7.A bank must calculate RWA for CCR by (i) calculating the Exposure At Default (EAD) for each netting set associated with a counterparty, (ii) summing EAD across netting sets for that counterparty, (iii) calculating risk-weighted EAD by multiplying the total EAD for a counterparty by the risk-weight corresponding to the exposure class to which that counterparty belongs under general risk-based capital requirements, (iv) summing the resulting risk-weighted EAD across all counterparties within a given exposure class and (v) summing across exposure classes.

8.Banks must calculate EAD separately for each netting set, as the sum of the Replacement Cost (RC) of the netting set plus the calculated Potential Future Exposure (PFE) for the netting set, with the sum of the two multiplied by a factor of 1.4:

$$\mathrm{E}\mathrm{A}\mathrm{D}=(\mathrm{R}\mathrm{C}+\mathrm{P}\mathrm{F}\mathrm{E})\times 1.4$$
 

9.Margined and un-margined netting sets require different calculation methods for RC and PFE. The EAD for a margined netting set is capped at the EAD of the same netting set calculated on an un-margined basis. That is, for a netting set covered by a margin agreement, the bank may calculate EAD as if the netting set is un-margined, and may use that value as the EAD if it is lower than the EAD calculation considering margin.

10.The time-period for the haircut applicable to non-cash collateral for the RC calculation should be one year for un-margined trades, and the relevant margin period of risk for margined trades.