Aggregated riskcharge by class

​

Commodity Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

Coverage Ratio

Formula $Portfolio\_Risk\_Charge_IMA/Portfolio\_Risk\_Charge_ALL$

​

CSR non-Sec Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

CSR Sec CTP Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

CSR Sec non-CTP Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

Crypto 2a Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

Equity Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

FX Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

GIRR Risk Charge

Formula $RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$

​

Medium Risk Charge

Formula $\sum_{rc \in risk classes} RiskCharge\_MediumCorr_{rc}$ This measure is a simple sum of risk charges across risk classes / sensitivity types for ‘Medium correlations’ scenario.

​

Portfolio Risk Charge

Formula $\text{Portfolio Risk Charge} = m \times SBM + RRAO + DRC_{sa}$ where $m$ is the sa.sbm-risk-charge.multiplier parameter, 1.0 unless the parameter set overrides it. See SBM Risk Charge (transitional).

​

PortfolioRiskCharge.D2D

​

SA

The SA measure equals the Portfolio Risk Charge measure evaluated independently for the IRT and non-IRT desks. These two values are then summed.

​

SBM Correlation Scenario

This string-valued measure indicates which correlation scenario had the highest Risk Charge and hence was selected for the SBM Risk Charge. It can take values “low”, “medium” and “high”. If the Correlation Scenario hierarchy is used, the scenario can be fixed to High, Low, Medium or reference.

​

SBM Risk Charge

The measure computes the worst of the three correlation scenarios and returns either High Risk Charge, Low Risk Charge or Medium Risk Charge. If the Correlation Scenario hierarchy is used, the scenario can be fixed to High, Low, Medium or reference.

​

SBM Risk Charge (transitional)

This measure equals SBM Risk Charge multiplied by the sa.sbm-risk-charge.multiplier FRTBParameters parameter, resolved for the current AsOfDate and parameter set. The SBM Risk Charge measure itself is unaffected. The multiplier defaults to 1.0 (no-op). The EU-DA parameter set sets it to 0.9. Portfolio Risk Charge and SA are built from the multiplied value. A parameter set that overrides the multiplier therefore sees the reduction in its capital requirement.

​

SBM Risk Charge (reference scenario)

This measure is similar to SBM Risk Charge. However, the correlation scenario (low/medium/high) is selected at the reference level.