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Aggregate capital requirement (ACR) for market risk is the overarching capital measure combining the results of SA and IMA calculations. ACRtotalACR_{total} is specified in MAR 33.43 as: min{IMAGA+CapitalSurcharge+CU; SAall desk}+max{0; IMAG,A−SAG,A}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 IMAGA=CA+DRCIMA_{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 CU=SBM+RRAO+DRCSAC_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⋅max{0, SAG,A−IMAG,A}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.

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ACR Spot (Spot version of ACR)

ACR ignoring the historical averages. For details of the measures, see the following: