Minimum Capital Requirements for Market Risk

For the purposes of market risk capital calculations, a trading desk is a group of traders or trading accounts that implements a well-defined business strategy operating within a clear risk management structure. 4.5 Trading desks are defined by the bank but subject to SAMA approval for capital purposes. (1) A bank is allowed to propose the trading desk structure per their organisational structure, consistent with the requirements set out in [4.7]. (2) A bank must prepare a policy document for each trading desk it defines, documenting how the bank satisfies the key elements in [4.7]. (3) SAMA will treat the definition of the trading desk as part of the initial model approval for the trading desk, as well as ongoing approval: (a) SAMA will determine, based on the size of the bank’s overall trading operations, whether the proposed trading desk definitions are sufficiently granular. (b) SAMA will check that the bank’s proposed definition of trading desk meets the criteria listed in key elements set out in [4.7]. 4.6 Within SAMA approved trading desk structure, banks may further define operational subdesks without the need for SAMA approval. These subdesks would be for internal operational purposes only and would not be used in the market risk capital framework.