1. The potential future exposure (PFE) referred to in Article 27 shall be calculated for each derivative as the product of:
(a) the effective notional (EN) amount of the transaction set in accordance with paragraphs 2 to 6 of this Article; and
(b) the supervisory factor (SF) set in accordance with paragraph 7 of this Article.
2. The effective notional (EN) amount shall be the product of the notional amount calculated in accordance with paragraph 3, its duration calculated in accordance with paragraph 4, and its supervisory delta calculated in accordance with paragraph 6.
3. The notional amount, unless clearly stated and fixed until maturity, shall be determined as follows:
(a) for foreign exchange derivative contracts, the notional amount is defined as the notional amount of the foreign currency leg of the contract, converted to the domestic currency; if both legs of a foreign exchange derivative are denominated in currencies other than the domestic currency, the notional amount of eac
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