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:
\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);
RWAss = risk-weighted exposure amounts for exposures if they had not been securitised, calculated on a pro-rata basis;
RWSP = risk-weighted exposure amounts calculated under Article 249 if there was no maturity mismatch;
t = maturity of credit protection. expressed in years;
t* = 0,25.
1.A sponsor institution, or an originator institution which in respect of a securitisation has made use of Article 247(1) and (2) in the calculation of risk-weighted exposure amounts or has sold instruments from its trading book to the effect that it is no longer required to hold own funds for the risks of those instruments shall not provide support, directly or indirectly, to the securitisation beyond its contractual obligations with a view to reducing potential or actual losses to investors.
2.A transaction shall not be considered as support for the purposes of paragraph 1 where the transaction has been duly taken into account in the assessment of significant credit risk transfer and both parties have executed the transaction acting in their own interest as free and independent parties (arm’s length). For these purposes, the institution shall undertake a full credit review of the transaction and, at a minimum, take into account all of the following items:
(a)the repurchase price;
(b)the institution’s capital and liquidity position before and after repurchase;
(c) Tthe = maturityperformance of the underlying exposures expressed in years;exposures;
(d)the performance of the securitisation positions;
(e)the impact of support on the losses expected to be incurred by the originator relative to investors.
3.The originator institution and the sponsor institution shall notify the competent authority of any transaction entered into in relation to the securitisation in accordance with paragraph 2.
4.The EBA shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines on what constitutes ‘arm’s length’ for the purposes of this Article and the circumstances under which a transaction is not structured to provide support.
5.If an originator institution or a sponsor institution fails to comply with paragraph 1 in respect of a securitisation, the institution shall include all of the underlying exposures of that securitisation in its calculation of risk-weighted exposure amounts as if they had not been securitised and disclose:
(a)that it has provided support to the securitisation in breach of paragraph 1; and
(b)the impact of the support provided in terms of own funds requirements.