Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach -- PL -- PLSummary -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP --- CSR Sec non-CTP --- DRC ---- Default Risk Charge ---- DRC non-Sec Default Risk Charge ---- DRC non-Sec Gross JTD ---- DRC non-Sec JTD Weightings ---- DRC non-Sec LGD ---- DRC non-Sec Net JTD Long ---- DRC non-Sec Net JTD Short ---- DRC non-Sec Scaled Gross JTD ---- DRC non-Sec Weighted Net JTD Long ---- DRC non-Sec Weighted Net JTD Short ---- DRC non-Sec WtS Ratio ---- DRC Sec non-CTP Default Risk Charge ---- DRC Sec non-CTP Gross JTD ---- DRC Sec non-CTP JTD Weightings ---- DRC Sec non-CTP Net JTD Long ---- DRC Sec non-CTP Net JTD Short ---- DRC Sec non-CTP Scaled Gross JTD ---- DRC Sec non-CTP Weighted Net JTD Long ---- DRC Sec non-CTP Weighted Net JTD Short ---- DRC Sec non-CTP WtS Ratio ---- Maturity Scaling Factor ---- PV.CCY DRC --- Equity --- FX --- GIRR --- Notional --- Notional (Original Currency) --- Notional (Original Currency) DRC --- Notional DRC --- PV --- PV DRC --- PV.CCY --- RRAO --- Timestamp - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 DRC non-Sec Gross JTD drc_sa Description The instruments gross JTD Reference [MAR22.11] Formula $$JtD (long) = max(LGD \cdot notional + PL, 0) \\ JtD (short) = min(LGD \cdot notional + PL, 0)$$ See also DRC - IMA DRC PnL Expand DRC Sec non-CTP Default Risk Charge DRC Sec non-CTP Gross JTD DRC Sec non-CTP JTD Weightings DRC Sec non-CTP Net JTD Long DRC Sec non-CTP Net JTD Short DRC Sec non-CTP Scaled Gross JTD DRC Sec non-CTP Weighted Net JTD Long DRC Sec non-CTP Weighted Net JTD Short DRC Sec non-CTP WtS Ratio DRC non-Sec Default Risk Charge DRC non-Sec JTD Weightings DRC non-Sec LGD DRC non-Sec Net JTD Long DRC non-Sec Net JTD Short DRC non-Sec Scaled Gross JTD DRC non-Sec Weighted Net JTD Long DRC non-Sec Weighted Net JTD Short DRC non-Sec WtS Ratio Default Risk Charge Maturity Scaling Factor DRC non-Sec Default Risk Charge DRC non-Sec JTD Weightings
FRTB Accelerator Cubes Guide