15.

If the netting set is subject to a margin agreement, credit institutions shall use one of the following EPE measures: Effective EPE without taking into account the margin agreement; the threshold, if positive, under the margin agreement plus an add‐on that reflects the potential increase in exposure over the margin period of risk. The add‐on is computed as the expected increase in the netting set's exposure beginning from a current exposure of zero over the margin period of risk. A floor of five business days for netting sets consisting only of repo‐style transactions subject to daily remargining and daily mark‐to‐market, and ten business days for all other netting sets is imposed on the margin period of risk used for this purpose; or if the model captures the effects of margining when estimating EE, the model's EE measure may be used directly in the equation in point 8 subject to the approval of the competent authorities. Minimum requirements for EPE models

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.