Consider the same case as in Illustration 2, except that the initial margin posted to the CCP is not bankruptcy remote. Since this now counts as part of the collateral C, the value of V-C is AED10 million. The value of the TH+MTA-NICA term is AED10 million due to the negative NICA of -10 million. In this case:

RC = MAX {(V-C), (TH+MTA-NICA), 0}

= MAX{(-50-(-50)-(-10)), (0+0-(-10)), 0}

= MAX{10,10,0} = 10
 

The RC is now AED10 million, representing the initial margin posted to the CCP that would be lost if the CCP were to default.