effective maturity
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 maturity’ under the Internal Model Method for a netting set with maturity greater than one year means the ratio of the sum of expected exposure over the life of the transactions in the netting set discounted at the risk-free rate of return, divided by the sum of expected exposure over one year in the netting set discounted at the risk-free rate.
Other definitions of this term in this act (1)
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