The bank must treat banking-book equity investments in all funds, including unfunded commitments, using one or a combination of three approaches (CRE60.1, 60.10). The look-through approach is mandatory where the fund reports at least as often as the bank, with enough granularity, and an independent third party such as the custodian verifies the holdings; underlying exposures are weighted as if held directly and derivative CCR is multiplied by 1.5 instead of a CVA charge (CRE60.2 to 60.4). Third-party calculations may be used only with a 1.2 times uplift (CRE60.5, 60.19). The mandate-based approach assumes the fund invests to the maximum permitted in the riskiest assets, weights derivative notionals, calculates CCR with SA-CCR alpha of 1.4, proxies unknown PFE at 15% of notional and applies the 1.5 CCR factor (CRE60.6 to 60.7). Where neither is feasible the fall-back approach applies 1250% (CRE60.8). Fund-of-fund layers beyond the first may use look-through only if the prior layer did (CRE60.9). The bank must apply a leverage adjustment to the fund's average risk weight, capped at 1250% (CRE60.13 to 60.17). Supervisors may exclude legislated programme holdings up to 10% of total capital (CRE60.11 to 60.12). IRB banks follow CRE60.18 to 60.20, using SEC-ERBA, SEC-SA or 1250% for securitisation holdings where IRB is not feasible.
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.