current exposure
as defined in Directive 2006/48/EC of the European Parliament and of the Council of 14 June…
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.
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Also defined in
- CRR 32013R0575, Article 272, point (17)
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;