Recital 5

(5) In relation to the treatment of positions in collective investment undertakings (CIUs), the look-through approach is the most accurate approach for the calculation of own funds requirements for positions in CIUs because that approach relies on the actual composition of the CIUs instead of a proxy composition. The availability of the look-through approach, however, requires certain strict conditions to be met. Institutions should therefore be allowed to use other approaches, provided they are aware of the content of the mandate of the CIU and can obtain daily price quotes. In that situation, institutions can set up a hypothetical portfolio to compute the own funds requirements for market risk of the position in the CIU. These institutions should also have the possibility to calculate the own funds requirements for credit valuation adjustment risk of derivative positions included in the CIU using a simplified approach where there is not sufficient information to calculate the own funds requirements for credit valuation adjustment risk based on the existing approaches. That possibility should be aligned with the simplified approach applicable to derivative positions included in the CIUs allocated to the non-trading book. Because of the number of assumptions that institutions need to make when using that approach, its use should be subject to the approval of the competent authority at the level of each individual CIU.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-18 · Text as adopted (Official Journal); later amendments are not incorporated in this text.