On 11 August 2022, the European Commission published a Commission Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards specifying the calculation methods of gross jump-to-default (JTD) amounts for exposures to debt and equity instruments and for exposures to default risk arising from certain derivative instruments, and specifying the determination of notional amounts of instruments other than the instruments referred to in Article 325w(4) of the CRR.
The draft technical standards concern three mandates set out in Article 325w(8) of the CRR, and specify respectively:
- How the components P&L long , P&L short , Adjustment long and Adjustment short are to be determined for the purposes of calculating gross JTD amounts of exposures to debt and equity instruments with the formulae in Article 325w(1), (2) and (5) of the CRR.
- Which alternative methodologies institutions are to use for estimating gross JTD amounts of exposures referred to in Article 325w(7) of the CRR.
- How to determine the notional amount of instruments other than the ones referred to in Article 325w(4) of the CRR.
The Delegated Regulation enters into force on the twentieth day following that of its publication in the Official Journal of the European Union.