EPE
as defined in Directive 2006/48/EC of the European Parliament and of the Council of 14 June…
the weighted average over time of expected exposures where the weights are the proportion that an individual expected exposure represents of the entire time interval. When calculating the minimum capital requirement, the average is taken over the first year or, if all the contracts within the netting set mature within less than one year, over the time period of the longest maturity contract in the netting set.
Install the extension for EUR-Lex
Also defined in
- CRR 32013R0575, Article 272, point (21)
the weighted average over time of expected exposures, where the weights are the proportion of the entire time period that an individual expected exposure represents. When calculating the own funds requirement, institutions shall take the average over the first year or, if all the contracts within…