art_272__list_6

'current exposure' means the larger of zero and the market value of a transaction or portfolio of transactions within a netting set with a counterparty that would be lost upon the default of the counterparty, assuming no recovery on the value of those transactions in insolvency or liquidation; 'peak exposure' means a high percentile of the distribution of exposures at particular future date before the maturity date of the longest transaction in the netting set; 'expected exposure' (hereinafter referred to as 'EE') means the average of the distribution of exposures at a particular future date before the longest maturity transaction in the netting set matures; 'effective expected exposure at a specific date' (hereinafter referred to as 'Effective EE') means the maximum expected exposure that occurs at that date or any prior date. Alternatively, it may be defined for a specific date as the greater of the expected exposure at that date or the effective expected exposure at any prior date; 'expected positive exposure' (hereinafter referred to as 'EPE') means the weighted average over time of expected exposures, where the weights are the proportion of the entire time period that an individual expected exposure represents. When calculating the own funds requirement, institutions shall take the average over the first year or, if all the contracts within the netting set mature within less than one year, over the time period until the contract with the longest maturity in the netting set has matured; 'effective expected positive exposure' (hereinafter referred to as 'Effective EPE') means the weighted average of effective expected exposure over the first year of a netting set or, if all the contracts within the netting set mature within less than one year, over the time period of the longest maturity contract in the netting set, where the weights are the proportion of the entire time period that an individual expected exposure represents;

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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.