Bank-wide capital requirement calculated under the standardised approach for market risk.

Sensitivities from the bank's trading and risk systems and position data from across the bank were processed in one central aggregation. It covered all three components of the standardised approach for market risk: the sensitivities-based method, the default risk capital requirement and the residual risk add-on.

The bank's trading and risk systems supplied the required sensitivities, while the position data came from the relevant trading and position areas. These inputs had to be consolidated across the bank for the central calculation.

For the sensitivities-based method, the central aggregation logic assigned the incoming risk positions to the prescribed risk factors, seven risk classes and buckets, then applied the regulatory risk weights and correlation parameters. Using the relevant position data, it also calculated the default risk capital requirement and the residual risk add-on.

The three components were summed to produce the capital requirement under the standardised approach for market risk. The overall calculation was put into operational use.

From bank-wide risk data to the capital requirement under the standardised approach for market risk

The first step shows the trading and position areas from which system-calculated sensitivities and position data enter the central calculation. In the second step, the calculation logic assigns and aggregates these inputs across the three components of the standardised approach for market risk and sums them to produce the capital requirement.

Bank-wide risk data

Under the standardised approach for market risk, a risk position is assigned according to an instrument's risk factor, not its organisational source. Sensitivities from multiple trading and position areas can therefore enter the same risk class. For the calculation, they are consolidated by risk factor, risk class and bucket.

Sensitivities by trading and position area and risk class

Trading and position areaGIRRGeneral interest rate riskCSR non-securitisationsCredit spread risk: non-securitisationsCSR securitisations (non-CTP)Credit spread risk: securitisations (non-CTP)CSR securitisations (CTP)Credit spread risk: securitisations (CTP)EquityEquity riskCommodityCommodity riskFXForeign exchange risk
Rates and money markets
Credit trading
Securitised products
Equity trading
Commodity trading
Foreign exchange trading
Cross-asset and structured products
Show all seven risk classes
GIRRGeneral interest rate risk
  • Rates and money marketsTypically provides sensitivities for this risk class
  • Credit tradingAdditional sensitivities depending on instrument or currency
  • Securitised productsAdditional sensitivities depending on instrument or currency
  • Equity tradingAdditional sensitivities depending on instrument or currency
  • Commodity tradingAdditional sensitivities depending on instrument or currency
  • Foreign exchange tradingAdditional sensitivities depending on instrument or currency
  • Cross-asset and structured productsAdditional sensitivities depending on instrument or currency
CSR non-securitisationsCredit spread risk: non-securitisations
  • Credit tradingTypically provides sensitivities for this risk class
  • Cross-asset and structured productsAdditional sensitivities depending on instrument or currency
CSR securitisations (non-CTP)Credit spread risk: securitisations (non-CTP)
  • Securitised productsTypically provides sensitivities for this risk class
  • Cross-asset and structured productsAdditional sensitivities depending on instrument or currency
CSR securitisations (CTP)Credit spread risk: securitisations (CTP)
  • Securitised productsAdditional sensitivities depending on instrument or currency
  • Cross-asset and structured productsAdditional sensitivities depending on instrument or currency
EquityEquity risk
  • Equity tradingTypically provides sensitivities for this risk class
  • Cross-asset and structured productsAdditional sensitivities depending on instrument or currency
CommodityCommodity risk
  • Commodity tradingTypically provides sensitivities for this risk class
  • Cross-asset and structured productsAdditional sensitivities depending on instrument or currency
FXForeign exchange risk
  • Rates and money marketsAdditional sensitivities depending on instrument or currency
  • Credit tradingAdditional sensitivities depending on instrument or currency
  • Securitised productsAdditional sensitivities depending on instrument or currency
  • Equity tradingAdditional sensitivities depending on instrument or currency
  • Commodity tradingAdditional sensitivities depending on instrument or currency
  • Foreign exchange tradingTypically provides sensitivities for this risk class
  • Cross-asset and structured productsAdditional sensitivities depending on instrument or currency
Typically provides sensitivities for this risk classAdditional sensitivities depending on instrument or currency

Illustrative, non-exhaustive mapping. Actual assignment to risk classes depends on positions, instruments and reporting currency. An empty cell does not exclude an exposure.

Project profile
Project context
Before Nuitio
FRTBBasel IIIMarket riskSensitivities-based methodRegulatory capital
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