Proposed Supervisory Guidance for Internal Ratings-Based Systems for Credit Risk, Advanced Measurement Approaches for Operational Risk, and the Supervisory Review Process (Pillar 2) Related to Basel II Implementation.
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Proposed Supervisory Guidance for Internal Ratings-Based Systems for Credit Risk, Advanced Measurement Approaches for Operational Risk, and the Supervisory Review Process (Pillar 2) Related to Basel II Implementation.

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Details:

  • Publisher's site:
  • Corporate Authors:
    Federal Deposit Insurance Corporation (FDIC)
  • Description:
    This Federal Register contains 16 comments. The comments can be found in the Supporting Files section.
  • Content Notes:
    Table 1: Comparison of Current Proposed AMA Supervisory Standards to the 2003 Proposed AMA Supervisory Standards (Pg 9086-9087)

    Table 2: (Pg 9118)

    Table 3: (Pg 9118)

    Table 4: Exhibit A (Revision of Grades 4 and 5 in 2007) (Pg 9125)

    Table 5: Exhibit B (After Recasting 2004-06) (Pg 9126)

    Table 6: Table 1 (Pg 9134)

    Chart 1: EAD for Eligible Margin Loans and Repo-Style Transactions (Pg 9135)

    Table 7: Table 2-Standard Supervisory Market Price Volatility Haircuts (Pg 9136)

    Chart 2: EAD for OTC Derivative Contracts (Pg 9137)

    Chart 3: Securitization Framework-Hierarchy of Approaches (Pg 9147)

    Table 8: Pool Summary (Pg 9149-9150)

    Table 9: Overlap and Risk-Weighted Assets (Pg 9150)

    Table 10: Pool Summary (Pg 9150)

    Table 11: Overlap and Risk-Weighted Assets (Pg 9150)

    Table 12: Table 1-Underlying Wholesale Exposure Characteristics (Pg 9157)

    Table 13: Table 2: Calculation of L and T (Pg 9158)

    Table 14: Table 3-SFA Capital Requirements for Example 1 (Pg 9161)

    Table 15: Table 4-Underlying Mortgage Loan Pool Characteristics (Pg 9161)

    Table 16: Table 5: Calculation of L and T (Pg 9162)

    Table 17: Table 6: Calculating of Pool Specific and Tranche Specific Values (Pg 9162)

    Table 18: Table 7-SFA Capital Requirements for Example 2 (Pg 9162)

    Table 19: Table 8-Underlying Loan Pool Characteristics (Pg 9163)

    Table 20: Table 9: Calculation of L and T (Pg 9163)

    Table 21: Table 10: Calculation of Pool Specific and Tranche Specific Values (Pg 9164)

    Table 22: Table 11-RBA Risk Weights Applicable to Rated Tranches (Pg 9164)

    Table 23: Table 12-RBA and SFA Capital Requirements for Example 3 (Pg 9164)

    Chart 4: Stylized Representation of Risk Quantification (Pg 9177)

    Table 24: Table 11.9-Operational Risk (Pg 9185)

    Table 25: Table 1-Transitional Floors (Pg 9187)

    Chart 5: Operational Risk-Schedule V

    Table 26: Operational Risk-Definitions (Pg 9189)

    Table 27: Operational Loss Event Types and Examples (Pg 9189)

  • Dataset Download URL:
  • Format:
    PDF
  • Release Date:
    02/28/2007
  • Agencies Involved:
    Federal Deposit Insurance Corporation (FDIC);Office of the Comptroller of the Currency (OCC);Board of Governors of the Federal Reserve System;Office of Thrift Supervision;
  • Comment Period End Date:
    05/29/2007
  • Source:
    FDIC Website
  • Federal Register Citation Number:
    72 FR 9084
  • Other Agency Docket IDs:
    Docket No. OCC–2007–0004;Docket No. OP–1277;No. 2007–06;
  • Main Document Checksum:
  • Download URL:
  • File Type:

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