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 two limits, both have a limit value of 17M and are scoped on Desk=Bonds. One is scoped on displayCurrency=EUR, and the other on displayCurrency=USD.
After evaluating these limits, we see different KPI statuses for the limit scoped on EUR, and scoped on USD.
