On 24 November 2022, the European Commission published a Commission Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) of the calculation of risk-weighted exposure amounts of collective investment undertakings (CIUs) under the mandate-based approach.
The provisions in the Commission Delegated Regulation specify how institutions are to calculate the risk-weighted exposure amount referred to in Article 132a(2) of the CRR, where one or more of the inputs required for that calculation are not available. The Commission Delegated Regulation clarifies the steps to be taken to calculate the exposure value of CIUs’ derivative exposures where the underlying is unknown. It then sets out what to do in cases where the calculation of the exposure value to the counterparty credit risk of a netting set of CIUs’ derivative exposures is needed. The proposed provisions follow closely the framework set out in the CRR for counterparty credit risk.
The Commission Delegated Regulation will enter into force on the twentieth day following its publication in the Official Journal of the European Union.