Under the FRTB Standardised Approach, the intra-bucket capital charge is the highest output from three prescribed correlation scenarios: Low, Medium, and High. This interactive guide isolates this calculation to demonstrate how the relationship between your positions—specifically whether they have the same or different signs—determines which scenario becomes the most punitive.

This guide breaks down the FRTB ASA Default Risk Charge for non-securitisations into clear steps with regulatory references. See worked examples for equity, senior debt (75% LGD), and non-senior debt (100% LGD) to understand the process and LGD sensitivity.

How a position's maturity directly impacts its capital treatment is a key rule in the FRTB Default Risk Charge (DRC) framework. To isolate this effect, we compare two portfolios where the only difference is the maturity of the long and short positions.