PFE = the potential future exposure;
AddOn(a) = the add-on for risk category a calculated in accordance with Articles 280a to 280f, as applicable; and
multiplier = the multiplication factor calculated in accordance with the formula referred to in paragraph 3.
For the purpose of this calculation, institutions shall include the add-on of a given risk category in the calculation of the potential future exposure of a netting set where at least one transaction of the netting set has been mapped to that risk category.
2.The potential future exposure of multiple netting sets that are subject to one margin agreement, as referred in Article 275(3), shall be calculated as the sum of the potential future exposures of all the individual netting sets as if they were not subjec…