Risk-weighting of Pension Assets

'Defined benefit pension funds' assets' are defined in Article 4(1)(109) of Regulation (EU) No 575/2013 (CRR) as 'the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan'. This definition makes clear that a net amount (i.e. net of defined benefit liabilities) has to be deducted from CET1 items pursuant to Article 36(1)(e) of the CRR. Pursuant to Article 41(1) of the CRR, the net defined benefit pension fund assets to be deducted from CET1 items shall be reduced by the amount of any associated deferred tax liability which could be extinguished if the assets became impaired or were derecognised under the applicable accounting framework, and by the amount of assets in the defined pension fund which the institution has unrestricted ability to use, provided that the institution has received the prior permission of the competent authority (see further Article 15 of Commission Delegated Regulation (EU) 241/2014. Contrary to what is assumed in the question, the risk weights are not applied to the 'surplus'  amount but rather to the amount used for reducing the amount to be deducted under Article 36(1)(e) of the CRR. This follows from the wording of the 2nd subparagraph of A          rticle 41(1) of the CRR, which states that 'those assets used to reduce the amount to be deducted shall receive a risk weight in accordance with Chapter 2 or 3 of Title II of Part Three of the CRR'. Assets used to reduce the amount to be deducted should be risk-weighted on a pro-rata basis to reflect the overall distribution of the pension fund assets for which the institution has an unrestricted ability to use, using the risk weights that would apply if these assets were owned directly by the bank.   This answer has been modified on 21st July 2015 to correct the unintended inclusion of language that wasn't part of the formally approved EBA answer.