63.For each netting set, the bank must compute a PFE multiplier and multiply the sum of the asset class add-ons for the netting set by that multiplier. The bank must calculate the PFE multiplier using the NCV and the aggregate add-on for the netting set (AddOn_agg) according to the following formula (where “exp” denotes the exponential function):

64.Consistent with international regulatory standards, the Floor for this calculation is established at the level of 0.05 (5%) under this Standard.

65.If the PFE multiplier for a netting set is greater than 1.0 when calculated according to the formula above (which generally occurs when NCV>0), the bank should set the PFE multiplier equal to 1.0 when calculating PFE. Note that NCV is the same as the calculation of RC for un-margined transactions, but without the limitation of a lower bound of zero (that is, NCV can be negative).