EBA · 2024_7129 Final Q&A

Maturity weighting of gross JTD amounts to calculate net JTD amounts

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
325x, para. 3
Topic
Market risk
Submitted by
Competent authority
Submitted
2024-07-03
Answered
2024-09-13
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Are the maturity weighting of gross JTD amounts and three months floor of Art. 325x(3) applicable only to gross JTD amounts in cases where no offsetting is possible or are they applicable more generally to all gross JTD amounts?

Background

The wording of Art. 325x(3) CRR raises the question whether the maturity scaling of gross JTD amounts with a floor of three months should apply only in cases where no offsetting is possible as the first sentence of the paragraph would suggest, or more generally to all gross JTD amounts with maturities of less than one year. In the Basel framework, maturity weighting rules including the three-months floor (MAR 22.15 and 22.18) are applied to the JTDs of all positions, regardless of whether offsetting is possible in a specific case. The ending of the second sentence of Art. 325x(3) is explaining the calculation of net JTD amounts and therefore implies that the second sentence is not limited to cases “where no offsetting is possible”.

Answer

Regardless of whether offsetting is possible or not, gross JTD amounts with maturities of less than one year shall be multiplied by the ratio of the exposure's maturity relative to one year, with a floor of three months, to calculate net JTD amounts.

Original source: European Banking Authority, Q&A ID 2024_7129

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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