BASEL REFORMS

Security Addon calculation is the single biggest modification for SFT trades. This article walks the reader through E Net, E Gross and N (Significant Groups) step b ystep calculations.

This introductory chapter establishes the foundational concepts required to understand SFT capital calculations. In this chapter we show how net exposure calculation differs for standard, MPC (correlated) and concentrated collateral.

The Fundamental Review of the Trading Book (FRTB) Standardised Approach introduces a risk-sensitive framework for measuring market risk. A key feature of this methodology is that it accounts for the specific volatility characteristics of different asset classes. This report provides a comparative analysis of the Weighted Sensitivities—the primary driver of capital charges—for three distinct instruments: a Short-Term Bond, a Long-Term Bond, and an Equity Position.