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Leveraged Fund Look-Through

Calculate the Leveraged Fund Look-Through Loss instantly.

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Leveraged Fund Look-Through Loss

€34 300 000

1Step 1

Fund Equity NAV

Fund Equity NAV=max⁡(0,Fund Gross Assets−Fund Outstanding Borrowing)\textit{Fund Equity NAV} = \max(0, \textit{Fund Gross Assets} - \textit{Fund Outstanding Borrowing})
2Step 2

Fund Leverage Ratio

Fund Leverage Ratio={0Fund Equity NAV≤0Fund Gross AssetsFund Equity NAVFund Equity NAV>0\textit{Fund Leverage Ratio} = \begin{cases}0 & \textit{Fund Equity NAV} \le 0 \\ \frac{\textit{Fund Gross Assets}}{\textit{Fund Equity NAV}} & \textit{Fund Equity NAV} > 0\end{cases}
3Step 3

Implied Investment From Ownership Share

Implied Investment From Ownership Share=Fund Equity NAV×Undertaking Ownership Share\textit{Implied Investment From Ownership Share} = \textit{Fund Equity NAV} \times \textit{Undertaking Ownership Share}
4Step 4

Investment Reconciliation Gap

Investment Reconciliation Gap=Investment in Leveraged Fund−Implied Investment From Ownership Share\textit{Investment Reconciliation Gap} = \textit{Investment in Leveraged Fund} - \textit{Implied Investment From Ownership Share}
5Step 5

Investment Reconciliation Absolute Gap

Investment Reconciliation Absolute Gap=max⁡(Investment Reconciliation Gap,1×Investment Reconciliation Gap)\textit{Investment Reconciliation Absolute Gap} = \max(\textit{Investment Reconciliation Gap}, 1 \times \textit{Investment Reconciliation Gap})
6Step 6

Investment Reconciliation Breach Flag (0/1)

Investment Reconciliation Breach Flag (0/1)=gte⁡(Investment Reconciliation Absolute Gap,Investment Reconciliation Tolerance)\textit{Investment Reconciliation Breach Flag (0/1)} = \operatorname{gte}\left(\textit{Investment Reconciliation Absolute Gap}, \textit{Investment Reconciliation Tolerance}\right)
7Step 7

Gross Look-Through Stress Loss

Gross Look-Through Stress Loss=Fund Gross Assets×Underlying Market Stress×Undertaking Ownership Share\textit{Gross Look-Through Stress Loss} = \textit{Fund Gross Assets} \times \textit{Underlying Market Stress} \times \textit{Undertaking Ownership Share}
8Step 8

Uncapped Stressed Fund Equity NAV

Uncapped Stressed Fund Equity NAV=Fund Gross Assets×1−Underlying Market Stress−Fund Outstanding Borrowing\textit{Uncapped Stressed Fund Equity NAV} = \textit{Fund Gross Assets} \times 1 - \textit{Underlying Market Stress} - \textit{Fund Outstanding Borrowing}
9Step 9

Stressed Fund Equity NAV

Stressed Fund Equity NAV=max⁡(0,Uncapped Stressed Fund Equity NAV)\textit{Stressed Fund Equity NAV} = \max(0, \textit{Uncapped Stressed Fund Equity NAV})
10Step 10

Stressed Investment Value

Stressed Investment Value=Stressed Fund Equity NAV×Undertaking Ownership Share\textit{Stressed Investment Value} = \textit{Stressed Fund Equity NAV} \times \textit{Undertaking Ownership Share}
11Step 11

100% Loss Cap Applied Flag (0/1)

100% Loss Cap Applied Flag (0/1)=gte⁡(Gross Look-Through Stress Loss,Investment in Leveraged Fund)\textit{100\% Loss Cap Applied Flag (0/1)} = \operatorname{gte}\left(\textit{Gross Look-Through Stress Loss}, \textit{Investment in Leveraged Fund}\right)
12Step 12

Leveraged Fund Look-Through Loss

Leveraged Fund Look-Through Loss=min⁡(Investment in Leveraged Fund,Gross Look-Through Stress Loss)\textit{Leveraged Fund Look-Through Loss} = \min(\textit{Investment in Leveraged Fund}, \textit{Gross Look-Through Stress Loss})
13Step 13

Effective Risk Weight

Effective Risk Weight={0Investment in Leveraged Fund≤0100×Leveraged Fund Look-Through LossInvestment in Leveraged FundInvestment in Leveraged Fund>0\textit{Effective Risk Weight} = \begin{cases}0 & \textit{Investment in Leveraged Fund} \le 0 \\ 100 \times \frac{\textit{Leveraged Fund Look-Through Loss}}{\textit{Investment in Leveraged Fund}} & \textit{Investment in Leveraged Fund} > 0\end{cases}
14Step 14

Leveraged Fund Governance Gate Flag (0/1)

Leveraged Fund Governance Gate Flag (0/1)=min⁡(Look-Through Data Available (0/1),1−Investment Reconciliation Breach Flag (0/1))\textit{Leveraged Fund Governance Gate Flag (0/1)} = \min(\textit{Look-Through Data Available (0/1)}, 1 - \textit{Investment Reconciliation Breach Flag (0/1)})
15Step 15

Leveraged Fund Governance Breach Flag (0/1)

Leveraged Fund Governance Breach Flag (0/1)=1−Leveraged Fund Governance Gate Flag (0/1)\textit{Leveraged Fund Governance Breach Flag (0/1)} = 1 - \textit{Leveraged Fund Governance Gate Flag (0/1)}

Understand the Leveraged Fund Look-Through

Overview

This calculator implements the EIOPA 2026 leveraged-fund look-through treatment for market-risk preprocessing.[1] Where an undertaking applies look-through to a leveraged investment fund, the stress is applied to the fund's gross assets and the resulting stressed fund value is reduced by outstanding borrowing before measuring the undertaking's loss.

Input Terms

  • Investment in Leveraged Fund: The undertaking's carrying value of its fund interest before the stress.
  • Fund Gross Assets: The gross value of the fund assets exposed to the relevant downstream market stress.
  • Fund Outstanding Borrowing: Debt or borrowing inside the fund that remains after the gross asset stress.
  • Undertaking Ownership Share: The undertaking's percentage ownership of the fund equity NAV.
  • Underlying Market Stress: The relevant stress rate for the fund's underlying asset class, for example the equity Type 2 stress where the fund holds private equity.
  • Look-Through Data Available: Control flag confirming that the fund's gross assets, borrowing, ownership share, and underlying stress basis are available.

Technical Rationale

The calculator first derives the fund equity NAV as gross assets less borrowing, then reconciles the entered investment value against the ownership share of that NAV. It calculates the gross look-through stress loss as:

`fund gross assets x underlying stress x ownership share`

The recognised loss is capped at the undertaking's investment value, so a highly leveraged fund cannot create a reduction greater than 100% of the fund interest. The output is an atomistic upstream amount intended to feed the relevant downstream market sub-module based on the fund's underlying asset classification.

Important Notes

  • Atomistic output: This calculator does not decide whether the underlying exposure is Type 1 equity, Type 2 equity, spread risk, property risk, or another market sub-module. It only derives the leveraged-fund stress loss under the look-through treatment.
  • 2026 EIOPA guideline update: EIOPA's revised market and counterparty risk exposure guidelines introduce a specific leveraged-fund clarification. A NAV-only shock can understate the capital impact where the fund is debt-financed.
  • 100% cap: If the gross look-through stress loss exceeds the undertaking's investment value, the recognised loss is capped at the investment value.
  • Prepared classification: Downstream routing remains a separate classification decision. Non-default or incomplete fund data should be treated as a sensitivity or evidence gap, not as a fully governed regulatory basis.

Sources

  1. EIOPA 2026 Guidelines on market and counterparty risk exposures - EIOPA

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.