{"data":{"id":"us/12-cfr-324.206","jurisdiction":"us","citation":"12 CFR 324.206","heading":"Stressed VaR-based measure.","body":"(a) General requirement. At least weekly, an FDIC-supervised institution must use the same internal model(s) used to calculate its VaR-based measure to calculate a stressed VaR-based measure.\n(b) Quantitative requirements for stressed VaR-based measure. (1) An FDIC-supervised institution must calculate a stressed VaR-based measure for its covered positions using the same model(s) used to calculate the VaR-based measure, subject to the same confidence level and holding period applicable to the VaR-based measure under § 324.205, but with model inputs calibrated to historical data from a continuous 12-month period that reflects a period of significant financial stress appropriate to the FDIC-supervised institution's current portfolio.\n(2) The stressed VaR-based measure must be calculated at least weekly and be no less than the FDIC-supervised institution's VaR-based measure.\n(3) An FDIC-supervised institution must have policies and procedures that describe how it determines the period of significant financial stress used to calculate the FDIC-supervised institution's stressed VaR-based measure under this section and must be able to provide empirical support for the period used. The FDIC-supervised institution must obtain the prior approval of the FDIC for, and notify the FDIC if the FDIC-supervised institution makes any material changes to, these policies and procedures. The policies and procedures must address:\n(i) How the FDIC-supervised institution links the period of significant financial stress used to calculate the stressed VaR-based measure to the composition and directional bias of its current portfolio; and\n(ii) The FDIC-supervised institution's process for selecting, reviewing, and updating the period of significant financial stress used to calculate the stressed VaR-based measure and for monitoring the appropriateness of the period to the FDIC-supervised institution's current portfolio.\n(4) Nothing in this section prevents the FDIC from requiring an FDIC-supervised institution to use a different period of significant financial stress in the calculation of the stressed VaR-based measure.","path":["Title 12—Banks and Banking","CHAPTER III—FEDERAL DEPOSIT INSURANCE CORPORATION","SUBCHAPTER B—REGULATIONS AND STATEMENTS OF GENERAL POLICY","PART 324—CAPITAL ADEQUACY OF FDIC-SUPERVISED INSTITUTIONS","Subpart F—Risk-Weighted Assets—Market Risk"],"source_url":"https://www.ecfr.gov/api/versioner/v1/full/2026-08-25/title-12.xml","current_through":"2026-08-25","vintage":"","retrieved_at":"2026-08-27T02:24:16Z","sha256":"0ffbf8ca0a5b41597328547f7d4428a87218343aa25c3829dbf67e3b07d6f1b5","source_id":"us-cfr","stale":true,"prev":"us/12-cfr-324.205","next":"us/12-cfr-324.207"},"notice":"GroundRules: Original legal text. Not legal advice."}