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  • Former Deductions from Capital

    • CA-2.4.25

      The following items receive the following risk weights:

      (a) Certain securitisation exposures outlined in Chapter CA-6: 1,250%;
      (b) Non-payment/delivery on non-DvP and non-PvP transactions (see Appendix CA-4): 1,250%;
      (c) The amount of any significant investments in commercial entities, as defined in Paragraph CM-5.11.4, which exceed the materiality thresholds is risk weighted at 800%. The materiality thresholds for these investments are: 15% of Total Capital for individual significant investments; and 60% of Total Capital for the aggregate of such investments; and
      (d) Any exposures above the large exposures limits set by the CBB in Chapter CM-5 of the CBB Rulebook: 800%.
      Amended: October 2016
      Amended: July 2015
      Amended: April 2015
      January 2015

    • CA-2.4.26

      For Subparagraphs CA-2.4.25 (c) and (d), amounts below the materiality thresholds and large exposure limits continue to be risk weighted in accordance with Chapter CA-3. Where the remaining holdings are made up of holdings carrying different risk weights, the application of the risk weighting must be allocated on a pro rata basis for those exposures that are not subject to the 800% risk weight. Appendix CA-21 gives an example of the way to calculate the risk weighted assets and the effect of the limits outlined in Subparagraphs CA-2.4.25 (c) and (d).

      Added: July 2015