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  • Solo Risk-weighted Assets

    • CA-1.1.16

      Solo Total risk-weighted assets 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 parent bank alone; and
      (b) Adding the resulting figures to the sum of risk-weighted assets for credit risk (see CA-1.1.4) and securitisation risk for the parent bank alone (see CA-1.1.5).
      January 2015

    • CA-1.1.17

      For the purpose of this Module the solo CAR is calculated by applying the Solo Total Capital (as defined in Paragraph CA-1.1.15) to the numerator and solo risk-weighted assets (RWAs) as defined in Paragraph CA-1.1.16) to the denominator as shown below.

                                                      Total Capital                                                
      {Self-financed RWAs (Credit + Market Risks) + Operational Risks

      Plus

      α [RWAs funded by UPSIAsa (Credit+ MarketRisks) -
      PER and IRR of UPSIAs]}
      (a) Where the funds are commingled, the RWA funded by UPSIA are calculated based on their pro-rata share of the relevant assets.
      (b) α refers to the proportion assets funded by UPSIA which, as determined by the CBB, is 30%; and
      (c) The UPSIAs' share of PER and by IRR is deducted from the total RWAs funded by the UPSIAs. The PER has the effect of reducing the displaced commercial risk and the IRR has the effect of reducing any future losses on the investment financed by the PSIA.

      This formula is applicable as the Islamic bank licensees may smooth income to the UPSIAs as a mechanism to minimise withdrawal risk.
      January 2015