When there is a maturity mismatch with recognised credit risk mitigants (collateral, on-balance sheet netting, guarantees and credit derivatives) the following adjustment will be applied.

Pa = P × (t - 0.25) / (T - 0.25)

where:

Pa = value of the credit protection adjusted for maturity mismatch.

P = credit protection (e.g. collateral amount, guarantee amount) adjusted for any haircuts.

t = min (T, residual maturity of the credit protection arrangement) expressed in years.

T = min (5, residual maturity of the exposure) expressed in years.