Regulatory Alerts2022-08-11
Added · Updated
Commission Delegated Regulation (EU) 2022/2257 on regulatory technical standards for gross jump-to-default amounts and notional amounts
The European Commission adopted Regulation (EU) 2022/2257 to supplement Regulation (EU) No 575/2013 by establishing regulatory technical standards for calculating gross jump-to-default (JTD) amounts and determining notional amounts. Institutions are required to use specific formulae to determine P&L and adjustment components for debt and equity exposures, estimate JTD amounts for derivative instruments, and calculate notional amounts based on seniority and loss-given-default parameters. This regulation entered into force on the twentieth day following its publication in the Official Journal of the European Union on 18 November 2022.
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