effective expected positive exposure
Definitions over time (1)
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19/07/2016 – 25/12/2019 Article 272, Capital Requirements Regulation (CRR) Scope: Part III Title II Chapter 6
For the purposes of this Chapter and of Title VI of this Part, the following definitions shall apply:
‘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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