Institutions must calculate risk-weighted exposure amounts for holdings in collective investment undertakings (CIUs) by multiplying the CIU’s risk-weighted exposure amount by the percentage of units or shares held. Where Article 132(3) conditions are met and sufficient information exists, institutions shall look through and risk-weight underlying exposures as if directly held. For CIU derivative exposures the own funds requirement for credit valuation adjustment (CVA) may be set at 50% of the requirement calculated under the applicable CVA rules, with an option to exclude derivatives that would not be CVA-subject if directly incurred.

If look-through is used but internal methods are not applied to parts of the underlying exposures, institutions must apply: the Standardised Approach (Chapter 2) for exposures under Article 147(2)(e); Article 254 for securitisation positions under Article 147(2)(f); and the Standardised Approach for other underlying exposures. Where Article 132(3) conditions are met but detailed underlying information is insufficient, the mandate-based approach of Article 132a(2) may be used, subject to the same treatments; otherwise the fall-back of Article 132(2) applies. Approaches may be combined. Institutions lacking adequate data may rely on specified third parties (depository or CIU management company meeting Article 132(3) criteria) provided calculations follow the required methods and are auditor-verified; those risk-weighted amounts are multiplied by 1.2 unless the institution has unrestricted access to the detailed third-party calculations, which must be provided to the competent authority on request. Articles 132(5) and (6), 132b and 132c apply, using risk weights from Chapter 3.