(iii) Exclusions to the Market-based and PD/LGD Approaches
CA-5.5.18
Banks are allowed to exclude equity holdings in entities whose debt obligations qualify for a zero risk weight under the standardised approach to credit risk from the IRB approaches to equity (including those publicly sponsored entities where a zero risk weight can be applied).
Apr 08CA-5.5.19
Equity exposures of a bank can be excluded from the IRB treatment based on materiality as defined in the following paragraph.
Apr 08CA-5.5.20
The equity exposures of a bank are considered material if their aggregate value exceeds, on average over the prior year, 10% of bank's Tier 1 plus Tier 2 capital. This materiality threshold is lowered to 5% of a bank's Tier 1 plus Tier 2 capital if the equity portfolio consists of less than 10 individual holdings. CBB may use lower materiality thresholds in future.
Apr 08
