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:
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;
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 the underlying exposures expressed in years; |
t = maturity of credit protection. expressed in years; |
t* = 0,25. |