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  • CA-5.4 CA-5.4 Sukuk

    • Specific Risk for Sukuk

      • CA-5.4.1

        In the case of Sukuk in the trading book, the specific risk charge must be provided on the RW of the issue and the term to maturity of the Sukuk, as follows:

        Categories External credit assessment Specific risk capital charge
        Government (including GCC governments)* AAA to AA- 0%
        A+ to BBB- 0.25% (residual term to final maturity 6 months or less)

        1.00% (residual term to final maturity greater than 6 and up to and including 24 months)

        1.60% (residual term to final maturity exceeding 24 months)
        BB+ to B- 8.00%
        Below B- 12.00%
        Unrated 8.00%
        Qualifying   0.25% (residual term to final maturity 6 months or less)

        1.00% (residual term to final maturity greater than 6 and up to and including 24 months)

        1.60% (residual term to final maturity exceeding 24 months)
        Other Similar to credit risk charges under the standardised approach, e.g.:
        BB+ to BB- 8.00%
        Below BB- 12.00%
        Unrated 8.00%

        * CBB has the discretion to apply a different specific risk weight to sukuk issued by certain foreign government.

        Apr 08

    • General Market Risk for Sukuk

      • CA-5.4.2

        The general market risk16 must be provided on the residual term to maturity or to the next repricing date, using a simplified form of the Maturity Method on the net positions in each time-band in accordance with the table below:

        Residual term to maturity RW
        1 month or less 0.00%
        1-3 months 0.20%
        3-6 months 0.40%
        6-12 months 0.70%
        1-2 years 1.25%
        2-3 years 1.75%
        3-4 years 2.25%
        4-5 years 2.75%
        5-7 years 3.25%
        7-10 years 3.75%
        10-15 years 4.50%

        16 At the CBB's discretion, the bank may alternatively use the duration method as set out in the Market risk section of the Basel II Accord (June 2006).

        Apr 08

      • CA-5.4.3

        In the case of equity investments made by means of a Musharaka or a Mudaraba contract where the underlying assets are commodities, the market risk provisions for commodities, as described below, will be applicable.

        Apr 08