PRU 4.13.16

(1) An Authorised Person must calculate the value of the CRM adjusted for any Maturity Mismatch (referred to as "PA"), using the following formula:
PA = P(t-0.25)/(T-0.25)
where -
(a) P = value of the credit protection (e.g. Collateral amount, guarantee amount) adjusted for any haircuts;
(b) t = min (T, residual maturity of the Credit Risk mitigant) expressed in years; and
(c) T = min (5, residual maturity of the Exposure) expressed in years.
(2) For residual maturity of the Exposure in the case of a basket of Exposures with different maturities, an Authorised Person must use the longest maturity of any of the Exposures as the maturity of all the Exposures being hedged.