+Article 325w 5.
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Article 325w 5.
For exposures to equity instruments, institutions shall calculate the gross JTD amounts as follows:
JTDlong = max {LGD · Vnotional + P&Llong + Adjustmentlong; 0}
JTDshort = min {LGD · Vnotional + P&Lshort + Adjustmentshort; 0}
where:
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JTDlong
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=
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the gross JTD amount for the long exposure;
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Vnotional
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=
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the notional amount of the instrument from which the exposure arises; the notional amount is the fair value of the equity for cash equity instruments; for the JTDshort formula, the notional amount of the instrument shall enter into the formula with a negative sign;
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P&Llong
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=
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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;
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Adjustmentlong
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=
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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;
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JTDshort
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=
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the gross JTD amount for the short exposure;
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P&Lshort
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=
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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
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Adjustmentshort
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=
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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. Prezentare generală
1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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