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Documentation Index

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drc_sa
DescriptionThe total capital charge for default risk securitisations CTP as if all positions were under SA
Variationsincremental, pro_rata, euler, netted, reported
Reference[MAR22.45]
NotationDRCctpDRC_{ctp}
FormulaDRCctp=max(0,DRCagg)=max(0,∑bmax(DRCb,0)+0.5⋅min(DRCb,0))\displaystyle DRC_{ctp}=\text{max}(0, DRC_{agg})=\text{max}\left(0, \sum_{b}\text{max}\left( DRC_b,0 \right)+0.5\cdot \text{min}\left(DRC_b,0 \right) \right)