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ACR

Aggregate capital requirement (ACR) for market risk is the overarching capital measure combining the results of SA and IMA calculations.

ACRtotal

is specified in MAR 33.43 as:

min{IMAGA+CapitalSurcharge+CU;SAall desk}+max{0;IMAG,ASAG,A}

Where:

  • Aggregate capital requirement for approved desks and eligible trading desks

    IMAGA=CA+DRC

  • Standardised approach capital requirement for trading desks that are either out-of-scope for model approval or that have been deemed ineligible to use the internal models approach

    CU=SBM+RRAO+DRCSA

  • If at least one eligible trading desk is in the PLA test amber zone, a capital surcharge is added

    Capital surcharge=kmax{0,SAG,AIMAG,A}

These calculations are implemented as measures in the Solution and can be analyzed in parallel in a consistent combined view. Full reconciliation is possible, as every step of the calculation is represented by a measure that can be visualised in a pivot table (or tabular view) of the cube.

ACR Spot (Spot version of ACR)

ACR ignoring the historical averages.

For details of the measures, see the following: