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 these Rules as CRCOM).
2. Rules 3.8.2
provide that the CRCOM is a component in the calculation of the overall Risk Capital Requirement of an Authorised Person, and that the CRCOM is to be calculated in accordance with this Chapter 4
3. The Rules in Section 4.8
provide that the Authorised Person's CRCOM is 10% of the Credit RWA of the firm, which in turn is calculated as the sum of:
a. the RWA for Credit Risk Exposures (CR Exposures); and
b. the 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 Authorised Person.
5. In addition to complying with the applicable Rules in this Chapter, an Authorised Person investing in or holding Islamic Contracts whether or not for the purpose of a PSIA will need to take account of the provisions under the IFR rules to calculate the Credit Risk for those Islamic Contracts.