29. Worked Examples

Reverse repo on domestic sovereign debt with 80 SAR cash paid and 90 SAR collateral received e f Collateral used in securities financing transactions (SFTs) Fair value of collateral received Fair value of posted collateral Cash - domestic currency 80 Cash - other currencies 50 Domestic sovereign debt 90 Other sovereign debt 55 - Total 140 135 Template MR2 - illustration 29.4 The paragraphs below describe the relevant provisions for components of IMA capital requirement calculations. 29.4.1 The aggregate capital requirement for approved and eligible trading desks (TDs) (IMA G,A ) according to SMAR13.43 is defined as: C A + DRC + Capital surcharge. 29.4.2 According to SMAR13.41 C A is defined as: 29.4.3 According to SMAR13.22 DRC is defined as the greater of: (1) the average of the DRC requirement model measures over the previous 12 weeks; or (2) the most recent DRC requirement model measure. 29.4.4 According to SMAR13.45 Capital surcharge: is calculated as the difference between the aggregated standardised capital charges (SA G,A ) and the aggregated internal models-based capital charges (IMA G,A = C A + DRC) multiplied by a factor k. k and SAG,A are only recent while IMA G,A is average or recent -> Surcharge is average or recent. Example: illustration of the correct specification for row 12 in template MR2 29.5 Applying the formulae set out in SMAR13.22 , SMAR13.41 , SMAR13.43 , and SMAR13.45 (marked in blue below), the relevant components for CA [either most recent (8+9) or average 1.5*8 +9] and DRC should take the respectively greater value of the “most recent” and “average” (marked in red). This results in the green and amber trading desks total capital requirements (including capital surcharge) of 485. a b Template MR2 Most recent Average 8 IMCC 100 130 *1.5 9 SES 130 100 (CA = max [IMCCt-1+SESt-1; mc*IMCCavg+SESavg] (230) (295) 10 DRC 100 90 11 Capital surcharge for amber TD 90 12 Capital requirements for green and amber TDs (including capital surcharge) max[a=(8+9); b=(multiplier*8+9)]+max[a=10; b=10]+ 11 485 13 SA Capital requirements for TD ineligible to use IMA C U 20