Determination of risk weight for a pass-through SPE exposure with underlying assets where the transaction does not fulfil the conditions for securitisations according to Article 4(1)(61) CRR.

Unless otherwise provided, Part Three (Capital requirements) and Part Four (Large exposures) of Regulation (EU) No 575/2013 (CRR) are to be separately applied as they refer to different types of requirements. Article 390(7) CRR is therefore not to be applied for the purposes of calculation of the minimum capital requirements according to Part Three of the CRR. Where the definition of a securitisation in Article 2(1) of Regulation (EU) 2017/2402 (SecReg) is not met, such exposures cannot be treated under the securitisation framework. For the treatment for the purpose of the calculation of the minimum capital requirements, it should then be verified whether the exposures in question can be considered as exposures in the form of units or shares of collective investment undertakings (CIU). For the question whether the SPE qualifies as a CIU or not, see Q&A 4502 .  In the case the SPE were considered a CIU, it might apply the look-through approach (in accordance with Article 132a(1)) or the mandate-based approach (in accordance with Article 132a(2)) if the conditions set out in Article 132(3) are met. If the look- through approach or the mandate-based approach are not applicable, the risk weight is always 1250% (‘fall-back approach’) according to Article 132(2) CRR or Article 152(6) CRR. Where the SPE does not qualify as a CIU, the exposure should be assigned to the “corporates” exposure class according to Article 112 (g) of the CRR.