FRTB Market Risk Engine
Standardised Approach and Internal Models Approach capital charges for the trading book
Total Market Risk Capital
£6.52B
IMA-Eligible Desks
4 / 5
Red-Zone Backtests
1
P&L Attribution Pass Rate
91%
| Risk Class | Approach | Desk | Capital Charge | Backtest Zone |
|---|---|---|---|---|
| GIRR (Interest Rate) | IMA | Rates | £1.84B | Green Zone |
| CSR Non-Securitisation | IMA | Credit | £1.12B | Green Zone |
| Equity Risk | SA | Equities | £0.94B | N/A |
| FX Risk | IMA | FX | £0.68B | Red Zone |
| Commodity Risk | SA | Commodities | £0.41B | N/A |
| Default Risk Charge | IMA | Credit | £1.53B | Yellow Zone |
About This Agent
Data on This Page
Capital charges by FRTB risk class (GIRR, CSR, equity, FX, commodity, default risk), the approach used per desk (SA or IMA), and each IMA desk's backtesting traffic-light zone. Stat tiles summarize total market risk capital (£6.52B), IMA-eligible desk count, red-zone backtests, and the P&L attribution pass rate.
What This Agent Does
Runs the FRTB sensitivities-based method for Standardised Approach desks and full risk-factor revaluation for Internal Models Approach desks, tracks the daily VaR backtesting exceptions that move a desk between green/yellow/red zones, and monitors P&L attribution tests that determine ongoing IMA eligibility.
Worked Examples
- FX Risk IMA capital sits in the red zone after 5 backtesting exceptions in the last 250 days, triggering a capital multiplier step-up on the next recalculation.
- Default Risk Charge moved to yellow zone following a downgrade in a high-yield credit position held by the Credit desk.
- Equity Risk remains on the Standardised Approach (£0.94B) pending model approval; migration to IMA is targeted for next quarter.