(a) contracts traded on exchanges, where they are subject to daily margining requirements, are excluded; and
CEA is 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]