CA-5.4.2
The capital charge for specific risk covers the possibility of an adverse movement in the price of a Sukūk held for trading due to factors related to an individual issuer. Offsetting is restricted only to matched positions in the identical issues. No offsetting will be permitted between different issues even if the issuer is the same, since differences in features of Sukūk with respect to profit rates, liquidity and call features, etc. would imply that prices may diverge in the short run. 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-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) 8 00% 12.00% 8.00% |
Investment Grade |
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 | ||
BB+ to BB-Below BB-Unrated |
8.00% 12.00% 12.00% |
January 2015