| Description | The capital charge for default risk securitisations CTP at the bucket level |
| Reference | [MAR22.44] |
| Notation | DRCb |
| Formula | DRCb=RWnetJTDlong,b+HBRCTP⋅RWnetJTDshort,b |
Documentation Index
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| Description | The capital charge for default risk securitisations CTP at the bucket level |
| Reference | [MAR22.44] |
| Notation | DRCb |
| Formula | DRCb=RWnetJTDlong,b+HBRCTP⋅RWnetJTDshort,b |
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