EBU Single Rulebook Q&A 11 December 2013 2013_637 CVA for Exposures in structures with underlying assets

In case the bank invests in a structure with underlying assets (e.g. UCITS) that consist also of derivatives. Should the CVA also be calculated for these exposures? UCITS usually invest into derivatives to reduce their credit-, market-, interest rate- and fx-risk or to adjust the overall risk/return profile.