CA-5.5.21
Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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In general, the measure of an equity exposure on which capital requirements is based is the value presented in the financial statements, which may include unrealised revaluation gains. Thus, for example, equity exposure measures will be:
(a) For investments held at fair value with changes in value flowing directly through income and into regulatory capital and where a discount is applied on fair value (as explained in CA-2.1.5), the exposure is equal to the fair value adjusted to exclude that discount part. Refer to appendix CA-17.
(b) For investments held at fair value with changes in value not flowing through income but into a tax-adjusted separate component of equity and where a discount is applied on fair value (as explained in CA-2.1.5), the exposure is equal to the fair value adjusted to exclude that discount part. Refer to appendix CA-17.
(c) For investments held at cost or at the lower of cost or market, exposure is equal to the cost or market value presented in the balance sheet.47
47 If "latent gain" is allowed on such investment (as explained in CA-2.1.5), the cost will be adjusted to include that allowed gain.
Apr 08