An Authorised Firm may recognise the effects of Credit Risk mitigation 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.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]