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Article 257 Determination of tranche maturity (M T )X1F1

United Kingdom

Original text. Later amendments are not shown.

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.

F2 4 .

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Annotations

Textual amendments

F1

Substituted by Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms.

F2

Art. 257(4) omitted (31.12.2020) by virtue of The Securitisation (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/660), regs. 1(2), 49 (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)

Editorial notes

X1

Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

Notes on the whole EU Regulation

Textual amendments

F1

Regulation revoked (1.1.2024 for the revocation of Art. 92b, 1.1.2026 for the revocation of Arts. 6(1a), 11(3a), 12a, 18(1) (in part), 25-35, 37-47, 47a(1)(2), 47c-79a, 81(1)(a)(i)-(iic)(b)(c)(2), 82(a)(i)-(iic)(b)(c), 83-91, 92a, 466, 468, 469a, 471, 473-474, 476, 479, 480, 482-491, 494-494b, otherwise prosp.) by Financial Services and Markets Act 2023 (c. 29), s. 86(3), Sch. 1 Pt. 1 (with s. 1(4)); S.I. 2023/779, reg. 5(b)(i); S.I. 2025/873, reg. 4(b) (with regs. 6, 7) (as amended by S.I. 2025/1293, reg. 2)