The bank may reduce standardised capital for collateral, netting, guarantees and credit derivatives only when documentation is binding and legally enforceable in all relevant jurisdictions, supported by legal review, and when CRM is not double counted and residual risks are controlled (CRE22.3 to 22.9). Protection with a maturity mismatch counts only if its original maturity is at least one year and residual maturity at least three months (CRE22.10 to 22.14). Collateral must be liquidable in a timely manner, custodians must segregate it, and margin, concentration and reuse risks must be managed (CRE22.25 to 22.31). Under the simple approach collateral must be pledged for the exposure's life and revalued at least every six months, with a 20% floor save for qualifying repos at 10% or 0% (CRE22.32 to 22.39). Under the comprehensive approach supervisory haircuts assume a 10-business-day holding period, with an 8% currency mismatch haircut, minimum holding periods of 5, 10 and 20 business days, and 20 days where netting sets exceed 5,000 trades or hold illiquid collateral (CRE22.40 to 22.59). SFT netting and on-balance sheet netting need enforceable agreements (CRE22.62 to 22.69). Guarantees and credit derivatives must be direct, explicit, irrevocable and unconditional; restructuring-excluded derivatives count at 60%; materiality thresholds are weighted at 1250% (CRE22.70 to 22.84).
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.