FRTBCombined

The FRTBCombined cube is a combination of all cubes and inherits all measures defined in all cubes. The ACR measures defined here require the SA, IMA, and IMA-DRC cubes to all be enabled. The FRTBCombined cube defines the ACR measures, which span across approaches. In order to compute the ACR calculations, the SA, IMA and IMA-DRC cubes must all be enabled.

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Per-application technical measures

Since this cube distributes over five separate underlying applications (SA, IMA, IMADRC, PL, StressCalibration), the native Count and Timestamp measures are additionally exposed once per contributing application, suffixed with the application ID: contributors.COUNT.SAApplication, contributors.COUNT.IMAApplication, contributors.COUNT.IMADRCApplication, contributors.COUNT.PLApplication, contributors.COUNT.StressCalibrationApplication (and the equivalent update.TIMESTAMP.*Application variants). Each shows the fact count / latest update timestamp contributed by that specific application only.

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Measures by cube

• ACR - ACR (Aggregated Capital Requirement) formula components in the SA/IMA combined cube, covering CA-GA, IMA-GA, and RWA measures, plus the Lookback group used to average IMA metrics over a rolling window.
• StandardisedApproach - Native technical measures shared across the StandardisedApproach cube: Count, Notional/Notional (Original Currency)/Notional DRC variants, PV/PV DRC/PV.CCY, and Timestamp, used as building blocks by the SA risk-charge and DRC calculations.
  • Aggregated riskcharge by class - Per-risk-class SBM risk charge measures (Commodity, CSR, Equity, FX, GIRR, Crypto 2a) and the Portfolio, SA, and SBM Risk Charge aggregation measures that sum them under Basel MAR21.
  • Commodity - Commodity delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel MAR21.
  • Crypto 2a - Crypto 2a delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel SCO60.
  • Crypto 2b - Crypto 2b exposure tracking measures (long, short, and max exposure) for Cryptoassets Group 2b, which contributes to credit risk RWA and is out of scope for FRTB market risk RWA.
  • CSR non-Sec - CSR non-Sec delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel MAR21.
  • CSR Sec CTP - CSR Sec CTP delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel MAR21.
  • CSR Sec non-CTP - CSR Sec non-CTP delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel MAR21.
  • DRC - Default Risk Charge (DRC) measures for non-securitizations, securitizations CTP, and securitizations non-CTP, covering gross JTD, net JTD, risk weightings, and hedge benefit ratios under Basel MAR22.
  • Equity - Equity delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel MAR21.
  • FX - FX delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel MAR21.
  • GIRR - GIRR delta, vega, and curvature risk measures in the SA Cube’s sensitivities-based method, covering risk weights, weighted sensitivities, risk positions, and risk charges under Basel MAR21.
  • RRAO - Residual Risk Add-On (RRAO) capital charge measure and its supporting gross notional measures (RRAO Notional, Exotic, Other, and All Trades) under Basel MAR23.8.
• InternalModelApproach - Internal Model Approach ES, IMCC, and SES measures with their MAR33 formulas, required hierarchies, and variations, plus supporting technical PnL vector and LH measures used across the IMA calculation chain.
• StressCalibration - Stress-period calibration measures for the IMA, covering ES (Basic/Liquidity Adj./Capital/Capital Constrained/Unconstrained), IMCC, SES, and Omega under MAR33, used to identify the most severe 1-year stress window since 2007.
• IMADRC - IMA Default Risk Charge (DRC) cube measures covering DRC - IMA, DRC PnL Expand, and DRC Scenario Rank, used for simulated PL vector inputs and scenario-based VaR calculations under Basel MAR33.18.
• PL - PL Attribution and Backtesting measures under MAR32, covering PL sums (Actual, Hypothetical, Theoretical), Spearman/Kolmogorov-Smirnov correlation tests, and VaR/ES exceptions and outliers used to validate the IMA model.
• Measure variations - Reference for measure variations available in Atoti FRTB, including Euler, High-Low, Incremental, Long-Short, Netted, Pro Rata, Rank, Reported, and Spot.