24. Equity Investments in Funds

In cases when the IRB calculation is not feasible (24.16 (2) above), a third-party is performing the calculation of risk weights (24.16 (3) above) or when the bank is using the MBA the following methods must be used to determine the risk weights associated with the fund’s underlying exposures: (1) For securitization exposures, the Securitization External-ratings-based approach (SEC-ERBA) set out in chapter 20 ; the Standardized approach (SEC-SA) set out in chapter 19 , if the bank is not able to use the SECERBA; or a 1250% risk weight where the specified requirements for using the SEC-ERBA or SEC-SA are not met; and (2) The standardized approach ( chapter 7 ) for all other exposures.