PIB 4.1.1 Guidance
1. This chapter imposes systems and controls pertaining to
Credit Risk, and prescribes the manner of calculation of the Credit Risk Capital Requirement (also referred to in this module as CRCOM).
2. Rules PIB 3.8.2 and PIB 3.8.3 provide that the
CRCOM is a component in the calculation of the overall Risk Capital Requirement of an Authorised Firm, and that the CRCOM is to be calculated in accordance with this PIB chapter 4.
Rules in PIB section 4.8 provide that the Authorised Firm's CRCOM is 8% of the Credit RWA of the firm, which in turn is calculated as the sum of:
RWA for Credit Risk Exposures (CR Exposures); and
RWA for securitisation Exposures (SE Exposures).
4. This chapter sets out the manner in which each of those components must be calculated, monitored and controlled by an
5. In addition to complying with the applicable
Rules in this chapter, an Authorised Firm investing in or holding Islamic Contracts whether or not for the purpose of a PSIA will need to take account of the provisions under IFR RulesIFR 5.4.6 and IFR 5.4.7 to calculate the Credit Risk for those Islamic Contracts.