Where:
Pm = effective notional amount of the credit risk mitigant, adjusted for maturity mismatch;
E = effective notional amount of the credit risk mitigant;
t = the lesser of T or the residual maturity of the credit risk mitigant, expressed in years; and
T = the lesser of 5 or the residual maturity of the hedged exposure, expressed in years.
Pr = Pm x 0.60
Where:
Pr = effective notional amount of the credit risk mitigant, adjusted for lack of restructuring event (and maturity mismatch, if applicable); and
Pm = effective notional amount of the credit risk mitigant (adjusted for maturity mismatch, if applicable).
= Pr x (1-Hfx)
Where:
Pc = effective notional amount of the credit risk mitigant, adjusted for currency mismatch (and maturity mismatch and lack of restructuring event, if applicable);
Pr = effective notional amount of the credit risk mitigant (adjusted for maturity mismatch and lack of restructuring event, if applicable); and
Hfx = haircut appropriate for the currency mismatch between the credit risk mitigant and the hedged exposure.
Where TM equals the greater of 10 or the number of days between revaluation.
12 C.F.R. §628.36