OpenLegislation

Division Exposure value

United Kingdom Repealed

Original text. Later amendments are not shown.

  1. 5Division 5
  2. 6Division 6
  3. 7The exposure value shall be calculated as the product of α times Effective EPE, as follows:
  4. 8Effective EE shall be computed recursively as:
  5. 9In this regard, 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 is the average of EE until all contracts in the netting set mature. Effective EPE is computed as a weighted average of Effective EE:
  6. 10Division 10
  7. 11Division 11
  8. 12Division 12
  9. 13Division 13
  10. 14Division 14
  11. 15If the netting set is subject to a margin agreement, credit institutions shall use one of the following EPE measures:
  12. 16Division 16

Notes on the whole EU Directive

Textual amendments

F1

Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).

Notes on Annex III

Textual amendments

F1

Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).

Notes on Part 6

Textual amendments

F1

Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).