From 999cb839db26c64fe6d052d9d06457463e33fcbb Mon Sep 17 00:00:00 2001 From: Daniell Wallis Date: Tue, 21 Nov 2023 16:00:48 +0000 Subject: [PATCH 1/2] adding new eif approaches --- documentation/properties/cr_approach.md | 18 ++++++++++++++++++ v1-dev/common.json | 1 + 2 files changed, 19 insertions(+) diff --git a/documentation/properties/cr_approach.md b/documentation/properties/cr_approach.md index bb9f9e3b..179ecc30 100644 --- a/documentation/properties/cr_approach.md +++ b/documentation/properties/cr_approach.md @@ -29,6 +29,24 @@ Securitisation Standardised Approach - Look-through Approach For securitisation calculations, when the financial institution has full knowledge of the composition of the underlying exposures of pool at all time, the institution can apply the "look-through" approach to senior securitization exposures. See [OSFI Chapter 7, P134 or Basel Framework, CRE 40.50](https://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/CAR22_chpt6.aspx#ToC6.6.5) +## eif_lt +Equity Investments in Funds - Look-through Approach +The LTA requires a bank to risk weight the underlying exposures of a fund as if the exposures were held directly by the bank. This is the most granular and risk-sensitive approach. It must be used when: +(1) there is sufficient and frequent information provided to the bank regarding the underlying exposures of the fund; and +(2) such information is verified by an independent third party. +See [Basel CRE60 Equity Investments in Funds, CRE 60.2](https://www.bis.org/basel_framework/chapter/CRE/60.htm) + +### eif_mba +Equity Investments in Funds - Mandate-based Approach +The second approach, the MBA, provides a method for calculating regulatory capital that can be used when the conditions for applying the LTA are not met. +Under the MBA banks may use the information contained in a fund's mandate or in the national regulations governing such investment funds. +See [Basel CRE60 Equity Investments in Funds, CRE 60.6](https://www.bis.org/basel_framework/chapter/CRE/60.htm) + +### eif_fb +Equity Investmnets in Funds - Fall-back Approach +Where neither the LTA nor the MBA is feasible, banks are required to apply the FBA. The FBA applies a 1250% risk weight to the bank’s equity investment in the fund. +See [Basel CRE60 Equity investments in funds, CRE 60.8](https://www.bis.org/basel_framework/chapter/CRE/60.htm) + ### sec_erba Securitisation External-Ratings-Based Approach See [Basel CRE42 Securitisation: External-Ratings-Based Approach (SEC_ERBA)](https://www.bis.org/basel_framework/chapter/CRE/42.htm) diff --git a/v1-dev/common.json b/v1-dev/common.json index b394065a..ebd4d6dc 100644 --- a/v1-dev/common.json +++ b/v1-dev/common.json @@ -394,6 +394,7 @@ "sec_erba", "sec_sa", "sec_sa_lt", + "sec_sa_fb", "std" ] }, From 7dd1c09411fde0940d28519207f6412d4c2cb308 Mon Sep 17 00:00:00 2001 From: Daniell Wallis Date: Tue, 21 Nov 2023 16:29:10 +0000 Subject: [PATCH 2/2] fixing new approaches in common --- documentation/properties/cr_approach.md | 2 +- v1-dev/common.json | 4 +++- 2 files changed, 4 insertions(+), 2 deletions(-) diff --git a/documentation/properties/cr_approach.md b/documentation/properties/cr_approach.md index 179ecc30..f1c8fabe 100644 --- a/documentation/properties/cr_approach.md +++ b/documentation/properties/cr_approach.md @@ -29,7 +29,7 @@ Securitisation Standardised Approach - Look-through Approach For securitisation calculations, when the financial institution has full knowledge of the composition of the underlying exposures of pool at all time, the institution can apply the "look-through" approach to senior securitization exposures. See [OSFI Chapter 7, P134 or Basel Framework, CRE 40.50](https://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/CAR22_chpt6.aspx#ToC6.6.5) -## eif_lt +### eif_lt Equity Investments in Funds - Look-through Approach The LTA requires a bank to risk weight the underlying exposures of a fund as if the exposures were held directly by the bank. This is the most granular and risk-sensitive approach. It must be used when: (1) there is sufficient and frequent information provided to the bank regarding the underlying exposures of the fund; and diff --git a/v1-dev/common.json b/v1-dev/common.json index ebd4d6dc..f25af44a 100644 --- a/v1-dev/common.json +++ b/v1-dev/common.json @@ -390,11 +390,13 @@ "type": "string", "enum": [ "airb", + "eif_fb", + "eif_lt", + "eif_mba", "firb", "sec_erba", "sec_sa", "sec_sa_lt", - "sec_sa_fb", "std" ] },