Basel III Risk Weighting and Reporting

Widely-recognized as experts of risk weighting under current regulatory capital rules, we apply our in-depth knowledge to assess your separate account BOLI policies. Our team of experts can provide a comprehensive risk-weight assessment of your policies using any of the look through approaches under both the Standardized and Advanced Approaches frameworks.

Full Look-through Approach

Requires risk weighting of each exposure in the fund as if it were held directly by you. This is the most precise risk weighting approach and often leads to the lowest overall risk weight. For securitizations, we offer support for both the Simplified Supervisory Formula Approach or Gross Up Approach calculations.

Alternative Modified Look-through Approach

You may assign the adjusted carrying value on a pro rata basis to different risk weight categories based on the investment limits in the fund’s investment guidelines. The bank must assume the highest permissible risk-weight allocation.

Simple Modified Look-through Approach

Requires you to assign the highest risk weight that applies to any exposure the fund is permitted to hold pursuant to the investment guidelines. This approach will result in the highest possible risk weight for your BOLI policy.

We will also share our knowledge with you through educational forums. To learn more about our Basel III Risk Weighting & Reporting, contact us by clicking here.