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Provision history · CRR

Art. 252 · Treatment of maturity mismatches in synthetic securitisations

Capital Requirements Regulation · 32013R0575 · every version of this act · on EUR-Lex

2 changes recorded across 2 versions, newest first.

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Version in force Modified +25 −29

Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex

Applies from: no date changed

Explanation, written by a model and checked against the cited text

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

v1 is the previous version, v2 this one.

Text from EUR-Lex, before and after

Previous version, in force 9 July 2024 02013R0575-20240709 → this version, in force 1 January 2025 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

Version in force Modified

Amended by Regulation (EU) 2017/2401 32017R2401 on EUR-Lex · Regulation (EU) 2019/876 32019R0876 on EUR-Lex

Applies from: no date changed

Not in every listWhat this means

Found in the text, but not every source lists it — the text comparison found this change; the EU's own amendment metadata does not list it. The source that does not name it is the EU's own amendment metadata. Both are shown; neither is overruled.

Explanation, written by a model and checked against the cited text

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

v1 is the previous version, v2 this one.

Text from EUR-Lex, on this version's page