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More resources for national banks

Market Risk

The market risk capital rule (12 CFR 3 Appendix B) requires a national bank with significant trading activity to measure the market risk of the debt and equity positions in its trading account. The bank must measure and hold capital for its market risk using its internal value-at-risk (VAR) model. The rule outlines quantitative requirements for a bank's internal VAR model, as well as qualitative requirements for the bank's management of market risk. The rule applies to a national bank that meets either of the following two criteria:

  • The sum of the bank's trading assets and liabilities is at least 10 percent of total assets, or
  • The sum of the bank's trading assets and liabilities exceeds $1 billion.

The market risk capital rule also provides the Office of the Comptroller of the Currency (OCC) with flexibility to exempt a bank that meets either of the two criteria as a consequence of accounting, operational, or similar considerations and the OCC determines that such an exemption is consistent with safe and sound banking practices. Notwithstanding any potential exemption from the market risk capital rules, banks with significant trading assets are expected to have adequate risk management and financial controls and practices that allow bank management to determine reliable fair value measurements; identify, measure, monitor, and control the associated risks; and, ensure the bank has sufficient capital to support the risks being taken.

Current Market Risk Rules

New Market Risk Rule References at the Bank for International Settlements (BIS)

Related News and Issuances
Publish DateIdentifierTitle
12/16/2014  NR 2014-169, Agencies Announce Rules to Reflect the ISDA Resolution Stay Protocol in Regulatory Capital and Liquidity Coverage Ratio Rules
11/18/2014  NR 2014-159, Agencies Propose Technical Corrections and Clarifications to the Capital Rules Applicable to Advanced Approaches Banking Organizations
09/26/2014  OCC 2014-47, Regulatory Capital - Supplementary Leverage Ratio: Final Rule