This page lists the key set of IMA measures you can use to break down the Aggregated
Capital Requirement by organisational structure and methodology.
IMA-GA:[MAR33.45]
The aggregated internal models-based capital charges (IMA G,A = CA +
DRC) for IMA desks (ie. those that have passed backtesting) in the
PLA test green or amber zones.
The components of the IMA-G measure are presented in the following
table:
[MAR33.41]The aggregate (non-DRC) capital requirement for the approved desks (Green and Amber PLA Zones as per [MAR32.43] to [MAR32.45])Each bank must meet, on a daily basis, a capital requirement CA expressed as the maximum of:
The most recent observation
Weighted average of the previous 60 days scaled by a multiplier
It is calculated as follows where SES is the aggregate regulatory capital measure for the risk factors in model-eligible trading desks that are non-modellable: $$C_A=max\left { IMCC_{t-1} + SES_{t-1}; m_c \cdot IMCC_{avg}+SES_{avg} \right}$$
Spot version CA-GA
IMCC + SES filtered by approved desks and ignoring the historical values of IMCC and SES.
IMADRC(IMA Default Risk Charge) filtered by approved desks
[MAR33.18]The default risk charge under IMA approach for positions approved for IMA
CU(standardised capital charge for 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.
PLA (Profit & Loss Attribution) tests
[MAR32]To determine a trading desk’s eligibility to use the IMA approach, a bank must conduct and successfully pass backtesting at the bank-wide level and both the backtesting and profit and loss (P&L) attribution (PLA) test at the trading desk level as identified in [MAR30.4](2)These tests are run monthly and reported prior to the end of the following month.
Backtesting
[MAR32.4]Backtesting requirements compare the value-at-risk (VaR) measure calibrated to a one-day holding period against each of the actual P&L (APL) and hypothetical P&L (HPL) over the prior 12 months. If any given desk experiences either more than 12 exceptions at the 99th percentile or 30 exceptions at the 97.5th percentile in the most recent 12-month period, all of its positions must be capitalised using the standardised approach and remain so until the desk no longer exceeds the above thresholds over the prior 12 months.
Exception 97.5 Count: Number of exceptions at the 97.5% confidence level
Exception 99 Count : Number of exceptions at the 99% confidence level
Exception 97.5 Dates: The dates of the exceptions at the 97.5% confidence level
Exception 99 Dates : The dates of the exceptions at the 99% confidence level