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DRC Sec CTP Default Risk Charge Aggregated
Description |
The total capital charge for default risk securitisations CTP as if all positions were under SA, without the floor to zero |
Reference |
[MAR22.45] |
Notation |
DRCagg |
Formula |
DRCagg=max(DRCb,0)+0.5⋅min(DRCb,0) |
See also