Past version: effective from 09/12/2012 - 31/12/2017
To view other versions open the versions tab on the right
(1) In this section:
(a) "E" represents the
Exposure determined by an Authorised Firm as applicable to an Islamic Contract; and
(b) "CRW represents the risk weighting or capital charge assessed by an
Authorised Firm as appropriate to that Islamic Contract.
(2) Where an
Islamic Contract is in the Non-Trading Book, an Authorised Firm must determine the PSIACOMcredit for that contract by applying the following formula:
E × CRW × 10%.
E × CRW × 10%.
(3) Where an
Islamic Contract is in the Trading Book, an Authorised Firm must determine the PSIACOMcredit for that contract in accordance with the methodology in PIB A4.7 and PIB A4.8 as appropriate.
Authorised Firm must calculate its PSIACOMcredit of all contracts by:
(a) identifying all
Islamic Contracts to which this section applies;
(b) valuing the underlying investment or asset of each contract and reducing the value of any such investment or asset in the manner stipulated in Section 4.9 of chapter 4 of PIB, the result of which constitutes E for that contract;
(c) determining the risk weighting or capital charge appropriate to each contract, which will constitute the CRW for that contract in accordance with Rules in Sections 4.10, 4.11 and 4.12 of chapter 4 of PIB;
(d) applying the respective formula in IFR Rule 5.4.7(2) or (3) to determine of PSIACOMcredit in respect of each contract; and
(e) summing the PSIACOMcredit of each contract to determine the PSIACOMcredit applicable to the