Article 250

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 1250 %. For all other tranches, the maturity mismatch treatment set out in Chapter 4 shall be applied in accordance with the following formula: RW^(*) = RW_(SP) · (t – t^(*) / T – t^(*)) + RW_(Ass) · (T – t / T – t^(*)) where: RW*= risk-weighted exposure amounts for the purposes of Article 92(3)(a); RW_(Ass)= risk-weighted exposure amounts for exposures if they had not been securitised, calculated on a pro-rata basis; RW_(SP)= 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 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.