FED proposed to extend for three years, with revision, the information collection under the market risk capital rule (FR 4201; OMB No. 7100-0314). FED also published a draft supporting statement on information collection under the market risk capital rule. Comments must be submitted by June 10, 2019. There are no required reporting forms associated with the information collection and the FR 4201 designation is for internal purposes only.
The market risk rule requires banking organizations to hold capital to cover their exposure to market risk and is an important component of the regulatory capital framework. The respondents for this collection of information are bank holding companies, savings and loan holding companies, intermediate holding companies, and state member banks that meet certain risk thresholds. The information collections allow FED to assess 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 rule. Additionally, these collections of information ensure capital adequacy of banking organizations according to their level of market risk and assist FED in implementing and validating the market risk framework. The current annual burden for the FR 4201 is estimated to be 70,704 hours and the proposed revisions would result in a net decrease in burden of 57,556 hours.
The market risk rule requires a subject banking organization to obtain the FED approval prior to using any internal model to calculate its risk-based capital requirements. The market risk rule also requires subject banking organizations to:
- Have clearly defined policies and procedures for determining which trading assets and trading liabilities are trading positions and which trading positions are correlation trading positions
- Have clearly defined trading and hedging strategies for trading positions
- Retain certain financial and statistical information regarding the institution's FED-approved subportfolios of its portfolio exposures subject to the market risk rule
- Have a formal disclosure policy that addresses the banking organization's approach for determining the market risk disclosures
- Make certain public quantitative disclosures
Comment Due Date: June 10, 2019
Keywords: Americas, US, Banking, Market Risk Capital Rule, FR 4201, Regulatory Capital, Regulation Q, Market Risk, FED
Previous ArticleEuropean Council Adopts Reform of Capital Requirements for Bank NPLs
EBA finalized the two sets of draft regulatory technical standards on the identification of material risk-takers and on the classes of instruments used for remuneration under the Investment Firms Directive (IFD).
EC published, in the Official Journal of the European Union, a notification that the European Court of Auditors (ECA) has published a special report on resolution planning in the Single Resolution Mechanism.
BoE published a scenario against which it will be stress testing banks in 2021, in addition to setting out the key elements of the 2021 stress test, guidance on the 2021 stress test, and the variable paths for the 2021 stress test.
PRA published a consultation paper (CP3/21) proposes rules regarding the timing of identity verification required for eligibility of depositor protection under the Financial Services Compensation Scheme (FSCS).
FSB published the work program for 2021, which reflects a strategic shift in priorities in the COVID-19 environment.
FCA announced that 50% firms have started using the new data collection platform RegData, which is slated to replace the existing platform known Gabriel.
Bundesbank published Version 5.0 of the derivation rules for completeness check at the form level, with respect to the data quality of the European harmonized reporting system.
FED finalized a rule that updates capital planning requirements to reflect the new framework from 2019 that sorts large banks into categories, with requirements that are tailored to the risks of each category.
ECB published results of the quarterly lending survey conducted on 143 banks in the euro area.
ESAs published the final draft implementing technical standards on reporting of intra-group transactions and risk concentration of financial conglomerates subject to the supplementary supervision in EU.