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  • PIB A4.6.15 PIB A4.6.15

    For OTC Derivative transactions: Credit RWA = CEA x CRW.

    where:

    (a) contracts traded on exchanges, where they are subject to daily margining requirements, are excluded; and
    (b) CEA is calculated using the formula:
    CEA = the replacement cost of the OTC Derivative contract (obtained by marking to market) (in the case of a transaction with negative replacement cost, a value of zero) + PFCE.
    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.15 Guidance

      Details of how to net the PFCE are given in PIB Rule A4.6.22.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]