22. Market Risk

General information about market risk: Table MRA: General qualitative disclosure requirements related to market risk Purpose: Provide a description of the risk management objectives and policies for market risk as defined in SMAR3.1 . Scope of application: The table is mandatory for all banks that are subject to the market risk framework . Content: Quantitative information. Frequency: Annual. Format: Flexible. Banks must describe their risk management objectives and policies for market risk according to the framework as follows: (a) Strategies and processes of the bank, which must include an explanation and/or a description of: • The bank's strategic objectives in undertaking trading activities, as well as the processes implemented to identify, measure, monitor and control the bank's market risks, including policies for hedging risk and the strategies/processes for monitoring the continuing effectiveness of hedges. • Policies for determining whether a position is designated as trading, including the definition of stale positions and the risk management policies for monitoring those positions. In addition, banks should describe cases where instruments are assigned to the trading or banking book contrary to the general presumptions of their instrument category and the market and gross fair value of such cases, as well as cases where instruments have been moved from one book to the other since the last reporting period, including the gross fair value of such cases and the reason for the move. • Description of internal risk transfer activities, including the types of internal risk transfer desk ( SMAR5 ) (b) The structure and organisation of the market risk management function, including a description of the market risk governance structure established to implement the strategies and processes of the bank discussed in row (a) above. (c) The scope and nature of risk reporting and/or measurement systems. Table MR1: Market risk under the standardised approach Purpose: Provide the components of the capital requirements under the standardised approach for market risk. Scope of application: The template is mandatory for banks having part or all of their market risk capital requirements measured according to the standardised approach. For banks that use the internal models approach (IMA), the standardised approach capital requirement in this template must be calculated based on the portfolios in trading desks that do not use the IMA (ie trading desks that are not deemed eligible to use the IMA per the terms of SMAR10.4 ). Content: Capital requirements (as defined in SMAR6 to SMAR9 ). Frequency: Semiannual. Format: Fixed. Additional rows can be added for the breakdown of other risks. Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant change over the reporting period and the key drivers of such changes. In particular, the narrative should inform about changes in the scope of application, including changes due to trading desks for which capital requirements are calculated using the standardised approach. a Capital requirement in standardised approach 1 General interest rate risk 2 Equity risk 3 Commodity risk 4 Foreign exchange risk 5 Credit spread risk - non-securitisations 6 Credit spread risk - securitisations (non-correlation trading portfolio) 7 Credit spread risk - securitisation (correlation trading portfolio) 8 Default risk - non-securitisations 9 Default risk - securitisations (non-correlation trading portfolio) 10 Default risk - securitisations (correlation trading portfolio) 11 Residual risk add-on 12 Total Linkages across templates [MR1 12/a] is equal to [OV1 21/c]