Residual Risk Add On
Formula
where RRAO Notional Exotic and RRAO Notional Other are the gross notionals for trades with an exotic underlying and for trades bearing other residual risk, respectively. This formula holds when the RRAO Zero Risk Weight flag is not set for the position.
With the
frtb.eu-da.rrao-zero-risk-weight.enabled property on, a position flagged Y in the RRAO Zero Risk Weight hierarchy takes a risk weight of 0 in the hidden RRAO Weighted Notional measure, so its charge is 0. For the contribution of such a position to each RRAO measure, see EU-DA support.
Trades bearing residual risk can be filtered using hierarchy Risk Classes value “RRAO”.
Please note, that this measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under SA. Applying a filter on FRTB Model equal to “SA” is recommended to limit the scope to positions officially under the “SA” approach.
RRAO Notional
RRAO Notional shows the gross notional for trades bearing residual risk where the RRAO flag is RRAO=Y.
Exempt trades (RRAO=N) are excluded.
Not affected by the RRAO Zero Risk Weight flag.
RRAO Notional Exotic
RRAO Notional Exotic is RRAO Notional (already filtered to RRAO=Y) restricted to trades with an exotic underlying, flagged ExoticUnderlying = Y in the RRAO Trade file.
Not affected by the RRAO Zero Risk Weight flag.
RRAO Notional Other
RRAO Notional Other is RRAO Notional (already filtered to RRAO=Y) restricted to trades bearing other residual risk, flagged ExoticUnderlying = N in the RRAO Trade file.
Not affected by the RRAO Zero Risk Weight flag.
RRAO Exotic
RRAO Exotic filters RRAO Notional to trades with an exotic underlying and applies the 1% RRAO risk weight.
RRAO Exotic is 0 for a position flagged Y in the RRAO Zero Risk Weight hierarchy.
RRAO Other
RRAO Other filters RRAO Notional to trades bearing other residual risk and applies the 0.1% RRAO risk weight.
RRAO Other is 0 for a position flagged Y in the RRAO Zero Risk Weight hierarchy.
RRAO Notional (All Trades)
RRAO Notional (All Trades) shows the gross notional for all trades bearing residual risk,
regardless of the RRAO flag (RRAO=Y or RRAO=N).
Unlike RRAO Notional, this measure includes exempt trades (RRAO=N),
enabling analysis of notional per exemption reason.
Not affected by the RRAO Zero Risk Weight flag.