The Maturity Factor (MF) is the third component of the Risk Position. Calculated at the trade level, it scales each trade's contribution to the Add-On by its remaining time horizon. The formula depends on whether the netting set is margined or unmargined.

If you have been following my posts, you know that I am deeply immersed in writing about the Basel reforms. You might also have noticed that I use AI extensively in my calculations and code building. Today, I want to share my personal experience of diving into regulatory rules and understanding the underlying design concepts with the help of AI. This has become a normal routine for me—a way to ensure I don’t just memorize formulas, but truly grasp the logic and mechanics of t

The Adjusted Notional is the second component of the Risk Position. Calculated at the trade level, it converts a raw contract notional into a standardised measure of exposure size that is consistent across asset classes. The calculation depends on risk category — unlike the Supervisory Delta, which depends on instrument type.