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Capital Requirements Regulation (CRR)
Article 257

Article 257 - Determination of tranche maturity (MT)

Status
In force
Selected consolidated version from
30/09/2021
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Article 257

Determination of tranche maturity (MT)

1.  

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

(a) 

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

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where CFt 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:

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where ML is the final legal maturity of the tranche.

2.  
For the purposes of paragraph 1, the determination of a tranche maturity (MT) 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.
4.  
The EBA shall monitor the range of practices in this area, with particular regard to the application of point (a) of paragraph 1 of this Article, and shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines by 31 December 2019.