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drc_sa
DescriptionThe short net JTD for non-securitisations
Variationsnetted, reported
Reference[MAR22.19]
Formula∑i∈ShortnetJTDi\displaystyle \sum_{i \in Short}netJTD_i
For each obligor, represented by DRC Obligor for seniorities S1 > S2 > S3 > … > Sn, for example, Senior > Junior > Equity, represented by DRC Seniority let SumSi be the aggregated DRC non-Sec Scaled Gross JTD over the Si seniority (for the obligor), then: DRC non-Sec Net JTD Short = min(min(min( … (min(SumSn, 0) … ) + SumS3, 0) + SumS2, 0) + SumS1, 0)