is a contractual agreement or provisions to an agreement under which one counterparty must supply collateral to a second counterparty when an exposure of that second counterparty to the first counterparty exceeds a specified level.
In effect, the Effective Expected Exposure is the Expected Exposure that is constrained to be non-decreasing over time.
is the weighted average over time of expected exposures where the weights are the proportion that an individual expected exposure represent soft he entire time interval.
is a group of transactions with a single counterparty that are subject to a legally enforceable bilateral netting arrangement and for which netting is recognised for regulatory capital purposes under chapters 3 and 5 or the Cross-Product Netting Rules set forth in this chapter.
Each transaction that is not subject to a legally enforceable bilateral netting arrangement that is recognised for regulatory capital purposes should be interpreted as its own netting set for the purpose of these rules.
is the forecast of the probability distribution of market values that is generated by setting forecast instances of negative net market values equal to zero (this takes account of the fact that, when the bank owes the counterparty money, the bank does not have an exposure to the counterparty).
is a distribution of market values or exposures at a future time period where the distribution is calculated using historic or realised values such as volatilities calculated using past price or rate changes.Margin lending transactions do not include other loans that happen to be secured by securities collateral.Generally, in margin lending transactions, the loan amount is collateralised by securities whose value is greater than the amount of the loan.is the mean (average) of the distribution of exposure sat any particular future date before the longest-maturity transaction in the netting set matures.An expected exposure value is typically generated for many future dates up until the longest maturity date of transactions in the netting set.at a specific date is the maximum expected exposure that occurs at that date or any prior date.