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Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 30 September 2021 - onwards
  Version 2 of 2    

Article 325j Treatment of collective investment undertakings

1. An institution shall calculate the own funds requirements for market risk of a position in a CIU using one of the following approaches:

(a) where an institution is able to obtain sufficient information about the individual underlying exposures of the CIU, the institution shall calculate the own funds requirements for market risk of that CIU position by looking through to the underlying positions of the CIU as if those positions were directly held by the institution;

(b) where the institution is not able to obtain sufficient information about the individual underlying exposures of the CIU, but the institution has knowledge of the content the mandate of the CIU and daily price quotes for the CIU can be obtained, the institution shall calculate the own funds requirements for market risk of that CIU position by using one of the following approaches:

(i) the institution may consider the position in the CIU as a single equity position allocated to the bucket “other sector” in Table 8

Comparing proposed amendment...