PIB A4.6.22
Where the conditions in in PIB section 4.13 are met, an
PFCE reduced = 0.4 x PFCE gross + 0.6 x NGR x PFCE gross
where:
(a) "PFCE reduced" is the reduced figure for PFCE for all contracts with a given Counterparty included in the Netting agreement;
(b) "PFCE gross" is the sum of the figures for PFCE for all contracts with a given Counterparty which are included in the Netting agreement; and
(c) "NGR" is the net-to-gross ratio, being the quotient of the net replacement cost for all contracts included in the Netting agreement with a given Counterparty (numerator) and the gross replacement cost for all contracts included in the Netting agreement with that Counterparty (denominator).
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]