DRC

Each subsection below covers the JTD, weighting, and hedge benefit ratio measures for the corresponding DRC sub-class. Jump to the relevant section:

• DRC non-Sec
• DRC Sec CTP
• DRC Sec non-CTP

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Default Risk Charge

Default Risk Charge = DRC non-Sec Default Risk Charge + DRC Sec non-CTP Default Risk Charge + DRC Sec CTP Default Risk Charge This measure disregards the actual capital treatment of individual positions. It computes charges as if all positions are under SA. Apply a filter on FRTB Model equal to “SA” to limit the scope to positions officially under the “SA” approach.

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DRC Adjustment

This measure provides the adjustments added to the Gross JTD.

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Maturity Scaling Factor

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PV.CCY DRC

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PV.CCY.FX Internal DRC

Used internally by the DRC non-Sec, DRC Sec non-CTP, and DRC Sec CTP Gross JTD calculations, and by CRIF extraction.

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DRC non-Sec

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DRC non-Sec Default Risk Charge

Formula $DRC = \sum_{b \in \text{Buckets}} DRC_b$ $DRC_b = \max\left[\left(\sum_{i \in \text{Long}} RW_i \cdot netJtD_i\right) - HBR \cdot \left(\sum_{i \in \text{Short}} RW_i \cdot \|netJtD_i\|\right); 0\right]$

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DRC non-Sec Gross JTD

Formula $JtD (long) = max(LGD \cdot notional + PL, 0)$ $JtD (short) = min(LGD \cdot notional + PL, 0)$

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DRC non-Sec JTD Weightings

When the weighted-average zero-risk-weight interpretation is configured, a Gross JTD-weighted average risk weight is used instead — see the DRC non-Sec zero risk-weight interpretation note.

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DRC non-Sec JTD Weightings Provided

Where an override is supplied, it is applied by DRC non-Sec JTD Weightings Override.

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DRC non-Sec JTD Weightings Override

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DRC non-Sec LGD

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DRC non-Sec Net JTD Long

Formula $\sum_{i \in Long}netJTD_i$ For each obligor, represented by DRC Obligor for seniorities S1 > S2 > S3 > … > Sn, for example, Senior > Junior > Equity, represented by DRC Seniority let SumSi be the aggregated DRC non-Sec Scaled Gross JTD over the Si seniority (for the obligor), then: DRC non-Sec Net JTD Long = max( … (max(max(max(SumS1, 0) + SumS2, 0) + SumS3, 0) … ) + SumSn, 0)

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DRC non-Sec Net JTD Short

Formula $\sum_{i \in Short}netJTD_i$ For each obligor, represented by DRC Obligor for seniorities S1 > S2 > S3 > … > Sn, for example, Senior > Junior > Equity, represented by DRC Seniority let SumSi be the aggregated DRC non-Sec Scaled Gross JTD over the Si seniority (for the obligor), then: DRC non-Sec Net JTD Short = min(min(min( … (min(SumSn, 0) … ) + SumS3, 0) + SumS2, 0) + SumS1, 0)

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DRC non-Sec Scaled Gross JTD

The measure can be described as: DRC non-Sec Scaled Gross JTD = Maturity Scaling Factor x DRC non-Sec Gross JTD.

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DRC non-Sec Weighted Net JTD Long

Formula $\sum_{i \in Long}RW_i \cdot netJTD_i$ The measure applies DRC non-Sec JTD Weightings to DRC non-Sec Net JTD Long.

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DRC non-Sec Weighted Net JTD Short

Formula $\sum_{i \in Short} RW_i \cdot netJtD_{i}$ The measure applies DRC non-Sec JTD Weightings to DRC non-Sec Net JTD Short.

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DRC non-Sec WtS Ratio

Formula $HBR = \frac{\sum netJtD_{long}}{\sum netJtD_{long} + \sum \|netJtD_{short}\|}$

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DRC Sec CTP

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DRC Sec CTP Default Risk Charge

Formula $DRC_{ctp}=\text{max}(0, DRC_{agg})=\text{max}\left(0, \sum_{b}\text{max}\left( DRC_b,0 \right)+0.5\cdot \text{min}\left(DRC_b,0 \right) \right)$

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DRC Sec CTP Default Risk Charge Aggregated

Formula $DRC_{agg}=\sum_{b}\text{max}\left( DRC_b,0 \right)+0.5\cdot \text{min}\left(DRC_b,0 \right)$

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DRC Sec CTP Gross JTD

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DRC Sec CTP HBR

Formula $HBR = \frac{\sum netJtD_{long}}{\sum netJtD_{long} + \sum \|netJtD_{short}\|}$

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DRC Sec CTP HBR Top

Formula $HBR_{ctp} = \frac{\sum netJtD_{long}}{\sum netJtD_{long} + \sum \|netJtD_{short}\|}$

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DRC Sec CTP JTD Weightings

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DRC Sec CTP JTD Weightings Provided

This measure feeds DRC Sec CTP JTD Weightings directly; unlike DRC non-Sec and DRC Sec non-CTP, DRC Sec CTP has no separate override layer.

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DRC Sec CTP Net JTD Long

Formula $netJTD_{long}=\sum_{underlying}\text{max}\left( scaledGrossJTD_{undelying} ,0\right)$

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DRC Sec CTP Net JTD Short

Formula $netJTD_{short}=\sum_{underlying}\text{min}\left( scaledGrossJTD_{undelying} ,0\right)$

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DRC Sec CTP Scaled Gross JTD

Formula $scaledGrossJTD=\sum_{maturity}{GrossJTD_{maturity}\cdot maturityScale(maturity)}$

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DRC Sec CTP Weighted Net JTD Long

Formula $RWnetJTD_{long,i}=RW_i \cdot netJTD_{long,i}$

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DRC Sec CTP Weighted Net JTD Short

Formula $RWnetJTD_{short,i}=RW_i \cdot netJTD_{short,i}$

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DRC Sec CTP WtS Ratio (netted) / (reported)

Unlike DRC non-Sec and DRC Sec non-CTP, this risk class has no plain/unsuffixed base measure — only the (netted) and (reported) variants exist. The base measure for DRC Sec CTP is DRC Sec CTP HBR. Formula $HBR_{CTP} = \frac{\sum netJtD_{long}}{\sum netJtD_{long} + \sum \|netJtD_{short}\|}$

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DRC Sec non-CTP

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DRC Sec non-CTP Default Risk Charge

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DRC Sec non-CTP Gross JTD

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DRC Sec non-CTP JTD Weightings

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DRC Sec non-CTP JTD Weightings Provided

Where an override is supplied, it is applied by DRC Sec non-CTP JTD Weightings Override.

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DRC Sec non-CTP JTD Weightings Override

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DRC Sec non-CTP Net JTD Long

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DRC Sec non-CTP Net JTD Short

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DRC Sec non-CTP Scaled Gross JTD

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DRC Sec non-CTP Weighted Net JTD Long

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DRC Sec non-CTP Weighted Net JTD Short

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DRC Sec non-CTP WtS Ratio

Formula $HBR = \frac{\sum netJtD_{long}}{\sum netJtD_{long} + \sum \|netJtD_{short}\|}$