Past version: effective from 21/10/2015 - 20/10/2015
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(1) In the case where there is a currency mismatch between the credit protection and the underlying Exposure, an Authorised Person must reduce the amount of the Exposure deemed to be protected by applying a haircut, as follows:
Protected portion GA = G (1- HFX)
(a) G = notional amount of the credit protection; and
(b) HFX = haircut appropriate for currency mismatch between the credit protection and underlying obligation Exposure based on a ten-business day holding period, assuming daily mark-to-market.
(2) An Authorised Person must determine HFX in the following manner:
(a) if the Authorised Person uses standard supervisory haircuts, HFX is 8%; and
(3) If the credit protection is not marked-to-market daily, HFX must be scaled in accordance with Rule A4.3.25.