FI-Sim — VaR & Risk Utilisation Dashboard

Aggregate VaR (99%, 1d)

$142M

Limit $180M · Utilisation 79%

SVaR (99%, 1d)

$198M

Limit $250M · Utilisation 79%

FRTB ES (97.5%, 10d)

$2.13B

Limit $3.0B · Utilisation 71%

Total Market Risk Capital

$8.4B

IMA $7.8B + SA $0.6B

FRTB-IMA Capital

$3.95B

ES $2.78B + DRC $0.91B + RRAO $0.26B

VaR Breaches YTD

Regulatory threshold: 4 · GREEN zone

01 VaR by Method & Distribution

02 FRTB-IMA Expected Shortfall

ES (97.5%, 1-day)

$672M

Base unscaled

ES (97.5%, 10-day)

$2,126M

Liquidity-adjusted

Multiplier

1.5x

Base — no penalty

DRC

$910M

Default Risk Charge

RRAO

$256M

Residual Risk Add-On

Total FRTB-IMA Capital

$3,950M

ES + DRC + RRAO

ES decomposition: Scaled ES = 1.5 × max(ES_t, k × ES_avg) where k = 1.0 (no PLAT penalty). Liquidity horizons: 10d (rates, FX), 20d (credit spread), 40d (equity), 60d (commodities), 120d (correlation). DRC covers jump-to-default for rated credit positions. RRAO captures exotic residual risks at 0.1% gross notional.

03 Parallel Run Comparison — Basel 2.5 vs FRTB-IMA

Framework	Component	Capital ($M)	% of Total

Key finding: FRTB-IMA capital is 91.6% lower than Basel 2.5, driven by the elimination of the 3× SVaR multiplier which accounts for 96.1% of Basel 2.5 capital. The ES framework with liquidity horizons provides more risk-sensitive capital but at significantly reduced levels due to the removal of the punitive SVaR add-on.

04 Full Risk Measures

Measure	Current ($M)	Limit ($M)	Utilisation	Prior Day ($M)	Change	Commentary

05 VaR by Desk

Desk	VaR ($M)	Limit ($M)	Util %	% Total	SVaR ($M)

06 VaR & SVaR Time Series (60 Trading Days)

07 Daily Risk Commentary

21-Mar-2026 COB — Daily Market Risk Summary

VaR increased $4M day-on-day to $142M (79% of $180M limit), driven primarily by increased duration exposure on the Rates desk (+$3.2M) following new 10Y swap positions entered as part of the EUR rates steepener strategy. Credit trading VaR rose modestly (+$0.8M) on IG spread widening. SVaR at $198M (79% utilisation) remains stable; the stressed window continues to reference the 2008 GFC period (Sep-Nov 2008).

IRC increased $7M to $485M reflecting credit spread widening in HY energy names (OXY, DVN) and one notch migration in the leveraged loan book. CRM stable at $156M. RNIV at $89M reflects ongoing model parameter uncertainty in correlation and volatility surface interpolation.

Backtesting: Two VaR breaches YTD (15-Jan, 03-Mar) — both attributable to EM FX moves (TRY -4.2%, ZAR -3.8% on 15-Jan; BRL -3.1% on 03-Mar). Kupiec test passes at 99% confidence (p-value 0.34). Traffic light status remains GREEN (0–4 exceptions zone).

FRTB parallel run: FRTB-IMA capital at $3,950M versus Basel 2.5 at $47,110M (8.4% ratio). ES (97.5%, 10d) at $2,126M with 1.5x base multiplier (no PLAT penalty). DRC at $910M driven by concentrated IG names across Credit and Repo desks. RRAO at $256M from exotic optionality. The dramatic capital reduction under FRTB reflects the removal of the 3× SVaR multiplier which dominates Basel 2.5 capital (96.1%).

No limit breaches. All desk-level and aggregate limits within tolerance. Next scheduled model review: 15-Apr-2026. Next RNIV quarterly refresh: 31-Mar-2026.

08 Market Risk Capital Composition & Backtesting

Backtesting Summary

Traffic Light

GREEN

0–4 exceptions

Observations

252

Rolling 1-year

Exceptions YTD

Threshold: 4

Kupiec Test

PASS

p-value: 0.34

P&L Type	Exceptions	Dates	Cause
Clean P&L	1	15-Jan-2026	EM FX (TRY, ZAR sell-off)
Hypothetical P&L	2	15-Jan, 03-Mar	EM FX + BRL devaluation

Multiplier impact: Current multiplier 3.0x (minimum). Two additional exceptions would raise to 3.4x (+$280M capital). VaR model last validated 12-Dec-2025. Next review: 15-Apr-2026.

FI-Sim VaR & Risk Utilisation

Backtesting Summary