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Calculation of the Collective Investment Fund Risk Capital Requirement Guidance

There are two main approaches for calculating the Collective Investment Fund Risk Capital Requirement. The first approach involves directly calculating a risk Capital Requirement for any position in any Fund. The second approach involves using a look-though method which involves calculating the risk Capital Requirements for the positions or Exposures in underlying assets or investments of the Fund, using the relevant or applicable risk Capital Requirement calculation methods. As the name suggests, a look-through method involves looking through the Fund to identify the underlying positions and trying to calculate the capital required to address the risk of loss arising from volatility in market prices of such underlying positions.

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]