PFE web reports
energycredit Analytics provides a rich set of user friendly PFE reports that are easy to navigate and understand. At the top level, the PFE summary report displays PFE by counterparties over future time buckets. The PFE values are displayed alongside counterparty limits and availabilities. The summary report is hyperlinked to the detailed PFE report for a single counterparty, where the party’s PFE is divided into potential mark-to-market (the effect of price difference between current and future times), current mark-to-market (exposure resulted from difference between contract price and current price), and current and future accounts receivable. These components are clearly graphed with the overall PFE, giving users a real understanding of the risk factors. There is also a top ten PFE report for stress scenarios, where the highest PFE counterparties are listed under each user controlled stress condition.
In summary, energycredit Analytics measures PFE using Monte Carlo generated future market scenarios. It handles a full spectrum of deal types, from physical delivery deals to more complex structured deals. Current deal sets and netting agreements are used in the PFE calculation so that the risk managers can have the most complete and updated picture of the credit risk their organisation is undertaking.