Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
    Version 1 of 1    

Article 325w Gross jump-to-default amounts

1. Institutions shall calculate the gross JTD amounts for each long exposure to debt instruments as follows:

2. Institutions shall calculate the gross JTD amounts for each short exposure to debt instruments as follows:

3. For the purposes of the calculation set out in paragraphs 1 and 2, the LGD for debt instruments to be applied by institutions shall be the following:

(a) exposures to non-senior debt instruments shall be assigned an LGD of 100 %;

(b) exposures to senior debt instruments shall be assigned an LGD of 75 %;

(c) exposures to covered bonds, as referred to in Article 129, shall be assigned an LGD of 25 %.

4. For the purposes of the calculations set out in paragraphs 1 and 2, notional amounts shall be determined as follows:

(a) in the case of debt instruments, the notional amount is the face value of the debt instrument;

(b) in the case of derivative instruments with debt security underlyings, the notional amount is the notional amount of the derivative instrument.

5. For