Directive 2006/48/EC of the European Parliament and of the council (repealed)Show full title

84. Where unfunded credit protection is denominated in a currency different from that in which the exposure is denominated (a currency mismatch) the value of the credit protection shall be reduced by the application of a volatility adjustment H_FX as follows: U.K.

G* = G x (1-H_FX)

where:

G is the nominal amount of the credit protection,

G* is G adjusted for any foreign exchange risk, and

H_fx is the volatility adjustment for any currency mismatch between the credit protection and the underlying obligation.

Where there is no currency mismatch

G* = G