16 December 2020
The European Banking Authority (EBA) launched today a consultation on Regulatory Technical Standards (RTS) on the calculation of risk-weighted exposure amounts of collective investment undertakings (CIUs) in line with the Capital Requirements Regulation (CRR). The proposed draft RTS, which will contribute to the calculation of own funds requirements for the exposures in the form of units or shares in CIUs under the Standardised Approach for credit risk, clarify the regulatory treatment for missing inputs when the underlying risk of derivatives is unknown and for the computation of the exposure value for counterparty credit risk. The consultation runs until 16 March 2021.
These proposed RTS clarify how the exposure amounts of CIUs, under the mandate-based approach (MBA), should be calculated, when one or more of the inputs required for such calculation are not available. Moreover, the draft RTS explain what is considered as insufficient information versus missing inputs, and clarifies whether market measures provide sufficient information for the application of the MBA for exposures to CIUs.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 16 March 2021. All contributions received will be published following the end of the consultation, unless requested otherwise.
A public hearing will take place online on 11 February 2021 from 11.00 to 13.00 Paris time.
These draft RTS have been developed on the basis of Article 132a(4) of Regulation (EU) No 575/2013 (Capital Requirements Regulation – CRR), which mandates the EBA to specify how institutions shall calculate the risk-weighted exposure amount in the context of the mandate-based approach where one or more of the inputs required for that calculation are not available.