PRU 4.14.49

Past version: effective from 21/10/2015 - 20/10/2015
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For the purpose of setting regulatory capital against a Maturity Mismatch, the Capital Requirement must be determined in accordance with Section 4.13. When Exposures being hedged have different maturities, the longest maturity must be used. Maturity of credit protection must be calculated in accordance with Section 4.13.