Foundational Confidence: 100% ·Mar 10, 2026
Asset Type Treatment
Last Updated: 2026-01-27
Asset Type Treatment
Liquid TradFi (STRB — e.g., JAAA, Money Market ETFs)
| Component |
Treatment |
| Fundamental risk |
Credit risk weight of underlying securities |
| Drawdown risk |
FRTB-style drawdown (see market-risk-frtb.md) |
| Stressed pull-to-par |
Normal pull-to-par × stress modifier (e.g., ~3.5 years for JAAA) |
| Matching |
Can be duration-matched to liability tiers ≥ stressed pull-to-par |
| Capital if matched |
Risk weight only |
| Capital if unmatched |
max(risk weight, FRTB drawdown) |
Overcollateralized Crypto Lending (e.g., Sparklend)
| Component |
Treatment |
| Fundamental risk |
Smart contract risk, oracle risk |
| Drawdown risk |
Gap risk — bad debt from flash crash (see collateralized-lending-risk.md) |
| Pull-to-par |
None (perpetual positions, no maturity) |
| Matching |
Cannot be duration-matched (no pull-to-par) |
| Capital |
max(risk weight, gap risk) |
Overcollateralized TradFi Lending (e.g., Lending Against Tokenized Treasuries)
| Component |
Treatment |
| Fundamental risk |
Credit risk of collateral, counterparty risk |
| Drawdown risk |
Gap risk (lower volatility than crypto; see collateralized-lending-risk.md) |
| Pull-to-par |
Depends on loan structure — if loans mature, there's a duration |
| Matching |
Potentially matchable if loan book has defined duration |
| Capital |
Hybrid — matched portion uses risk weight; unmatched portion uses max(risk weight, gap risk) |