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Division 1 The value of the collateral shall be adjusted as follows:

United Kingdom

Original text. Later amendments are not shown.

Cvalue = C · (1 – HC – HFX)

where:

C

  • the market value of the collateral;

    • HC

  • the haircut appropriate to the collateral, as calculated under paragraph 2;

    • HFX

  • the haircut appropriate to currency mismatch, as calculated under paragraph 6.