Europejski Urząd Nadzoru Bankowego, Projekt regulacyjnych standardów technicznych w sprawie metodologii wyceny ekspozycji na ryzyko względem przedsiębiorstw zbiorowego inwestowania

EBA/RTS/2021/14

25 November 2021

Final Report Draft Regulatory Technical Standards on the calculation of risk-weighted exposure amounts of CIUs under Article 132a(4) of the CRR

1. Executive Summary

With regards to approaches for calculating exposure amounts of collective investment undertakings (CIUs), Article 132a (4) of the CRR2 contains a mandate for the EBA to develop draft regulatory technical standards (RTS) to specify how institutions shall ‘… calculate the risk-weighted exposure amount referred to in paragraph 2 [i.e. the mandate-based approach, MBA] where one or more of the inputs required for that calculation are not available’.

It is the view of the EBA that this mandate for the RTS in Article 132a(4) of the CRR2 is intended to clarify the way forward when the information for applying the MBA is considered insufficient due to cases of missing inputs for the calculation of exposure values under the MBA.

Moreover, in the case of funds where the total leverage of the fund is...