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Version date: 27 March 2020 - onwards

MAR21 Standardised approach: sensitivities-based method (paras. 21.1-21.101) (effective as of 1 January 2023)

This chapter sets out the calculation of the sensitivities-based method under the standardised approach for market risk.

Version effective as of 01 Jan 2023

First version in the format of the consolidated framework, updated to take account of the revised implementation date announced on 27 March 2020.

Main concepts of the sensitivities-based method

21.1 The sensitivities of financial instruments to a prescribed list of risk factors are used to calculate the delta, vega and curvature risk capital requirements. These sensitivities are risk-weighted and then aggregated, first within risk buckets (risk factors with common characteristics) and then across buckets within the same risk class as set out in MAR21.8 to MAR21.14. The following terminology is used in the sensitivities-based method:

(1) Risk class: seven risk classes are defined (in MAR21.39 to MAR21.89).

(a) General interest rate risk (GIRR)

(b) Credit spread risk (CSR): non-securitisations

(c) CSR: securitisations (non-correlation trading portfolio, or non-CTP)

(d) CSR: securitisations (correlation trading portfolio, or CTP)

(e) Equity risk

(f) Commodity risk

(g) Foreign exchange (FX) risk