The bank must calculate a CCR charge for all OTC derivatives, exchange-traded derivatives, long settlement transactions and SFTs, with narrow credit derivative exceptions (CRE51.1 to 51.16). Without IMM approval it must use SA-CCR for derivatives and CRE22 for SFTs (CRE51.8). SA-CCR EAD is 1.4 times replacement cost plus PFE, capped for margined sets at the unmargined figure (CRE52.1 to 52.2). Netting counts only with a single legal obligation, written and reasoned legal reviews and ongoing monitoring of the law (CRE52.7 to 52.8). The PFE multiplier recognises excess collateral with a 5% floor (CRE52.20 to 52.23); add-ons use five asset classes without cross-class diversification and the Table 2 supervisory factors (eg 0.5% interest rates, 4.0% FX) (CRE52.24, 52.72 to 52.73). Maturity is floored at 10 business days; margin period of risk floors are 10 business days, 20 for netting sets above 5,000 trades or with illiquid collateral, and doubled after more than two lengthy disputes in two quarters (CRE52.49 to 52.51). IMM banks take the higher of current and stressed calibrated RWA, use alpha of 1.4 (internal estimates floored at 1.2 and reviewed quarterly), calibrate on at least three years of data, have one year of model use before approval, backtest, stress test and control specific wrong-way risk (CRE53.1 to 53.51).
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.