BASEL REFORMS

This document provides a detailed walkthrough of the DRC calculation specifically for securitisation positions not included in the ACTP (Alternative Correlation Trading Portfolio), focusing on the methodology outlined in the PRA regulations (Subsection 2, Articles 325z and 325aa).

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.