To specify a limit’s currency, you can leverage the Business Cube’s Currency slicing hierarchy. For example in FRTB’s StandardisedApproachCube, the currency hierarchy is “displaycurrency”.
A limit’s value can be represented in different currencies, and when the limit gets evaluated, its KPI could yield different statuses depending on the currency. To apply a specific currency to a limit, add the Business cube’s currency slicing hierarchy as a scope in the Limits Drawer.
If a limit does not contain a scope on the Business cube’s Currency hierarchy,
the Business cube’s default currency is applied. For example, FRTB’s default Currency is EUR so all limit values are expressed in EUR.
In this example, we have three limits, all of which have a limit value of 3.5M and are scoped on Desk=Bonds. Two of the three limits are scoped on displayCurrency, displayCurrency=EUR, and displayCurrency=USD.
After evaluating all these limits, we see different KPI statuses for the limit with no currency scope, scoped on EUR, and scoped on USD.
This is the limit definition with no scope specified. FRTB’s default currency is applied:
This is the limit definition scoped on EUR:
This is the limit definition scoped on USD. Notice how with the same limit value, the KPI is a breach:
