EPE

Expected positive exposure (EPE) means the weighted average over time of expected (non-negative) exposures to a counterparty where the weights are the proportion of the time interval that an individual expected exposure represents. When calculating risk-based capital requirements, the average is taken over a one-year horizon.

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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