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Basle Capital Accord: The Treatment of the Credit Risk Associated with Certain Off-Balance-Sheet Items

Annex 2

Transaction
Counterparty 1
Counterparty 2
Counterparty 3
Notional amount
Mark to market value
Notional amount
Mark to market value
Notional amount
Mark to market value
Transaction 1
100
10
50
8
30
-3
Transaction 2
100
-5
50
2
30
1
Gross replacement cost (GR)
10
10
1
Net replacement cost (NR)
5
10
0
NGR (per counterparty)
0.5
1
0
NGR (aggregate)SigmaNR/SigmaGR = 15/21 = 0.71

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