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These measures combine charges from the Standardised Approach, Internal Model Approach, and IMA Default Risk Charge into the overall capital requirement.

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ACR

Formula ACRtotal=min{IMAGA+CapitalSurcharge+CU;SAall desk}+max{0;IMAG,A−SAG,A}ACR_{total}=min\left \{ IMA_{GA}+ CapitalSurcharge + C_U; SA_{all\text{ }desk}\right \} + max\left \{ 0;IMA_{G,A}-SA_{G,A} \right \}

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ACR IRT

ACR IRT is equal to ACR filtered to books flagged as IRT desks (see IRT Desk Groups).

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ACR non-IRT

ACR non-IRT is equal to ACR filtered to books not flagged as IRT desks (books with no IRT flag are treated as non-IRT). ACR is the sum of ACR IRT and ACR non-IRT.

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CA-GA

Formula CA=max{IMCCt−1+SESt−1;mc⋅IMCCavg+SESavg}C_A=max\left \{ IMCC_{t-1} + SES_{t-1}; m_c \cdot IMCC_{avg}+SES_{avg} \right \}

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Capital Surcharge

Formula Capital surcharge=k⋅max{0,SAG,A−IMAG,A}Capital\ surcharge=k \cdot max\left \{ 0, SA_{G,A}-IMA_{G,A}\right \}

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CU

The CU measure is equal to the SA measure filtered by the hierarchy FRTB Model equal to ‘SA’.

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IMA-GA

Formula IMAGA=CA+DRCIMA_{GA}= C_A + DRC

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IMADRC

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RWA

Formula RWA=ACR∗12.5RWA = ACR * 12.5 The RWA is 12.5 x the capital requirement.
The multiplier 12.5 is not configurable.

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SA-GA

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Lookback

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ES (Model Variation) avg

The measure takes the average of the past ES (Model Variation) values. This measure helps monitor the average ratio of the ES (Liquidity Adj.) measures for the reduced and full sets of risk factors (over the current data set). As per MAR33.5 (2) (b), this ratio should average over 75% for the last 12 weeks. As a result, this measure should be at least 75%. By default the average is taken over the last 60 days. The Lookback period (60) can be changed by using the context value CA-Lookback.

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ES (Model Variation) Lookback

The measure helps to validate ES (Model Variation) avg calculation and inspect actual contributors to spot potential data quality issues, such as spikes or missing values. The ES (Model Variation) measure is the ratio of the ES (Liquidity Adj.) measures for the reduced and full sets of risk factors (over the current data set), that is ESR,C/ESF,CES_{R,C} / ES_{F,C}. As per MAR33.5 (2) (b), this ratio should average over 75% for the last 12 weeks. Note: the lookback horizon, for instance 60 days, can be changed to a shorter or longer observation window using CA-Lookback context value.

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IMADRC Lookback

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IMADRCavg

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IMCC Lookback

The measure helps to validate IMCCavg calculation and inspect actual contributors to spot potential data quality issues, such as spikes or missing values.
You can change the lookback horizon (for instance 60 days) to a shorter or longer observation window using the CA-Lookback context value.

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IMCCavg

The measure takes the average of the past IMCC values. By default, the measure averages over the last 60 days. You can change the Lookback period - 60 - by using the context value CA-Lookback.

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SES Lookback

The measure helps to validate SESavg calculation and inspect actual contributors to spot potential data quality issues, such as spikes or missing values.
The lookback horizon, for instance 60 days, can be changed to a shorter or longer observation window using the CA-Lookback context value.

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SESavg

The measure takes the average of the past SES values. By default the average is taken over the last 60 days. The Lookback period (60 days) can be changed by using the context value CA-Lookback.