+Article 325w 2.

Article 325w 2.

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

JTDshort = min {LGD Vnotional + P&Lshort + Adjustmentshort; 0}
where:

JTDshort

=

the gross JTD amount for the short exposure;

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Vnotional

=

the notional amount of the instrument from which the exposure arises that shall enter into the formula with a negative sign;

P&Lshort

=

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 short exposure; gains shall enter into the formula with a positive sign and losses shall enter into the formula with a negative sign; and

Adjustmentshort

=

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 gain in the event of default would be increased or reduced relative to the full loss on the underlying instrument; decreases shall enter into the formula with a positive sign and increases shall enter into the formula with a negative sign.

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1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards