CA-15.3.27
The replacement cost of a transaction or netting set is measured as follows:
RC = max {V - CVMr, + CVMp, 0}
where (i) V is the market value of the individual derivative transaction or of the derivative transactions in a netting set; (ii) CVMr is the cash variation margin received that meets the conditions set out in Paragraph CA-15.3.33 and for which the amount has not already reduced the market value of the derivative transaction V under the bank's operative accounting standard; and (iii) CVMp is the cash variation margin provided by the bank and that meets the same conditions.
Added: October 2018