Article 325ac - Jump-to-default amounts for the ACTP
Table of content
Jump-to-default amounts for the ACTP
For the purposes of this Article, the following definitions apply:
Nth-to-default products shall be treated as tranched products with the following attachment and detachment points:
attachment point = (N – 1) / Total Names;
detachment point = N / Total Names;
where ‘Total Names’ shall be the total number of names in the underlying basket or pool.
Net JTD amounts shall be determined by offsetting long gross JTD amounts and short gross JTD amounts. Offsetting shall only be possible between exposures that are otherwise identical except for maturity. Offsetting shall only be possible as follows:
for indices, index tranches and bespoke tranches, offsetting shall be possible across maturities within the same index family, series and tranche, subject to the provisions on exposures of less than one year laid down in Article 325x; long gross JTD amounts and short gross JTD amounts that perfectly replicate each other may be offset through decomposition into single name equivalent exposures using a valuation model; in such cases, the sum of the gross JTD amounts of the single name equivalent exposures obtained through decomposition shall be equal to the gross JTD amount of the undecomposed exposure;
for indices and index tranches, offsetting shall be possible across maturities within the same index family, series and tranche by replication or by decomposition; where the long exposures and short exposures are otherwise equivalent, apart from one residual component, offsetting shall be allowed and the net JTD amount shall reflect the residual exposure;
different tranches of the same index series, different series of the same index and different index families may not be used to offset each other.