CA-9.2.3
The specific risk capital requirement is determined by weighting the current market value of each individual net position, whether long or short, according to its allocation among the following broad categories:
| Categories | External credit assessment | Specific risk capital charge |
| Government (including GCC governments) |
AAA to AA- A+ to BBB- BB+ to B- Below B- Unrated |
0% 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) 8.00% 12.00% 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- Below BB- Unrated |
8.00% 12.00% 8.00% |
January 2015