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CA-4.7.28

The following adjustment must be applied for a CRM with a maturity mismatch:

Pa = P x (t -0.25) / (T – 0.25), where:

Pa = adjusted value of risk mitigation

P = value of risk mitigation used (e.g. collateral or guarantee amount)

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

t = min (T, residual maturity of the risk mitigation) in years

January 2015