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  • Credit Risk — IMB

    • CA-3.5.15

      In addition to credit risk mentioned in Paragraphs CA-3.5.12 and CA-3.5.13, the capital requirement for IMB is based on the following two components:

      (a) Total estimated future Ijara receivable amount over the duration of the lease contract: This exposure is mitigated by the market value of the leased asset (subject to any haircut if it is eligible collateral) if it may be repossessed. The net credit risk exposure must be assigned a RW based on the credit standing of the lessee/counterparty as rated by an ECAI that is approved by the CBB. In cases where the lessee is unrated, a RW of 100% applies. See Paragraph CA-4.7.25 for eligible collateral; and
      (b) Price risk attached to the expected residual value of a leased asset: This exposure is treated under Paragraph CA-3.5.20.
      January 2015