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Banking (prudential standard) determination No. 6 of 2024
Calculation of the potential future expoCalculation of the potential future exposure
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Calculation of the potential future exposure
- The PFE for derivative exposures must be calculated in accordance with Attachment D to APS 180. Specifically,
PFE = m*AddOnaggregate
where:
m= 1; and
AddOnaggregate = the aggregation of all add-on components calculated in accordance with Attachment D to APS 180. The maturity factor used must reflect the treatment for margined and unmargined transactions.
- Written options must be included in the leverage ratio exposure measure, even where the exposure at default may be set to zero under APS 180.