DRC Sec CTP Default Risk Charge

Description The total capital charge for default risk securitisations CTP as if all positions were under SA
Variations
Reference [MAR22.45]
Notation $DRC_{ctp}$
Formula $$DRC_{ctp}=\text{max}(0, DRC_{agg})=\text{max}\left(0, \sum_{b}\text{max}\left( DRC_b,0 \right)+0.5\cdot \text{min}\left(DRC_b,0 \right) \right)$$

See also