Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

adding new eif approaches #304

Merged
merged 2 commits into from
Nov 29, 2023
Merged

adding new eif approaches #304

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
999cb83
adding new eif approaches
Nov 21, 2023
7dd1c09
fixing new approaches in common
Nov 21, 2023
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
18 changes: 18 additions & 0 deletions documentation/properties/cr_approach.md
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -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)
3 changes: 3 additions & 0 deletions v1-dev/common.json
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -390,6 +390,9 @@
"type": "string",
"enum": [
"airb",
"eif_fb",
"eif_lt",
"eif_mba",
"firb",
"sec_erba",
"sec_sa",
Expand Down