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  • CA-4.2 CA-4.2 Specific risk calculation

    • CA-4.2.1

      Specific risk is defined as the bank's gross equity positions (i.e. the sum of all equity positions and is calculated for each country or equity market).

      October 07

    • CA-4.2.2

      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.
      October 07

    • CA-4.2.3

      To qualify for reduced 4% capital charge on equity funds, the bank should acquire prior written approval from the Central Bank.

      October 07