Open on EUR-Lex ↗
◷
New version applies from 19/07/2016 — introduced by Regulation (EU) 2016/1014. 247 provisions change. Later versions: 01/01/2018, 01/01/2019, 26/04/2019, 27/06/2019, 25/12/2019, 27/06/2020, 28/12/2020, 29/06/2021, 30/09/2021, 10/04/2022, 08/07/2022, 01/01/2023, 28/06/2023, 09/01/2024, 09/07/2024, 01/01/2025, 29/06/2025, 01/01/2026, 26/06/2026, 01/01/2027. Article 250 changes in this version: compare with the current text.

Article 250 - Treatment of maturity mismatches in synthetic securitisations

Article 250
Treatment of maturity mismatches in synthetic securitisations

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)

\mathrm{RW}^* = \mathrm{RW}_{\mathrm{SP}} \cdot \frac{t - t^*}{T - t^*} + \mathrm{RW}_{\mathrm{Ass}} \cdot \frac{T - t}{T - t^*}

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:

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 the underlying exposures expressed in years;

t

=

maturity of credit protection. expressed in years;

t*

=

0,25.

Official text · consolidated version 18/01/2015 (no longer in force) Open full page ↗
9 queries · page built in 56 msInventory f82bbfa3