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.