Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2019 - onwards
  Version 5 of 5    

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:

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

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 practic