Regulatory Alerts2022-07-11
Added · Updated
Annex IIIa and IIIb-B: Examples of Calculation of Risk-Weighted Amount of CIS Exposure with Deductible Holding
This document provides illustrative examples for calculating the risk-weighted amount of Collective Investment Scheme (CIS) exposure when a portion constitutes a deductible holding. It details the specific formulas and steps for determining the principal amounts subject to capital deduction versus those subject to risk-weighting for both Level 1 and Level 2 CIS structures. The examples demonstrate how Authorized Institutions (AIs) should apply provisions from Division 4 of Part 3 of the BCR, including leverage adjustments and the separation of regulatory deductible items from underlying exposures.
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