Expected exposure

Expected exposure (EE) means the expected value of the probability distribution of non-negative credit risk exposures to a counterparty at any specified future date before the maturity date of the longest term transaction in the netting set. Any negative fair values in the probability distribution of fair values to a counterparty at a specified future date are set to zero to convert the probability distribution of fair values to the probability distribution of credit risk exposures.

Source

12 CFR § 217.101

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Scoping language

Terms that are set forth in 217.2 and used in this subpart have the definitions assigned thereto in 217.2.

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