EE

Definitions over time (2)

25/12/2019 – today applies on 12/11/2026 Article 272, Capital Requirements Regulation (CRR) Scope: Whole act

For the purposes of this Chapter and of Title VI of this Part, the following definitions shall apply:

Each transaction that is not subject to a legally enforceable bilateral netting arrangement which is recognised under Section 7 shall be treated as its own netting set for the purposes of this Chapter. Under the Internal Model Method set out in Section 6, all netting sets with a single counterparty may be treated as a single netting set if negative simulated market values of the individual netting sets are set to 0 in the estimation of expected exposure (hereinafter referred to as ‘EE’);
28/06/2013 – 19/07/2016 Article 272, Capital Requirements Regulation (CRR) Scope: Whole act

For the purposes of this Chapter and of Title VI of this Part, the following definitions shall apply:

Each transaction that is not subject to a legally enforceable bilateral netting arrangement which is recognised under Section 7 shall be treated as its own netting set for the purposes of this Chapter. Under the Internal Model Method set out in Section 6, all netting sets with a single counterparty may be treated as a single netting set if negative simulated market values of the individual netting sets are set to 0 in the estimation of expected exposure (hereinafter referred to as ‘EE’);