Art. 252
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Treatment of maturity mismatches in synthetic securitisations
3 changes recorded across 3 events, newest first.
in force 2025-01-01 MODIFIED+25 −29§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
The definition of RW* in point (b) now references Article 92(4), point (a), instead of Article 92(3), point (a).
Cited: Art. 252, v2 · Art. 252, v1
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 252
Treatment of maturity mismatches in synthetic securitisations
For the purposes of calculating risk-weighted exposure amounts in accordance with Article 251, any maturity mismatch between the credit protection by which the transfer of risk is achieved and the underlying exposures shall be calculated as follows:
(a) the maturity of the underlying exposures shall be taken to be the longest maturity of any of those exposures subject to a maximum of 5 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 securitisation positions subject to a risk weight of 1250 % in accordance with this Section. For all other positions, the maturity mismatch treatment set out in Chapter 4 shall be applied in accordance with the following formula:
RW*RWSP · t t*T t* RWAss t*RWAss · T tT t*
where:
RW*
risk-weighted exposure amounts for the purposes of Article 92(4), point (a) of Article 92(3); (a);
RWAss
risk-weighted exposure amounts for the underlying exposures as if they had not been securitised, calculated on a pro-rata basis;
RWSP
risk-weighted exposure amounts calculated under Article 251 as 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
in force 2024-07-09 MODIFIED§
Amended by Regulation (EU) 2024/1623 32024R1623
applies from: unknown
Sources disagree — the amending act's instructions found this change; the text comparison finds no difference in the provision's text and the EU's own amendment metadata does not list it. All are shown; none is overruled.
No explanation shipped — the structural diff did not see this change, so it carries no text; another signal named the unit and the disagreement ships as `disputed`.
text before / after, on the event page →
in force 2019-01-01 MODIFIED§
Amended by Regulation (EU) 2017/2401 32017R2401 · Regulation (EU) 2019/876 32019R0876
applies from: unchanged
Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it. Both are shown; neither is overruled.
Article 252 has been completely rewritten: the earlier version addressed originator and sponsor institutions and let risk-weighted exposure amounts be capped at the amounts that would apply to the securitised exposures if not securitised, subject to a presumed 150% risk weight for defaulted items and items associated with particularly high risk under Article 128.
The later version instead carries the heading Treatment of maturity mismatches in synthetic securitisations and sets out rules for calculating risk-weighted exposure amounts under Article 251 where there is a maturity mismatch between credit protection and underlying exposures, including a maximum maturity of five years for underlying exposures, an instruction for originator institutions to ignore maturity mismatch for positions risk-weighted at 1250%, and a formula referencing RW*, RWAss, RWSP, T, t and t*.
Cited: Art. 252, v1 · Art. 252, v2
text before / after, on the event page →