BASEL REFORMS

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.

Navigating the FRTB Default Risk Charge. This guide breaks down the PRA's framework, from key concepts like JTD and LGD to the specific calculations for securitised and non-securitised products.