CA-5.3 CA-5.3 Specific risk calculation
CA-5.3.1
Specific risk is defined as the bank's gross equity positions (i.e. the sum of all long equity positions and of all short equity positions), and is calculated for each country or equity market. For each national market in which the bank holds equities, it should sum the market values of its individual net positions as determined in accordance with section CA-5.2, irrespective of whether they are long or short positions, to produce the overall gross equity position for that market.
CA-5.3.2
The capital charge for specific risk is 8%, unless the portfolio is both liquid and well-diversified, in which case the capital charge will be 4%. To qualify for the reduced 4% capital charge, the following requirements need to be met:
(a) The portfolio should be listed on a recognised stock exchange;(b) No individual equity position shall comprise more than 10% of the gross value of the country portfolio; and(c) The total value of the equity positions which individually comprise between 5% and 10% of the gross value of the country portfolio, shall not exceed 50% of the gross value of the country portfolio.
