Schedule 3, Part 4 Calculation of the market risk module

4. 

(1) The market risk module, set out in Regulation 119(5) shall be equal to the following:

where -

SCRi denotes the sub-module i;

SCRj denotes the sub-module j;

'i,j' means that the sum of the different terms should cover all possible combinations of i and j.

(2) In the calculation, SCRi and SCRj are replaced by the following:

SCR interest rate denotes the interest rate risk sub-module;

SCR equity denotes the equity risk sub-module;

SCR property denotes the property risk sub-module;

SCR spread denotes the spread risk sub-module;

SCR concentration denotes the market concentrations sub-module;

SCR currency denotes the currency risk sub-module.