This chapter describes disclosure requirements for market risk.

Version effective as of 01 Jan 2023

Reflects change in underlying market risk capital requirements published in January 2019. Updated to take account of new implementation date as announced on 27 March 2020.

Introduction

50.1 The market risk section includes the market risk capital requirements calculated for trading book and banking book exposures that are subject to market risk capital requirements in MAR10 to MAR33. It also includes capital requirements for securitisation positions held in the trading book. However, it excludes the counterparty credit risk capital requirements that apply to the same exposures, which are reported in DIS42.

50.2 The disclosure requirements under this section are:

General information about market risk:

(1) Table MRA General qualitative disclosure requirements related to market risk

Market risk under the standardised approach:

(2) Template MR1 Market risk under the standardised approach

Market risk under the internal models approach (IMA):

(3) Table MRB Qualitative disclosures for banks using the IMA

(4) Table MRC The structure of trading desks for banks using the IMA

(5) Template MR2 Market risk IMA per risk type