Article 325x

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Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 1a > Section 5 > Subsection 1 > Article 325x
Title:
Article 325x
Description: 
Net jump-to-default amounts
Main content: 

1. Institutions shall calculate net JTD amounts by offsetting the gross JTD amounts of short exposures and long exposures. Offsetting shall only be possible between exposures to the same obligor where the short exposures have the same seniority as, or lower seniority than, the long exposures.

2. Offsetting shall be either full or partial, depending on the maturities of the offsetting exposures:

(a) offsetting shall be full where all offsetting exposures have maturities of one year or more;

(b) offsetting shall be partial where at least one of the offsetting exposures has a maturity of less than one year, in which case the size of the JTD amount of each exposure with a maturity of less than one year shall be multiplied by the ratio of the exposure's maturity relative to one year.

3. Where no offsetting is possible gross JTD amounts shall equal net JTD amounts in the case of exposures with maturities of one year or more. Gross JTD amounts with maturities of less than one year shall be multiplied by the ratio of the exposure's maturity relative to one year, with a floor of three months, to calculate net JTD amounts.

4. For the purposes of paragraphs 2 and 3, the maturities of the derivative contracts shall be considered, rather than those of their underlyings. Cash equity exposures shall be assigned a maturity of either one year or three months, at the institution's discretion.