This section of the FEDERAL REGISTER
contains notices to the public of the proposed
issuance of rules and regulations. The
purpose of these notices is to give interested
persons an opportunity to participate in the
rule making prior to the adoption of the final
rules.
Proposed Rules Federal Register
56568
Vol. 68, No. 190
Wednesday, October 1, 2003
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
12 CFR Part 3
[Docket No. 03–22]
RIN 1557–AC77
FEDERAL RESERVE SYSTEM
12 CFR Parts 208 and 225
[Regulations H and Y; Docket No. R–1162]
FEDERAL DEPOSIT INSURANCE
CORPORATION
12 CFR Part 325
RIN 3064–AC75
DEPARTMENT OF THE TREASURY
Office of Thrift Supervision
12 CFR Part 567
[No. 2003–47]
RIN 1550–AB81
Risk-Based Capital Guidelines; Capital
Adequacy Guidelines; Capital
Maintenance: Asset-Backed
Commercial Paper Programs and Early
Amortization Provisions
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), Board of
Governors of the Federal Reserve
System (Board), Federal Deposit
Insurance Corporation (FDIC), and
Office of Thrift Supervision (OTS)
(collectively, the agencies) are
proposing to amend their risk-based
capital standards by removing a sunset
provision in order to permit sponsoring
banks, bank holding companies, and
thrifts (collectively, sponsoring banking
organizations) to continue to exclude
from their risk-weighted asset base those
assets in asset-backed commercial paper
(ABCP) programs that are consolidated
onto sponsoring banking organizations’
balance sheets as a result of a recently
issued accounting interpretation,
Financial Accounting Standards Board
Interpretation No. 46, Consolidation of
Variable Interest Entities (FIN 46). The
removal of the sunset provision is
contingent upon the agencies
implementing alternative, more risk-
sensitive risk-based capital
requirements for credit exposures
arising from involvement with ABCP
programs. See Section I of the
SUPPLEMENTARY INFORMATION for
discussion of a related joint interim
final rule published concurrently with
this notice of proposed rulemaking.
The agencies also are proposing to
require banking organizations to hold
risk-based capital against liquidity
facilities with an original maturity of
one year or less that organizations
provide to ABCP programs, regardless of
whether the organization sponsors the
program or must consolidate the
program under GAAP. This treatment
recognizes that such facilities expose
banking organizations to credit risk and
is consistent with the industry’s practice
of internally allocating economic capital
against this risk associated with such
facilities. A separate capital charge on
liquidity facilities provided to an ABCP
program would not be required if a
banking organization must or chooses to
consolidate the program for purposes of
risk-based capital.
In addition, the agencies are
proposing a risk-based capital charge for
certain types of securitizations of
revolving retail credit facilities (for
example, credit card receivables) that
incorporate early amortization
provisions. The effect of these capital
proposals will be to more closely align
the risk-based capital requirements with
the associated risk of the exposures.
Finally, the agencies are proposing to
amend their risk-based capital standards
by deleting tables and attachments that
summarize risk categories, credit
conversion factors, and transitional
arrangements.
DATES: Comments on the joint notice of
proposed rulemaking must be received
by November 17, 2003.
ADDRESSES: Comments should be
directed to:
OCC: You should send comments to
the Public Information Room, Office of
the Comptroller of the Currency,
Mailstop 1–5, Attention: Docket No. 03–
22, 250 E Street, SW., Washington, DC
20219. Due to delays in the delivery of
paper mail in the Washington area and
at the OCC, commenters are encouraged
to submit comments by fax or e-mail.
Comments may be sent by fax to (202)
874–4448, or by e-mail to
regs.comments@occ.treas.gov. You can
make an appointment to inspect and
photocopy the comments by calling the
Public Information Room at (202) 874–
5043.
Board: Comments should refer to
Docket No. R–1162 and may be mailed
to Ms. Jennifer J. Johnson, Secretary,
Board of Governors of the Federal
Reserve System, 20th and Constitution
Avenue, NW., Washington, DC 20551.
However, because paper mail in the
Washington area and at the Board of
Governors is subject to delay, please
consider submitting your comments by
e-mail to
regs.comments@federalreserve.gov, or
faxing them to the Office of the
Secretary at 202/452–3819 or 202/452–
3102. Members of the public may
inspect comments in Room MP–500 of
the Martin Building between 9 a.m. and
5 p.m. weekdays pursuant to § 261.12,
except as provided in § 261.14, of the
Board’s Rules Regarding Availability of
Information, 12 CFR 261.12 and 261.14.
FDIC: Written comments should be
addressed to Robert E. Feldman,
Executive Secretary, Attention:
Comments/OES, Federal Deposit
Insurance Corporation, 550 17th Street,
NW., Washington, DC 20429. Comments
may be hand delivered to the guard
station at the rear of the 550 17th Street
Building (located on F Street), on
business days between 7 a.m. and 5 p.m.
(Fax number: (202) 898–3838; Internet
address: comments@fdic.gov).
Comments may be inspected and
photocopied in the FDIC Public
Information Center, Room 100, 801 17th
Street, NW., Washington, DC, between 9
a.m. and 4:30 p.m. on business days.
OTS: Send comments to Regulation
Comments, Chief Counsel’s Office,
Office of Thrift Supervision, 1700 G
VerDate jul<14>2003 16:32 Sep 30, 2003 Jkt 203001 PO 00000 Frm 00001 Fmt 4702 Sfmt 4702 E:\FR\FM\01OCP1.SGM 01OCP1
contains notices to the public of the proposed
issuance of rules and regulations. The
purpose of these notices is to give interested
persons an opportunity to participate in the
rule making prior to the adoption of the final
rules.
Proposed Rules Federal Register
56568
Vol. 68, No. 190
Wednesday, October 1, 2003
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
12 CFR Part 3
[Docket No. 03–22]
RIN 1557–AC77
FEDERAL RESERVE SYSTEM
12 CFR Parts 208 and 225
[Regulations H and Y; Docket No. R–1162]
FEDERAL DEPOSIT INSURANCE
CORPORATION
12 CFR Part 325
RIN 3064–AC75
DEPARTMENT OF THE TREASURY
Office of Thrift Supervision
12 CFR Part 567
[No. 2003–47]
RIN 1550–AB81
Risk-Based Capital Guidelines; Capital
Adequacy Guidelines; Capital
Maintenance: Asset-Backed
Commercial Paper Programs and Early
Amortization Provisions
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), Board of
Governors of the Federal Reserve
System (Board), Federal Deposit
Insurance Corporation (FDIC), and
Office of Thrift Supervision (OTS)
(collectively, the agencies) are
proposing to amend their risk-based
capital standards by removing a sunset
provision in order to permit sponsoring
banks, bank holding companies, and
thrifts (collectively, sponsoring banking
organizations) to continue to exclude
from their risk-weighted asset base those
assets in asset-backed commercial paper
(ABCP) programs that are consolidated
onto sponsoring banking organizations’
balance sheets as a result of a recently
issued accounting interpretation,
Financial Accounting Standards Board
Interpretation No. 46, Consolidation of
Variable Interest Entities (FIN 46). The
removal of the sunset provision is
contingent upon the agencies
implementing alternative, more risk-
sensitive risk-based capital
requirements for credit exposures
arising from involvement with ABCP
programs. See Section I of the
SUPPLEMENTARY INFORMATION for
discussion of a related joint interim
final rule published concurrently with
this notice of proposed rulemaking.
The agencies also are proposing to
require banking organizations to hold
risk-based capital against liquidity
facilities with an original maturity of
one year or less that organizations
provide to ABCP programs, regardless of
whether the organization sponsors the
program or must consolidate the
program under GAAP. This treatment
recognizes that such facilities expose
banking organizations to credit risk and
is consistent with the industry’s practice
of internally allocating economic capital
against this risk associated with such
facilities. A separate capital charge on
liquidity facilities provided to an ABCP
program would not be required if a
banking organization must or chooses to
consolidate the program for purposes of
risk-based capital.
In addition, the agencies are
proposing a risk-based capital charge for
certain types of securitizations of
revolving retail credit facilities (for
example, credit card receivables) that
incorporate early amortization
provisions. The effect of these capital
proposals will be to more closely align
the risk-based capital requirements with
the associated risk of the exposures.
Finally, the agencies are proposing to
amend their risk-based capital standards
by deleting tables and attachments that
summarize risk categories, credit
conversion factors, and transitional
arrangements.
DATES: Comments on the joint notice of
proposed rulemaking must be received
by November 17, 2003.
ADDRESSES: Comments should be
directed to:
OCC: You should send comments to
the Public Information Room, Office of
the Comptroller of the Currency,
Mailstop 1–5, Attention: Docket No. 03–
22, 250 E Street, SW., Washington, DC
20219. Due to delays in the delivery of
paper mail in the Washington area and
at the OCC, commenters are encouraged
to submit comments by fax or e-mail.
Comments may be sent by fax to (202)
874–4448, or by e-mail to
regs.comments@occ.treas.gov. You can
make an appointment to inspect and
photocopy the comments by calling the
Public Information Room at (202) 874–
5043.
Board: Comments should refer to
Docket No. R–1162 and may be mailed
to Ms. Jennifer J. Johnson, Secretary,
Board of Governors of the Federal
Reserve System, 20th and Constitution
Avenue, NW., Washington, DC 20551.
However, because paper mail in the
Washington area and at the Board of
Governors is subject to delay, please
consider submitting your comments by
e-mail to
regs.comments@federalreserve.gov, or
faxing them to the Office of the
Secretary at 202/452–3819 or 202/452–
3102. Members of the public may
inspect comments in Room MP–500 of
the Martin Building between 9 a.m. and
5 p.m. weekdays pursuant to § 261.12,
except as provided in § 261.14, of the
Board’s Rules Regarding Availability of
Information, 12 CFR 261.12 and 261.14.
FDIC: Written comments should be
addressed to Robert E. Feldman,
Executive Secretary, Attention:
Comments/OES, Federal Deposit
Insurance Corporation, 550 17th Street,
NW., Washington, DC 20429. Comments
may be hand delivered to the guard
station at the rear of the 550 17th Street
Building (located on F Street), on
business days between 7 a.m. and 5 p.m.
(Fax number: (202) 898–3838; Internet
address: comments@fdic.gov).
Comments may be inspected and
photocopied in the FDIC Public
Information Center, Room 100, 801 17th
Street, NW., Washington, DC, between 9
a.m. and 4:30 p.m. on business days.
OTS: Send comments to Regulation
Comments, Chief Counsel’s Office,
Office of Thrift Supervision, 1700 G
VerDate jul<14>2003 16:32 Sep 30, 2003 Jkt 203001 PO 00000 Frm 00001 Fmt 4702 Sfmt 4702 E:\FR\FM\01OCP1.SGM 01OCP1
56569Federal Register / Vol. 68, No. 190 / Wednesday, October 1, 2003 / Proposed Rules
1 For the purposes of this proposed rule, a
banking organization is considered the sponsor of
an ABCP program if it establishes the program;
approves the sellers permitted to participate in the
program; approves the asset pools to be purchased
by the programs; or administers the ABCP progam
by monitoring the assets, arranging for debt
placement, compiling monthly reports, or ensuring
compliance with the program documents and with
the program’s credit and investment policy.
2 Under FIN 46, the FASB broadened the criteria
for determining when one entity is deemed to have
a controlling financial interest in another entity
and, therefore, when an entity must consolidate
another entity in its financial statements. An entity
generally does not need to be analyzed under FIN
46 if it is designed to have ‘‘adequate capital,’’ as
described in FIN 46, and its shareholders control
the entity with their share votes and are allocated
its profits and losses. If the entity fails these criteria,
it typically is deemed a VIE and each stakeholder
in the entity (a group that can include, but is not
limited to, legal-form equity holders, creditors,
sponsors, guarantors, and servicers) must assess
whether it is the entity’s ‘‘primary beneficiary’’
using the FIN 46 criteria. This analysis considers
whether effective control exists by evaluating the
entity’s risks and rewards. In the end, the
stakeholder who holds the majority of the entity’s
risks or rewards is the primary beneficiary and must
consolidate the VIE.
Street, NW., Washington, DC 20552,
Attention: No. 2003–47.
Delivery: Hand deliver comments to
the 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, Attention: No. 2003–47.
Facsimiles: Send facsimile
transmissions to FAX Number (202)
906–6518, Attention: No. 2003–47.
E-Mail: Send e-mails to
regs.comments@ots.treas.gov, Attention:
No. 2003–47 and include your name
and telephone number. Due to
temporary disruptions in mail service in
the Washington, DC area, commenters
are encouraged to send comments by fax
or e-mail, if possible.
Availability of comments: OTS will
post comments and the related index on
the OTS Internet Site at http://
www.ots.treas.gov. 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. (Please identify the materials
you would like to inspect to 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
business day after the date we receive a
request.
FOR FURTHER INFORMATION CONTACT:
OCC: Amrit Sekhon, Risk Expert,
Capital Policy Division, (202) 874–5211;
Mauricio Claver-Carone, Attorney, or
Ron Shimabukuro, Special Counsel,
Legislative and Regulatory Activities
Division, (202) 874–5090, Office of the
Comptroller of the Currency, 250 E
Street, SW., Washington, DC 20219.
Board: Thomas R. Boemio, Senior
Supervisory Financial Analyst, (202)
452–2982, David Kerns, Supervisory
Financial Analyst, (202) 452–2428,
Barbara Bouchard, Assistant Director,
(202) 452–3072, Division of Banking
Supervision and Regulation; or Mark E.
Van Der Weide, Counsel, (202) 452–
2263, Legal Division. For the hearing
impaired only, Telecommunication
Device for the Deaf (TDD), (202) 263–
4869.
FDIC: Jason C. Cave, Chief, Policy
Section, Capital Markets Branch, (202)
898–3548, Robert F. Storch, Chief
Accountant, (202) 898–8906, Division of
Supervision and Consumer Protection;
Michael B. Phillips, Counsel, (202) 898–
3581, Supervision and Legislation
Branch, Legal Division, Federal Deposit
Insurance Corporation, 550 17th Street,
NW., Washington, DC 20429.
OTS: Michael D. Solomon, Senior
Program Manager for Capital Policy,
(202) 906–5654, David W. Riley, Project
Manager, Supervision Policy, (202) 906–
6669; or Teresa A. Scott, Counsel
(Banking and Finance), (202) 906–6478,
Office of Thrift Supervision, 1700 G
Street, NW, Washington, DC 20552.
SUPPLEMENTARY INFORMATION:
I. Asset-Backed Commercial Paper
Programs
Background
An asset-backed commercial paper
(ABCP) program typically is a program
through which a banking organization
provides funding to its corporate
customers by sponsoring and
administering a bankruptcy-remote
special purpose entity that purchases
asset pools from, or extends loans to,
those customers. The asset pools in an
ABCP program might include, for
example, trade receivables, consumer
loans, or asset-backed securities. The
ABCP program raises cash to provide
funding to the banking organization’s
customers through the issuance of
commercial paper into the market.
Typically, the sponsoring banking
organization provides liquidity and
credit enhancements to the ABCP
program, which aid the program in
obtaining high quality credit ratings that
facilitate the issuance of the commercial
paper.1
In January 2003, the Financial
Accounting Standards Board (FASB)
issued interpretation No. 46,
‘‘Consolidation of Variable Interest
Entities’’ (FIN 46), requiring the
consolidation of variable interest
entities (VIEs) onto the balance sheets of
companies deemed to be the primary
beneficiaries of those entities.2 FIN 46
likely will result in the consolidation of
many ABCP programs onto the balance
sheets of banking organizations
beginning in the third quarter of 2003.
In contrast, under pre-FIN 46
accounting standards, the sponsors of
ABCP programs normally have not been
required to consolidate the assets of
these programs. Banking organizations
that are required to consolidate ABCP
program assets will have to include all
of the program assets (mostly
receivables and securities) and
liabilities (mainly commercial paper) on
their September 30, 2003 balance sheets
for purposes of the bank Reports of
Condition and Income (Call Report), the
Thrift Financial Report (TFR), and the
bank holding company financial
statements (FR Y–9C Report). If no
changes were made to regulatory capital
standards, the resulting increase in the
asset base would lower both the tier 1
leverage and risk-based capital ratios of
banking organizations that must
consolidate the assets held in ABCP
programs.
The agencies believe that the
consolidation of ABCP program assets
could result in risk-based capital
requirements that do not appropriately
reflect the risks faced by banking
organizations involved with these
programs. In the view of the agencies,
banking organizations generally face
limited risk exposure to ABCP
programs. This risk usually is confined
to the credit enhancements and
liquidity facility arrangements that
banking organizations provide to these
programs. In addition, operational
controls and structural provisions, along
with overcollateralization or other credit
enhancements provided by the
companies that sell assets into ABCP
programs mitigate the risk to which
sponsoring banking organizations are
exposed.
Because of the limited risks, in a
related joint interim rule published
elsewhere in today’s Federal Register,
the agencies amended their risk-based
capital standards to permit sponsoring
banking organizations to exclude ABCP
program assets that must be
consolidated by the organization under
FIN 46 from risk-weighted assets for
purposes of calculating the risk-based
capital ratios through the end of the first
quarter of 2004. The agencies also
amended their risk-based capital rules
to exclude from tier 1 and total risk-
based capital any minority interest in
sponsored ABCP programs that are
VerDate jul<14>2003 16:32 Sep 30, 2003 Jkt 203001 PO 00000 Frm 00002 Fmt 4702 Sfmt 4702 E:\FR\FM\01OCP1.SGM 01OCP1
1 For the purposes of this proposed rule, a
banking organization is considered the sponsor of
an ABCP program if it establishes the program;
approves the sellers permitted to participate in the
program; approves the asset pools to be purchased
by the programs; or administers the ABCP progam
by monitoring the assets, arranging for debt
placement, compiling monthly reports, or ensuring
compliance with the program documents and with
the program’s credit and investment policy.
2 Under FIN 46, the FASB broadened the criteria
for determining when one entity is deemed to have
a controlling financial interest in another entity
and, therefore, when an entity must consolidate
another entity in its financial statements. An entity
generally does not need to be analyzed under FIN
46 if it is designed to have ‘‘adequate capital,’’ as
described in FIN 46, and its shareholders control
the entity with their share votes and are allocated
its profits and losses. If the entity fails these criteria,
it typically is deemed a VIE and each stakeholder
in the entity (a group that can include, but is not
limited to, legal-form equity holders, creditors,
sponsors, guarantors, and servicers) must assess
whether it is the entity’s ‘‘primary beneficiary’’
using the FIN 46 criteria. This analysis considers
whether effective control exists by evaluating the
entity’s risks and rewards. In the end, the
stakeholder who holds the majority of the entity’s
risks or rewards is the primary beneficiary and must
consolidate the VIE.
Street, NW., Washington, DC 20552,
Attention: No. 2003–47.
Delivery: Hand deliver comments to
the 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, Attention: No. 2003–47.
Facsimiles: Send facsimile
transmissions to FAX Number (202)
906–6518, Attention: No. 2003–47.
E-Mail: Send e-mails to
regs.comments@ots.treas.gov, Attention:
No. 2003–47 and include your name
and telephone number. Due to
temporary disruptions in mail service in
the Washington, DC area, commenters
are encouraged to send comments by fax
or e-mail, if possible.
Availability of comments: OTS will
post comments and the related index on
the OTS Internet Site at http://
www.ots.treas.gov. 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. (Please identify the materials
you would like to inspect to 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
business day after the date we receive a
request.
FOR FURTHER INFORMATION CONTACT:
OCC: Amrit Sekhon, Risk Expert,
Capital Policy Division, (202) 874–5211;
Mauricio Claver-Carone, Attorney, or
Ron Shimabukuro, Special Counsel,
Legislative and Regulatory Activities
Division, (202) 874–5090, Office of the
Comptroller of the Currency, 250 E
Street, SW., Washington, DC 20219.
Board: Thomas R. Boemio, Senior
Supervisory Financial Analyst, (202)
452–2982, David Kerns, Supervisory
Financial Analyst, (202) 452–2428,
Barbara Bouchard, Assistant Director,
(202) 452–3072, Division of Banking
Supervision and Regulation; or Mark E.
Van Der Weide, Counsel, (202) 452–
2263, Legal Division. For the hearing
impaired only, Telecommunication
Device for the Deaf (TDD), (202) 263–
4869.
FDIC: Jason C. Cave, Chief, Policy
Section, Capital Markets Branch, (202)
898–3548, Robert F. Storch, Chief
Accountant, (202) 898–8906, Division of
Supervision and Consumer Protection;
Michael B. Phillips, Counsel, (202) 898–
3581, Supervision and Legislation
Branch, Legal Division, Federal Deposit
Insurance Corporation, 550 17th Street,
NW., Washington, DC 20429.
OTS: Michael D. Solomon, Senior
Program Manager for Capital Policy,
(202) 906–5654, David W. Riley, Project
Manager, Supervision Policy, (202) 906–
6669; or Teresa A. Scott, Counsel
(Banking and Finance), (202) 906–6478,
Office of Thrift Supervision, 1700 G
Street, NW, Washington, DC 20552.
SUPPLEMENTARY INFORMATION:
I. Asset-Backed Commercial Paper
Programs
Background
An asset-backed commercial paper
(ABCP) program typically is a program
through which a banking organization
provides funding to its corporate
customers by sponsoring and
administering a bankruptcy-remote
special purpose entity that purchases
asset pools from, or extends loans to,
those customers. The asset pools in an
ABCP program might include, for
example, trade receivables, consumer
loans, or asset-backed securities. The
ABCP program raises cash to provide
funding to the banking organization’s
customers through the issuance of
commercial paper into the market.
Typically, the sponsoring banking
organization provides liquidity and
credit enhancements to the ABCP
program, which aid the program in
obtaining high quality credit ratings that
facilitate the issuance of the commercial
paper.1
In January 2003, the Financial
Accounting Standards Board (FASB)
issued interpretation No. 46,
‘‘Consolidation of Variable Interest
Entities’’ (FIN 46), requiring the
consolidation of variable interest
entities (VIEs) onto the balance sheets of
companies deemed to be the primary
beneficiaries of those entities.2 FIN 46
likely will result in the consolidation of
many ABCP programs onto the balance
sheets of banking organizations
beginning in the third quarter of 2003.
In contrast, under pre-FIN 46
accounting standards, the sponsors of
ABCP programs normally have not been
required to consolidate the assets of
these programs. Banking organizations
that are required to consolidate ABCP
program assets will have to include all
of the program assets (mostly
receivables and securities) and
liabilities (mainly commercial paper) on
their September 30, 2003 balance sheets
for purposes of the bank Reports of
Condition and Income (Call Report), the
Thrift Financial Report (TFR), and the
bank holding company financial
statements (FR Y–9C Report). If no
changes were made to regulatory capital
standards, the resulting increase in the
asset base would lower both the tier 1
leverage and risk-based capital ratios of
banking organizations that must
consolidate the assets held in ABCP
programs.
The agencies believe that the
consolidation of ABCP program assets
could result in risk-based capital
requirements that do not appropriately
reflect the risks faced by banking
organizations involved with these
programs. In the view of the agencies,
banking organizations generally face
limited risk exposure to ABCP
programs. This risk usually is confined
to the credit enhancements and
liquidity facility arrangements that
banking organizations provide to these
programs. In addition, operational
controls and structural provisions, along
with overcollateralization or other credit
enhancements provided by the
companies that sell assets into ABCP
programs mitigate the risk to which
sponsoring banking organizations are
exposed.
Because of the limited risks, in a
related joint interim rule published
elsewhere in today’s Federal Register,
the agencies amended their risk-based
capital standards to permit sponsoring
banking organizations to exclude ABCP
program assets that must be
consolidated by the organization under
FIN 46 from risk-weighted assets for
purposes of calculating the risk-based
capital ratios through the end of the first
quarter of 2004. The agencies also
amended their risk-based capital rules
to exclude from tier 1 and total risk-
based capital any minority interest in
sponsored ABCP programs that are
VerDate jul<14>2003 16:32 Sep 30, 2003 Jkt 203001 PO 00000 Frm 00002 Fmt 4702 Sfmt 4702 E:\FR\FM\01OCP1.SGM 01OCP1