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The utility of Potential Future Exposure (PFE) for counterparty tradinglimits is being challenged by new market developments, notably widespreadregulatory Initial Margin (using 99% 10-day exposure), and netting of trade andcollateral flows. However PFE has pre-existing challenges w.r.t.portfolios/distributions, collateralization, netting set seniority, andoverlaps with CVA. We introduce Potential Future Loss (PFL) which combinesexpected shortfall (ES) and loss given default (LGD) as a replacement for PFE.With two additional variants Adjusted PFL (aPFL) and Protected Adjusted PFL(paPFL) these deal with both new and pre-existing challenges. We provide atheoretical background and numerical examples.

Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL