gross jump-to-default (gross JTD) amount
Defined in Article 325v, Capital Requirements Regulation (CRR)
Definitions over time (1)
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27/06/2019 – today applies on 12/11/2026 Article 325v, Capital Requirements Regulation (CRR) Scope: Part III Title IV Chapter 1A Section 5
For the purposes of this Section, the following definitions apply:
‘gross jump-to-default (gross JTD) amount’ means the estimated size of the loss or gain that the default of the obligor would produce for a specific exposure;