This document outlines the calculation of Effective Expected Positive Exposure (EPE) for institutions subject to margin agreements and daily mark-to-market procedures. Institutions must either utilise a model approved by their competent authority that captures the impacts of margining or adopt specified approaches for EPE without collateral consideration. Various measures are stipulated based on the nature of trades, including exceptions for high-volume and illiquid transactions.

Furthermore, the margin period of risk is established, detailing minimum durations, particularly when disputes arise or for specific instruments, ensuring that institutions account for market conditions that may affect the liquidity of collateral. Compliance with these parameters is crucial for effective exposure management.