1. Institutions shall calculate the gross JTD amounts for each long exposure to debt instruments as follows:
Vnotional = the notional amount of the instrument from which the exposure arises;
P&Llong = a term which adjusts for gains or losses already accounted for by the institution due to changes in the fair value of the instrument creating the long exposure; gains shall enter into the formula with a positive sign and losses shall enter into the formula with a negative sign; and
Adjustmentlong = where the instrument from which the exposure arises is a derivative instrument, the amount by which, due to the structure of the derivative instrument, the institution's loss in the event of default would be increased or reduced relative to the full loss on the underlying instrument; increases shall enter into the formula with a positive sign and decreases shall enter into the formula with a negative sign.
2. Institutions shall calculate the gross JTD amounts for each short exposure to deb
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