HKMA SPM MR-1: MR-1 Market Risk Capital Charge

Sets the minimum standards for calculating market risk capital charges under the Banking (Capital) Rules as revised for the Basel III market risk framework: the boundaries between books (scope of the trading book, internal risk transfers, trading desks); the standardised approach (the sensitivities-based method with delta, vega and curvature risk weights and correlations, the residual risk add-on, the standardised default risk charge for non-securitisations, securitisations and the correlation trading portfolio); the internal models approach (risk factor specification and eligibility, backtesting and the profit-and-loss attribution test, capital charges including non-modellable risk factors and the default risk charge, aggregation); the simplified standardised approach and its eligibility; and the treatment of cryptoasset exposures. Classification: a statutory guideline issued by the Monetary Authority under the Banking Ordinance §7(3); version V.2, 19.12.2025; applies to locally incorporated AIs.