FFIEC 102. Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule. Effective Date: March 31, 2015
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1 FFIEC 102 Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule Effective Date: March 31, 2015 This draft final report form reflects the proposed FFIEC 102 discussed in the banking agencies final Paperwork Reduction Act Federal Register notice to be published in February The Federal Register notice for this regulatory reporting proposal and the draft final instructions for the FFIEC 102 are available at Draft as of February 9, 2015
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3 FFIEC 102 Value-at-risk (VaR)-based capital requirement RCXX Bil Mil Thou 1. Previous day s VaR-based measure XXXX Average of the immediately preceding 60 business days VaR-based measures XXXX Multiplication factor: equal to a value of 3.00 or higher (based on backtesting) XXXX _. 3. Number Bil Mil Thou 4. Greater of item 1 or (item 2 multiplied by item 3) XXXX 4. Stressed VaR-based capital requirement 5. Most recent stressed VaR-based measure XXXX Item 3 times the average of the preceding 12 weeks stressed VaR-based measures XXXX Greater of item 5 or item 6 XXXX 7. Specific risk add-ons 8. Debt positions XXXX Equity positions XXXX 9. Securitization positions: 10. For all institutions, capital requirements for securitization positions using the Simplified Supervisory Formula Approach (SSFA) or applying a specific risk-weighting factor of XXXX percent 11. Capital requirements for securitization positions using the Supervisory Formula Approach (SFA) XXXX Capital requirements for securitization positions using the SSFA or applying a specific risk-weighting factor of 100 percent XXXX Sum of items 11 and 12 XXXX Standardized measure of specific risk add-ons (sum of items 8, 9, and 10) XXXX For advanced approaches institutions, advanced measure of specific risk add-ons (sum of items 8, 9, and 13) XXXX 15. 1
4 Items 16 through 18 are not applicable to an institution that does not calculate a modeled measure of incremental risk. Incremental risk capital requirement RCXX Bil Mil Thou 16. Most recent incremental risk measure XXXX Average of the previous 12 weeks measure of incremental risk XXXX Greater of item 16 or item 17 XXXX 18. Items 19 through 51 are not applicable to an institution that does not have a comprehensive risk model; such an institution should go to item 52. Comprehensive risk capital requirement 19. Most recent modeled measure of all price risk XXXX 19. Standardized specific risk add-ons for net long correlation trading positions 20. Debt positions XXXX Equity positions XXXX 21. Securitization positions: 22. For all institutions, capital requirements using the SSFA or applying a specific riskweighting factor of 100 percent XXXX Capital requirements using the SFA XXXX Capital requirements using the SSFA or applying a specific risk-weighting factor of 100 percent XXXX Sum of items 23 and 24 XXXX Standardized measure of specific risk add-ons for net long correlation trading positions (sum of items 20, 21, and 22) XXXX For advanced approaches institutions, advanced measure of specific risk add-ons for net long correlation trading positions (sum of items 20, 21, and 25) XXXX 27. 2
5 Standardized specific risk add-ons for net short correlation trading positions RCXX Bil Mil Thou 28. Debt positions XXXX Equity positions XXXX 29. Securitization positions: 30. For all institutions, capital requirements using the SSFA or applying a specific riskweighting factor of 100 percent XXXX Capital requirements using the SFA XXXX Capital requirements using the SSFA or applying a specific risk-weighting factor of 100 percent XXXX Sum of items 31 and 32 XXXX Standardized measure of specific risk add-ons for net short correlation trading positions (sum of items 28, 29, and 30) XXXX For advanced approaches institutions, advanced measure of specific risk add-ons for net short correlation trading positions (sum of items 28, 29, and 33) XXXX Standardized measure of specific risk add-ons (greater of item 26 or item 34) XXXX Surcharge for modeled correlation trading positions (item 36 multiplied by 0.08) XXXX Advanced measure of specific risk add-ons (greater of item 27 or item 35) XXXX Surcharge for modeled correlation trading positions (item 38 multiplied by 0.08) XXXX 39. Items 40 through 45 are to be completed for report dates before an institution has received supervisory approval of its comprehensive risk model effectiveness. 40. Most recent standardized comprehensive risk measure (sum of items 19 and 37) XXXX Average standardized comprehensive risk measure over the previous 12 weeks XXXX Standardized comprehensive risk measure (greater of item 40 or item 41) XXXX Most recent advanced comprehensive risk measure (sum of items 19 and 39) XXXX Average advanced comprehensive risk measure over the previous 12 weeks XXXX Advanced comprehensive risk measure (greater of item 43 or item 44) XXXX 45. 3
6 Items 46 through 51 are to be completed for report dates after an institution has received supervisory approval of its comprehensive risk model effectiveness. RCXX Bil Mil Thou 46. Most recent standardized comprehensive risk measure (greater of item 19 or item 37) XXXX Average standardized comprehensive risk measure over the previous 12 weeks XXXX Standardized comprehensive risk measure (greater of item 46 or item 47) XXXX Most recent advanced comprehensive risk measure (greater of item 19 or item 39) XXXX Average advanced comprehensive risk measure over the previous 12 weeks XXXX Advanced comprehensive risk measure (greater of item 49 or item 50) XXXX 51. De minimis positions and other adjustments 52. Capital requirement for all de minimis exposures XXXX Additional capital requirement XXXX Sum of items 52 and 53 XXXX 54. Market risk-weighted assets 55. Standardized market risk-weighted assets: Sum of items 4, 7, 14, 18 (if applicable), 42 or 48 (as appropriate), and 54, all multiplied by For advanced approaches institutions, advanced market risk-weighted assets: Sum of items 4, 7, 15, 18 (if applicable), 45 or 51 (as appropriate), and 54, all multiplied by 12.5 XXXX 55. XXXX 56. 4
7 Memoranda Items related to the previous day s Value-at-risk (VaR)-based measure RCXX Bil Mil Thou 1. VaR-based measure for interest rate positions XXXX M VaR-based measure for debt positions XXXX M VaR-based measure for equity positions XXXX M VaR-based measure for foreign exchange positions XXXX M VaR-based measure for commodity and other positions XXXX M Modeled specific risk included in the previous day s VaR-based measure that is not included in Memorandum items 1 through 5 Items related to the average of the daily VaR-based measure for each of the preceding 60 business days (with applicable multiplication factor) 7. VaR-based measure for interest rate positions XXXX M VaR-based measure for debt positions XXXX M VaR-based measure for equity positions XXXX M VaR-based measure for foreign exchange positions XXXX M VaR-based measure for commodity and other positions XXXX M Modeled specific risk included in the average of the daily VaR-based measure that is not included in Memorandum items 7 through 11 XXXX M.12. Backtesting (over the most recent calendar quarter) Number 13. Number of trading days in the calendar quarter with a trading profit XXXX M Number of trading days in the calendar quarter with a trading loss XXXX M Number of trading days in the calendar quarter where the trading day s trading loss XXXX exceeded the respective VaR estimate M The largest ratio of a daily trading loss to that trading day s VaR measure in the calendar quarter XXXX _. M The second largest ratio of a daily trading loss to that trading day s VaR measure in the calendar quarter XXXX _. M The third largest ratio of a daily trading loss to that trading day s VaR measure in the calendar quarter XXXX _. M.18. XXXX M.6. 5
8 RCXX YYYY MM DD 19. The starting date of the stress period used to measure the stressed VaR XXXX M Number of changes to stress period starting date used in calculations for the preceding 12 weeks XXXX Number Bil Mil Thou 21. Total specific risk add-ons for non-modeled net long securitization positions XXXX M Total specific risk add-ons for non-modeled net short securitization positions XXXX M.22. M.20. 6
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