7.

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.

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