Part 7: Market risk
The market risk section includes the market risk capital requirements calculated for trading book and banking book exposures that are subject to a market risk charge [See paragraphs 683 (i) to (v) of the Basel framework.]. It also includes capital requirements for securitisation positions held in the trading book. However, it excludes the counterparty credit risk capital charges that apply to the same exposures, which are reported in Part 5 - Counterparty credit risk.
Table MRA: Qualitative disclosure requirements related to market risk
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Purpose: Provide a description of the risk management objectives and policies concerning market risk as defined in paragraph 683(i) of the Basel framework. |
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Scope of application: The table is mandatory for all banks that are subject to a market risk capital requirement for their trading activities. |
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Content: Qualitative information. |
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Frequency: Annual. |
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Format: Flexible. |
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(A) Banks must describe their risk management objectives and policies for market risk according to the framework below (the granularity of the information should support the provision of meaningful information to users): |