The FRTBParameters file is loaded into the FRTBParameters store.Documentation Index
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| 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 |