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.

Details

• Publisher's site:
  https://www.fdic.gov/|FDIC.gov
• 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:
  https://www.fdic.gov/regulations/laws/federal/2007/07baselii.pdf
• 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:
  urn:sha256:533ce08a517381041178b69f787c7815ba0b30101e0409ca6950b0b7f2a6af2e
• Download URL:
  https://archive.fdic.gov/view/fdic/5493/fdic_5493_DS1.pdf
• File Type:
  [PDF - 1.13 MB ]