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

FT

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

DR
A

Effective December 31, 2016

This draft revised report form reflects the proposed revisions to
the FFIEC 102 discussed in the banking agencies’
initial Paperwork Reduction Act Federal Register notice
published on July 5, 2016. The Federal Register notice
for this proposal and the draft revised FFIEC 102 instructions
are available at http://www.ffiec.gov/forms102.htm.

Draft as of July 29, 2016

FT

DR
A

This page intentionally left blank.

Board of Governors of the Federal Reserve System OMB Number 7100-0365
Federal Deposit Insurance Corporation
OMB Number 3064-0199
Office of the Comptroller of the Currency
OMB Number 1557-0325
Approval expires TBD
Page 1 of 4

Federal Financial Institutions Examination Council

Market Risk Regulatory Report for Institutions Subject
to the Market Risk Capital Rule—FFIEC 102
Report at the close of business
Month / Day / Year (MRRR 9999)

(Savings and loan holding companies), 12 U.S.C. § 5365
(Intermediate holding companies);12 U.S.C. § 1817 (Insured state
nonmember commercial and savings banks), and 12 U.S.C. §
1464 (Savings associations).

The FFIEC 102 is to be prepared in accordance with federal regulatory
authority instructions. The report must be signed by a senior officer of
the reporting entity who can attest that the information submitted in this
report meets the requirements set forth in 12 CFR Part 3, Subpart F
(OCC); 12 CFR Part 217, Subpart F (Federal Reserve); 12 CFR Part 324,
Subpart F (FDIC) (market risk capital rule); and the FFIEC 102 reporting
instructions. The senior officer may be the chief financial officer, the chief
risk officer, or the equivalent senior officer.

To fulfill the signature and attestation requirement for the FFIEC
102 for this report date, attach the reporting entity's completed
signature page (or a photocopy or a computer-generated version
of this page) to the hard-copy record of the data file submitted
electronically that the reporting entity must place in its files.

FT

This report is required by law: 12 U.S.C. § 161 (National banks),
12 U.S.C. § 324 and 12 U.S.C. § 1844(c) (State member banks
and Bank holding companies, respectively), 12 U.S.C. § 1467a(b)

DR
A

I, the undersigned senior officer of the named bank, bank holding
company, savings association, or savings and loan holding company,
or intermediate holding company attest that the FFIEC 102 report for
this report date has been prepared in conformance with the
instructions issued by the federal regulatory authority and that the
reported information meets the requirements set forth in the market
risk capital rule to the best of my knowledge and belief.

The appearance of the reporting entity's hard-copy record of the
submitted data file need not match exactly the appearance of the
FFIEC's sample report forms, but should show the caption of
each reported item and the reported amount.

Printed Name of Senior Officer (MRRR C490)

Legal Title of Reporting Entity (MRRR 9017)

Signature of Senior Officer

Mailing Address of the Reporting Entity Street / PO Box (MRRR 9110)

Title of Officer (MRRR C491)

City (MRRR 9130)

Date of Signature (MM/DD/YYYY) (MRRR J196)

State Abbreviation (MRRR 9200)

Legal Entity Identifier (LEI) of the Reporting Entity (Report only if the
reporting entity already has an LEI.) (MRRR XXXX)

Zip Code (MRRR 9220)

Person to whom questions about this report should be directed:

Name / Title (MRRR 8901)

Area Code / Phone Number (MRRR 8902)

For Federal Reserve Bank Use Only
Area Code / FAX Number (MRRR 9116)

RSSD ID
C.I.
E-mail Address of Contact (MRRR 4086)
The estimated average reporting burden for this information collection is 12 hours per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. A federal agency may not conduct or sponsor, and an organization (or a person) is not required to respond to a collection of information, unless it
displays a currently valid OMB control number. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden,
should be directed to the Office of Information and Regulatory Affairs, Office of Management and Budget, Washington, DC 20503, and to one of the following: Secretary, Board of
Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551; Legislative and Regulatory Analysis Division, Office of the Comptroller of the Currency,
Washington, DC 20219; Assistant Executive Secretary, Federal Deposit Insurance Corporation, Washington, DC 20429.

12/2016

FFIEC 102
Page 2 of 4

Dollar Amounts in Thousands MRRR
Value-at-risk (VaR)-based Capital Requirement
1. Previous day's VaR-based measure .................................................................................. S298
2. Average of the immediately preceding 60 business days VaR-based measures.......................... S299

Amount

MRRR

Number

1.
2.

3. Multiplication factor: equal to a value of 3.00 or higher (based on backtesting) 1 .......................... S300
MRRR
4. Greater of item 1 or (item 2 multiplied by item 3) .................................................................. S301

3.
Amount

4.

5.
6.
7.

Specific Risk Add-ons
8. Debt positions .............................................................................................................. S305
9. Equity positions ............................................................................................................ S306

8.
9.

10. 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 .................. S307

10.

FT

Stressed VaR-based Capital Requirement
5. Most recent stressed VaR-based measure.......................................................................... S302
6. Item 3 times the average of the preceding 12 weeks stressed VaR-based measures ................... S303
7. Greater of item 5 or item 6 .............................................................................................. S304

11. For advanced approaches institutions, capital requirements for securitization positions using the
Supervisory Formula Approach (SFA) ................................................................................ S308
12. For advanced approaches institutions, capital requirements for securitization positions using the
SSFA or applying a specific risk-weighting factor of 100 percent.............................................. S309
13. For advanced approaches institutions, sum of items 11 and 12 ............................................... S310

DR
A

14. Standardized measure of specific risk add-ons (sum of items 8, 9, and 10) ............................... S311
15. For advanced approaches institutions, advanced measure of specific risk add-ons
(sum of items 8, 9, and 13) .............................................................................................. S312

11.
12.
13.
14.
15.

Items 16 through 18 are not applicable to an institution that does not calculate a modeled measure
of incremental risk.

Incremental Risk Capital Requirement
16. Most recent incremental risk measure ............................................................................... S313
17. Average of the previous 12 weeks measure of incremental risk............................................... S314
18. Greater of item 16 or item 17 ........................................................................................... S315

16.
17.
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 ..................................................................... S316

19.

Standardized Specific Risk Add-ons for Net Long Correlation Trading Positions
20. Debt positions .............................................................................................................. S319
21. Equity positions ............................................................................................................ S320

20.
21.

22. For all institutions, capital requirements for securitization positions using the SSFA or applying a
specific risk-weighting factor of 100 percent ........................................................................ S321

22.

23. For advanced approaches institutions, capital requirements for securitization positions using the SFA .. S322
24. For advanced approaches institutions, capital requirements for securitization positions using the
SSFA or applying a specific risk-weighting factor of 100 percent.............................................. S323
25. For advanced approaches institutions, sum of items 23 and 24............................................... S324

23.
24.
25.

1. Report the multiplication factor as a number to two decimal places, e.g., 3.00 and 3.75.
03/2016

FFIEC 102
Page 3 of 4

Dollar Amounts in Thousands MRRR
Standardized Specific Risk Add-ons for Net Long Correlation Trading Positions—Continued
26. Standardized measure of specific risk add-ons for net long correlation trading positions
(sum of items 20, 21, and 22) .......................................................................................... S325
27. For advanced approaches institutions, advanced measure of specific risk add-ons for net long
correlation trading positions (sum of items 20, 21, and 25) ..................................................... S326

Amount

26.
27.

Standardized Specific Risk Add-ons for Net Short Correlation Trading Positions
28. Debt positions .............................................................................................................. S327
29. Equity positions ............................................................................................................ S328

28.
29.

30. For all institutions, capital requirements for securitization positions using the SSFA or applying a
specific risk-weighting factor of 100 percent ........................................................................ S329

30.

FT

31. For advanced approaches institutions, capital requirements for securitization positions using the SFA .. S330
32. For advanced approaches institutions, capital requirements for securitization positions using the
SSFA or applying a specific risk-weighting factor of 100 percent.............................................. S331
33. For advanced approaches institutions, sum of items 31 and 32............................................... S332
34. Standardized measure of specific risk add-ons for net short correlation trading positions
(sum of items 28, 29, and 30) .......................................................................................... S333
35. For advanced approaches institutions, advanced measure of specific risk add-ons for net short
correlation trading positions (sum of items 28, 29, and 33) ..................................................... S334
36. Standardized measure of specific risk add-ons (greater of item 26 or item 34) ........................... S335
37. Surcharge for modeled correlation trading positions (item 36 multiplied by 0.08)......................... S336

DR
A

38. For advanced approaches institutions, advanced measure of specific risk add-ons
(greater of item 27 or item 35) .......................................................................................... S337
39. For advanced approaches institutions, surcharge for modeled correlation trading positions
(item 38 multiplied by 0.08) ............................................................................................. S338

31.
32.
33.

34.
35.
36.
37.

38.
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)....................... H323
41. Average standardized comprehensive risk measure over the previous 12 weeks ........................ H324
42. Standardized comprehensive risk measure (greater of item 40 or item 41) ................................ S339

43. For advanced approaches institutions, most recent advanced comprehensive risk measure
(sum of items 19 and 39) ................................................................................................ H325
44. For advanced approaches institutions, average advanced comprehensive risk measure over the
previous 12 weeks......................................................................................................... H326
45. For advanced approaches institutions, advanced comprehensive risk measure
(greater of item 43 or item 44) .......................................................................................... S340

40.
41.
42.

43.
44.
45.

Items 46 through 51 are to be completed for report dates after an institution has received
supervisory approval of its comprehensive risk model effectiveness.
46. Most recent standardized comprehensive risk measure (greater of item 19 or item 37) ................ H327
47. Average standardized comprehensive risk measure over the previous 12 weeks ........................ H328
48. Standardized comprehensive risk measure (greater of item 46 or item 47) ................................ S341

49. For advanced approaches institutions, most recent advanced comprehensive risk measure
(greater of item 19 or item 39) .......................................................................................... H329
50. For advanced approaches institutions, average advanced comprehensive risk measure over the
previous 12 weeks......................................................................................................... H330
51. For advanced approaches institutions, advanced comprehensive risk measure
(greater of item 49 or item 50) .......................................................................................... S342

46.
47.
48.

49.
50.
51.

03/2015

FFIEC 102
Page 4 of 4

Dollar Amounts in Thousands
De minimis Positions and Other Adjustments
52. Capital requirement for all de minimis exposures .................................................................
53. Additional capital requirement ..........................................................................................
54. Sum of items 52 and 53 ..................................................................................................

Amount

MRRR
S343
S344
S345

52.
53.
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 12.5 ................................................................ S581
56. 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 ............................ S347

55.
56.

Memoranda
Amount

MRRR

FT

Dollar Amounts in Thousands
Items related to the previous day's Value-at-risk (VaR)-based measure
1. VaR-based measure for interest rate positions.....................................................................
2. VaR-based measure for debt positions...............................................................................
3. VaR-based measure for equity positions ............................................................................
4. VaR-based measure for foreign exchange positions .............................................................
5. VaR-based measure for commodity and other positions ........................................................
6. Modeled specific risk included in the previous day's VaR-based measure that is not included in
Memorandum items 1 through 5 .......................................................................................

DR
A

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 ..................................................................................

Backtesting (over the most recent calendar quarter)
13. Number of trading days in the calendar quarter with a trading profit .........................................
14. Number of trading days in the calendar quarter with a trading loss...........................................
15. Number of trading days in the calendar quarter where the trading day's trading loss exceeded the
respective VaR estimate .................................................................................................

S348
S349
S350
S351
S352

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

S353

M.6.

S354
S355
S356
S357
S358

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

S359

M.12.
Number

MRRR
S360
S361

M.13.
M.14.
M.15.

S362
MRRR Percentage

16. The largest ratio of a daily trading loss to that trading day's VaR measure in the calendar quarter 1 ......... S363
17. The second largest ratio of a daily trading loss to that trading day's VaR measure in the calendar quarter1 .. S364
18. The third largest ratio of a daily trading loss to that trading day's VaR measure in the calendar quarter1 .. S365
MRRR

M.16.
M.17.
M.18.
Date

19. The starting date of the stress period used to measure the stressed VaR2 ................................. S366

MRRR
20. Number of changes to stress period starting date used in calculations for the preceding 12 weeks....... S367
MRRR
21. Total specific risk add-ons for non-modeled net long securitization positions .............................. S368
22. Total specific risk add-ons for non-modeled net short securitization positions ............................. S369

M.19.
Number

M.20.
Amount

M.21.
M.22.

1. Report the ratio as a percentage, rounded to two decimal places.
2. Report the date in YYYYMMDD format.

03/2016