PIB A4.6.15 PIB A4.6.15
Derivativetransactions: Credit RWA= CEAx CRW.
where:(a) contracts traded on exchanges, where they are subject to daily margining requirements, are excluded; and(b)
CEAis calculated using the formula: CEA= the replacement cost of the OTC Derivativecontract (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]