Market risk module

(1) The market risk module covers the risk arising from the level or volatility of the market prices of financial instruments that affect the valuation of the undertaking's assets and liabilities. It must appropriately reflect the structural mismatch between assets and liabilities, in particular as regards their duration.
(2) The market risk module is calculated in accordance with Annex 3 as a combination of the capital requirements in respect of the sensitivity of the values of asset items, liabilities, and financial instruments to at least the following changes:
1. changes in the interest rate term structure or in the volatility of interest rates (interest rate risk),
2. changes in the level or volatility of the market prices of equities (equity risk),
3. changes in the level or volatility of the market prices of immovable property (property risk),
4. changes in the level or volatility of credit spreads over the risk-free interest rate term structure (spread risk), and
5. changes in the level or volatility of exchange rates (currency risk). Additional risks arising either from a lack of diversification in the investment portfolio or from large exposure to default risk of a single issuer of securities or a group of related issuers (market risk concentrations) must also be calculated.