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Query Time (Core)

The calculation steps for DRC Sec non-CTP are as follows:

  1. The Gross JTD is either provided directly or calculated from the Notional, PV, and LGD.

  2. The Gross JTD values are scaled according to the exposure’s maturity to calculate the Scaled Gross JTD.

  3. Offsetting is applied to calculate the long and short Net JTD for each tranche.

  4. The long and short Net JTD values are combined to calculate the Hedge Benefit Ratio (HBR).

  5. The risk-weights may be either looked up by rating or provided directly per tranche. These are applied to the Net JTDs to get the long and short Weighted Net JTD.

  6. The long and short Weighted Net JTDs are combined with the HBR to calculate the Default Risk Charge.

In the bookmarks folder “ActiveViam FRTB” -> “Basel Framework” -> “SA DRC” the “SA DRC Sec non-CTP” bookmark contains tabs that walk through these calculation steps and include the measures mentioned here.