FFIEC102_20161013_omb

Supporting Statement for the
Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule
(FFIEC 102; OMB No. 7100-0365)
Summary
The Board of Governors of the Federal Reserve System (Board) requests approval from
the Office of Management and Budget (OMB) to extend for three years, with revision, the
mandatory Federal Financial Institutions Examination Council (FFIEC) Market Risk Regulatory
Report for Institutions Subject to the Market Risk Capital Rule (FFIEC 102; OMB No. 71000365). The FFIEC, of which the Board, the Federal Deposit Insurance Corporation (FDIC), and
the Office of the Comptroller of the Currency (OCC) (the agencies) are members, adopted
revised regulatory capital rules in July 2013 (revised regulatory capital rules). 1 The FFIEC 102
reflects those rules and collect key information from respondents on how they measure and
calculate market risk under the agencies’ revised regulatory capital rules. The FDIC and the
OCC have also submitted a similar request for OMB review for institutions under their
supervision.
Each market risk institution files the FFIEC 102 for the agencies’ use in assessing the
reasonableness and accuracy of the institution’s calculation of its minimum capital requirements
under the market risk capital rule and in evaluating the institution’s capital in relation to its risks.
Additionally, the market risk information collected in the FFIEC 102 (1) permits the agencies to
monitor the market risk profile of and evaluate the impact and competitive implications of the
market risk capital rule on individual market risk institutions and the industry as a whole; (2)
provides the most current statistical data available to identify areas of market risk on which to
focus for onsite and offsite examinations; (3) allows the agencies to assess and monitor the levels
and components of each reporting institution’s risk-based capital requirements for market risk
and the adequacy of the institution’s capital under the market risk capital rule; and (4) assists
market risk institutions to implement and validate the market risk framework. In the Board’s
case, state member banks (SMBs), bank holding companies (BHCs), and savings and loan
holding companies (SLHCs) subject to the market risk rules are required to file the FFIEC 102.
The agencies propose to revise these collections effective December 31, 2016, to (1) have
institutions provide their Legal Entity Identifier (LEI) on both reporting forms, only if they
already have one and (2) add Intermediate Holding Companies (IHCs) to the Board’s respondent
panel and effective March, 31, 2018, to (3) add General Electric Capital Corporation (GECC) to
the Board’s respondent panel. The current annual burden for the FFIEC 102 is estimated to be
1,344 and would increase 144 hours to 1,488 hours.

1

The agencies approved and issued the revised regulatory capital rules in July 2013. The Federal Reserve and the
OCC published the revised regulatory capital rules in the Federal Register on October 11, 2013. See 78 FR 62018.
The FDIC published a revised regulatory capital interim final rule and a final rule with no substantive changes in the
Federal Register on September 10, 2013, and April 14, 2014, respectively. See 78 FR 55340 and 79 FR 20754.

Background and Justification
In July 2013, the agencies adopted amendments to their capital rules, including the
market risk capital rule. The revised market risk capital rule took effect on January 1, 2015, and
contains requirements for the public disclosure of certain information at the consolidated banking
organization level as well as certain additional regulatory reporting by insured depository
institutions (IDIs), BHCs, and SLHCs (BHCs and SLHCs are collectively referred to as “holding
companies” (HCs)).
Those IDIs and HCs that were subject to the agencies’ prior market risk capital rule have
provided the amount of their market risk equivalent assets in reports, such as the Consolidated
Reports of Condition and Income (Call Report) (FFIEC 031 and FFIEC 041; OMB No. 71000036) or the Consolidated Financial Statements for Holding Companies (FR Y-9C; OMB No.
7100-0128), as applicable. These regulatory reporting requirements reveal the end result of the
market risk calculations but do not include the key components of the measurement of market
risk. The agencies proposed the expanded uniform regulatory reporting requirements in order to
assess the reasonableness and accuracy of a market risk institution’s calculation of its minimum
capital requirements under the market risk capital rule and to evaluate a market risk institution’s
capital in relation to its risks. Importantly, the FFIEC 102 allows the agencies to better track
growth in more credit-risk related, less liquid, and less actively traded products subject to the
market risk capital rule. Historically, the risks of these products have been difficult to capture
and measure. These reports are designed to help the agencies in ensuring that these risks are
adequately identified and their impact appropriately reflected in assessments of the safety and
soundness of market risk institutions.
In this regard, the reported data improves the agencies’ ability to monitor the levels of,
and trends in, the components that comprise the market risk measure under the market risk
capital rule within and across market risk institutions. Such component reporting allows
supervisors to better understand on an ongoing basis model-implied diversification benefits for
individual market risk institutions. The data also enhances the agencies’ ability to perform
institution-to-institution comparisons of the drivers underlying market risk institutions’ measures
for market risk, identify potential outliers through market risk institution-to-peer comparisons,
track these drivers over time relative to trends in other risk indicators at market risk institutions,
and focus onsite examination efforts.
Description of Information Collection
The FFIEC 102 regulatory reporting requirements apply on a consolidated basis to each
HC and each IDI that is required to calculate its risk-based capital using the market risk capital
rule. Reporting HCs and IDIs submit reports quarterly in line with efforts to monitor market risk
institutions’ progress toward, and actions under, the market risk capital rule, which requires
regular and consistent reports from all market risk institutions. The FFIEC 102 shows the data
elements within the market risk exposure class that would be reported under the market risk
capital rule.

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The FFIEC 102 is subdivided into several sections and memoranda. The sum of the data
reported in each of the sections are used to calculate a market risk institution’s risk-weighted
assets (RWAs) for market risk. The first section contains data elements relating to a market risk
institution’s approved regulatory market risk models, including details of value-at-risk (VaR)based measures (for the previous day’s VaR measure and the average over the preceding 60
business days). The second section is similar in structure to the first section except that it
includes information on a market risk institution’s stressed VaR-based measures. The third
section contains data elements relating to specific risk add-ons based on a market risk
institution’s debt, equity and non-modeled securitization positions. Securitization positions are
broken out for all market risk institutions and for advanced approaches institutions that are also
market risk institutions, resulting in the separate reporting of a standardized measure and an
advanced measure for specific risk. The fourth section sets forth the data for the incremental risk
capital requirement. The fifth section contains data on the comprehensive risk capital
measurement including the specific risk add-ons for net long and net short correlation trading
positions used in determining a market risk institution’s standardized comprehensive risk
measure, and as applicable, its advanced comprehensive risk measure. The remaining section
contains data elements for de minimis positions. Data elements from these sections combine to
produce standardized market RWAs, and as applicable, advanced approaches market RWAs.
The FFIEC 102 also has a Memoranda section that is comprised of 22 line items.
Because these line items do not directly contribute to the determination of market RWAs, they
would be reported in the separate Memoranda section. The agencies believe that these items
provide additional insight into the risk profile of a market risk institution’s trading activity. For
example, the first twelve lines of the Memoranda section contribute to the agencies’
understanding of the degree to which diversification effects across the principal market risk
drivers are material.
The agencies considered several tradeoffs between the reporting burden on market risk
institutions and the information needs of bank supervisors. One issue that the agencies identified
was that market risk institutions have exposures in certain products that might fit into more than
one of the 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 as subject to foreign exchange risk. Accordingly, for purposes of reporting the VaR- or
stressed VaR-based measures on the FFIEC 102, market risk institutions may classify their
exposures in the same risk categories in which they are reported internally. Similarly, for
purposes of reporting on the FFIEC 102, the agencies have defined diversification benefit 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. The agencies also recognize that some market risk institutions may not adjust for
diversification benefits in their VaR- or stressed VaR-based estimates, and in that case a market
risk institution would not be required to estimate such benefits for purposes of reporting on the
FFIEC 102.

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Proposed Revisions
Legal Entity Identifier
The LEI is a 20-digit alpha-numeric code that uniquely identifies entities that engage in
financial transactions. The recent financial crisis spurred the development of a Global LEI
System (GLEIS). Internationally, regulators and market participants have recognized the
importance of the LEI as a key improvement in financial data systems. The Group of Twenty
(G-20) nations directed the Financial Stability Board to lead the coordination of international
regulatory work and deliver concrete recommendations on the GLEIS by mid-2012, which in
turn were endorsed by the G-20 later that same year. In January 2013, the LEI Regulatory
Oversight Committee (ROC), including participation by regulators from around the world, was
established to oversee the GLEIS on an interim basis. With the establishment of the full Global
LEI Foundation in 2014, the ROC continues to review and develop broad policy standards for
LEIs. The Board, the FDIC, and the OCC are all members of the ROC.
The LEI system is designed to facilitate several financial stability objectives, including
the provision of higher quality and more accurate financial data. In the United States, the
Financial Stability Oversight Council (FSOC) has recommended that regulators and market
participants continue to work together to improve the quality and comprehensiveness of financial
data both nationally and globally. In this regard, the FSOC also has recommended that its
member agencies promote the use of the LEI in reporting requirements and rulemakings, where
appropriate. 2
Effective beginning October 31, 2014, the Board started requiring holding companies to
provide their LEI on the cover pages of the FR Y-6, FR Y-7, and FR Y-10 reports 3 only if a
holding company already has an LEI. Thus, if a reporting holding company does not have an
LEI, it is not required to obtain one for purposes of these Board reports. Additionally, effective
for December 2015, the Board expanded the collection of the LEI to all holding company
subsidiary banking and nonbanking legal entities reportable on certain schedules of the FR Y-10
and in one section of the FR Y-6 and FR Y-7 if an LEI has already been issued for the reportable
entity. With respect to the FFIEC 102, the agencies are proposing to have reporting institutions
provide their LEI on the cover page of each report beginning December 31, 2016, only if an
institution already has an LEI. As with the Board reports, an institution that does not have an
LEI would not be required to obtain one for purposes of reporting it on the FFIEC 102.
Intermediate Holding Companies
On December 14, 2012, the Board invited comment on a notice of proposed rulemaking
(proposed Regulation YY) 4 that would have required a Foreign Banking Organization (FBO)
with $50 billion in non-branch assets to establish a U.S. IHC, imposed enhanced prudential
2
Financial Stability Oversight Council 2015 Annual Report, page 14, at
http://www.treasury.gov/initiatives/fsoc/studies-reports/Documents/2015%20FSOC%20Annual%20Report.pdf.
3
Annual Report of Holding Companies (FR Y-6), Annual Report of Foreign Banking Organizations (FR Y-7); and
Report of Changes in Organizational Structure (FR Y-10) (OMB No. 7100-0297).
4
See 77 FR 76628 (December 28, 2012).

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standards on the U.S. IHC, and required the U.S. IHC to submit any reporting forms in the same
manner and to the same extent as a bank holding company. On February 18, 2014, the Board
adopted a final rule implementing enhanced prudential standards for FBOs (Regulation YY), 5
with certain revisions in response to comments. The Board indicated in the preamble to
Regulation YY that it would address the reporting requirements for U.S. IHCs at a later date.
Accordingly, based on the background provided above, the agencies propose to add U.S. IHCs
that are subject to the market risk capital rule to the FFIEC 102 panel of Board respondents. For
such U.S. IHCs, the agencies are proposing to implement these changes beginning with the
December 31, 2016, report date.
General Electric Capital Corporation
In July 2013, the FSOC determined that material financial distress at General Electric
Capital Corporation (GECC) could pose a threat to U.S. financial stability and that GECC should
be subject to supervision by the Board and to enhanced prudential standards. The FSOC’s basis
for its final determination noted GECC’s interconnections with financial intermediaries through
its financing activities and its funding model as well as a large portfolio of on-balance-sheet
assets comparable to those of the largest U.S. bank holding companies. In particular, FSOC
noted GECC’s significant use of wholesale funding, including short-term wholesale funding
(commercial paper), and use of long-term debt and securitization debt, which could expose other
large financial institutions to GECC’s distress, among other reasons for its determination. GECC
became subject to the Board’s supervision immediately upon the FSOC’s final determination.
As a result GECC is required to submit the FFIEC 102 in the same manner as a bank holding
company beginning March 31, 2018.
Time Schedule for Information Collection and Publication
The FFIEC 102 is collected on a quarterly basis as of the last calendar day of March,
June, September, and December. The report due dates coincide with the report due dates
currently required of IDIs and HCs when filing their respective Call Reports or FR Y-9C reports,
as applicable. The data submitted on the FFIEC 102 is shared among the three agencies and
made available to the public.
Legal Status
The Board’s Legal Division has determined that with respect to BHCs, section 5(c) of the
Bank Holding Company Act (12 U.S.C. § 1844(c)), authorizes the Board to require a BHC and
any subsidiary “to keep the Board informed as to (1) its financial condition, [and] systems for
monitoring and controlling financial and operating risks … .” Section 9(6) of the Federal
Reserve Act (12 U.S.C. § 324) requires SMBs to make reports of condition to their supervising
Reserve Bank in such form and containing such information as the Federal Reserve may require.
With respect to SLHCs, the Board is authorized to require SLHCs to “file with the Board, such
reports as may be required … in such form and for such periods as the Board may prescribe”
(12 U.S.C. § 1467a(b)(2)). Section 165 of the Dodd-Frank Act, section 5(c) of the Bank Holding
Company Act and sections 8(c) and 13 of the International Banking Act authorize the Board to
5

See 79 FR 17240 (March 27, 2014).

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require the reports from IHCs (12 U.S.C. § 5365, 12 U.S.C. § 1844(c), and 12 U.S.C. §§ 3106(c)
and 3108). The obligation to respond is mandatory for institutions subject to the market risk
rule.
The market risk data collected generally are publicly available and so subject to public
disclosure under the Freedom of Information Act (FOIA) (5 U.S.C. § 552(b)). Reporting
institutions could request confidential treatment for such data under FOIA exemption 4 (5 U.S.C.
§ 552(b)(4)). As required information, the data may be withheld under Exemption 4 only if the
public disclosure could result in substantial competitive harm to the submitting institution, under
National Parks and Conservation Association v. Morton, 498 F.2d 765 (D.C. Cir. 1974).
Confidential treatment may be accorded such information under this standard, on a case-by-case
basis, and in response to specific requests.
Consultation Outside the Agency and Discussion of Public Comments
On July 5, 2016, the agencies, under the auspices of the FFIEC, published an initial
notice in the Federal Register (81 FR 43605) requesting public comment for 60 days on the
extension, with revision, of the FFIEC 102 (adding LEI and IHCs). The comment period expired
for this notice expired on September 6, 2016. The agencies did not receive any comments. On
October 13, 2016, the agencies published a final notice in the Federal Register (81 FR 70739).
On December 3, 2014, the Board published a notice in the Federal Register
(79 FR 71768) requesting public comment for 60 days on the revision of the FFIEC 102 (adding
GECC). The comment period for this notice expired on February 2, 2015. The Board did not
receive any comments. On July 24, 2015, the Board published a final notice in the Federal
Register (80 FR 44111).
Estimate of Respondent Burden
The current annual reporting burden for FFIEC 102 is estimated to be 1,344 hours and
would increase to 1,488 hours. The change in the number of respondents reflects the addition of
two IHCs and GECC to the Board’s respondent panel. These reporting requirements represent
less than 1 percent of the total Federal Reserve System paperwork burden.

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Number of
respondents 6

Annual
frequency

Estimated
average hours
per response

Estimated
annual burden
hours

Current
FFIEC 102

28

4

12

1,344

Proposed
FFIEC 102

31

4

12

1,488
144

Change

The current total cost to the public is estimated to be $71,434 and with the proposed revisions
would increase to $79,087 for the FFIEC 102. 7
Sensitive Questions
This collection of information contains no questions of a sensitive nature, as defined by
OMB guidelines.
Estimate of Cost to the Federal Reserve System
The cost to the Federal Reserve System for collecting and processing the FFIEC 102 is
estimated to be $100,000 per year.

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Of these respondents, none are considered a small entity as defined by the Small Business Administration (i.e.,
entities with $550 million or less in total assets) www.sba.gov/contracting/getting-started-contractor/make-sure-youmeet-sba-size-standards/table-small-business-size-standards.
7
Total cost to the public was estimated using the following formula: percent of staff time, multiplied by annual
burden hours, multiplied by hourly rates (30% Office & Administrative Support at $17, 45% Financial Managers at
$65, 15% Lawyers at $66, and 10% Chief Executives at $89). Hourly rates for each occupational group are the
(rounded) mean hourly wages from the Bureau of Labor and Statistics (BLS), Occupational Employment and Wages
May 2015, published March 30, 2016, www.bls.gov/news.release/ocwage.t01.htm. Occupations are defined using
the BLS Occupational Classification System, www.bls.gov/soc/.

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