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Article 250 — Treatment of maturity mismatches in synthetic securitisations

CRR
REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

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: 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.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04