allowing any offset;
(g) if an Authorised Firm is a clearing member of a CCP and is contractually liable to reimburse its Clients or the CCP for losses, as a result of a change in the value of the trading transactions in the event of a default, it must:
(i) treat each transaction as if it were a derivative exposure entered into directly with the Client, including with regard to the provision or receipt of variation margin; and
(ii) include the transaction in its Exposure Measure; and
(h) an item that has been deducted under PIB Section 3.13 from the Tier 1 Capital must also be deducted from the Exposure Measure, except where that item relates to a liability.
[Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]
[Amended] DFSA RMI322/2021 (Made 1st January 2022). [VER41/01-22]
[Amended] DFSA RMI322/2021 (Made 1st January 2022). [VER41/01-22]