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FCA Handbook
Glossary
distribution of exposures

You are viewing the version of the document as on 2021-12-31.

distribution of exposures

124for the purpose of BIPRU 13 (The calculation of counterparty risk exposure values for financial derivatives, securities financing transactions and long settlement transactions)) the forecast of the probability distribution of market values that is generated by setting forecast instances of negative net market values equal to zero.

[Note: Part 1 of Annex III of the Banking Consolidation Directive (Definitions)]124

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distribution of exposures