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) - C_A] × r × 8%

Where:

RC = The replacement cost,

Add-on = The amount for potential future exposure calculated in CBB's 2004 Rule Book.

C_A = 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.