Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule

FFIEC 102

Reporting Instructions for the
Market Risk Regulatory Report for Institutions Subject to the
Market Risk Capital Rule

FFIEC 102

Effective March 31, 2015
These draft final instructions are for 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 report form for the FFIEC 102
are available at http://www.ffiec.gov/forms102.htm.

Updated draft as of February 17, 2015

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FFIEC 102

GENERAL INSTRUCTIONS

INSTRUCTIONS FOR PREPARATION OF
FFIEC 102 – Market Risk Regulatory Report for Institutions
Subject to the Market Risk Capital Rule
GENERAL INSTRUCTIONS
Who Must Report
A. Scope and Reporting Criteria
An institution (that is, a bank, savings association, bank holding company, or savings and loan
holding company) must apply the market risk capital rule if the institution has aggregate trading
assets and trading liabilities, as reported in the institution’s most recent Consolidated Reports of
Condition and Income (Call Report) or Consolidated Financial Statements for Holding
Companies (FR Y-9C), equal to (a) 10 percent or more of quarter-end total assets or
(b) $1 billion or more. In addition, the primary federal supervisor of an institution that does not
meet these criteria may apply the market risk capital rule to that institution if the supervisor
deems it necessary or appropriate because of the level of market risk of the institution or to
ensure safe and sound banking practices. The primary federal supervisor of an institution that
meets these criteria may exclude that institution from the application of the market risk capital
rule if that supervisor determines that the exclusion is appropriate based on the level of market
risk of the institution and is consistent with safe and sound banking practices. 1
An institution to which the market risk capital rule applies (a “market risk institution”) must
submit an FFIEC 102 report in accordance with the timing requirements discussed in Section B
of these General Instructions.
B. FFIEC 102 Reporting Requirements
An institution to which the market risk capital rule applies, as specified in Section A above, must
begin reporting on the FFIEC 102 at the end of the quarter after the quarter in which (a) the
institution triggers one of the criteria for applying the market risk capital rule or (b) the
institution’s primary federal supervisor deems it necessary or appropriate for the institution to
apply the rule. All institutions that must complete the FFIEC 102 also must report their
standardized market-risk weighted assets in the regulatory capital schedule in the Call Report or
FR Y-9C, as appropriate, as well as in the FFIEC 102.

1

The market risk capital rule is incorporated into Subpart F of the federal banking agencies’ revised regulatory
capital rules [12 CFR Part 3, Subpart F (OCC) (national banks and federal savings associations); 12 CFR Part 217,
Subpart F (Board) (state member banks, bank holding companies, and savings and loan holding companies); and
12 CFR Part 324, Subpart F (FDIC) (insured state nonmember banks and state savings associations)]. See
78 FR 62018, October 11, 2013 (Board and OCC); 78 FR 55340, September 10, 2013 (FDIC).

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An institution to which the market risk capital rule applies, as specified in Section A above,
remains subject to the FFIEC 102 reporting requirements until the institution is no longer subject
to the rule as described in Section A.

What Must Be Reported
C. Reporting Form and Instructions
The information contained in the reporting form for the FFIEC 102 must be completed in
accordance with the instructions accompanying the reporting form. The reporting form and
instructions are collectively referred to as the FFIEC 102.
D. Organization of the Instructions
These instructions cover the FFIEC 102 reporting form. They are divided into the following
sections:
(1) General Instructions that describe overall reporting requirements.
(2) Item Instructions for each item on the FFIEC 102 reporting form.
The instructions and definitions in (1) and (2) are not necessarily self-contained; reference to the
market risk capital rule may be needed for more detailed definitions and regulatory capital
treatments.

Where to Submit the Reports
E. Electronic Submission
All market risk institutions must submit their completed reports electronically using the Federal
Reserve’s Reporting Central application. Market risk institutions with questions about reporting
via Reporting Central should contact their Reporting and Reserves District Contact
(https://www.frbservices.org/contacts/index.jsp#RR). Each market risk institution is responsible
for ensuring that the data reported each quarter reflects fully and accurately the reporting
requirements for each item on the FFIEC 102 reporting form for that report date, including any
changes that may be made from time to time. This responsibility cannot be transferred or
delegated to software vendors, servicers, or others outside the reporting entity.
F. Frequency of Reporting
Each market risk institution must submit an FFIEC 102 report as of the end of each quarter
on a calendar year basis. The “as-of” date for each reporting period is March 31, June 30,
September 30, and December 31 of each calendar year.

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G. When to Submit the Reports
The due dates for the FFIEC 102 coincide with the due dates currently required of insured
depository institutions and holding companies when filing their respective Call Reports or
FR Y-9C reports, as applicable.
H. Preparation of the Reports
Each market risk institution must prepare and file the FFIEC 102 report in accordance with the
instructions provided. All reports must be prepared in a consistent manner.
Questions and requests for interpretations of matters appearing in any part of the instructions
should be addressed to the market risk institution’s primary federal supervisor. Regardless of
whether a market risk institution requests an interpretation of a matter appearing in these
instructions, when the market risk institution’s primary federal supervisor’s interpretation of the
instructions differs from that of the institution, the primary federal supervisor may require the
market risk institution to prepare its FFIEC 102 report in accordance with the federal
supervisor’s interpretation and may require amended filings for previously submitted reports.
I. Rounding
For market risk institutions with total assets of less than $10 billion, all dollar amounts must be
reported in thousands, with the figures rounded to the nearest thousand. Items less than $500
will be reported as zero. For market risk institutions with total assets of $10 billion or more, all
dollar amounts may be reported in thousands, but each institution, at its option, may round the
figures reported to the nearest million, with zeroes reported in the thousands column. For market
risk institutions exercising this option, amounts less than $500,000 will be reported as zero.
Report ratios to two decimal places, except as otherwise noted.
J. Negative Entries
Negative entries are not appropriate in this report.
K. Confidentiality
All data reported in the FFIEC 102 will be made available to the public. However, a market risk
institution may request confidential treatment for some or all of the portions of the FFIEC 102 if
the institution is of the opinion that disclosure of specific commercial or financial information in
the report would likely cause substantial harm to its competitive position. In certain limited
circumstances, the market risk institution’s primary federal supervisor may approve confidential
treatment of some or all of the items for which such treatment has been requested if the
institution has clearly provided a compelling justification for the request. A request for
confidential treatment must be submitted in writing prior to the electronic submission of the
report. The written request must identify the specific items for which confidential treatment is
requested, provide justification for the confidential treatment requested for the identified items,
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and demonstrate the specific nature of the harm that would result from public release of the
information. Merely stating that competitive harm would result is not sufficient. Information
for which confidential treatment is requested may subsequently be released by the market risk
institution’s primary federal supervisor in accordance with the terms of 12 CFR 4.16 (OCC),
12 CFR 261.16 (Board), 12 CFR 309.6 (FDIC), or as otherwise provided by law.
L. Verification and Signatures
Verification. All entries should be double-checked before reports are submitted. Totals and
subtotals should be cross-checked against the corresponding items which they tabulate and any
relevant supporting materials.
Signatures. The report must be signed by a senior officer of the market risk institution who can
attest that the information submitted in the FFIEC 102 meets the requirements set forth in the
market risk capital rule and the reporting instructions for this report. The senior officer may be
the chief financial officer, the chief risk officer, or an equivalent senior officer. The cover page
of this report form should be used to fulfill the signature and attestation requirement and should
be included with the completed FFIEC 102 report and retained in the market risk institution’s
files.
M. Amended Reports
The agencies may require the filing of amended reports if reports as previously submitted contain
significant errors. In addition, a market risk institution must file an amended report when it
discovers significant errors or omissions subsequent to submission of a report. Failure to file
amended reports on a timely basis may subject the institution to supervisory action.
N. Retention of Reports
In general, a market risk institution shall maintain in its files a signed and attested record of its
completed FFIEC 102 report, including any amended reports, and the related work papers and
supporting documentation for five years after the report date, unless there are applicable state
requirements that mandate a longer retention time.
O. Consolidation
Amounts should be reported in the FFIEC 102 on a consolidated basis using the same
consolidation rules applied to the market risk institution’s Call Report or FR Y-9C, as
appropriate.

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ITEM INSTRUCTIONS

FFIEC 102 – Market Risk Regulatory Report for Institutions
Subject to the Market Risk Capital Rule
ITEM INSTRUCTIONS
Each institution to which the market risk capital rule applies (a “market risk institution”) should
refer to the applicable rule issued by its primary federal supervisor for definitions of all relevant
terms and technical requirements on how to calculate the supporting amounts for any given item
in the FFIEC 102 report:
•
•
•

12 CFR Part 3, Subpart F (OCC) (national banks and federal savings associations);
12 CFR Part 217, Subpart F (Board) (state member banks, bank holding companies, and
savings and loan holding companies); and
12 CFR Part 324, Subpart F (FDIC) (insured state nonmember banks and state savings
associations)

All references to the Code of Federal Regulations (§_.201 et seq.) in the Item Instructions refer
to the market risk capital rule and the relevant subpart of each federal banking agency as listed
above.
A market risk institution may have exposures in certain products that might fit into more than
one of the market risk capital rule’s specified risk categories (e.g., interest rate, equity, foreign
exchange, commodities, and credit). For example, convertible securities will mostly be subject
to interest rate risk unless their value converges with that of the underlying equity. Similarly,
foreign exchange swaps are primarily interest rate positions, but it is possible that a market risk
institution might classify some foreign exchange swaps as subject to foreign exchange risk.
Accordingly, for purposes of reporting the value-at-risk (VaR)- or stressed VaR-based measures
on the FFIEC 102, a market risk institution may classify its exposures in the same risk categories
in which they are reported internally.
For purposes of reporting on the FFIEC 102, diversification benefit is defined as any adjustment
to VaR- or stressed VaR-based measures that a market risk institution makes to reflect the
absence of a perfect statistical correlation between the values of the underlying positions. If a
market risk institution does not adjust for diversification benefits in its VaR- or stressed VaRbased estimates, the institution is not required to estimate such benefits for purposes of reporting
on the FFIEC 102.
The Item Instructions below should be read in conjunction with the revised regulatory capital
rules issued by the reporting institution’s primary federal supervisor, as well as the reporting
instructions for the Call Report, Schedule RC-R, or the FR Y-9C, Schedule HC-R, as applicable.
Items 16 through 18 are not applicable to a market risk institution that does not calculate a
modeled measure of incremental risk.

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Items 19 through 51 are not applicable to a market risk institution that does not have a
“comprehensive risk model” as described in §_.209 of the market risk capital rule.
Items 11 through 13, 15, 23 through 25, 27, 31 through 33, 35, 38 and 39, 43 through 45, 49
through 51, and 56 are not applicable to a market risk institution that is not also an “advanced
approaches institution.” As defined in the revised regulatory capital rules, an advanced
approaches institution:
(1) Has consolidated total assets (excluding assets held by an insurance underwriting subsidiary)
on its most recent year-end regulatory report equal to $250 billion or more;
(2) Has consolidated total on-balance sheet foreign exposure on its most recent year-end
regulatory report equal to $10 billion or more (excluding exposures held by an insurance
underwriting subsidiary), as calculated in accordance with the Country Exposure Report
(FFIEC 009);
(3) Is a subsidiary of a depository institution that uses the advanced approaches pursuant to
subpart E of 12 CFR Part 3 (OCC), 12 CFR Part 217 (Board), or 12 CFR Part 324 (FDIC) to
calculate its total risk-weighted assets;
(4) Is a subsidiary of a bank holding company or savings and loan holding company that uses the
advanced approaches pursuant to 12 CFR Part 217 to calculate its total risk-weighted assets;
or
(5) Elects to use the advanced approaches to calculate its total risk-weighted assets.

Item No. Caption and Instructions
Value-at-risk (VaR)-based capital requirement
1

Previous day’s VaR-based measure. Report the previous day’s value-at-risk
(VaR)-based measure, inclusive of all internally modeled specific risk. For example,
for the March 31, 2015, report date, the VaR-based measure to be reported in this
item should be calculated as of March 30, 2015. See §_.204(a)(2)(i)(A) of the market
risk capital rule. This measure should include all market risks for all covered
positions, including interest rate risk, credit spread risk, foreign exchange rate risk,
equity risk, and commodity price risk. See §_.205 of the market risk capital rule.

2

Average of the immediately preceding 60 business days VaR-based measures.
Report the average of the daily VaR-based measures for each of the preceding
60 business days. See §_.204(a)(2)(i)(B) of the market risk capital rule. Like the
VaR-based measure reported in item 1 above, each of the 60 VaR-based measures
should include all market risks for all covered positions, including interest rate risk,
credit spread risk, foreign exchange rate risk, equity risk, and commodity price risk.

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Item No. Caption and Instructions
3

Multiplication factor: equal to a value of 3 or higher (based on backtesting).
Report the required multiplication factor, which is based on the number of
backtesting exceptions over the preceding 250 business days. Refer to Table 1 in
§_.204(b) of the market risk capital rule to map the number of exceptions to the
appropriate multiplication factor.

4

Greater of item 1 or (item 2 multiplied by item 3). Report the greater of (a) item 1
or (b) the product of item 2 multiplied by item 3. See §_.204(a)(2)(i) of the market
risk capital rule.

Stressed VaR-based capital requirement
5

Most recent stressed VaR-based measure. Report the most recent stressed
VaR-based measure, inclusive of all internally modeled specific risk. See
§_.204(a)(2)(ii)(A) of the market risk capital rule. This measure should include all
market risks for all covered positions, including interest rate risk, credit spread risk,
foreign exchange rate risk, equity risk, and commodity price risk. See §_.206 of the
market risk capital rule.

6

Item 3 times the average of the preceding 12 weeks stressed VaR-based
measures. Report the product of item 3 multiplied by the average of the weekly
values of the stressed VaR-based measures for the preceding 12 weeks. See
§_.204(a)(2)(ii)(B) of the market risk capital rule.

7

Greater of item 5 or item 6. Report the greater of item 5 or item 6. See
§_.204(a)(2)(ii) of the market risk capital rule. Items 1 through 7 should be reported
on a consistent basis for period-to-period comparability purposes.

Specific risk add-ons
8

Debt positions. Report the total specific risk add-ons for all debt positions
(e.g., sovereign, government-sponsored entity, corporate, depository institution,
foreign banking organization, credit union) for which a market risk institution’s
VaR-based measure does not capture all material aspects of specific risk. See
§_.207(c) and §_.210(b)(2) of the market risk capital rule.

9

Equity positions. Report the total specific risk add-on for equity positions, for which
a market risk institution’s VaR-based measure does not capture all material aspects of
specific risk. See §_.207(c) and §_.210(e) of the market risk capital rule.

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Item No. Caption and Instructions
10

For all institutions, capital requirements for securitization positions using the
Simplified Supervisory Formula Approach (SSFA) or applying a specific riskweighting factor of 100 percent. For any position meeting the definition of a
securitization position in §_.202 of the market risk capital rule, report the specific risk
amount using the Simplified Supervisory Formula Approach (SSFA) in
§_.210(b)(2)(vii)(C) of the market risk capital rule or assign a specific risk-weighting
factor of 100 percent as calculated under §_.210(b)(2)(vii)(A) of the market risk
capital rule. Note that, for purposes of this item, a market risk institution may not use
the Supervisory Formula Approach (SFA) in §_.210(b)(2)(vii)(B) of the market risk
capital rule.

11

For advanced approaches institutions, capital requirements for securitization
positions using the Supervisory Formula Approach (SFA). For a market risk
institution that is subject to the “advanced approaches rule,” it may use either or both
of the SFA and the non-Supervisory Formula Approaches (non-SFA) for measuring
the specific risk of securitization positions. The non-SFA methods include using the
SSFA in §_.210(b)(2)(vii)(C) of the market risk capital rule or assigning a specific
risk-weighting factor of 100 percent. In item 11, report the specific risk amounts for
the securitization exposures that are calculated using the SFA, which is described in
§_.210(b)(2)(vii)(B) of the market risk capital rule.

12

For advanced approaches institutions, capital requirements for securitization
positions using the SSFA or applying a specific risk-weighting factor of
100 percent. For a market risk institution that is subject to the “advanced approaches
rule,” report the specific risk amounts for the securitization exposures that are
calculated using the SSFA method or by assigning a specific risk-weighting factor of
100 percent, as described in §_.210(b)(2)(vii) of the market risk capital rule.

13

For advanced approaches institutions, sum of items 11 and 12. Report the sum of
items 11 and 12.

14

Standardized measure of specific risk add-ons. Report the standardized measure
of specific risk add-ons, which is the sum of items 8, 9, and 10.

15

For advanced approaches institutions, advanced measure of specific risk add-ons.
For a market risk institution that is subject to the “advanced approaches rule,” report
the advanced approach measure of specific risk add-ons, which is the sum of items 8,
9, and 13.

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Item No. Caption and Instructions
Incremental risk capital requirement
NOTE: Items 16 through 18 are applicable only to market risk institutions that calculate a
modeled measure of incremental risk.
16

Most recent incremental risk measure. For a market risk institution that calculates
a modeled measure of incremental risk under §_.208 of the market risk capital rule,
report the most recent incremental risk measure. See §_.208(c)(2) of the market risk
capital rule.

17

Average of the previous 12 weeks measure of incremental risk. Report the daily
average of the incremental risk measures over the previous 12 weeks. See
§_.208(c)(1) of the market risk capital rule.

18

Greater of item 16 or item 17. Report the greater of item 16 or item 17. See
§_.208(c) of the market risk capital rule.

Comprehensive risk capital requirement
Conditional on prior approval by a market risk institution’s primary federal supervisor, §_.209 of
the market risk capital rule permits the institution to use a “comprehensive risk model” to
calculate the specific risk of its correlation trading positions. The correlation trading portfolio is
defined in §_.202 of the market risk capital rule. The comprehensive risk model must measure
all price risk, which is described in §_.209(b) of the market risk capital rule.
NOTE: Items 19 through 51 are applicable only to market risk institutions that have a
“comprehensive risk model.”
19

Most recent modeled measure of all price risk. Report the most recent measure of
all price risk using an approved comprehensive risk model. See §_.209(a)(2)(i)(A) or
§_.209(a)(2)(ii)(A) of the market risk capital rule.

Standardized specific risk add-ons for net long correlation trading positions
The capital requirement calculated by the comprehensive risk measure is subject to a floor. That
floor is measured using the standardized specific risk add-ons of §_.210 of the market risk capital
rule. Items 20 through 39 perform that floor calculation. Items 20 through 27 calculate the floor
for long positions in the correlation trading portfolio. Items 28 through 35 calculate the floor for
short positions in the correlation trading portfolio.
20

FFIEC 102

Debt positions. Report the standardized specific risk add-ons for long debt positions
(e.g., sovereign, government-sponsored entity, corporate, depository institution,
foreign banking organization, credit union) in the correlation trading portfolio. See
§_.210(b)(2) of the market risk capital rule.
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Item No. Caption and Instructions
21

Equity positions. Report the standardized specific risk add-ons for long equity
positions in the correlation trading portfolio. See §_.210(e) of the market risk capital
rule.

22

For all institutions, capital requirements for securitization positions using the
SSFA or applying a specific risk-weighting factor of 100 percent. For any long
position in the correlation trading portfolio that meets the definition of a securitization
position in §_.202 of the market risk capital rule, report the specific risk amount as
calculated under §_.210 of the market risk capital rule. See §_.210(b)(2)(vii)(A)(1)
of the market risk capital rule. For purposes of this item, a market risk institution
may not use the Supervisory Formula Approach (SFA) in §_.210(b)(2)(vii)(B) of the
market risk capital rule.

23

For advanced approaches institutions, capital requirements for securitization
positions using the SFA. For a market risk institution that is subject to the
“advanced approaches rule,” report the specific risk amounts for the long
securitization exposures in the correlation trading portfolio that are calculated using
the SFA, which is described in §_.210(b)(2)(vii)(B) of the market risk capital rule.
See §_.210(b)(2)(vii)(A)(2) of the market risk capital rule.

24

For advanced approaches institutions, capital requirements for securitization
positions using the SSFA or applying a specific risk-weighting factor of
100 percent. For a market risk institution that is subject to the “advanced approaches
rule,” report the specific risk amounts for the long securitization exposures in the
correlation trading portfolio that are calculated using the SSFA method or by
assigning a specific risk-weighting factor of 100 percent, as described in
§_.210(b)(2)(vii)(A)(2) of the market risk capital rule.

25

For advanced approaches institutions, sum of items 23 and 24. Report the sum of
items 23 and 24.

26

Standardized measure of specific risk add-ons for net long correlation trading
positions. Report the “standardized” specific risk add-ons for long correlation
trading portfolio positions (for purposes of the floor), which equals the sum of
items 20, 21, and 22.

27

For advanced approaches institutions, advanced measure of specific risk add-ons
for net long correlation trading positions. For a market risk institution that is
subject to the “advanced approaches rule,” report the “advanced” specific risk addons for long correlation trading portfolio positions (for purposes of the floor), which
equals the sum of items 20, 21, and 25.

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Item No. Caption and Instructions
Standardized specific risk add-ons for net short correlation trading positions
28

Debt positions. Report the standardized specific risk add-ons for short debt positions
(e.g., sovereign, government-sponsored entity, corporate, depository institution,
foreign banking organization, credit union) in the correlation trading portfolio. See
§_.210(b)(2) of the market risk capital rule.

29

Equity positions. Report the standardized specific risk add-ons for short equity
positions in the correlation trading portfolio. See §_.210(e) of the market risk capital
rule.

30

For all institutions, capital requirements for securitization positions using the
SSFA or applying a specific risk-weighting factor of 100 percent. For any short
position in the correlation trading portfolio that meets the definition of a securitization
position in §_.202 of the market risk capital rule, report the specific risk amount as
calculated under §_.210 of the market risk capital rule. See §_.210 (b)(2)(vii)(A)(1)
of the market risk capital rule. For purposes of this item, a market risk institution
may not use the Supervisory Formula Approach (SFA) in §_.210(b)(2)(vii)(B) of the
market risk capital rule.

31

For advanced approaches institutions, capital requirements for securitization
positions using the SFA. For a market risk institution that is subject to the
“advanced approaches rule,” report the specific risk amounts for the short
securitization exposures in the correlation trading portfolio that are calculated using
the SFA, which is described in §_.210(b)(2)(vii)(B) of the market risk capital rule.
See §_.210(b)(2)(vii)(A)(2) of the market risk capital rule.

32

For advanced approaches institutions, capital requirements for securitization
positions using the SSFA or applying a specific risk-weighting factor of
100 percent. For a market risk institution that is subject to the “advanced approaches
rule,” report the specific risk amounts for the short securitization exposures in the
correlation trading portfolio that are calculated using the SSFA method or by
assigning a specific risk-weighting factor of 100 percent, as described in
§_.210(b)(2)(vii)(A)(2) of the market risk capital rule.

33

For advanced approaches institutions, sum of items 31 and 32. Report the sum of
items 31 and 32.

34

Standardized measure of specific risk add-ons for net short correlation trading
positions. Report the “standardized” specific risk add-ons for short correlation
trading portfolio positions (for purposes of the floor), which equals the sum of
items 28, 29, and 30.

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Item No. Caption and Instructions
35

For advanced approaches institutions, advanced measure of specific risk add-ons
for net short correlation trading positions. For a market risk institution that is
subject to the “advanced approaches rule,” report the “advanced” specific risk addons for short correlation trading portfolio positions (for purposes of the floor), which
equals the sum of items 28, 29, and 33.

36

Standardized measure of specific risk add-ons. The “standardized” specific risk
add-on for purposes of the floor is based on the greater of the specific risk add-ons in
item 26 or item 34. Report the greater of item 26 or item 34 in item 36.

37

Surcharge for modeled correlation trading positions. The “standardized”
surcharge for modeled correlation trading positions equals item 36 multiplied by 0.08.
Report that product in item 37.

38

For advanced approaches institutions, advanced measure of specific risk add-ons.
For a market risk institution that is subject to the “advanced approaches rule,” the
“advanced” specific risk add-on for purposes of the floor is based on the greater of
the specific risk add-ons in item 27 or item 35. Report the greater of item 27 or
item 35 in item 38.

39

For advanced approaches institutions, surcharge for modeled correlation trading
positions. For a market risk institution that is subject to the “advanced approaches
rule,” the “advanced” surcharge for modeled correlation trading positions equals
item 38 multiplied by 0.08. Report that product in item 39.

NOTE: For market risk institutions that have a “comprehensive risk model,” the final
comprehensive risk model capital requirement is different for an institution that has met the
requirements for model approval for a period of one year than for an institution that has not met
the one-year effectiveness demonstration. See §_.209(a)(2)(i) of the market risk capital rule.
NOTE: For market risk institutions that have a “comprehensive risk model,” items 40, 41,
and 42 are to be completed for report dates before such an institution has received supervisory
approval of its comprehensive risk model effectiveness.
40

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Most recent standardized comprehensive risk measure. Prior to the completion of
the one-year effectiveness demonstration, the most recent “standardized”
comprehensive risk measure for the correlation trading portfolio equals the sum of
items 19 and 37. Report that sum in item 40. See §_.209(a)(2)(i) and §_.209(d)(2) of
the market risk capital rule.

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Item No. Caption and Instructions
41

Average standardized comprehensive risk measure over the previous 12 weeks.
Report the average of the standardized comprehensive risk measures calculated over
the previous 12 weeks, which is calculated as the sum of the modeled measure of all
price risk averaged over the previous 12 weeks and the standardized surcharge for
modeled correlation trading positions averaged over the previous 12 weeks. See
§_.209(a)(2)(i) and §_.209(d)(1) of the market risk capital rule.

42

Standardized comprehensive risk measure. Report the greater of item 40 or
item 41 in item 42.

NOTE: For market risk institutions that have a “comprehensive risk model” and are advanced
approaches institutions, items 43, 44, and 45 are to be completed for report dates before such an
institution has received supervisory approval of its comprehensive risk model effectiveness.
43

For advanced approaches institutions, most recent advanced comprehensive risk
measure. For a market risk institution that is subject to the “advanced approaches
rule,” prior to the completion of the one-year effectiveness demonstration, the
“advanced” comprehensive risk measure for the correlation trading portfolio equals
the sum of items 19 and 39. Report that sum in item 43. See §_.209(a)(2)(i) and
§_.209(d)(2) of the market risk capital rule.

44

For advanced approaches institutions, average advanced comprehensive risk
measure over the previous 12 weeks. For a market risk institution that is subject to
the “advanced approaches rule,” report the average of the advanced comprehensive
risk measures calculated over the previous 12 weeks, which is calculated as the sum
of the modeled measure of all price risk averaged over the previous 12 weeks and the
advanced surcharge for modeled correlation trading positions averaged over the
previous 12 weeks. See §_.209(d)(1) of the market risk capital rule.

45

For advanced approaches institutions, advanced comprehensive risk measure.
Report the greater of item 43 or item 44 in item 45.

NOTE: For market risk institutions that have a “comprehensive risk model,” items 46, 47,
and 48 are to be completed for report dates after such an institution has received supervisory
approval of its comprehensive risk model effectiveness.
46

FFIEC 102

Most recent standardized comprehensive risk measure. After the completion of
the one-year effectiveness demonstration, the most recent “standardized”
comprehensive risk measure for the correlation trading portfolio equals the greater of
item 19 or item 37. Report the greater of item 19 or item 37 in item 46. See
§_.209(a)(2)(ii) and §_.209(d)(2) of the market risk capital rule.

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Item No. Caption and Instructions
47

Average standardized comprehensive risk measure over the previous 12 weeks.
Report the average of the standardized comprehensive risk measures calculated over
the previous 12 weeks, which is calculated as the greater of the modeled measure of
all price risk averaged over the previous 12 weeks and the standardized surcharge for
modeled correlation trading positions averaged over the previous 12 weeks multiplied
by 0.08. See §_.209(a)(2)(ii) and §_.209(d)(1) of the market risk capital rule.

48

Standardized comprehensive risk measure. Report the greater of item 46 or
item 47 in item 48.

NOTE: For market risk institutions that have a “comprehensive risk model” and are advanced
approaches institutions, items 49, 50, and 51 are to be completed for report dates after such an
institution has received supervisory approval of its comprehensive risk model effectiveness.
49

For advanced approaches institutions, most recent advanced comprehensive risk
measure. For a market risk institution that is subject to the “advanced approaches
rule,” after the completion of the one-year effectiveness demonstration, the most
recent “advanced” comprehensive risk measure for the correlation trading portfolio
equals the greater of item 19 or item 39. Report the greater of item 19 or item 39 in
item 49. See §_.209(a)(2)(ii) and §_.209(d)(2) of the market risk capital rule.

50

For advanced approaches institutions, average advanced comprehensive risk
measure over the previous 12 weeks. For a market risk institution that is subject
to the “advanced approaches rule,” report the average of the comprehensive risk
measures calculated over the previous 12 weeks, which is calculated as the greater
of the modeled measure of all price risk averaged over the previous 12 weeks and
the advanced surcharge for modeled correlation trading positions over the previous
12 weeks. See §_.209(a)(2)(ii) and §_.209(d)(1) of the market risk capital rule.

51

For advanced approaches institutions, advanced comprehensive risk measure.
Report the greater of item 49 or item 50 in item 51.

De minimis positions and other adjustments
52

FFIEC 102

Capital requirement for all de minimis exposures. Report the calculated capital
requirement for all de minimis exposures, which includes the capital requirement for
de minimis exposures using an approved alternative method(s), and the absolute value
of the fair value of de minimis exposures that are not captured in the VaR-based
measure or through an approved alternative method. See §_.204(a)(2)(vi) of the
market risk capital rule.

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Item No. Caption and Instructions
53

Additional capital requirement. Report any other adjustments a market risk
institution is required to make by its primary federal supervisor. Such adjustments
could include those required by the market risk institution’s primary federal
supervisor under a general reservation of authority, or the assignment of a different
multiplication factor to be applied in the calculation of the VaR- and Stressed VaRbased capital requirements.

54

Sum of items 52 and 53. Report the sum of items 52 and 53.

Market risk-weighted assets
Market risk-weighted assets are calculated for the “standardized” approach and, if applicable, for
the “advanced” approach.
55

Standardized market risk-weighted assets. “Standardized” market risk-weighted
assets equal the sum of items 4, 7, 14, 18 (if applicable), 42 or 48 (as appropriate),
and 54 multiplied by 12.5. Item 42 is used if the market risk institution has not
completed the one-year effectiveness demonstration. Item 48 is used if the market
risk institution has completed the one-year effectiveness demonstration.

56

For advanced approaches institutions, advanced market risk-weighted assets.
For a market risk institution that is subject to the “advanced approaches rule,”
“advanced” market risk-weighted assets equal the sum of items 4, 7, 15, 18 (if
applicable), 45 or 51 (as appropriate), and 54 multiplied by 12.5. Item 45 is used if
the market risk institution has not completed the one-year effectiveness
demonstration. Item 51 is used if the market risk institution has completed the oneyear effectiveness demonstration.

FFIEC 102

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FFIEC 102

ITEM INSTRUCTIONS

Memoranda
Item No. Caption and Instructions
Items related to the previous day’s Value-at-risk (VaR)-based measure
1

VaR-based measure for interest rate positions. Report the previous day’s VaR
measure (inclusive of all internally modeled specific risk) for covered positions that
the market risk institution manages as an interest rate position. These positions are
subject to market risk that is attributable to changes in interest rates. See
§_.204(a)(2)(i)(A) and §_.205 of the market risk capital rule.

2

VaR-based measure for debt positions. Report the previous day’s VaR measure
(inclusive of all internally modeled specific risk) for covered positions that the market
risk institution manages as debt or securitization exposures. These positions are
subject to market risk that is attributable to changes in interest rates and credit risk.
See §_.204(a)(2)(i)(A) and §_.205 of the market risk capital rule.

3

VaR-based measure for equity positions. Report the previous day’s VaR measure
(inclusive of all internally modeled specific risk) for covered positions that the market
risk institution manages as an equity security or an equity index. These positions are
subject to market risk that is attributable to changes in equity prices. See
§_.204(a)(2)(i)(A) and §_.205 of the market risk capital rule.

4

VaR-based measure for foreign exchange positions. Report the previous day’s
VaR measure (inclusive of all internally modeled specific risk) for covered positions
that the market risk institution manages as foreign exchange positions. These
positions are subject to market risk that is attributable to changes in foreign exchange
rates. See §_.204(a)(2)(i)(A) and §_.205 of the market risk capital rule.

5

VaR-based measure for commodity and other positions. Report the previous
day’s VaR measure (inclusive of all internally modeled specific risk) for commodity
positions and all other covered positions not included in Memorandum items M.1
through M.4. See §_.203(e), §_.204(a)(2)(i)(A), and §_.205 of the market risk capital
rule.

6

Modeled specific risk included in the previous day’s VaR-based measure that is
not included in Memorandum items 1 through 5. Report modeled specific risk
included in the previous day’s VaR-based measure that is not included in
Memorandum items M.1 through M.5. See §_.204(a)(2)(iii) and §_.207 of the market
risk capital rule.

FFIEC 102

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Memoranda
Item No. Caption and Instructions
Items related to the average of the daily VaR-based measure for each of the preceding
60 business days (with applicable multiplication factor)
In Memorandum items M.7 through M.12, report the averages of the daily VaR-based
measures reportable in Memorandum items M.1 through M.6, respectively, for each of the
preceding 60 business days.
7

VaR-based measure for interest rate positions. Report the average VaR for
interest rate positions. See §_.204(a)(2)(i)(B) and §_.205 of the market risk capital
rule.

8

VaR-based measure for debt positions. Report the average VaR for debt and
securitization positions. See §_.204(a)(2)(i)(B) and §_.205 of the market risk capital
rule.

9

VaR-based measure for equity positions. Report the average VaR for equity
positions. See §_.204(a)(2)(i)(B) and §_. 205 of the market risk capital rule.

10

VaR-based measure for foreign exchange positions. Report the average VaR for
foreign exchange positions. See §_.204(a)(2)(i)(B) and §_.205 of the market risk
capital rule.

11

VaR-based measure for commodity and other positions. Report the average VaR
for commodity and other positions. See §_.203(e), §_.204(a)(2)(i)(B), and §_.205 of
the market risk capital rule.

12

Modeled specific risk included in the average of the daily VaR-based measure
that is not included in Memorandum items 7 through 11. Report the average VaR
for modeled specific risk not included in Memorandum items M.1 through M.5. See
§_.204(a)(2)(iii) and §_.207 of the market risk capital rule.

Backtesting (over the most recent calendar quarter)
13

FFIEC 102

Number of trading days in the calendar quarter with a trading profit. Report the
total number of trading days in the calendar quarter with a trading profit. Trading
profit for backtesting purposes should exclude fees, commissions, reserves, net
interest income, and intraday trading profit or loss. See §_.204(b) of the market risk
capital rule.

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FFIEC 102

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Memoranda
Item No. Caption and Instructions
14

Number of trading days in the calendar quarter with a trading loss. Report the
total number of trading days in the calendar quarter with a trading loss. (The number
reported in this item plus the number reported in Memorandum item 13 should sum to
the total number of trading days in the quarter.) Trading loss for backtesting purposes
should exclude fees, commissions, reserves, net interest income, and intraday trading
profit or loss. See §_.204(b) of the market risk capital rule.

15

Number of trading days in the calendar quarter where the trading day’s trading
loss exceeded the respective VaR estimate. Report the total number of trading days
in the calendar quarter with a trading loss that exceeded the previous day’s VaR
calculation. See §_.204(b) of the market risk capital rule.

16

The largest ratio of a daily trading loss to that trading day’s VaR measure in the
calendar quarter. Report the ratio of daily trading loss to previous day’s VaR
calculation for the single day in the calendar quarter with the largest such ratio. See
§_.204(b) of the market risk capital rule.

17

The second largest ratio of a daily trading loss to that trading day’s VaR
measure in the calendar quarter. Report the ratio of daily trading loss to previous
day’s VaR calculation for the single day in the calendar quarter with the second
largest such ratio. See §_.204(b) of the market risk capital rule.

18

The third largest ratio of a daily trading loss to that trading day’s VaR measure
in the calendar quarter. Report the ratio of daily trading loss to previous day’s VaR
calculation for the single day in the calendar quarter with the third largest such ratio.
See §_.204(b) of the market risk capital rule.

19

The start date of the stress period used to measure the stressed VaR. Report the
starting date of the stress period used to measure stressed VaR. See §_.207 of the
market risk capital rule.

20

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

21

Total specific risk add-ons for non-modeled net long securitization positions.
Report the total standardized specific risk add-ons for all net long securitization
positions.

22

Total specific risk add-ons for non-modeled net short securitization positions.
Report the total standardized specific risk add-ons for all net short securitization
positions.

FFIEC 102

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