CRR Article 495o: Transitional provisions on own funds requirements for positions in CIUs under the alternative standardised approach

Article 495o - Transitional provisions on own funds requirements for positions in CIUs under the alternative standardised approach

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Article 495o

Transitional provisions on own funds requirements for positions in CIUs under the alternative standardised approach

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1.By way of derogation from Article 325j(1), point (a), and until 31 December 2029, institutions may look through:

(a)

at least 50 % of the underlying positions in those CIUs, measured by market value;

(b)

the underlying positions of the CIU on a quarterly basis rather than on a monthly basis.

For the purposes of the first subparagraph, point (a), institutions shall calculate the own funds requirement for market risk for all remaining positions in those CIUs using the approach laid down in Article 325j(1), point (b)(i).

2.By way of derogation from Article 325j(1a) and (3), and until 31 December 2029, institutions may consider positions in CIUs as single equity positions with a risk weight of 100 % for the calculation of their own funds requirements for vega risk, regardless of other approaches used for the calculation of their own funds requirements for other risk factors for the same positions.