Regulatory Technical Standards on gross jump-to-default amounts

  • Status: Adopted and published in the Official Journal of the EU

The Regulatory Technical Standards (RTS) on gross jump-to-default (JTD) amounts specify the key inputs needed for computing own funds requirements for default risk under the FRTB-SA. Gross JTD amounts determined in accordance with the draft RTS are intended to be consistent with those determined in accordance with international standards while employing the formulae and requirements set out in the Capital Requirements Regulation (CRR).

Summary of document history

Previous versions Current version Ongoing versions

Consultation on draft RTS on gross jump-to-default (JTD) amounts

  • Status: Closed
  • Deadline: 12 JUNE 2021
Documents
Consultation Paper on draft RTS on gross JTD amounts

(1.05 MB - PDF) Last update 12 March 2021

Responses

The form is now closed.

Public hearings

Public Hearing on CP draft RTS on gross JTD amounts, on CP draft RTS on advanced economies for equity risks and on CP draft RTS on RRAO

Presentation

(1.16 MB - PDF) Last update 29 April 2021

Press contacts

Franca Rosa Congiu