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Expected Negative Exposure (ENE) - Meaning

The expected negative net value of a portfolio as a function of time after collateral (i.e., initial and variation margin applied with netting and haircut rules) has been taken into account. When a portfolio is simulated over thousands of paths, ENE for a fixed time is calculated as (sum of Theoretical Values (TVs) on paths where TV < 0)/(total number of paths), much like expected exposure (EE) but restricted to paths of negative TV.

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