IV. Counterparty Credit Risk
C 52/2017 STA Effective from 1/4/2021- I. Introduction
- II. Clarifications
- A. Replacement Cost
- B. Netting
- C. PFE Multiplier
- D. Supervisory Duration
- E. Aggregation of Maturity Category Effective Notional Amounts
- F. Maturity Factor
- G. Delta Adjustment
- H. Complex Derivatives
- I. Unrated Reference Assets
- J. Commodity Derivatives
- K. Single-Name and Index Derivatives
- L. Special Cases of Margin Agreements
- III. Summary of the EAD Calculation Process
- IV. Frequently Asked Questions
- V. Illustrations of EAD Calculations
- VI. Illustrations of Replacement Cost Calculations with Margining
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