ACR

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

$ACR_{total}$

is specified in MAR 33.43 as:

$min\left \{ IMA_{GA}+ CapitalSurcharge + C_U; SA_{all\text{ }desk}\right \} + max\left \{ 0;IMA_{G,A}-SA_{G,A} \right \}$

Where:

• Aggregate capital requirement for approved desks and eligible trading desks

  $IMA_{GA} = C_A + DRC$

• 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

  $C_U = SBM + RRAO + DRC_{SA}$

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

  $Capital\ surcharge=k \cdot max\left \{ 0, SA_{G,A}-IMA_{G,A}\right \}$

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:

• IMA-GA

• CU

• Capital Surcharge