EN
9.3.2023
Official Journal of the European Union
L 71/1
II (Non-legislative acts)
REGULATIONS COMMISSION DELEGATED REGULATION (EU) 2023/511 of 24 November 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the calculation of risk-weighted exposure amounts of collective investment undertakings under the mandate-based approach (Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (1), and in particular Article 132a(4), third subparagraph, thereof, Whereas: (1)
In order to avoid undue variability in capital requirements across institutions, and to make the mandate-based approach operational in situations where there is insufficient information, it is necessary to specify the method for calculating the risk-weighted exposure amount for a collective investment undertaking (CIU) under the mandatebased approach for the cases where missing inputs do not allow for the computation of the risk weighted exposure amount.
(2)
Where a CIU enters into derivative transactions and the underlyings of the derivatives or the underlying risk of the derivatives’ positions are unknown, the replacement cost of the positions cannot be determined by institutions, therefore neither can their exposure value.
In that case, institutions should base their calculations on the notional amount of a derivative’s position, which would usually be known and would be the best indicator of the size of the position, therefore providing an approximation for the exposure value.
(3)
Where the CIU’s mandate does not exclude entering into derivatives but does not include sufficient information to determine whether an underlying constitutes an on- or off-balance sheet exposure, it cannot be excluded that such an exposure is constituted.
It is therefore necessary to include that exposure in the calculation of the risk-weighted exposure amounts of the CIU’s exposures.
(4)
Where the mandate does not provide sufficient information about the exposure value of such position, it cannot be excluded that the exposure value is the full notional amount of the derivative position.
(5)
Where the mandate does not specify the notional amount of the derivative position, to ensure a sufficiently prudent approach, that amount should be derived from the maximum notional amount of derivatives allowed under the mandate.
(1) OJ L 176, 27.6.2013, p. 1.