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drc_sa
DescriptionThe short net JTD for securitisations CTP
Variationsnetted, reported
Reference[MAR22.39]
NotationnetJTDshortnetJTD_{short}
FormulanetJTDshort=underlyingmin(scaledGrossJTDundelying,0)\displaystyle netJTD_{short}=\sum_{underlying}\text{min}\left( scaledGrossJTD_{undelying} ,0\right)