CA-4.3.30
Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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Under the Current Exposure Method, the calculation of the counterparty credit risk charge for an individual contract will be as follows:
Counterparty charge = [(RC + add-on) - CA] × r × 8%
Where:
RC = the replacement cost,
Add-on = the amount for potential future exposure calculated in CBB's 2004 Rule Book.
CA = the volatility adjusted collateral amount under the comprehensive approach prescribed in paragraphs CA-4.3.3 to CA-4.3.16, or zero if no eligible collateral is applied to the transaction, and
r = the risk weight of the counterparty.
Apr 08