X1PART THREECAPITAL REQUIREMENTS

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Editorial Information

TITLE IICAPITAL REQUIREMENTS FOR CREDIT RISK

F1CHAPTER 5Securitisation

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Amendments (Textual)

Section 3Calculation of risk-weighted exposure amounts

Subsection 2Hierarchy of methods and common parameters

Article 257 Determination of tranche maturity (M T )

1

For the purposes of Subsection 3 and subject to paragraph 2, institutions may measure the maturity of a tranche (M T ) as either:

a

the weighted average maturity of the contractual payments due under the tranche in accordance with the following formula:

∑t t · CFt∕∑t CFt,

where CF t denotes all contractual payments (principal, interests and fees) payable by the borrower during period t; or

b

the final legal maturity of the tranche in accordance with the following formula:

MT= 1+ML− 1 * 80 %,

where M L is the final legal maturity of the tranche.

2

For the purposes of paragraph 1, the determination of a tranche maturity (M T ) shall be subject in all cases to a floor of 1 year and a cap of 5 years.

3

Where an institution may become exposed to potential losses from the underlying exposures by virtue of contract, the institution shall determine the maturity of the securitisation position by taking into account the maturity of the contract plus the longest maturity of such underlying exposures. For revolving exposures, the longest contractually possible remaining maturity of the exposure that might be added during the revolving period shall apply.

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