9. — Directive 2006/48/EC of the European Parliament and of the Council of 14 June…

9.

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) · European Union

In this regard, Effective EPE is the average Effective EE during the first year of future exposure. If all contracts in the netting set mature within less than one year, EPE is the average of EE until all contracts in the netting set mature. Effective EPE is computed as a weighted average of Effective EE: EffectiveEPE = Σ_(k=1)^(min(1 year;maturity))EffectiveEE_(tk)^(*)Δt_(k) where: the weights Δtk = tk — tk‐1 allow for the case when future exposure is calculated at dates that are not equally spaced over time.

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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.