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DRC Sec CTP Default Risk Charge Aggregated
| Description |
The total capital charge for default risk securitisations CTP as if all positions were under SA, without the floor to zero |
| Reference |
[MAR22.45] |
| Notation |
$DRC_{agg}$ |
| Formula |
$$DRC_{agg}=\sum_{b}\text{max}\left( DRC_b,0 \right)+0.5\cdot \text{min}\left(DRC_b,0 \right)$$ |
See also