Equity exposures to investment funds.

CFR · 2024-01-01 · US · Title 12

(a) (2) The risk-weighted asset amount of an equity exposure to an investment fund that meets the requirements for a community development equity exposure in § 3.152(b)(3)(i) is its adjusted carrying value. (3) If an equity exposure to an investment fund is part of a hedge pair and the national bank or Federal savings association does not use the full look-through approach, the national bank or Federal savings association may use the ineffective portion of the hedge pair as determined under § 3.152(c) as the adjusted carrying value for the equity exposure to the investment fund. The risk-weighted asset amount of the effective portion of the hedge pair is equal to its adjusted carrying value. (b) (1) Set the risk-weighted asset amount of the national bank's or Federal savings association's exposure to the fund equal to the product of: (i) The aggregate risk-weighted asset amounts of the exposures held by the fund as if they were held directly by the national bank or Federal savings association; and (ii) The national bank's or Federal savings association's proportional ownership share of the fund; or (2) Include the national bank's or Federal savings association's proportional ownership share of each exposure held by the fund in the national bank's or Federal savings association's IMA. (c) (d)

official document · source cfr-2024 · id 12:§ 3.154