In this paper we analyze the consistency of loss functions for learning from weakly labelled data, and its relation to properness. We show that the consistency of a given loss depends on the mixing matrix, which is the transition matrix relating the weak labels and the true class. A linear transformation can be used to convert a conventional classification-calibrated (CC) loss into a weak CC loss. By comparing the maximal dimension of the set of mixing matrices that are admissible for a given CC loss with that for proper losses, we show that classification calibration is a much less restrictive condition than properness. Moreover, we show that while the transformation of conventional proper losses into a weak proper losses does not preserve convexity in general, conventional convex CC losses can be easily transformed into weak and convex CC losses. Our analysis provides a general procedure to construct convex CC losses, and to identify the set of mixing matrices admissible for a given transformation. Several examples are provided to illustrate our approach.