Risk-Based Capital Guidelines: Market Risk

OMB 1557-0247

The OCC's market risk capital rules capture positions for which the market risk capital rules are appropriate; reduce procyclicality in market risk capital requirements; enhance the rules’ sensitivity to risks that are not adequately captured under the current regulatory measurement methodologies; and increase transparency through enhanced disclosures.

The latest form for Risk-Based Capital Guidelines: Market Risk expires 2022-06-30 and can be found here.

Latest Forms, Documents, and Supporting Material

Document Name
1557-0247 Market Risk Supporting Statement B3 revision (NPR OMB Submission).docx Supporting Statement A
Section 3.217(f)(2): Annual public disclosures (Disclosure)
Sections 3.217(f)(1) and (f)(3): Quarterly public disclosures (Disclosure)
Section 3.217(e): Location (Disclosure)
Section 3.217(d): Proprietary confidential information (Disclosure)
Section 3.223(b)(10): Historical market data (Recordkeeping)
Sections 3.223(b)(4), (7), and (9): CVA model validation process (Recordkeeping)
Section 3.220(b): CVA hedging policy (Recordkeeping)
Section 3.217(c): Reporting and disclosure policy (Recordkeeping)
Section 3.214(b)(7)(v): Weekly risk factor updates (Recordkeeping)
Section 3.213: Profit and loss attribution (PLA) testing and backtesting (Recordkeeping)
Section 3.203(h)(2)(ii): Securitization data (Recordkeeping)
Sections 3.203(i) and 3.205(h): General recordkeeping (annual) (Recordkeeping)
Section 3.203(h)(2)(i): General recordkeeping (quarterly) (Recordkeeping)
Sections 3.203(c), 3.203(h), 3.208(h)(1)(ii)(B), and 3.214(b)(7)(iv), (vi), & (vii): Demonstrations of compliance (Recordkeeping)
Section 3.203(g): Capital adequacy assessment (Recordkeeping)
Section 3.203(f): Prudent valuation process (Recordkeeping)
Section 3.203(e)(3): Internal audit function (Recordkeeping)
Section 3.203(e)(1): Internal market risk management systems (Recordkeeping)
Section 3.203(b)(2): Trading desk policies (Recordkeeping)
Section 3.203(a)(2): Market risk trading and hedging strategies (Recordkeeping)
Section 3.203(a)(1): Market risk policies and procedures (Recordkeeping)
Section 3.224(d)(3)(ii): Mapping demonstration (Reporting)
Sections 3.204(g)(1)(iii), 3.212(b)(2), and 3.212(c): Model related prior approvals (Reporting)
Prior Approval reporting burdens under part 3, subpart F (Market Risk and Credit Valuation Adjustment)
Market Risk

All Historical Document Collections

202311-1557-002 Comment filed on proposed rule and continue	Revision of a currently approved collection	2023-11-22
202205-1557-005 Approved without change	Extension without change of a currently approved collection	2022-05-31
201811-1557-002 Approved without change	Extension without change of a currently approved collection	2019-02-05
201504-1557-008 Approved without change	Extension without change of a currently approved collection	2015-11-16
201204-1557-003 Approved with change	New collection (Request for a new OMB Control Number)	2012-08-30
201002-1557-001 Comment filed on proposed rule	New collection (Request for a new OMB Control Number)	2011-01-11