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drc_sa
DescriptionThe instrument’s gross JTD
Reference[MAR22.11]
FormulaJtD(long)=max(LGD⋅notional+PL,0)JtD(short)=min(LGD⋅notional+PL,0)\displaystyle JtD (long) = max(LGD \cdot notional + PL, 0) \\ JtD (short) = min(LGD \cdot notional + PL, 0)