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
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