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DRC Sec CTP HBR Top
Description |
The hedge benefit ratio, or Weighted to Short ratio at the top level of the “DRC Sec CTP Bucket” hierarchy |
Reference |
[MAR22.44] |
Notation |
HBRctp |
Formula |
HBRctp=∑netJtDlong∑netJtDlong+∑|netJtDshort| |
See also