• 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)

    where:

    alpha = 1.4

    RC = the replacement cost calculated according to Rules A4.6.19 to A4.6.24

    PFE = the amount for potential future exposure calculated according to Rule A4.6.26

     

    • Guidance

      Details of how to net the PFCE are given in Rule A4.6.22.