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- 12 CFR Part 3 Subpart F -- Risk-Weighted Assets—Market Risk
This subpart F establishes risk-based capital requirements for national banks or Federal savings associations with significant exposure to market risk, provides methods for these national banks or Federal savings associations to calculate their standardized measure for market risk and, if applicable, advanced measure for market risk, and
- Frequently asked questions on market risk capital requirements
The CSR charge applies to money market instruments to the extent such instruments are covered instruments (ie they meet the definition of instruments to be included in the trading book as specified in paragraphs 8 to 20 of the standard Minimum capital requirements for market risk)
- FRB: Supervisory Letter SR 09-1 on Application of the Market Risk Rule . . .
For covered positions that are not modeled, an organization must apply standard specific-risk capital charges to those positions as set forth in the rule In all cases, internal models must meet the quantitative requirements set forth in the MRR and be approved by the Federal Reserve
- 12 CFR 1240. 203 -- Requirements for managing market risk.
At a minimum, these policies and procedures must require: (i) Marking covered positions to market or to model on a daily basis; (ii) Daily assessment of the Enterprise's ability to hedge position and portfolio risks, and of the extent of market liquidity;
- RBC25 - Boundary between the banking book and the trading book
The Basel Framework is the full set of standards of the Basel Committee on Banking Supervision (BCBS), which is the primary global standard setter for the prudential regulation of banks
- Supporting Statement for the Market Risk Capital Rule (FR 4201; OMB No . . .
Section 217 203(b)(1) requires subject banking organizations to have clearly defined policies and procedures for actively managing all covered positions, and at a minimum, these policies and procedures must require (1) marking positions to market or to model on a daily basis, (2) daily assessment of the banking organization’s ability to hedge
- 12 CFR Part 50 -- Liquidity Risk Measurement Standards
This part establishes a minimum liquidity standard and a minimum stable funding standard for certain national banks and Federal savings associations on a consolidated basis, as set forth herein (b) Applicability
- MAR10 - Definition and application for market risk
This chapter defines market risk, the scope and coverage of market risk capital requirements and the methods available for calculating market risk capital requirements
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