Applicability of Look through Approach to SPV (Article 132 CRR)

Conditions and eligibility criteria to apply the look through approach to exposures in the form of units or shares in collective investment undertaking (CIUs) are set out in Article 132(3) and (4) of Regulation (EU) No 575/2013 (CRR) as amended by Regulation (EU) 2019/876. Article 4(1)(7) Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876  defines a CIU as an UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council or an alternative investment fund (AIF) as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council. The definition of AIF in Article 4(1)(a) of Directive 2011/61/EU specifies the features of collective investment undertakings that qualify as an AIF - and therefore as CIU for the CRR – as being undertakings “which raise capital from a number of investors, with a view to investing it in accordance with a defined investment policy for the benefit of those investors”. The only additional feature to qualify as AIF is not already qualifying as UCITS, the latter requiring authorisation pursuant to Article 5 of Directive 2009/65/EC. Moreover, the definition of AIF explicitly includes compartments of collective investment undertakings. Additional guidance on the characteristics, which - if all exhibited by an undertaking - should show that an undertaking is a collective investment undertaking mentioned in Article 4(1)(a) of the AIFMD, can be found in paragraph 12 of the ESMA Guidelines on key concepts of the AIFMD . If the entity fulfills the definition set in Article 4(1)(7) CRR, then it qualifies as a CIU. In that respect, institutions shall only determine the risk weight for exposures using the look-through approach according to Article 132a(1) CRR and fulfilling the conditions and eligibility criteria of Articles 132(3) and 132(4) CRR to structures qualifying as CIU. Whether the SPV in question and separately each of the compartments, formed by ring-fencing each note and the assigned underlying from each other note and their assigned underlying, might qualify as AIF and therefore as CIU for the purpose of the CRR needs to be assessed individually for the specific case and therefore cannot be finally clarified as part of a Q&A.