Form FFIEC 102 FFIEC 102 Market Risk Regulatory Report

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 published on February 18, 2015.
The Federal Register notice for this regulatory reporting proposal and the draft final instructions
for the FFIEC 102 are available at http://www.ffiec.gov/forms102.htm.

Updated draft as of February 17, 2015

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Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule – FFIEC 102
FFIEC 102
1.
2.

Value-at-risk (VaR)-based capital requirement
Previous day’s VaR-based measure
Average of the immediately preceding 60 business days VaR-based measures

MRRR

Bil

Mil

Thou

1.
2.

S298
S299
Number

3.

Multiplication factor: equal to a value of 3.00 or higher (based on backtesting)

_.__

S300
Bil

4.

Greater of item 1 or (item 2 multiplied by item 3)

5.
6.
7.

Stressed VaR-based capital requirement
Most recent stressed VaR-based measure
Item 3 times the average of the preceding 12 weeks stressed VaR-based measures
Greater of item 5 or item 6

8.
9.

Specific risk add-ons
Debt positions
Equity positions

10.

11.
12.
13.
14.
15.

For advanced approaches institutions, capital requirements for securitization positions
using the Supervisory Formula Approach (SFA)
For advanced approaches institutions, capital requirements for securitization positions
using the SSFA or applying a specific risk-weighting factor of 100 percent
For advanced approaches institutions, sum of items 11 and 12
Standardized measure of specific risk add-ons (sum of items 8, 9, and 10)
For advanced approaches institutions, advanced measure of specific risk add-ons (sum of
items 8, 9, and 13)
1

Thou

S301

4.

S302

5.
6.
7.

S303
S304

S306

8.
9.

S307

10.

S308

11.

S309

12.

S310

13.

S311

14.

S312

15.

S305

For all institutions, capital requirements for securitization positions using the Simplified
Supervisory Formula Approach (SSFA) or applying a specific risk-weighting factor of
100 percent

Mil

3.

Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule – FFIEC 102
Items 16 through 18 are not applicable to an institution that does not calculate
a modeled measure of incremental risk.

16.
17.
18.

Incremental risk capital requirement
Most recent incremental risk measure
Average of the previous 12 weeks measure of incremental risk
Greater of item 16 or item 17

MRRR

Bil

Mil

Thou

S315

16.
17.
18.

S316

19.

S319
S320

20.
21.

S321

22.

S322

23.

S323

24.

S324

25.

S325

26.

S326

27.

S313
S314

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.

19.

Comprehensive risk capital requirement
Most recent modeled measure of all price risk

20.
21.

Standardized specific risk add-ons for net long correlation trading positions
Debt positions
Equity positions

22.

For all institutions, capital requirements for securitization positions using the SSFA or
applying a specific risk-weighting factor of 100 percent

23.

For advanced approaches institutions, capital requirements for securitization positions
using the SFA
For advanced approaches institutions, capital requirements for securitization positions
using the SSFA or applying a specific risk-weighting factor of 100 percent
For advanced approaches institutions, sum of items 23 and 24

24.
25.
26.
27.

Standardized measure of specific risk add-ons for net long correlation trading positions
(sum of items 20, 21, and 22)
For advanced approaches institutions, advanced measure of specific risk add-ons for net
long correlation trading positions (sum of items 20, 21, and 25)

2

Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule – FFIEC 102

28.
29.

Standardized specific risk add-ons for net short correlation trading positions
Debt positions
Equity positions

30.

For all institutions, capital requirements for securitization positions using the SSFA or
applying a specific risk-weighting factor of 100 percent

31.

For advanced approaches institutions, capital requirements for securitization positions
using the SFA
For advanced approaches institutions, capital requirements for securitization positions
using the SSFA or applying a specific risk-weighting factor of 100 percent
For advanced approaches institutions, sum of items 31 and 32

32.
33.
34.
35.

Standardized measure of specific risk add-ons for net short correlation trading positions
(sum of items 28, 29, and 30)
For advanced approaches institutions, advanced measure of specific risk add-ons for net
short correlation trading positions (sum of items 28, 29, and 33)

36.
37.

Standardized measure of specific risk add-ons (greater of item 26 or item 34)
Surcharge for modeled correlation trading positions (item 36 multiplied by 0.08)

38.

For advanced approaches institutions, advanced measure of specific risk add-ons (greater
of item 27 or item 35)
For advanced approaches institutions, surcharge for modeled correlation trading positions
(item 38 multiplied by 0.08)

39.

40.
41.
42.

Items 40 through 45 are to be completed for report dates before an institution has
received supervisory approval of its comprehensive risk model effectiveness.
Most recent standardized comprehensive risk measure (sum of items 19 and 37)
Average standardized comprehensive risk measure over the previous 12 weeks
Standardized comprehensive risk measure (greater of item 40 or item 41)

3

MRRR

Bil

Mil

Thou

S328

28.
29.

S329

30.

S330

31.

S331

32.

S332

33.

S333

34.

S334

35.

S335
S336

36.
37.

S337

38.

S338

39.

H323

40.
41.
42.

S327

H324
S339

Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule – FFIEC 102
MRRR

43.
44.
45.

46.
47.
48.
49.
50.
51.

52.
53.
54.

55.
56.

For advanced approaches institutions, most recent advanced comprehensive risk measure
(sum of items 19 and 39)
For advanced approaches institutions, average advanced comprehensive risk measure
over the previous 12 weeks
For advanced approaches institutions, advanced comprehensive risk measure (greater of
item 43 or item 44)
Items 46 through 51 are to be completed for report dates after an institution has
received supervisory approval of its comprehensive risk model effectiveness.
Most recent standardized comprehensive risk measure (greater of item 19 or item 37)
Average standardized comprehensive risk measure over the previous 12 weeks
Standardized comprehensive risk measure (greater of item 46 or item 47)
For advanced approaches institutions, most recent advanced comprehensive risk measure
(greater of item 19 or item 39)
For advanced approaches institutions, average advanced comprehensive risk measure over
the previous 12 weeks
For advanced approaches institutions, advanced comprehensive risk measure (greater of
item 49 or item 50)
De minimis positions and other adjustments
Capital requirement for all de minimis exposures
Additional capital requirement
Sum of items 52 and 53

4

Mil

Thou

H325

43.

H326

44.

S340

45.

H327

S341

46.
47.
48.

H329

49.

H330

50.

S342

51.

S343

S345

52.
53.
54.

S581

55.

S347

56.

H328

S344

Market risk-weighted assets
Standardized market risk-weighted assets: Sum of items 4, 7, 14, 18 (if applicable), 42 or
48 (as appropriate), and 54, all multiplied by 12.5
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

Bil

Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule – FFIEC 102

Memoranda
1.
2.
3.
4.
5.
6.

Items related to the previous day’s Value-at-risk (VaR)-based measure
VaR-based measure for interest rate positions
VaR-based measure for debt positions
VaR-based measure for equity positions
VaR-based measure for foreign exchange positions
VaR-based measure for commodity and other positions
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
8.
VaR-based measure for debt positions
9.
VaR-based measure for equity positions
10.
VaR-based measure for foreign exchange positions
11.
VaR-based measure for commodity and other positions
12. Modeled specific risk included in the average of the daily VaR-based measure that is not
included in Memorandum items 7 through 11

13.
14.
15.
16.
17.
18.

Backtesting (over the most recent calendar quarter)
Number of trading days in the calendar quarter with a trading profit
Number of trading days in the calendar quarter with a trading loss
Number of trading days in the calendar quarter where the trading day’s trading loss
exceeded the respective VaR estimate
The largest ratio of a daily trading loss to that trading day’s VaR measure in the calendar
quarter
The second largest ratio of a daily trading loss to that trading day’s VaR measure in the
calendar quarter
The third largest ratio of a daily trading loss to that trading day’s VaR measure in the
calendar quarter
5

MRRR

Bil

Mil

Thou

S352

M.1.
M.2.
M.3.
M.4.
M.5.

S353

M.6.

S354

S358

M.7.
M.8.
M.9.
M.10.
M.11.

S359

M.12.

S348
S349
S350
S351

S355
S356
S357

Number

M.13.
M.14.

S360
S361
S362

M.15.

S363

___.__

M.16.

S364

___.__

M.17.

S365

___.__

M.18.

Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule – FFIEC 102
MRRR

19. The starting date of the stress period used to measure the stressed VaR

YYYY

MM

DD

M.19.

S366
Number

20. Number of changes to stress period starting date used in calculations for the preceding
12 weeks

M.20.

S367
Bil

21. Total specific risk add-ons for non-modeled net long securitization positions
22. Total specific risk add-ons for non-modeled net short securitization positions

6

S368
S369

Mil

Thou

M.21.
M.22.