15.1 Banks must consider exposures even when a structure lies between the Bank and the exposures, that is, even when the Bank invests in structures through an entity which itself has exposures to assets (hereafter referred to as the "underlying assets"). Banks must assign the exposure amount, i.e. the amount invested in a particular structure, to specific counterparties following the approach described below. Such structures include funds, securitisations and other structures with underlying assets.

15.2 A Bank may assign the exposure amount to the structure itself, defined as a distinct counterparty, if it can demonstrate that the Bank's exposure amount to each underlying asset of the structure is smaller than 0.25% of its Tier 1 capital, considering only those exposures to underlying assets that result from the investment in the structure itself and using the exposure value calculated according to Article 15.8 and 15.9. This condition is always considered fulfilled whenever a Bank's whole investment in a structure is less than 0.25% of the Bank's Tier 1 capital. In this case, a Bank is not required to look through the structure to identify the underlying assets.

15.3 A Bank must look through the structure to identify those underlying assets for which the underlying exposure value is equal to or above 0.25% of its Tier 1 capital. In this case, the counterparty corresponding to each of the underlying assets must be identified so that these underlying exposures can be added to any other direct or indirect exposure to the same counterparty. The Bank's exposure amount to the underlying assets that are below 0.25% of the Bank's Tier 1 capital may be assigned to the structure itself (ie partial look- through is permitted).

15.4 If a Bank is unable to identify the underlying assets of a structure:

15.4.1 Where the total amount of its exposure is less than 0.25% of its Tier 1 capital, the total exposure amount of the Bank's investment must be assigned to the structure;

15.4.2 In other cases, the total exposure amount of the Bank's investment must be assigned to “The Unknown Client”.

15.5 The Bank must aggregate all unknown exposures as if they related to a single counterparty, referred to as “The Unknown Client”, to which the large exposure limit applies.

15.6 Banks must not circumvent the large exposure limit by investing in multiple structures with identical underlying assets that represent individually immaterial transactions.

15.7 If the look-through approach does not need to be applied, a Bank's exposure to the structure must be the nominal amount invested in the structure.

15.8 When the look-through approach is required in accordance with this Article, the exposure value assigned to the counterparty is equal to the pro rata share that the Bank holds in the structure multiplied by the value of the underlying asset in the structure. Thus, a Bank holding a 1% share of a structure that invests in 20 assets each with a value of 5 must assign an exposure of 0.05 to each of the counterparties. These exposures to these counterparties must be added to any other direct or indirect exposures the Bank has to these counterparties.

15.9 When the look-through approach is required in accordance with this Article, the exposure value to a counterparty is measured for each tranche within the structure, assuming a pro rata distribution of losses amongst investors in a single tranche. To compute the exposure value to the underlying asset, a Bank must:

(1) First, consider the lower of (a) the value of the tranche in which the Bank invests, and, (b) the nominal value of each underlying asset included in the underlying portfolio of assets

(2) Second, apply the pro rata share of the Bank's investment in the tranche to the value determined in the first step above.

15.10 Banks must identify third parties that may constitute an additional risk factor inherent in a structure itself rather than in the underlying assets. Such a third party could be a risk factor for more than one structure that a Bank invests in. Examples of such third parties include the originator, fund manager, liquidity provider, and protection provider. There may be multiple such common risk factors, all of which must be recognised separately.

15.11 Based on the common risk factor identified in accordance with Article 15.10, a Bank must form a distinct Group Of Connected Counterparties that is subject to the large exposure limit.

15.12 Banks must assess whether the exposure to the common risk factor is also an exposure to the entity representing that common risk factor. In the case of a credit protection provider, this will be the case, however it may not be the case for the originator or fund manager where the structures can operate independently. If the latter can be demonstrated by the Bank, the exposure to the common risk factor need not be added to the exposure to the entity representing that common risk factor.