EBU Single Rulebook Q&A 4 August 2015 2015_2195 Potential Future Exposure (PFE) add-ons for written options out side netting agreement

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European Union · · · 04-08-2015

Is PFE (Potential future exposure) calculation applicable for written options when they are included in derivative netting and not applicable for written options when there is no netting agreement? In question2013_666, in the example, it has been mentioned that PFE (Potential future exposure) from risk perspective, it is necessary to include written options in a netting set.

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