6. CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

6.

CRR

REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

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 shall be the average of EE until all contracts in the netting set mature. Effective EPE shall be calculated as a weighted average of Effective EE: Effective EPE = Σ_(k=1)^(min 1 year, maturity)Effective EE_(tk) · Δt_(k) where the weights Δt_(k) = t_(k) – t_(k–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 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.