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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
12/22/2014  NR 2014-175, Banking Agencies' Statement Regarding The Basel Committee's Consultative Paper "Revisions to the Standardized Approach for Credit Risk"
12/19/2014  NR 2014-174, Agencies Release Annual CRA Asset-Size Threshold Adjustments for Small and Intermediate Small Institutions
12/18/2014  OCC 2014-62, Regulatory Capital-Proposed Changes to the Regulatory Capital Rule: Notice of Proposed Rulemaking