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DRC Sec CTP Scaled Gross JTD
Description |
The maturity weighted Gross JTD for securitisations CTP |
Reference |
[MAR22.39] |
Notation |
$scaledGrossJTD$ |
Formula |
$$scaledGrossJTD=\sum_{maturity}{GrossJTD_{maturity}\cdot maturityScale(maturity)}$$ |
See also