FRTB Standardised Approach (SBM) Demo Calculator

Sensitivities-based-method delta capital for a small synthetic portfolio across GIRR, FX and Equity: risk weights, intra-bucket and cross-bucket correlations, and the three correlation scenarios (medium/high/low), reporting the maximum per BIS MAR21.

⚠ This tool encodes BIS Basel Framework MAR21 (January 2019 baseline; effective in current consolidated Basel Framework text) per the pinned clause snapshot below. EU CRR3 / UK PRA go-live dates and any numeric divergence from this BCBS baseline are NOT verified here and NOT claimed.

FRTB MAR21 Demo Zero PII

Scope & reliance: 🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data - use synthetic sensitivities only. Rules cited from research/clause-snapshots/BIS-MAR21-frtb-sbm-2026-08-21.excerpt.md (refs M1–M4). Delta-only, three risk classes only. Deterministic logic · no inference · zero PII · CC BY 4.0.

GIRR Sensitivities (clause M2)

Currency (bucket)	Tenor	Sensitivity (PV01, currency units)

FX Sensitivities (clause M4)

Currency Pair (bucket)	Specified pair (÷√2)?	Sensitivity

Equity Sensitivities (clause M3)

Issuer Name	Bucket (1-13)	Sensitivity Type	Sensitivity