PRU 4.13.14

An Authorised Person may recognise the effects of CRM for an Exposure where there is a Maturity Mismatch only if the Credit Risk mitigant has an Original Maturity of at least one year and a residual maturity of more than three months. For the purposes of calculating Credit RWA, a Maturity Mismatch occurs when the residual maturity of the Credit Risk mitigant is less than that of the underlying Exposure.