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  • Consolidated Risk-Weighted Assets

    • CA-1.1.3

      Consolidated Total RWAs are determined by:

      (a) Multiplying the capital requirements for market risk (see CA-1.1.7) and operational risk (see CA-1.1.6) by 12.5 for the conventional bank licensee and all its consolidated subsidiaries; and
      (b) Adding the resulting figures to the sum of RWAs for credit risk (see CA-1.1.4) and securitisation risk for the conventional bank licensee and all its consolidated subsidiaries (see CA-1.1.5).
      January 2015

    • CA-1.1.4

      For the measurement of their credit risks, conventional bank licensees measure the risks in the standardised approach, applying the measurement framework described in Chapter CA-3 and subject to the credit mitigation techniques outlined in Chapter CA-4 of this Module.

      January 2015

    • CA-1.1.5

      The securitisation framework is set out in Chapter CA-6. Conventional bank licensees must apply the securitisation framework for determining regulatory capital requirements on exposures arising from traditional and synthetic securitisations or similar structures that contain features common to both.

      January 2015

    • CA-1.1.6

      For the measurement of their operational risks, conventional bank licensees have a choice, subject to notification to the CBB, between two broad methodologies:

      (a) The basic indicator approach, by applying the measurement framework described in Chapter CA-7 of this Module; and
      (b) The standardised approach (also in Chapter CA-7) this approach is subject to certain conditions (outlined in Chapter OM-8) and requires the explicit approval of the CBB.
      Amended: January 2022
      Added: January 2015

    • CA-1.1.6A

      For the purpose of Sub-paragraph CA-1.1.6 (b), a licensee must provide appropriate justification and seek CBB’s prior approval, if it wishes to revert from the standardised approach to the basic indicator approach.

       

      Added: January 2022

    • CA-1.1.7

      For the measurement of their market risk, conventional bank licensees have a choice, subject to the written approval of the CBB, between two broad methodologies:

      (a) One alternative is to measure the risks in a standardised approach, applying the measurement frameworks described in Chapters CA-9 to CA-13 of this Module; and
      (b) The second alternative methodology (i.e. the IMM or internal models approach) is set out in detail in Chapter CA-14 including the procedure for obtaining the CBB's approval. This methodology is subject to the fulfilment of certain conditions. The use of this methodology is, therefore, conditional upon the explicit approval of the CBB.
      January 2015

    • CA-1.1.8

      In light of Paragraphs CA-1.1.3 to CA-1.1.7, each conventional bank licensee's overall capital requirement consists of:

      (a) The credit risk requirements laid down in Chapters CA-2 to CA-6, and including the credit counterparty risk on all over-the-counter derivatives whether in the trading or the banking books (see Chapter CA-8);
      (b) The capital charges for operational risk described in Chapter CA-7; and
      (c) The capital charges for market risks:
      (i) Described in Chapters CA-9 to CA-13 summed arithmetically;
      (ii) Derived from the models approach set out in Chapter CA-14; or
      (iii) A mixture of (i) and (ii) summed arithmetically.
      January 2015

    • CA-1.1.9

      All transactions, including forward sales and purchases, must be included in the calculation of capital requirements as from the date on which they were entered into. Although regular reporting takes place quarterly, conventional bank licensees must manage their risks in such a way that the capital and leverage requirements are being met on a continuous basis, i.e. at the close of each business day. Conventional bank licensees must not "window-dress" by showing significantly lower credit or market risk positions on reporting dates. Conventional bank licensees must maintain strict risk management systems to ensure that intra-day exposures are not excessive. If a conventional bank licensee fails to meet the capital requirements of this Module, the bank must take immediate measures to rectify the situation as detailed in Section CA-1.2.

      January 2015