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