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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 |
DRCctpDRCctp |
Formula |
DRCctp=max(0,DRCagg)=max(0,∑bmax(DRCb,0)+0.5⋅min(DRCb,0))DRCctp=max(0,DRCagg)=max(0,∑bmax(DRCb,0)+0.5⋅min(DRCb,0)) |
See also