+Article 233 3.
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Article 233 3.
Where unfunded credit protection is denominated in a currency different from that in which the exposure is denominated, institutions shall reduce the value of the credit protection by the application of a volatility adjustment as follows:
where:
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G*
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=
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the amount of credit protection adjusted for foreign exchange risk,
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G
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=
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the nominal amount of the credit protection;
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Hfx
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=
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the volatility adjustment for any currency mismatch between the credit protection and the underlying obligation determined in accordance with paragraph 4.
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Where there is no currency mismatch Hfx is equal to zero.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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