# Commission Delegated Regulation (EU) 2016/2251 of 4 October 2016 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards for risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty (Text with EEA relevance), Division 1: The value of the collateral shall be adjusted as follows:

Extent: E+W+S+N.I.

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.

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Source: https://www.legislation.gov.uk/eur/2016/2251/annex/II/division/n1 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2251/annex-II/division-n1
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.