CA-4.6.4
When there is a maturity mismatch with recognised
Pa = P x (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.
January 2015