DRC non-Sec Net JTD Long


Description The obligor's Long netJTD for non-securitisations
Reference [MAR22.19]
Formula $$\sum_{i \in Long}netJTD_i$$

For each obligor, represented by [Default Risk Charge].[DRC Obligor] for seniorities S1 > S2 > S3 > … > Sn, for example, Senior > Junior > Equity, represented by [Default Risk Charge].[DRC Seniority] let SumSi be the aggregated DRC non-Sec Scaled Gross JTD over the Si senority (for the obligor), then:

DRC non-Sec Net JTD Long = max( … (max(max(max(SumS1, 0) + SumS2, 0) + SumS3, 0) … ) + SumSn, 0)

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