Estimation of the gross JTD amounts for the exposures referred to in Article 325w(7) of Regulation (EU) No 575/2013
Article 2
1. The alternative methodology to estimate the gross JTD amounts of the exposures referred to in Article 325w(7) of Regulation (EU) No 575/2013 shall consist in calculating the difference between the market value of a derivative instrument as referred to in that paragraph, from which the exposure arises for the institution at the time of the estimation of the gross JTD amount, and the market value of that derivative instrument, calculated under the assumption that the obligor is in default at that time. 2. Where the obligor is in default at the time of the estimation, and the market value of the instrument from which the exposure arises for the institution at that time reflects the gain or loss resulting from the default of the obligor, the alternative methodology referred to in Article 325w(7) of Regulation (EU) No 575/2013 shall consist in regarding the gross JTD amount of the exposure to be zero.