12 C.F.R. § 1240.51

Current through September 30, 2024
Section 1240.51 - Introduction and exposure measurement
(a)General.
(1) To calculate its risk-weighted asset amounts for equity exposures, an Enterprise must use the Simple Risk-Weight Approach (SRWA) provided in § 1240.52 .
(2) An Enterprise must treat an investment in a separate account (as defined in § 1240.2 ) as if it were an equity exposure to an investment fund.
(b)Adjusted carrying value. For purposes of §§ 1240.51 and 1240.52 , the adjusted carrying value of an equity exposure is:
(1) For the on-balance sheet component of an equity exposure, the Enterprise's carrying value of the exposure;
(2) [Reserved]
(3) For the off-balance sheet component of an equity exposure that is not an equity commitment, the effective notional principal amount of the exposure, the size of which is equivalent to a hypothetical on-balance sheet position in the underlying equity instrument that would evidence the same change in fair value (measured in dollars) given a small change in the price of the underlying equity instrument, minus the adjusted carrying value of the on-balance sheet component of the exposure as calculated in paragraph (b)(1) of this section; and
(4) For a commitment to acquire an equity exposure (an equity commitment), the effective notional principal amount of the exposure is multiplied by the following conversion factors (CFs):
(i) Conditional equity commitments with an original maturity of one year or less receive a CF of 20 percent.
(ii) Conditional equity commitments with an original maturity of over one year receive a CF of 50 percent.
(iii) Unconditional equity commitments receive a CF of 100 percent.

12 C.F.R. §1240.51

85 FR 82198, 2/16/2021