Proposed Reporting Schedule and Instructions (PDF)
Proposed Reporting Schedule (Excel)

Initial Federal Register Notice - published September 25, 2006. The comment period expires January 23, 2007. (PDF)

Description: The proposed reporting schedule would collect information on reporting entities' value-at-risk measures, specific risk charges, and market risk exposures that pertain to the regulatory capital requirements for market risk under the federal banking agencies' proposed revisions to their existing market risk capital framework. (The proposed market risk rule provides a new market risk capital assessment framework for OTS-regulated institutions.)

Agency OMB Numbers: To be assigned.

Purpose: The federal banking agencies would use the reported data to assess the reasonableness and accuracy of a reporting entity's calculation of its minimum capital requirements under the market risk rules and in evaluating an entity's capital in relation to its risks.

Background: This reporting schedule represents the proposed regulatory reporting requirements associated with the agencies' proposed Market Risk Framework. The schedule would first be reported at the end of the first calendar quarter in which the revised market risk capital rules become effective. The agencies are proposing to make January 1, 2008, the effective date of these rules.

Proposed Respondent Panel: The panel would consist of banks, savings associations, and bank holding companies that are subject to the agencies' revised market risk capital rules.

Proposed Frequency: Quarterly, as of the last calendar day of March, June, September, and December.

Proposed Public Release: Microdata would be confidential.