DRC non-Sec Net JTD Short


Description The short net JTD for non-securitisations
Reference [MAR22.19]
Formula $$\sum_{i \in Short}netJTD_i$$

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 Short = min(min(min( … (min(SumSn, 0) … ) + SumS3, 0) + SumS2, 0) + SumS1, 0)

See also

search.js