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July 25 -- Office of the Comptroller of the Currency (OCC), Treasury; Board of Governors of the Federal Reserve System (Board); and Federal Deposit Insurance Corporation (FDIC) invites comments on the extension for three years, without revision, the Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule (FFIEC 102), which is currently an approved collection of information for each agency. Comments must be submitted on or before August 24, 2022.

The Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule (FFIEC 102) is filed quarterly with the agencies and provides information for market risk institutions, defined for this purpose as those institutions that are subject to the market risk capital rule as incorporated into Subpart F of the agencies' regulatory capital rules (market risk institutions). Each market risk institution is required to file 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: (a) 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; (b) provides the most current statistical data available to identify areas of market risk on which to focus for onsite and offsite examinations; (c) 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 (d) assists market risk institutions in validating their implementation of the market risk framework.

In July 2013, the agencies adopted the market risk capital rule.  The market risk capital rule requires 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 are subject to the agencies’ market risk capital rule1 report their market risk equivalent assets in the Consolidated Reports of Condition and Income (Call Report) (FFIEC 031 or FFIEC 041) or the Consolidated Financial Statements for Holding Companies (FR Y-9C), as applicable.  The Call Report only shows the end result, but does not include the key components of the calculation of market risk.   

The FFIEC 102 report fills this gap by expanding the information to all key components of the calculation. The additional detail allows the agencies 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.  Each market risk institution (institutions that are subject to the market risk capital rule as incorporated into 12 CFR 3.201 of the revised regulatory capital rules) is required to file the FFIEC 102.  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 rule.  

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.  This component reporting allows supervisors to better understand model-implied diversification benefits for individual market risk institutions.  The data also enhances 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 the agencies’ onsite examination efforts.   

The market risk information collected in the FFIEC 102: (a) 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; (b) provides the most current statistical data available to identify areas of market risk on which to focus for onsite and offsite examinations; (c) 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 (d) assists market risk institutions to implement and validate the market risk framework.

These reports help the agencies identify and appropriately reflect these risks in assessments of the safety and soundness of market risk institutions.
 
FFIEC 102 submission to OMB: https://www.reginfo.gov/public/do/PRAViewICR?ref_nbr=202207-1557-004 Click on IC List for data collection instrument, View Supporting Statement for technical documentation. Submit comments through this site or as instructed in FRN.
FRN: https://www.federalregister.gov/d/2022-15888

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