Examples of PFE in a sentence
Except as modified by para- graph (b) of this section, the exposure amount for multiple OTC derivative contracts subject to a qualifying mas- ter netting agreement is equal to the sum of the net current credit exposure and the adjusted sum of the PFE amounts for all OTC derivative con- tracts subject to the qualifying master netting agreement.
For purposes of calculating either the PFE under this paragraph (a) or the gross PFE under paragraph (a)(2) of this section for exchange rate con- tracts and other similar contracts in which the notional principal amount is equivalent to the cash flows, notional principal amount is the net receipts to each party falling due on each value date in each currency.
This is calculated as the sum of the current replacement cost and the PFE.
The PFE is an add-on based on a percentage of the notional principal of each transaction.
The potential future exposure of a netting set is the product of the PFE multiplier and the aggregated amount.
A Board-regulated institution must use an OTC derivative contract’s effective notional principal amount (that is, the apparent or stated no- tional principal amount multiplied by any multiplier in the OTC derivative contract) rather than the apparent or stated notional principal amount in calculating PFE.
Except as modified by para- graph (c)(7) of this section, the EAD for multiple OTC derivative contracts sub- ject to a qualifying master netting agreement is equal to the sum of the net current credit exposure and the ad- justed sum of the PFE exposure for all OTC derivative contracts subject to the qualifying master netting agreement.
PFE is determined based on a set percentage multiplied by the notional of the deal.
Except as modified by paragraph (b) of this section, the ex- posure amount for a single OTC deriva- tive contract that is not subject to a qualifying master netting agreement is equal to the sum of the Board-regu- lated institution’s current credit expo- sure and potential future credit expo- sure (PFE) on the OTC derivative con- tract.
Under this method the exposure on all the derivative contracts is calculated as the sum of current credit exposure/replacement cost i.e. the sum of the positive mark-to-market (MTM) of the contracts (negative MTMs are to be ignored) and the potential future exposure (PFE).