6.

Institutions using the internal models approach shall calculate E* according to the following formula: E^(*) = max0,(Σ_(i)E_(i) – Σ_(i)C_(i)) + potential change in value where: E_(i)= the exposure value for each separate exposure i under the agreement that would apply in the absence of the credit protection, where institutions calculate the risk-weighted exposure amounts under the Standardised Approach or where they calculate risk-weighted exposure amounts and expected loss amounts under the IRB Approach; C_(i)= the value of the securities borrowed, purchased or received or the cash borrowed or received in respect of each such exposure i. When calculating risk-weighted exposure amounts using internal models, institutions shall use the previous business day's model output.

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.