form – updated March 13, 2015 (PDF)
Proposed reporting instructions – updated February 17, 2015 (PDF)
February 2015 Letter (PDF)
September 2014 Letter (PDF)
Final Federal Register Notice - published February 18, 2015. The comment period expires March 20, 2015. (PDF)
Initial Federal Register Notice - published September 2, 2014. The comment period expired November 3, 2014. (PDF)
Description: The proposed reporting form would collect information on reporting institutions’ value-at-risk-based measures, specific risk add-ons, incremental risk capital requirement, comprehensive risk capital requirement, and de minimis positions that pertain to the regulatory capital requirements for market risk under the federal banking agencies’ market risk capital rule incorporated into Subpart F of the revised regulatory capital rules adopted by the federal banking agencies in July 2013. The Memoranda section of the proposed reporting form would collect additional data that pertain to the risk profiles of reporting institutions’ trading activities.
Agency OMB Numbers: To be assigned.
Purpose: The federal banking agencies would use the reported data to assess the reasonableness and accuracy of a reporting institution’s calculation of its minimum capital requirements under the market risk capital rule and evaluate a reporting institution’s capital in relation to its risks.
Background: This reporting form represents the proposed regulatory reporting requirements associated with the market risk capital rule in the federal banking agencies’ July 2013 revised regulatory capital rules. The agencies’ market risk capital rule takes effect January 1, 2015. The proposed reporting requirements would take effect as of March 31, 2015, for institutions subject to the market risk capital rule.
Proposed Respondent Panel: The panel would consist of banks, savings associations, bank holding companies, and savings and loan holding companies that are subject to the federal banking agencies’ market risk capital rule.
Proposed Frequency: Quarterly, as of the last calendar day of March, June, September, and December.
Proposed Public Release: All data reported in the proposed reporting form would be available to the public.
Proposed Reporting Form and Instructions
(PDF) – as of August 29, 2006
Initial Federal Register Notice
– published September 25, 2006. The comment period expired January 23, 2007. (PDF)