Risk-Based Capital Standards: Market Risk

The Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Board), and the Federal Deposit Insurance Corporation (FDIC) (collectively, the Agencies) are amending their respective risk-based capital standards to incorporate a measure for market risk to cover all positions located in an institution's trading account and foreign exchange and commodity positions wherever located. The final rule implements an amendment to the Basle Capital Accord that sets forth a supervisory framework for measuring market risk. The effect of the final rule is that any bank or bank holding company (institution) regulated by the OCC, the Board, or the FDIC, with significant exposure to market risk must measure that risk using its own internal value-at-risk model, subject to the parameters contained in this final rule, and must hold a commensurate amount of capital.