Directive 2006/48/EC of the European Parliament and of the council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed) (c. 48)

ANNEX VIII U.K. CREDIT RISK MITIGATION

PART 3 U.K. Calculating the effects of credit risk mitigation

2. UNFUNDED CREDIT PROTECTION U.K.

2.1. Valuation U.K.

85. The volatility adjustments for any currency mismatch may be calculated based on the Supervisory volatility adjustments approach or the Own estimates approach as set out in points 34 to 57. U.K.