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Miscellaneous Parameters
The FRTBParameters file is loaded into the FRTBParameters store.
| Parameter |
Parameter Name |
BCBS Value |
CRR2 Value |
| Default maturity scaling when no maturity is provided |
sa.drc.maturity.default |
0.25 |
|
| Floor for maturity scaling |
sa.drc.maturity.min |
0.25 |
|
| Ceiling for maturity scaling |
sa.drc.maturity.max |
1 |
|
| Add adjustments to Gross JTD |
sa.drc.adjustment.apply |
false |
true |
| Use zero risk weight for some exposures |
sa.drc.use-zero-risk-weight |
false |
true |
| Only apply the maturity scaling floor when an exposure is offset |
sa.drc.no-maturity-floor-when-offsetting |
false |
true |