• PRU 5.3 PRU 5.3 Calculation of the Market Risk Capital Requirement

    • PRU 5.3.1 PRU 5.3.1

      An Authorised Person must calculate its Market Risk Capital Requirement as the sum of the following components:

      (a) Interest Rate Risk Capital Requirement;
      (b) Equity Risk Capital Requirement;
      (c) Foreign Exchange Risk Capital Requirement;
      (d) Commodities Risk Capital Requirement;
      (e) Option Risk Capital Requirement;
      (f) Collective Investment Fund Risk Capital Requirement; and
      (g) Securities Underwriting Capital Requirement.

      • Guidance

        1. Detailed Rules and Guidance in respect of the Market Risk Capital Requirement and each of its components in (a) to (g) are contained in this Chapter.
        2. Rules and Guidance in respect of calculating Market Risk for Islamic Contracts are contained in the IFR rules.