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drc_sa
DescriptionThe long net JTD for securitisations CTP
Variationsnetted, reported
Reference[MAR22.39]
NotationnetJTDlongnetJTD_{long}
FormulanetJTDlong=underlyingmax(scaledGrossJTDundelying,0)\displaystyle netJTD_{long}=\sum_{underlying}\text{max}\left( scaledGrossJTD_{undelying} ,0\right)