(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 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.

← art_250__point_a__text_1 · All articles · art_250__point_b__text_1 →

Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.