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The Supervisory Treatment of Market Risks


For additional details concerning the non hyperlinked Annexes please contact the BIS at:


The compendium of documents produced by the Basle Committee on Banking Supervision can be view at:


Annex 2: Debt securities: risk weights
Annex 3: Debt securities: horizontal offsetting
Annex 4: Debt securities: sample calculation
Annex 6: Summary of proposed treatment of interest rate derivatives
Annex 7: Equities: illustration of x plus y methodology
Annex 8: Summary of proposed treatment of equity derivatives
Annex 9: Example of the shorthand measure of foreign exchange risk

Annex 1

Annex 5
Debt securities and equities: alternative treatment for options

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