FFIEC 102 - Market Risk Regulatory Report Guide¶
Overview¶
The FFIEC 102 (Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule) collects information on: - Value-at-Risk (VaR) based measures - Specific risk add-ons - Incremental Risk Capital (IRC) requirement - Comprehensive Risk Measure (CRM) - De minimis positions
Filing Requirements¶
Who Files: Banks, savings associations, and holding companies with: - Aggregate trading assets and trading liabilities >= $1 billion, OR - Aggregate trading assets and trading liabilities >= 10% of total assets
Frequency: Quarterly
OMB Control Number: 7100-0365
Key Schedules¶
| Schedule | Description |
|---|---|
| Schedule A | Market Risk Capital |
| Schedule B | VaR-Based Measures |
| Schedule C | Specific Risk Add-Ons |
| Schedule D | Incremental Risk Capital |
| Schedule E | Comprehensive Risk Measure |
| Schedule F | De Minimis Exemption |
Key MDRM Codes¶
| Mnemonic | Item Code | Description |
|---|---|---|
| MRRR | 4086 | Internet E-mail Address |
| MRRR | 9017 | Legal Name |
| MRRR | 9224 | Legal Entity Identifier (LEI) |
| MRRR | F838 | Reporting Entity Code |
| MRRR | F839 | Primary Federal Regulator Code |
Market Risk Measures¶
Value-at-Risk (VaR)¶
- 10-day, 99% confidence interval
- Used for general market risk
Stressed VaR (sVaR)¶
- VaR using historical period of significant market stress
- Typically 2007-2008 financial crisis period
Incremental Risk Capital (IRC)¶
- Captures default and migration risk
- 1-year horizon, 99.9% confidence level
Comprehensive Risk Measure (CRM)¶
- For correlation trading portfolios
- Includes default, credit migration, and spread risk
Relationship to Other Forms¶
- FFIEC 101: Advanced approaches capital feeds from FFIEC 102 market risk
- FR Y-9C Schedule HC-D: Trading assets/liabilities must reconcile
- Pillar 3 Disclosures: Market risk information disclosed publicly
Data Sources¶
- Instructions: FFIEC 102 Instructions
- Data Dictionary:
csv/FFIEC_102_MARKET_RISK.csv - MDRM Reference: Federal Reserve MDRM Database
Notes¶
- Introduced in 2015 to implement Basel 2.5 market risk amendments
- Subject to ongoing revisions under Basel III Fundamental Review of Trading Book (FRTB)