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Title[ Part 2: The First Pillar - Minimum Capital Requirements

Section[ D. Trading  book  capital  treatment  for  specific  risk  under  the  standardised methodology

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709.     The following sections describe the changes to the specific risk capital treatments under  the  standardised  methodology  within  the  trading  book. ¹¹²  These  changes  are consistent with the changes in the banking book capital requirements under the standardised approach.

1.         Specific risk capital charges for issuer risk

710.     The new capital charges for “government” and “other” categories will be as follows.

Categories         External credit assessment

Specific risk capital charge

Government

AAA to AA-    0%

A+ to BBB-      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)

BB+ to B-         8.00%

Below B-          12.00%

Unrated           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 of this Framework, e.g.:

BB+ to BB-       8.00%

Below BB-        12.00%

Unrated           8.00%

711.     When the government paper is denominated in the domestic currency and funded by the bank in the same currency, at national discretion a lower specific risk charge may be applied.

112 The  specific  risk  capital  charges  for  qualifying  debt  paper  and  equities  as  set  out  in  the  Market  Risk Amendment remain unchanged.

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