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)
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)
Data as of 2026-07-04 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗
Determination of the exposure value of a CIU’s derivatives’ positions where the underlying is unknown for the purposes of Article 132a(2) of Regulation (EU) No 575/2013
1. When applying the mandate-based approach in accordance with Article 132a(2) of Regulation (EU) No 575/2013, where the CIU’s mandate does not exclude that the underlying of a CIU’s derivative position constitutes an on- or off-balance sheet exposure, but the exposure value or, in the case of off-balance sheet exposures, the applicable percentage pursuant to Article 111 of Regulation (EU) No 575/2013, is unknown, institutions shall use the full notional amount of the derivative position as the exposure value for the calculation of the risk-weighted exposure amounts.
2. For the purposes of determining the exposure value as set out in paragraph 1, where the notional amount of the derivative positions is unknown, institutions shall use a conservative estimation based on the maximum notional amount of the derivatives allowed under a CIU’s mandate as the exposure value.
Calculation of the exposure values for the counterparty credit risk of a netting set of a CIU’s derivatives’ positions
1. When calculating the exposure value of a netting set for counterparty credit risk in accordance with the approaches set out in Part 3, Title II, Chapter 6, Sections 3, 4 or 5, where relevant, of Regulation (EU) No 575/2013, institutions shall apply the following:
(a)
where the institution is not able to calculate the replacement cost of the netting set according to the relevant approach, due to missing inputs, that institution shall use the sum of notional amounts of all the derivatives in the netting set as the replacement cost;
(b)
where the institution is not able to calculate the potential future exposure of the netting set according to the relevant approach, due to missing inputs, that institution shall replace it by 0,15 times the sum of notional amounts of all the derivatives in the netting set.
2. When calculating the exposure value for counterparty credit risk in accordance with paragraph 1, where the notional amount of the derivatives in the netting set is unknown, institutions shall use a conservative estimation based on the maximum notional amount of the derivatives allowed under a CIU’s mandate to determine the exposure value of that netting set.
3. For the purposes of paragraphs 1 and 2, where it is not possible for institutions to ascertain the relevant netting sets for a certain type of derivative in the CIU, they shall assume that the CIU has entered into a single derivative with the maximum notional amount permitted by the mandate for that type of derivative.
