Article 252 of Regulation (EU) No 575/2013 (CRR) states that for an originator institution or sponsor institution, the risk weighted exposure amounts (RWAs) calculated in respect of its securitisation positions in any one securitisation may be limited to the risk-weighted exposure amounts which would currently be calculated for the securitised exposures had they not been securitised, subject to the presumed application of a 150% risk weight to the following:

(a) all items currently in default;(b) all items associated with particularly high risk in accordance with Article 128 amongst the securitised exposures. In order to apply the cap of Article 252 CRR the institution, which is the originator or sponsor of the securitised exposures, under the standardised approach will first calculate the RWAs of the exposures as if they had not been securitised. Secondly, the institution will calculate the RWA in respect of all tranches in the securitisation including tranches subject to credit risk mitigation. Finally if the sum of the RWA in respect of all tranches in the securitisation including tranches subject to credit risk mitigation is greater than the RWA of the underlying exposures calculated as stated above, the institution will apply the latter. In the numeric example above, the cap in Article 252 CRR applies since the RWAs of the synthetic securitisation positions after credit risk mitigation are higher than the RWAs of the securitised exposures (which is 25)., Assuming that all the requirements under Article 244(5) and 244 (1) are met, and that the risk of the first loss tranche has been mitigated by an international organisation with RW=0% via a guarantee, the RWA of the securitisation positions are the sum of the RWA of the senior tranche and the RWA of the junior tranche. According to Article 253, the RW of the senior tranche would thus be 50% and its RWA 40 (50% x 80). Therefore, in such a case the RWA of the securitisation positions would be limited to 25 = MIN [80 x 50% + 0%; 25].