INTM267718 - 皇冠体育app attribution of capital to foreign banking permanent establishments in the UK: 皇冠体育app approach in determining an adjustment to funding costs - STEP 2: Risk weighting the assets: over-the-counter derivatives
皇冠体育app risk with OTC derivatives lies in having to replace any positive cash flows following the failure of a counter party. 皇冠体育app exposure from OTC derivatives is dealt with under the same broad framework as other off-balance sheet contracts with the contract鈥檚 cash equivalent amount (CEA) being multiplied by the risk weight appropriate to the counter party to determine the risk-weighted amount for the contract. 皇冠体育app difference with the treatment of other derivatives lies in the way in which the CEA is calculated. For further details consult the derivatives chapter in the Interim Prudential Source Book for Banks (IPRU (BANK)).