PRU A4.6.15

Past version: effective from 21/10/2015 - 20/10/2015
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For OTC Derivative transactions: Credit RWA = CEA × 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.