Updated 09/05/2024
In force

Version from: 09/01/2024
Amendments
There is currently no Level 2 legal act based on or specifying Article 325x.
Rejected Q&A 2021_6273
Published: 29/04/2022
Art. 325x(1)
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CRR ToolCapital Requirements Regulation (CRR)
Article 325x

Article 325x - Net jump-to-default amounts

Article 325x

1.  
Institutions shall calculate net JTD amounts by offsetting the gross JTD amounts of short exposures and long exposures. Offsetting shall only be possible between exposures to the same obligor where the short exposures have the same seniority as, or lower seniority than, the long exposures.
2.  

Offsetting shall be either full or partial, depending on the maturities of the offsetting exposures:

(a) 

offsetting shall be full where all offsetting exposures have maturities of one year or more;

(b) 

offsetting shall be partial where at least one of the offsetting exposures has a maturity of less than one year, in which case the size of the JTD amount of each exposure with a maturity of less than one year shall be multiplied by the ratio of the exposure's maturity relative to one year.

3.  
Where no offsetting is possible gross JTD amounts shall equal net JTD amounts in the case of exposures with maturities of one year or more. Gross JTD amounts with maturities of less than one year shall be multiplied by the ratio of the exposure's maturity relative to one year, with a floor of three months, to calculate net JTD amounts.
4.  
For the purposes of paragraphs 2 and 3, the maturities of the derivative contracts shall be considered, rather than those of their underlyings. Cash equity exposures shall be assigned a maturity of either one year or three months, at the institution's discretion.