Revisions to market risk disclosure requirements

Summary of document history  

This version

BCBS  | 
Standards
 | 
11 November 2021
 | 
Status:  Forthcoming
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 |  18 pages

The market risk disclosure requirements include a number of adjustments to reflect the revised market risk framework introduced in Minimum capital requirements for market risk in January 2019.

The revised standard introduced a "traffic light" approach for capital requirements as a consequence of the outcome of the profit and loss attribution test for banks using the internal models approach. Another significant change is the introduction of the simplified standardised approach as an alternative way of calculating capital requirements for market risk. The revised disclosure standards have been updated to reflect these and other changes in the standards. The revised market risk disclosure requirements come into effect on 1 January 2023.

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