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 FDIC-supervised institution, with an analysis of important outliers. (2) In addition, the FDIC-supervised institution 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 FDIC-supervised institution's valuation policies, procedures, and methodologies f

official document · source cfr-2024 · id 12:§ 324.212