Updated 23/11/2024
In force

Initial Legal Act
Amendments
Search within this legal act
CRR ToolDelegated Regulation 2022/2257
Article 3

Article 3 - Determination of notional amounts of instruments other than the instruments referred to in Article 325w (4) of Regulation (EU) No 575/2013

Article 3

Determination of notional amounts of instruments other than the instruments referred to in Article 325w(4) of Regulation (EU) No 575/2013

1.   For the purposes of Article 325w(1) and (2) of Regulation (EU) No 575/2013, institutions shall determine the notional amounts of instruments other than those referred to in Article 325w(4), points (a) and (b), of that Regulation by use of the following formulae:

(a)

for exposures to debt instruments classified as senior debt instruments or covered bonds, the notional amount of the instrument from which the exposure arises shall be:

(i)

in case of a long exposure:

Formula

(ii)

in case of a short exposure:

Formula

where:

LGD

=

the LGD assigned to the debt instrument in accordance with Article 325w(3) of Regulation (EU) No 575/2013;

VD

=

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 recovery rate that is calculated with respect to the face value of the debt instrument and which shall be equal to (1–LGD);

VF

=

VF as specified in Article 1(2) of this Regulation;

(b)

for exposures to debt instruments classified as non-senior debt instruments, the notional amount of the instrument from which the exposure arises shall be zero.

2.   For the purposes of Article 325w(5) of Regulation (EU) No 575/2013, the notional amount of the instrument from which the exposure arises, and that is not a cash equity instrument, shall be zero.