effective maturity

Defined in Article 272, Capital Requirements Regulation (CRR)

Definitions over time (2)

1. 25/12/2019 – today applies on 12/11/2026 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.

2. 28/06/2013 – 19/07/2016 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.

Used in (2 places in 1 provisions on 12/11/2026)

Capital Requirements Regulation (CRR) (2 in 1)

Article 272²