This page lists the key set of SA measures you can use to break down the Aggregated
Capital Requirement by organisational structure and methodology.
Portfolio Risk Charge:[MAR33.43]
Standardised Approach capital charge as if all positions were under SA
(no filtering by desk). Includes SBM, DRC, and RRAO
The components of the Portfolio Risk Charge measure are presented in the
following table:
Name
Description & BCBS 457 Reference
CU (standardised capital charge for unapproved desks)
[MAR33.43] Portfolio risk charge filtered by unapproved desks: The regulatory capital charge associated with risks from model-ineligible (i.e. unapproved) desks (CU) is to be calculated by aggregating all such risks and applying the standardised charge.
[MAR21.7] For each scenario (High, Medium, Low), the bank must determine a scenario-related risk charge at the portfolio level as the simple sum of the risk charges at risk class level for that scenario. The ultimate portfolio level risk capital charge is the largest of the three scenario-related portfolio level risk capital charges.
[MAR22.2] The approach for the standardised default risk capital charge comprises a multi-step procedure.
The first step is to determine JTD loss amounts for each instrument that is subject to default risk.
The second step is to offset the JTD amounts of long and short exposures with respect to the same obligor (where permissible) to produce net long and net short amounts in distinct obligors.
In the third step, the net short exposures are discounted by a hedge benefit ratio.
As a final step, default risk weights are applied to arrive at the capital charge.
In the procedure, offsetting refers to the netting of exposures to the same obligor (where a short exposure may be subtracted in full from a long exposure), while hedging refers to the application of a partial hedge benefit from the short exposures (where the risk of long and short exposures in distinct obligors do not fully offset due to basis or correlation risks).
[MAR23] The residual risk add-on is to be calculated for all instruments bearing residual risk separately and in addition to other components of the capital requirement under the standardised approach for market risk. [MAR23.8] The residual risk add-on is the simple sum of gross notional amounts of the instruments bearing residual risks, multiplied by a risk weight of 1.0% for instruments with an exotic underlying and a risk weight of 0.1% for instruments bearing other residual risks.