Market risk disclosures.

CFR · 2024-01-01 · US · Title 12

(a) (b) (c) (d) (i) Exposure amounts for each product type included in covered positions as described in § 1240.202; and (ii) Risk-weighted assets for each product type included in covered positions as described in § 1240.202. (2) In addition, the Enterprise must disclose publicly the aggregate amount of on-balance sheet and off-balance sheet securitization positions by exposure type at least quarterly. (e) (1) The composition of material portfolios of covered positions; (2) The Enterprise's valuation policies, procedures, and methodologies for covered positions including, for securitization positions, the methods and key assumptions used for valuing such positions, any significant changes since the last reporting period, and the impact of such change; (3) The characteristics of the internal models used for purposes of this subpart; (4) A description of the approaches used for validating and evaluating the accuracy of internal models and modeling processes for purposes of this subpart; (5) For each market risk category (that is, interest rate risk, credit spread risk, equity price risk, foreign exchange risk, and commodity price risk), a description of the stress tests applied to the positions subject to the factor; (6) The results of the comparison of the Enterprise's internal estimates for purposes of this subpart with actual outcomes during a sample period not used in model development; and (7) A description of the Enterprise's processes for monitoring changes in the marke

official document · source cfr-2024 · id 12:§ 1240.205