Article 1
Determination of the components P&L long , P&L short , Adjustment long and Adjustment short for the calculation of gross JTD amounts for exposures to debt and equity instruments
1. Institutions shall determine the components P&Llong and P&Lshort referred to in Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 by use of the following formulae:
where:
|
VA |
= |
the market value of the instrument from which the exposure arises for the institution at the time of the calculation of the gross JTD amount for that exposure. |
2. Institutions shall determine the components Adjustmentlong and Adjustmentshort referred to in Article 325w(1) and (2) of Regulation (EU) No 575/2013 by use of the following formulae:
where:
|
VF |
= |
the market value of the instrument from which the exposure arises for the institution, calculated under the assumption that at the time of the calculation of the gross JTD amount for that exposure, the debt instrument defaulted and experienced a zero recovery rate. |
3. Institutions shall determine the components Adjustmentlong and Adjustmentshort referred to in Article 325w(5) of Regulation (EU) No 575/2013 by use of the following formulae:
where:
|
VF |
= |
the market value of the instrument from which the exposure arises for the institution, calculated under the assumption that at the time of the calculation of the gross JTD amount for that exposure, the equity instrument experienced a full loss in value. |