+Article 325y 4.
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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:
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DRCb
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=
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the own funds requirement for the default risk for bucket b;
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i
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=
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the index that denotes an instrument belonging to bucket b;
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RWi
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=
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the risk weight; and
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WtS
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=
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a ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated as follows:
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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. Prezentare generală
1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
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