Source: European Banking Authority
Headline: EBA consults on technical standards to calculate risk weights of collective investment undertakings
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.