An originator may exclude securitised exposures from RWA only if significant credit risk has passed to third parties, the assets are legally isolated as confirmed by a true sale legal opinion, the transferor keeps no effective control, and there are no clauses improving pool quality, increasing retained first loss or raising yield on deterioration (CRE40.24). Synthetic transfers require CRE22-compliant mitigants, no SPE guarantors, no clauses limiting risk transfer and an enforceability opinion (CRE40.25). Early amortisation features that subordinate the bank's interest in revolving facilities fail the test (CRE40.26 to 40.27). Clean-up calls must be discretionary, not credit enhancing and exercisable only when 10% or less of the original pool remains (CRE40.28 to 40.30). Without comprehensive, ongoing understanding of pool performance (including 30, 60 and 90 day delinquencies) and structural features, the exposure takes 1250% (CRE40.31 to 40.34). Capital follows the hierarchy: SEC-IRBA for IRB pools, then SEC-ERBA or SEC-IAA, then SEC-SA, else 1250%; mixed pools use SEC-IRBA only if KIRB is known for at least 95% (CRE40.41 to 40.48). Implicit support means holding capital as if not securitised (CRE40.49). Senior look-through caps, the 15% floor interplay and the overall KP times P cap may apply (CRE40.50 to 40.55), and credit protection and maturity mismatches follow CRE40.56 to 40.65.
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.