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drc_sa
DescriptionThe capital charge for default risk securitisations CTP at the bucket level
Reference[MAR22.44]
NotationDRCbDRC_b
FormulaDRCb=RWnetJTDlong,b+HBRCTP⋅RWnetJTDshort,b\displaystyle DRC_b=RWnetJTD_{long,b} + HBR_{CTP}\cdot RWnetJTD_{short,b}