Equity exposures to investment funds.

CFR · 2024-01-01 · US · Title 12

(a) (2) [Reserved] (3) If an equity exposure to an investment fund is part of a hedge pair and the System institution does not use the full look-through approach, the System institution must use the ineffective portion of the hedge pair as determined under § 628.52(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) The aggregate risk-weighted asset amounts of the exposures held by the fund as if they were held directly by the System institution; and (2) The System institution's proportional ownership share of the fund. (c) (d)

official document · source cfr-2024 · id 12:§ 628.53