For the purposes of calculating risk-weighted exposure amounts in accordance with Article 249, any maturity mismatch between the credit protection which constitutes a tranche and by which the transfer of risk is achieved and the securitised exposures shall be taken into consideration as follows:
(a)the maturity of the securitised exposures shall be taken to be the longest maturity of any of those exposures subject to a maximum of five years. The maturity of the credit protection shall be determined in accordance with Chapter 4;
(b) an originator institution shall ignore any maturity mismatch in calculating risk-weighted exposure amounts for tranches appearing pursuant to this Section with a risk weighting of 1 250 %. For all other tranches, the maturity mismatch treatment set out in Chapter 4 shall be applied in accordance with the following formula:
(b) $$\mathrm{RW}^* = \mathrm{RW}_{\mathrm{SP}} \cdot \frac{t - t^*}{T - t^*} + \mathrm{RW}_{\mathrm{Ass}} \cdot \frac{T - t}{T - t^*}$$
where:
RW* | = | risk-weighted exposure amounts for the purposes of Article 92(3)(a);
RW_{Ass} | = | risk-weighted exposure amounts for exposures if they had not been securitised, calculated on a pro-rata basis;
RW_{SP} | = | risk-weighted exposure amounts calculated under Article 249 if there was no maturity mismatch;
T | = | maturity of the underlying exposures expressed in years;
t | = | maturity of credit protection. expressed in years;
t* | = | 0,25.