current exposure
as defined in CRR, Article 272, point (17) (Definitions)
the larger of zero and the market value of a transaction or portfolio of transactions within a netting set with a counterparty that would be lost upon the default of the counterparty, assuming no recovery on the value of those transactions in insolvency or liquidation
Install the extension for EUR-Lex
Also defined in
- Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and… 32006L0048, bIII.p18
the larger of zero or the market value of a transaction or portfolio of transactions within a netting set with a counterparty that would be lost upon the default of the counterparty, assuming no recovery on the value of those transactions in bankruptcy.