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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]