Minimum Capital Requirements for Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA)
Para. 296.35Status unknownSaudi ArabiaRegulation
Issued by Saudi Central Bank (SAMA) Rulebook
AddOn EUR = 10,083 ∗ 0.005 = 50.415 12.20. Step 7: Calculate the asset class level add-on ( AddOn IR ) by adding together all of the hedging set level add-ons calculated in step 6. Therefore, the add-on for the interest rate asset class is (expressed in USD thousands): AddOn IR = 296.35 + 50.415 = 347 12.21. For this netting set the interest rate add-on is also the aggregate add-on because there are no derivatives belonging to other asset classes. The EAD for the netting set can now be calculated using the formula set out in
The Arabic text is the legally binding version. The English translation is provided for guidance only.
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