+Article 325y 4.

Article 325y 4.

Weighted net JTD amounts shall be aggregated within each bucket, in accordance with the following formula:

DRCb = max {(Σi ∈ long RWi · net JTDi) – WtS · (Σi ∈ short RWi · |net JTDi|); 0}
where:

DRCb

=

the own funds requirement for the default risk for bucket b;

i

=

the index that denotes an instrument belonging to bucket b;

RWi

=

the risk weight; and

WtS

=

a ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated as follows:

image

For the purposes of calculating the DRCb and the WtS, the long positions and short positions shall be aggregated for all positions within a bucket, regardless of the credit quality step to which those positions are allocated, to produce the bucket-specific own funds requirements for the default risk.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards