Revisions to market risk disclosure requirements sets out adjustments to the Pillar 3 templates for the revised market risk framework to reflect the changes introduced in Minimum capital requirements for market risk published in January 2019.
The document includes a number of technical adjustments to reflect the January 2019 revisions, in particular the introduction of 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. The Committee also proposes a new disclosure template for banks that use the simplified standardised approach. As part of the consultation process, the Committee seeks views on the usefulness of flow statements of risk-weighted assets for trading desks under the internal models approach and how it can be further enhanced.
In addition to these changes, the Committee proposes to enhance the disclosure of trading desk structure of banks that use the internal models approach by introducing a materiality threshold for disclosure of information pertaining to individual trading desks. Banks will have to disclose information on individual trading desks with the highest standalone capital requirement which, summed together, exceed 50% of total aggregate standalone capital requirements calculated under the standardised approach.
The Committee welcomes feedback on the consultative document. Comments should be uploaded here by 14 February 2020. All comments will be published on the website of the Bank for International Settlements unless a respondent specifically requests confidential treatment.
Read the full paper at: https://www.bis.org/bcbs/publ/d484.htm