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)+0.5min(DRCb,0))DRCctp=max(0,DRCagg)=max(0,bmax(DRCb,0)+0.5min(DRCb,0))

See also