The Unilateral CVA (UCVA) from the perspective of the financial institution (FI) is calculated as: $UCVA = LGD_{CP} \times EE_{FI} \times PD_{CP}$ Where $LGD_{CP} = 1 - 0.90 = 0.10$ $UCVA = 0.10 \times 48,000,000 \times 0.015 = \text{AUD 72,000}$

The Bilateral CVA (BCVA) accounts for the survival probability of the other party (first-to-default). It is calculated as $BCVA = CVA_{FTD} - DVA_{FTD}$.

$CVA_{FTD} = LGD_{CP} \times EE_{FI} \times PD_{CP} \times (1 - PD_{FI})$ $CVA_{FTD} = 72,000 \times (1 - 0.033) = 72,000 \times 0.967 = \text{AUD 69,624}$

$DVA_{FTD} = LGD_{FI} \times EE_{CP} \times PD_{FI} \times (1 - PD_{CP})$ Where $LGD_{FI} = 1 - 0.75 = 0.25$ $DVA_{FTD} = 0.25 \times 48,000,000 \times 0.033 \times (1 - 0.015)$ $DVA_{FTD} = 396,000 \times 0.985 = \text{AUD 390,060}$

$BCVA = 69,624 - 390,060 = -\text{AUD 320,436}$

The change in the CVA charge when switching from UCVA to BCVA is: $Change = UCVA - BCVA = 72,000 - (-320,436) = \text{AUD 392,436}$

This is approximately AUD 392,400, corresponding to option D.