Ffiec 102 OMB Ss

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, without revision, the
Federal Financial Institutions Examination Council (FFIEC) Market Risk Regulatory Report for
Institutions Subject to the Market Risk Capital Rule (FFIEC 102; OMB No. 7100-0365).
The market risk rule, which requires banking organizations to hold capital to cover their
exposure to market risk, is an important component of the regulatory capital rules that have been
adopted by the Board, the Federal Deposit Insurance Corporation (FDIC), and the Office of the
Comptroller of the Currency (OCC) (collectively, “the agencies”). 1 In order to implement the
market risk rule, the agencies, acting under the auspices of the FFIEC, implemented the
FFIEC 102, which collects key information from respondents on how they measure and calculate
market risk under the regulatory capital rules. The Board’s market risk rule applies to state
member banks (SMBs), bank holding companies (BHCs), covered savings and loan holding
companies (covered SLHCs), 2 and intermediate holding companies (IHCs) with aggregate
reported trading assets and trading liabilities equal to or greater than 10 percent of quarter-end
total assets or $1 billion (collectively, “Board-regulated respondents”). 3 Board-regulated
respondents must file the FFIEC 102 quarterly with the Board.
The estimated annual burden for the FFIEC 102 is 1,824 hours for Board-regulated
respondents. The form and instructions are available on the FFIEC public website at
www.ffiec.gov/ffiec_report_forms.htm.
Background and Justification
The market risk rule is an integral part of the Board’s revised regulatory capital
framework. In order to monitor compliance with the market risk rule, the agencies implemented
the FFIEC 102. The data reported on the FFIEC 102 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 institutions subject to the market risk rule (market risk
institutions). Such component reporting allows supervisors to better understand on an ongoing
basis the adjustments that individual market risk institutions may make to the risk measures
derived from their internal models in order to reflect diversification. 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.
1

The Board’s market risk rule appears at 12 CFR part 217, subpart F.
See 12 CFR 217.2 (defining “covered savings and loan holding company”).
3
The FDIC and OCC will submit similar requests for OMB review with respect to the entities that they require to
file the FFIEC 102.
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The data collected by the FFIEC 102 also allows the agencies to better track growth in
more credit-risk related, less liquid, and less actively traded positions. Historically, the risks of
these products have been difficult to capture and measure. The data collected by the FFIEC 102
helps the agencies identify such risks and ensure that their impact is appropriately reflected in
assessments of the safety and soundness of entities subject to the market risk rule.
Additionally, the information collected in the FFIEC 102 helps the agencies evaluate the
impact and competitive implications of the market risk capital rule on individual market risk
institutions and the industry as a whole, provides the agencies with the most current statistical
data available to identify areas of market risk on which to focus onsite and offsite examinations,
and assists market risk institutions in complying with the market risk rule.
The information collected by the FFIEC 102 is not available from other sources.
Description of Information Collection
The FFIEC 102 collects data on a consolidated basis and is subdivided into several
sections and memoranda. The sum of 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 collects
data relating to a market risk institution’s approved regulatory market risk models, including
details of value-at-risk (VaR)-based measures. The second section collects information on a
market risk institution’s stressed VaR-based measures. The third section collects data 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 collects data related to the risk capital rule’s incremental risk capital requirement.
The fifth section collects 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 composed of 22 line items. Because
these line items do not directly contribute to the determination of market RWAs, they are
reported in the separate Memoranda section. 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.
Because 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 purposes of reporting the VaR- or stressed VaR-based measures on

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the FFIEC 102, market risk institutions may classify their exposures in the same risk categories
in which they are reported internally.
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 via the
following website: https://www.frbservices.org/resources/central-bank/reporting-central.html.

Respondent Panel
The FFIEC 102 panel for the Board comprises SMBs, BHCs, covered SLHCs, and IHCs
with aggregate reported trading assets and trading liabilities equal to or greater than 10 percent of
quarter-end total assets or $1 billion.
Time Schedule for Information Collection
Market risk institutions must file the FFIEC 102 quarterly, as of the last calendar day of
March, June, September, and December. The FFIEC 102 must be submitted through Reporting
Central within 40 calendar days after the March 31, June 30, and September 30 as of dates and
within 45 calendars days after the December 31 as of date. If the submission deadline falls on a
weekend or federal holiday, the report must be received on the first business day after the
weekend or holiday.
Public Availability of Data
The data submitted on the FFIEC 102 is shared among the agencies and made available
to the public at: www.ffiec.gov/NPW.
Legal Status
The FFIEC 102 is authorized pursuant to section 9(6) of the Federal Reserve Act 4 (for
state member banks); section 5(c) of the Bank Holding Company Act 5 (for BHCs); and section
10(b)(3) of the Home Owners’ Loan Act 6 (for covered SLHCs). With respect to IHCs,
section 5(c) of the BHC Act, in conjunction with section 8 of the International Banking Act 7,
authorizes the Board to require FBOs and any subsidiary thereof to file the FFIEC 102. The
FFIEC 102 is mandatory.
Information collected on the FFIEC 102 is generally made public. Individual
respondents, however, may request that information submitted to the Board on the FFIEC 102 be
kept confidential. If a respondent requests confidential treatment, the Board will determine
4

12 U.S.C. § 324.

5

12 U.S.C. § 1844(c).

6

12 U.S.C. § 1467a(b)(3).

7

12 U.S.C. § 3106.

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whether the information is entitled to confidential treatment on a case-by-case basis. Information
may be kept confidential under exemption 4 for the Freedom of Information Act (FOIA), which
protects privileged or confidential commercial or financial information. 8
Consultation Outside the Agency
The Board developed the FFIEC 102 in consultation with the FDIC and OCC. There has
been no consultation outside the agency with respect to the proposed extension, without revision,
of this collection of information.
Public Comments
On June 25, 2019, the agencies published a joint initial notice in the Federal Register (84
FR 29933) requesting public comment for 60 days on the extension, without revision, of the
FFIEC 102. The comment period for this notice will expired on August 26, 2019, and no
comments were received. On October 17, 2019, the agencies published a final notice in the
Federal Register (84 FR 55685).
Estimate of Respondent Burden
As shown in the table below, the estimated total annual burden for the FFIEC 102 is
1,824 hours for Board-regulated respondents. The estimated number of respondents is based on
the number of respondents as of December 31, 2018. These reporting requirements represent less
than 1 percent of the total Board’s total paperwork burden.
Estimated
number of
respondents 9
FFIEC 102

38

Estimated
Annual
average hours
frequency
per response
4

12

Estimated
annual burden
hours
1,824

The estimated total annual cost to the public for this collection of information is
$105,062. 10

8

5 U.S.C. § 552(b)(4).

9

Of these respondents, none are considered a small entity as defined by the Small Business Administration (i.e.,
entities with $600 million or less in total assets), www.sba.gov/contracting/getting-started-contractor/make-sureyou-meet-sba-size-standards/table-small-business-size-standards.
10
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 $19, 45% Financial Managers at
$71, 15% Lawyers at $69, and 10% Chief Executives at $96). 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 2018, published March 29, 2019, 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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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 this report is
estimated to be $263,300 per year.

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