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Documentation Index

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drc_sa
DescriptionThe risk weighted long netJtD
Reference[MAR22.25]
Formula∑i∈LongRWi⋅netJTDi\displaystyle \sum_{i \in Long}RW_i \cdot netJTD_i
The measure applies DRC non-Sec JTD Weightings to DRC non-Sec Net JTD Long.