Regulatory Technical Standards on gross jump-to-default amounts

Final draft adopted by the EBA and submitted to the European Commission

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).

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