Peak Exposure definition
Peak Exposure means a high percentile of the distribution of exposures at any particular future date before the maturity date of the longest transaction in the netting set.
Peak Exposure means the amount equal to Party B's maximum credit exposure in respect of a Replacement Transaction entered into on a date three months after the Valuation Date, calculated by the Valuation Agent using its swap credit exposure methodology to a 99% confidence interval, as that methodology is updated to reflect, without limitation, the levels of volatility current as at the Valuation Time for the differential between USD-LIBOR-BBA and AUD-BBR-BBSW (each rate with a Designated Maturity of three months) and the A$-US$ forward exchange rates, and assuming that from that Valuation Date:
Peak Exposure means the amount equal to Party B's maximum credit exposure in the Base Currency in respect of a Replacement Transaction entered into on a date one month after the Valuation Date, calculated by the Valuation Agent using a market standard swap credit exposure methodology to the Confidence Interval, as that methodology is updated to reflect, without limitation, the levels of volatility current as at the Valuation Time for USD-LIBOR-BBA and AUD-BBR-BBSW (each rate with a Designated Maturity of one month ) and the A$ - US$ forward exchange rates, and assuming that from that Valuation Date the Floating Rate Payer Amounts and Exchange Amounts are calculated on the basis that: