Source: https://www.ecfr.gov/cgi-bin/text-idx?mc=true&node=se12.2.217_1151&rgn=div8
Timestamp: 2020-02-23 11:42:47
Document Index: 30359622

Matched Legal Cases: ['art 217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217']

Title 12 → Chapter II → Subchapter A → Part 217 → Subpart E → §217.151
§217.151 Introduction and exposure measurement.
(a) General. (1) To calculate its risk-weighted asset amounts for equity exposures that are not equity exposures to investment funds, a Board-regulated institution may apply either the Simple Risk Weight Approach (SRWA) in §217.152 or, if it qualifies to do so, the Internal Models Approach (IMA) in §217.153. A Board-regulated institution must use the look-through approaches provided in §217.154 to calculate its risk-weighted asset amounts for equity exposures to investment funds.
(2) A Board-regulated institution must treat an investment in a separate account (as defined in §217.2), as if it were an equity exposure to an investment fund as provided in §217.154.
(3) Stable value protection. (i) Stable value protection means a contract where the provider of the contract is obligated to pay:
(ii) A Board-regulated institution that purchases stable value protection on its investment in a separate account must treat the portion of the carrying value of its investment in the separate account attributable to the stable value protection as an exposure to the provider of the protection and the remaining portion of the carrying value of its separate account as an equity exposure to an investment fund.
(iii) A Board-regulated institution that provides stable value protection must treat the exposure as an equity derivative with an adjusted carrying value determined as the sum of §217.151(b)(1) and (2).
(1) For the on-balance sheet component of an equity exposure, the Board-regulated institution's carrying value of the exposure;
(3) For unfunded equity commitments that are unconditional, the effective notional principal amount is the notional amount of the commitment. For unfunded equity commitments that are conditional, the effective notional principal amount is the Board-regulated institution's best estimate of the amount that would be funded under economic downturn conditions.