Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 62

Collective investment scheme exposures

(1) Where a collective investment scheme has an ECAI issue specific  rating,
an authorized institution which has a collective investment scheme exposure
arising from the holding of units or shares in the scheme shall map that
rating to a scale of credit quality grades represented by the numerals 1, 2,
3, 4 and 5 in accordance with Table D in Schedule 6.

(2) Subject to subsection (3) and section 69(1) and (2), an authorized
institution shall allocate a risk-weight to a collective  investment scheme
exposure held by it in accordance with Table 9.

TABLE 9

RISK-WEIGHTS FOR COLLECTIVE INVESTMENT SCHEME EXPOSURES

Credit quality grade

(collective investment schemes)

Risk-weight

1 20% 2 50% 3 100% 4 100% 5 150%

(3) Where an authorized institution has a collective investment scheme
exposure arising from the holding of units or shares in a collective 
investment scheme, and the scheme does not have an ECAI issue specific 
rating, the institution shall allocate a risk-weight of 100% to the exposure.