55958 Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Proposed Rules
75 Unrealized gains (losses) recognized in the
balance sheet but not through earnings.
76 Unrealized gains (losses) not recognized either
in the balance sheet or through earnings.
77 This disclosure should include a breakdown of
equities that are subject to the 0%, 20%, 100%,
300%, and 400% risk weights, as applicable.
TABLE 11.10.—EQUITIES NOT SUBJECT TO MARKET RISK RULE
Qualitative Disclosures ................... (a) The general qualitative disclosure requirement with respect to equity risk, inclu ding:
∑ Differentiation between holdings on which capital gains are expected and those taken under other ob-
jectives including for relationship and strategic reasons; and
∑ Discussion of important policies covering the valuation of and accounting for equity holdings in the
banking book. This includes the accounting techniques and valuation methodologies used, including
key assumptions and practices affecting valuation as well as significant changes in these practices.
Quantitative Disclosures ................. (b) Value disclosed in the balance sheet of investments, as well as the fair value of those investments; for
quoted securities, a comparison to publicly-quoted share values where the share price is materially dif-
ferent from fair value.
(c) The types and nature of investments, including the amount that is:
∑ Publicly traded; and
∑ Non-publicly traded.
(d) The cumulative realized gains (losses) arising from sales and liquidations in the reporting period.
(e)∑ Total unrealized gains (losses); 75
∑ Total latent revaluation gains (losses); 76 and
∑ Any amounts of the above included in tier 1 and/or tier 2 capital.
(f) Capital requirements broken down by appropriate equity groupings, consistent with the savings associa-
tion’s methodology, as well as the aggregate amounts and the type of equity investments subject to any
supervisory transition regarding regulatory capital requirements. 77
TABLE 11.11.—INTEREST RATE RISK FOR NON-TRADING ACTIVITIES
Qualitative disclosures .................... (a) The general qualitative disclosure requirement, including the nature of interest rate risk for non-trading
activities and key assumptions, including assumptions regarding loan prepayments and behavior of non-
maturity deposits, and frequency of measurement of interest rate risk for non-trading activities.
Quantitative disclosures .................. (b) The increase (decline) in earnings or economic disclosures value (or relevant mea sure used by man-
agement) for upward and downward rate shocks according to management ’s method for measuring in-
terest rate risk for non-trading activities, broken down by currency (as appropriate).
* * * * *
Dated: September 5, 2006.
John C. Dugan,
Comptroller of the Currency.
By order of the Board of Governors of the
Federal Reserve System, September 11, 2006.
Jennifer J. Johnson,
Secretary of the Board.
Dated at Washington, DC, this 5th day of
September, 2006.
By order of the Board of Directors.
Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
Dated: September 5, 2006.
By the Office of Thrift Supervision.
John M. Reich,
Director.
[FR Doc. 06–7656 Filed 9–22–06]
BILLING CODES 4810 –33–P, 6210 –01–P, 6714 –01–P,
6720–01–P
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
12 CFR Part 3
[Docket No. 06–10]
RIN 1557–AC99
FEDERAL RESERVE SYSTEM
12 CFR Parts 208 and 225
[Regulations H and Y; Docket No. R–1266]
FEDERAL DEPOSIT INSURANCE
CORPORATION
12 CFR Part 325
RIN 3064–AD10
DEPARTMENT OF THE TREASURY
Office of Thrift Supervision
12 CFR Part 566
[Docket No. 2006–34]
RIN 1550–AC02
Risk-Based Capital Standards: Market
Risk
AGENCIES: Office of the Comptroller of
the Currency, Treasury; Board of
Governors of the Federal Reserve
System; Federal Deposit Insurance
Corporation, and Office of Thrift
Supervision, Treasury.
ACTION: Joint notice of proposed
rulemaking.
SUMMARY: 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) are
proposing revisions to the market risk
capital rule to enhance its risk
sensitivity and introduce requirements
for public disclosure of certain
qualitative and quantitative information
about the market risk of a bank or bank
holding company. The Office of Thrift
Supervision (OTS) currently does not
apply a market risk capital rule to
savings associations and is proposing in
this notice a market risk capital rule for
savings associations. The proposed rules
for each agency are substantively
identical.
DATES: Comments must be received on
or before January 23, 2007.
ADDRESSES: Comments should be
directed to:
OCC: You should include OCC and
Docket Number 06–10 in your comment.
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sroberts on PROD1PC70 with PROPOSALS
75 Unrealized gains (losses) recognized in the
balance sheet but not through earnings.
76 Unrealized gains (losses) not recognized either
in the balance sheet or through earnings.
77 This disclosure should include a breakdown of
equities that are subject to the 0%, 20%, 100%,
300%, and 400% risk weights, as applicable.
TABLE 11.10.—EQUITIES NOT SUBJECT TO MARKET RISK RULE
Qualitative Disclosures ................... (a) The general qualitative disclosure requirement with respect to equity risk, inclu ding:
∑ Differentiation between holdings on which capital gains are expected and those taken under other ob-
jectives including for relationship and strategic reasons; and
∑ Discussion of important policies covering the valuation of and accounting for equity holdings in the
banking book. This includes the accounting techniques and valuation methodologies used, including
key assumptions and practices affecting valuation as well as significant changes in these practices.
Quantitative Disclosures ................. (b) Value disclosed in the balance sheet of investments, as well as the fair value of those investments; for
quoted securities, a comparison to publicly-quoted share values where the share price is materially dif-
ferent from fair value.
(c) The types and nature of investments, including the amount that is:
∑ Publicly traded; and
∑ Non-publicly traded.
(d) The cumulative realized gains (losses) arising from sales and liquidations in the reporting period.
(e)∑ Total unrealized gains (losses); 75
∑ Total latent revaluation gains (losses); 76 and
∑ Any amounts of the above included in tier 1 and/or tier 2 capital.
(f) Capital requirements broken down by appropriate equity groupings, consistent with the savings associa-
tion’s methodology, as well as the aggregate amounts and the type of equity investments subject to any
supervisory transition regarding regulatory capital requirements. 77
TABLE 11.11.—INTEREST RATE RISK FOR NON-TRADING ACTIVITIES
Qualitative disclosures .................... (a) The general qualitative disclosure requirement, including the nature of interest rate risk for non-trading
activities and key assumptions, including assumptions regarding loan prepayments and behavior of non-
maturity deposits, and frequency of measurement of interest rate risk for non-trading activities.
Quantitative disclosures .................. (b) The increase (decline) in earnings or economic disclosures value (or relevant mea sure used by man-
agement) for upward and downward rate shocks according to management ’s method for measuring in-
terest rate risk for non-trading activities, broken down by currency (as appropriate).
* * * * *
Dated: September 5, 2006.
John C. Dugan,
Comptroller of the Currency.
By order of the Board of Governors of the
Federal Reserve System, September 11, 2006.
Jennifer J. Johnson,
Secretary of the Board.
Dated at Washington, DC, this 5th day of
September, 2006.
By order of the Board of Directors.
Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
Dated: September 5, 2006.
By the Office of Thrift Supervision.
John M. Reich,
Director.
[FR Doc. 06–7656 Filed 9–22–06]
BILLING CODES 4810 –33–P, 6210 –01–P, 6714 –01–P,
6720–01–P
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
12 CFR Part 3
[Docket No. 06–10]
RIN 1557–AC99
FEDERAL RESERVE SYSTEM
12 CFR Parts 208 and 225
[Regulations H and Y; Docket No. R–1266]
FEDERAL DEPOSIT INSURANCE
CORPORATION
12 CFR Part 325
RIN 3064–AD10
DEPARTMENT OF THE TREASURY
Office of Thrift Supervision
12 CFR Part 566
[Docket No. 2006–34]
RIN 1550–AC02
Risk-Based Capital Standards: Market
Risk
AGENCIES: Office of the Comptroller of
the Currency, Treasury; Board of
Governors of the Federal Reserve
System; Federal Deposit Insurance
Corporation, and Office of Thrift
Supervision, Treasury.
ACTION: Joint notice of proposed
rulemaking.
SUMMARY: 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) are
proposing revisions to the market risk
capital rule to enhance its risk
sensitivity and introduce requirements
for public disclosure of certain
qualitative and quantitative information
about the market risk of a bank or bank
holding company. The Office of Thrift
Supervision (OTS) currently does not
apply a market risk capital rule to
savings associations and is proposing in
this notice a market risk capital rule for
savings associations. The proposed rules
for each agency are substantively
identical.
DATES: Comments must be received on
or before January 23, 2007.
ADDRESSES: Comments should be
directed to:
OCC: You should include OCC and
Docket Number 06–10 in your comment.
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sroberts on PROD1PC70 with PROPOSALS
55959Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Proposed Rules
You may submit comments by any of
the following methods:
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• OCC Web Site: http://
www.occ.treas.gov. Click on ‘‘Contact
the OCC,’’ scroll down and click on
‘‘Comments on Proposed Regulations.’’
• E-mail address:
regs.comments@occ.treas.gov.
• Fax: (202) 874–4448.
• Mail: Office of the Comptroller of
the Currency, 250 E Street, SW., Mail
Stop 1–5, Washington, DC 20219.
• Hand Delivery/Courier: 250 E
Street, SW., Attn: Public Information
Room, Mail Stop 1–5, Washington, DC
20219.
Instructions: All submissions received
must include the agency name (OCC)
and docket number or Regulatory
Information Number (RIN) for this
notice of proposed rulemaking. In
general, OCC will enter all comments
received into the docket without
change, including any business or
personal information that you provide.
You may review comments and other
related materials by any of the following
methods:
• Viewing Comments Personally: You
may personally inspect and photocopy
comments at the OCC’s Public
Information Room, 250 E Street, SW,
Washington, DC. You can make an
appointment to inspect comments by
calling (202) 874–5043.
Board: You may submit comments,
identified by Docket No. R–1265, by any
of the following methods:
• Agency Web site: http://
www.Federalreserve.gov. Follow the
instructions for submitting comments
on the http://www.Federalreserve.gov/
generalinfo/foia/ProposedRegs.cfm.
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• E-mail:
regs.comments@Federalreserve.gov.
Include docket number in the subject
line of the message.
• FAX: (202) 452–3819 or (202) 452–
3102.
• Mail: Jennifer J. Johnson, Secretary,
Board of Governors of the Federal
Reserve System, 20th Street and
Constitution Avenue, NW., Washington,
DC 20551.
All public comments are available
from the Board’s Web site at http://
www.Federalreserve.gov/generalinfo/
foia/ProposedRegs.cfm as submitted,
unless modified for technical reasons.
Accordingly, your comments will not be
edited to remove any identifying or
contact information. Public comments
may also be viewed electronically or in
paper form in Room MP–500 of the
Board’s Martin Building (20th and C
Streets, NW.) between 9 a.m. and 5 p.m.
on weekdays.
FDIC: You may submit written
comments, identified by RIN number,
by any of the following methods:
• Agency Web site: http://
www.fdic.gov/regulations/laws/federal/
propose.html. Follow the instructions
for submitting comments on the FDIC
Web site.
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• E-mail: comments@FDIC.gov.
Include the RIN number in the subject
line of the message.
• Mail: Robert E. Feldman, Executive
Secretary, Attention: Comments, Federal
Deposit Insurance Corporation, 550 17th
Street, NW., Washington, DC 20429.
• Hand Delivery/Courier: Guard
station at rear of the 550 17th Street
Building (located on F Street) on
business days between 7 a.m. and 5 p.m.
Instructions: All submissions received
must include the agency name and RIN
number for this rulemaking. All
comments received will be posted
without change to http://www.fdic.gov/
regulations/laws/federal/propose.html
including any personal information
provided. Comments may be inspected
at the FDIC Public Information Center,
Room E–1002, 3502 Fairfax Drive,
Arlington, VA, 22226, between 9 a.m.
and 5 p.m. on business days.
OTS: You may submit comments,
identified by No. 2006–34 by any of the
following methods:
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• E-mail address:
regs.comments@ots.treas.gov. Please
include No. 2006–34 in the subject line
of the message and include your name
and telephone number in the message.
• Fax: (202) 906–6518.
• Mail: Regulation Comments, Chief
Counsel’s Office, Office of Thrift
Supervision, 1700 G Street, NW.,
Washington, DC 20552, Attention: No.
2006–34.
• Hand Delivery/Courier: Guard’s
Desk, East Lobby Entrance, 1700 G
Street, NW., from 9 a.m. to 4 p.m. on
business days, Attention: Regulation
Comments, Chief Counsel’s Office, No.
2006–34.
Instructions: All submissions received
must include the agency name and
docket number or Regulatory
Information Number (RIN) for this
rulemaking. All comments received will
be posted without change to the OTS
Internet Site at http://www.ots.treas.gov/
pagehmtl.cfm?catNumber=67&an=1,
including any personal information
provided.
Docket: For access to the docket to
read background documents or
comments received, go to http://
www.ots.treas.gov/
pagehmtl.cfm?catNumber=67&an=1. In
addition, you may inspect comments at
the Public Reading Room, 1700 G Street,
NW., by appointment. To make an
appointment for access, call (202) 906–
5922, send an e-mail to
public.info@ots.treas.gov, or send a
facsimile transmission to (202) 906–
7755. (Prior notice identifying the
materials you will be requesting will
assist us in serving you.) We schedule
appointments on business days between
10 a.m. and 4 p.m. In most cases,
appointments will be available the next
business day following the date we
receive a request.
FOR FURTHER INFORMATION CONTACT:
OCC: Margot Schwadron, Risk Expert,
Capital Policy (202–874–6022) or Ron
Shimabukuro, Special Counsel,
Legislative and Regulatory Activities
Division, (202–874–5090).
Board: Barbara Bouchard, Deputy
Associate Director (202–452–3072 or
barbara.bouchard@frb.gov), Mary
Frances Monroe, Manager (202–452–
5231 or mary.f.monroe@frb.gov), or
Anna Lee Hewko, Senior Supervisory
Financial Analyst, (202–530–6260 or
anna.hewko@frb.gov), Division of
Banking Supervision and Regulation; or
Allison Breault, Attorney (202–452–
3124 or allison.breault@frb.gov), Legal
Division. For users of
Telecommunications Device for the Deaf
(‘‘TDD’’) only, contact (202–263–4869).
FDIC: Jason C. Cave, Associate
Director (202–898–3548), Gloria Ikosi,
Senior Quantitative Risk Analyst (202–
898–3997), or Karl R. Reitz, Financial
Analyst (202–898–3857), Capital
Markets Branch, Division of Supervision
and Consumer Protection; or Michael B.
Phillips, Counsel, (202–898–3581), or
Benjamin W. McDonough, Attorney
(202–898–7411), Supervision and
Legislation Branch, Legal Division.
OTS: Michael D. Solomon, Director,
Capital Policy (202–906–5654), Austin
Hong, Senior Analyst (202–906–6389),
Christine A. Smith, Program Manager
(202–906–5740) or Karen Osterloh,
Special Counsel, Regulations and
Legislation Division (202–906–6639).
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Introduction
A. Background
B. Summary of the Current Market Risk
Capital Rule
1. Covered Positions
2. Capital Requirement for Market Risk
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sroberts on PROD1PC70 with PROPOSALS
You may submit comments by any of
the following methods:
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• OCC Web Site: http://
www.occ.treas.gov. Click on ‘‘Contact
the OCC,’’ scroll down and click on
‘‘Comments on Proposed Regulations.’’
• E-mail address:
regs.comments@occ.treas.gov.
• Fax: (202) 874–4448.
• Mail: Office of the Comptroller of
the Currency, 250 E Street, SW., Mail
Stop 1–5, Washington, DC 20219.
• Hand Delivery/Courier: 250 E
Street, SW., Attn: Public Information
Room, Mail Stop 1–5, Washington, DC
20219.
Instructions: All submissions received
must include the agency name (OCC)
and docket number or Regulatory
Information Number (RIN) for this
notice of proposed rulemaking. In
general, OCC will enter all comments
received into the docket without
change, including any business or
personal information that you provide.
You may review comments and other
related materials by any of the following
methods:
• Viewing Comments Personally: You
may personally inspect and photocopy
comments at the OCC’s Public
Information Room, 250 E Street, SW,
Washington, DC. You can make an
appointment to inspect comments by
calling (202) 874–5043.
Board: You may submit comments,
identified by Docket No. R–1265, by any
of the following methods:
• Agency Web site: http://
www.Federalreserve.gov. Follow the
instructions for submitting comments
on the http://www.Federalreserve.gov/
generalinfo/foia/ProposedRegs.cfm.
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• E-mail:
regs.comments@Federalreserve.gov.
Include docket number in the subject
line of the message.
• FAX: (202) 452–3819 or (202) 452–
3102.
• Mail: Jennifer J. Johnson, Secretary,
Board of Governors of the Federal
Reserve System, 20th Street and
Constitution Avenue, NW., Washington,
DC 20551.
All public comments are available
from the Board’s Web site at http://
www.Federalreserve.gov/generalinfo/
foia/ProposedRegs.cfm as submitted,
unless modified for technical reasons.
Accordingly, your comments will not be
edited to remove any identifying or
contact information. Public comments
may also be viewed electronically or in
paper form in Room MP–500 of the
Board’s Martin Building (20th and C
Streets, NW.) between 9 a.m. and 5 p.m.
on weekdays.
FDIC: You may submit written
comments, identified by RIN number,
by any of the following methods:
• Agency Web site: http://
www.fdic.gov/regulations/laws/federal/
propose.html. Follow the instructions
for submitting comments on the FDIC
Web site.
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• E-mail: comments@FDIC.gov.
Include the RIN number in the subject
line of the message.
• Mail: Robert E. Feldman, Executive
Secretary, Attention: Comments, Federal
Deposit Insurance Corporation, 550 17th
Street, NW., Washington, DC 20429.
• Hand Delivery/Courier: Guard
station at rear of the 550 17th Street
Building (located on F Street) on
business days between 7 a.m. and 5 p.m.
Instructions: All submissions received
must include the agency name and RIN
number for this rulemaking. All
comments received will be posted
without change to http://www.fdic.gov/
regulations/laws/federal/propose.html
including any personal information
provided. Comments may be inspected
at the FDIC Public Information Center,
Room E–1002, 3502 Fairfax Drive,
Arlington, VA, 22226, between 9 a.m.
and 5 p.m. on business days.
OTS: You may submit comments,
identified by No. 2006–34 by any of the
following methods:
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• E-mail address:
regs.comments@ots.treas.gov. Please
include No. 2006–34 in the subject line
of the message and include your name
and telephone number in the message.
• Fax: (202) 906–6518.
• Mail: Regulation Comments, Chief
Counsel’s Office, Office of Thrift
Supervision, 1700 G Street, NW.,
Washington, DC 20552, Attention: No.
2006–34.
• Hand Delivery/Courier: Guard’s
Desk, East Lobby Entrance, 1700 G
Street, NW., from 9 a.m. to 4 p.m. on
business days, Attention: Regulation
Comments, Chief Counsel’s Office, No.
2006–34.
Instructions: All submissions received
must include the agency name and
docket number or Regulatory
Information Number (RIN) for this
rulemaking. All comments received will
be posted without change to the OTS
Internet Site at http://www.ots.treas.gov/
pagehmtl.cfm?catNumber=67&an=1,
including any personal information
provided.
Docket: For access to the docket to
read background documents or
comments received, go to http://
www.ots.treas.gov/
pagehmtl.cfm?catNumber=67&an=1. In
addition, you may inspect comments at
the Public Reading Room, 1700 G Street,
NW., by appointment. To make an
appointment for access, call (202) 906–
5922, send an e-mail to
public.info@ots.treas.gov, or send a
facsimile transmission to (202) 906–
7755. (Prior notice identifying the
materials you will be requesting will
assist us in serving you.) We schedule
appointments on business days between
10 a.m. and 4 p.m. In most cases,
appointments will be available the next
business day following the date we
receive a request.
FOR FURTHER INFORMATION CONTACT:
OCC: Margot Schwadron, Risk Expert,
Capital Policy (202–874–6022) or Ron
Shimabukuro, Special Counsel,
Legislative and Regulatory Activities
Division, (202–874–5090).
Board: Barbara Bouchard, Deputy
Associate Director (202–452–3072 or
barbara.bouchard@frb.gov), Mary
Frances Monroe, Manager (202–452–
5231 or mary.f.monroe@frb.gov), or
Anna Lee Hewko, Senior Supervisory
Financial Analyst, (202–530–6260 or
anna.hewko@frb.gov), Division of
Banking Supervision and Regulation; or
Allison Breault, Attorney (202–452–
3124 or allison.breault@frb.gov), Legal
Division. For users of
Telecommunications Device for the Deaf
(‘‘TDD’’) only, contact (202–263–4869).
FDIC: Jason C. Cave, Associate
Director (202–898–3548), Gloria Ikosi,
Senior Quantitative Risk Analyst (202–
898–3997), or Karl R. Reitz, Financial
Analyst (202–898–3857), Capital
Markets Branch, Division of Supervision
and Consumer Protection; or Michael B.
Phillips, Counsel, (202–898–3581), or
Benjamin W. McDonough, Attorney
(202–898–7411), Supervision and
Legislation Branch, Legal Division.
OTS: Michael D. Solomon, Director,
Capital Policy (202–906–5654), Austin
Hong, Senior Analyst (202–906–6389),
Christine A. Smith, Program Manager
(202–906–5740) or Karen Osterloh,
Special Counsel, Regulations and
Legislation Division (202–906–6639).
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Introduction
A. Background
B. Summary of the Current Market Risk
Capital Rule
1. Covered Positions
2. Capital Requirement for Market Risk
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