This chapter sets out the general provisions and the structure of the standardised approach for calculating risk-weighted assets for market risk.

Version effective as of 01 Jan 2023

Introduces a revised approach based on expanded use of sensitivities as set out in the January 2019 market risk publication and updated to take account of the revised implementation date announced on 27 March 2020.

General provisions

20.1 The risk-weighted assets for market risk under the standardised approach are determined by multiplying the capital requirements calculated as set out in MAR20 to MAR23 by 12.5.

20.2 The standardised approach must be calculated and reported to the relevant supervisor on a monthly basis. Subject to supervisory approval, the standardised approach for market risks arising from non-banking subsidiaries of a bank may be calculated and reported to the relevant supervisor on a quarterly basis.

20.3 A bank must also determine its regulatory capital requirements for market risk according to the standardised approach for market risk at the demand of its supervisor.

Structure of the standardised approach

20.4 The standardised approach capital requirement is the simple sum of three components: the capital requirement under the sensitivities-based method, the default risk capital (DRC) requirement and the residual risk add-on (RRAO).

(1) The capital requirement under the sensitivities-based method must be calculated by aggregating three risk measures - delta, vega and curvature, as set out in MAR21: