Potential Future Exposure

(PFE).

Derivatives

The Potential Future Exposure (PFE) in a derivatives contract is an additional credit risk, over and above the current replacement cost of the contract.

The PFE represents the additional amount by which the exposure could increase, over the remaining life of the contract, with a given level of confidence.

See also

• Confidence level
• Counterparty
• Fair value
• Replacement cost