3.1. Treatment of maturity mismatches in synthetic securitisations

For the purposes of calculating risk‐weighted exposure amounts in accordance with point 3, any maturity mismatch between the credit protection by which the tranching is achieved and the securitised exposures shall be taken into consideration in accordance with points 6 to 7. 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 Annex VIII . An originator credit institution shall ignore any maturity mismatch in calculating risk‐weighted exposure amounts for tranches appearing pursuant to Part 4 with a risk weighting of 1250 %. For all other tranches, the maturity mismatch treatment set out in Annex VIII shall be applied in accordance with the following formula: RW^(*) is RW(SP) × (t - t^(*)) / (T - t^(*)) + RW(Ass) × (T - t) / (T - t^(*)) Where: RW* is Risk-weighted exposure amounts for the purposes of Article 75(a) ; RW(Ass) is Risk-weighted exposure amounts for exposures if they had not been securitised, calculated on a pro-rata basis; RW(SP) is Risk-weighted exposure amounts calculated under point 3 if there was no maturity mismatch; T is maturity of the underlying exposures expressed in years; t is maturity of credit protection. expressed in years; and t* is 0,25.

← anx_IX__cpt_2__cpt_3__point_4__text_1 · All articles · 5. →

Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.