84.

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) · European Union

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: 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

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.