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PIB A5.2.13

(1) An Authorised Firm must calculate its Specific Risk as the sum of the market values of the individual net positions (whether they are long or short) multiplied by the appropriate risk percentage in (3).
(2) An Authorised Firm must not offset between different issues.
(3) An Authorised Firm must determine the appropriate risk percentage by reference to the following table:

Issuer Credit Quality Grades Residual Term to Maturity Risk Percentage
Sovereign Debt

This category includes —
(a) all forms of government debt, including bonds, treasury bills and other short-term instruments; and
(b) securities issued by PSEs which qualify for a 0% risk weight for Credit Risk.
An Exposure to any debt Security issued by-
(i) the central government or monetary authority; or
(ii) other central governments with a Credit Quality Grade of 3 or better as set out in PIB chapter 4,
which is denominated in the domestic currency and funded in the same currency must be assigned a 0% Specific Risk charge.
The DFSA may, at its discretion, assign a higher risk charge other than the above to Securities issued by certain governments, especially in cases where the Securities are denominated in a currency other than that of the issuing government.
1 Any 0.00%
2 or 3 6 months or less 0.25%
More than 6 and up to 24 months 1.00%
More than 24 months 1.60%
4 or 5 Any 8.00%
6 Any 12.00%
Unrated Any 8.00%
Qualifying Debt

This category includes —
(a) any Security that is issued by an MDB;
(b) any Security (including one issued by a PSE) which has a Credit Quality Grade of 3 or better as set out in PIB chapter 4; and
(c) any unrated Security issued by a PSE which belongs to a country with a Credit Quality Grade of 1 as set out in PIB chapter 4.
  6 months or less 0.25%
More than 6 and up to 24 months 1.00%
More than 24 months 1.60%
Other

For securities which have a high yield to redemption relative to government debt securities issued in the same country, the DFSA will require the Authorised Firm:
(a) to apply a higher Specific Risk charge to such instruments; or
(b) to disallow offsetting for the purpose of defining the extent of General Market Risk between such instruments and any other debt instruments.
4 Any 8% or such other percentage as the DFSA may direct.
5 or 6 Any 12% or such other percentage as the DFSA may direct.
Unrated Any 8% or such other percentage as the DFSA may direct.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]