Market risk disclosures.

CFR · 2024-01-01 · US · Title 12

(a) (b) (c) (i) The high, low, and mean VaR-based measures over the reporting period and the VaR-based measure at period-end; (ii) The high, low, and mean stressed VaR-based measures over the reporting period and the stressed VaR-based measure at period-end; (iii) The high, low, and mean incremental risk capital requirements over the reporting period and the incremental risk capital requirement at period-end; (iv) The high, low, and mean comprehensive risk capital requirements over the reporting period and the comprehensive risk capital requirement at period-end, with the period-end requirement broken down into appropriate risk classifications (for example, default risk, migration risk, correlation risk); (v) Separate measures for interest rate risk, credit spread risk, equity price risk, foreign exchange risk, and commodity price risk used to calculate the VaR-based measure; and (vi) A comparison of VaR-based estimates with actual gains or losses experienced by the national bank or Federal savings association, with an analysis of important outliers. (2) In addition, the national bank or Federal savings association must disclose publicly the following information at least quarterly: (i) The aggregate amount of on-balance sheet and off-balance sheet securitization positions by exposure type; and (ii) The aggregate amount of correlation trading positions. (d) (1) The composition of material portfolios of covered positions; (2) The national bank's or Federal savings association'

official document · source cfr-2024 · id 12:§ 3.212