PRU A4.6.15 PRU A4.6.15
EAD is to be calculated separately for each netting set. It is determined as follows:
EAD = alpha* (RC + PFE)
alpha = 1.4
PFE = the amount for potential future exposure calculated according to Rule A4.6.26
Details of how to net the PFCE are given in Rule A4.6.22.