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.