Entire Section

  • PIB A4.8 PIB A4.8 Credit RWA — Other Trading Book Transactions

    • PIB A4.8.1 PIB A4.8.1

      For Counterparty Exposures in the Trading Book not covered by sections PIB A4.6 and PIB A4.7, the following formula applies: Credit RWA = E x CRW.

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

      • PIB A4.8.1 Guidance

        Examples include Counterparty Exposures in relation to exchange-traded Derivatives, unpaid margin requirements, Trading Book qualifying deposits, and fees and interest.

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

    • PIB A4.8.2

      Where a Counterparty has not fully paid a margin requirement on a Derivative transaction listed on an exchange or cleared through a clearing house: E = the shortfall.

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

    • PIB A4.8.3

      Where an Authorised Firm sells or writes an Option to a Counterparty or buys an Option on behalf of a Counterparty and the Counterparty has not paid the full Option premium: E = the uncovered premium on the transaction.

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

    • PIB A4.8.4

      Where a Counterparty has not fully met amounts owed to an Authorised Firm arising out of losses on closed-out Derivative transactions or has not fully settled amounts owed in respect of periodic or final settlement of transactions: E = the unpaid loss.

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