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Documentation Index

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drc_sa
DescriptionThe maturity weighted Gross JTD for securitisations CTP
Reference[MAR22.39]
NotationscaledGrossJTDscaledGrossJTD
FormulascaledGrossJTD=∑maturityGrossJTDmaturity⋅maturityScale(maturity)\displaystyle scaledGrossJTD=\sum_{maturity}{GrossJTD_{maturity}\cdot maturityScale(maturity)}