art_272__list_7

'rollover risk' means the amount by which EPE is understated when future transactions with a counterparty are expected to be conducted on an ongoing basis. The additional exposure generated by those future transactions is not included in calculation of EPE; 'counterparty' for the purposes of Section 7 means any legal or natural person that enters into a netting agreement, and has the contractual capacity to do so; 'contractual cross product netting agreement' means a bilateral contractual agreement between an institution and a counterparty which creates a single legal obligation (based on netting of covered transactions) covering all bilateral master agreements and transactions belonging to different product categories that are included within the agreement; For the purposes of this definition, 'different product categories' means: repurchase transactions, securities and commodities lending and borrowing transactions; margin lending transactions; the contracts listed in Annex II; 'payment leg' means the payment agreed in an OTC derivative transaction with a linear risk profile which stipulates the exchange of a financial instrument for a payment. In the case of transactions that stipulate the exchange of payment against payment, those two payment legs shall consist of the contractually agreed gross payments, including the notional amount of the transaction.

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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.