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DRC Sec CTP Default Risk Charge Bucket
| Description |
The capital charge for default risk securitisations CTP at the bucket level |
| Reference |
[MAR22.44] |
| Notation |
$DRC_b$ |
| Formula |
$$DRC_b=RWnetJTD_{long,b} + HBR_{CTP}\cdot RWnetJTD_{short,b}$$ |
See also