32  Dashboard - PFE

The following table displays the page level filters which are applicable to all the reports in this dashboard.

Table 111: Parameters in the Dashboard - PFE

Dashboard Name

PFE

Subject Area

MR Monte Carlo

Page-Level Filters

·        Portfolio

·        MIS Date

·        Definition

·        EOD Execution

·        Execution ID

·        Amount In

·        Entity Name

·        Parent Counterparty ID

·        Counterparty

·        PFE Result Type

Page-Level Display Parameters

Not applicable

The following report is displayed as part of the PFE dashboard:

·        PFE Details

·        Trade Level PFE 

PFE Details

This section describes the parameters of the PFE Details report.

Table 112: PFE Details Report Parameters

Report Name

PFE Details

Report Level Filters

Not applicable

Report Description

This Report provides the PFE related details like EPE, ENE, PFE, and so on at the Counterparty level.

Report Type

Tabular Report:

It has the following columns:

·        Portfolio

·        Counterparty ID

·        Netting

·        Sub-netting

·        PFE Result Type

·        Potential Future Exposure

·        Expected Positive Exposure

·        Expected Negative Exposure

·        Expected Exposure

·        Expected Potential Future Exposure

·        Effective Expected Positive Exposure

·        Effective Expected Negative Exposure

·        Effective Expected Exposure

·        Average Potential Future Exposure

·        Average Expected Positive Exposure

·        Average Expected Negative Exposure

·        Average Expected Exposure

It has the following row:

·        Portfolios are listed

Dimensions

·        Portfolio

·        Counterparty ID

·        Netting

·        Sub-netting

·        PFE Result Type

Base Measures

·        Potential Future Exposure

·        Expected Positive Exposure

·        Expected Negative Exposure

·        Expected Exposure

·        Expected Potential Future Exposure

·        Effective Expected Positive Exposure

·        Effective Expected Negative Exposure

·        Effective Expected Exposure

·        Average Potential Future Exposure

·        Average Expected Positive Exposure

·        Average Expected Negative Exposure

·        Average Expected Exposure

Computed Measures

NA

Trade Level PFE

This section describes the parameters of the Trade Level PFE report.

Table 113: Trade Level PFE Report Parameters

Report Name

Trade level PFE

Report Level Filters

Not applicable

Report Description

This Report provides the PFE related details like EPE, ENE, PFE, and so on at the Trade level for a counterparty.

Report Type

Tabular Report:

It has the following columns:

·        Portfolio

·        Entity Name

·        Parent Counterparty ID

·        Counterparty ID

·        Netting

·        Sub-netting

·        PFE Result Type

·        Account Number

·        Potential Future Exposure

·        Expected Positive Exposure

·        Expected Negative Exposure

·        Expected Exposure

·        Expected Potential Future Exposure

·        Effective Expected Positive Exposure

·        Effective Expected Negative Exposure

·        Effective Expected Exposure

·        Average Potential Future Exposure

·        Average Expected Positive Exposure

·        Average Expected Negative Exposure

·        Average Expected Exposure

It has the following row:

·        Portfolios are listed

Dimensions

·        Portfolio

·        Entity Name

·        Parent Counterparty ID

·        Counterparty ID

·        Netting

·        Sub-netting

·        PFE Result Type

·        Account Number

Base Measures

·        Potential Future Exposure

·        Expected Positive Exposure

·        Expected Negative Exposure

·        Expected Exposure

·        Expected Potential Future Exposure

·        Effective Expected Positive Exposure

·        Effective Expected Negative Exposure

·        Effective Expected Exposure

·        Average Potential Future Exposure

·        Average Expected Positive Exposure

·        Average Expected Negative Exposure

·        Average Expected Exposure

Computed Measures

NA