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DRC non-Sec Default Risk Charge

Description The total capital charge for default risk non-securitisations as if all positions were under SA
Variations
Reference [MAR22.26]
Notation DRC
Formula DRC=bBucketsDRCbDRCb=max[(iLongRWinetJtDi)HBR(iShortRWi|netJtDi|);0]

See also