CA-15.3.26
For derivative transactions not covered by an eligible bilateral netting contract as specified in Paragraphs CA-15.4.1 to CA-15.4.3, the amount to be included in the exposure measure is determined as follows:
Exposure measure = alpha * (RC+PFE)
where
alpha = 1.4
where
alpha = 1.4
RC = the replacement cost of the contract (obtained by marking to market), where the contract has a positive value. RC is determined in accordance with CA-15.3.27
PFE = an amount for PFE calculated in accordance with CA-15.3.28.
Added: October 2018