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rollover risk

    46(192for the purpose of BIPRU 13 (The calculation of counterparty risk exposure values for financial derivatives, securities financing transactions and long settlement transactions)) the amount by which expected positive exposure is understated when future transactions with a counterpart are expected to be conducted on an ongoing basis; the additional exposure generated by those future transactions is not included in calculation of expected positive exposure.

    [Note: Part 1 of Annex III of the Banking Consolidation Directive (Definitions)]192