+Article 325ad 3.

Article 325ad 3.

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

image
where:

DRCb

=

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

i

=

an instrument belonging to bucket b; and

WtSACTP

=

the ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated in accordance with the WtS formula set out in Article 325y(4), but using long positions and short positions across the entire ACTP and not just the positions in the particular bucket.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards