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Risk-Based Capital Guidelines: Market Risk; Alternatives to Credit Ratings for Debt and Securitization Positions.
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12/21/2011
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Description:This Federal Register contains 5 Staff Disclosures and 23 comments. The comments can be found in the Supporting Files section.
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Content Notes:Table 1: Table 1-References To and Use of Credit Ratings Under the Agencies' Current Capital Rules and BCBS Standards (Pg 793838)
Table 2: Table 2-BCBS Specific Riskweighting Factors for Sovereign Debt Positions Under the 2005 Revisions (Pg 79384)
Table 3: Table 3-Mapping of CRC to Risk Weights Under the Basel Accord (Pg 79385)
Table 4: Table 4-Proposed Specific Risk-Weighting Factors for Sovereign Debt Positions (Pg 79385)
Table 5: Table 5-Specific Risk-Weighting Factors for Sovereign Debt Positions Using CDS Spreads and CRCs (Pg 79386)
Table 6: Table 6-Specific Risk-Weighting Factors for Depository Institution, Foreign Bank, and Credit Union Debt Positions (Pg 79387)
Table 7: Table 7-Specific Risk-Weighting Factors for General Obligation Debt Positions in PSEs (Pg 79388)
Table 8: Table 8-Specific Risk-Weighting Factors for Revenue Obligation Covered Positions in PSEs (Pg 79388)
Table 9: Table 9-Specific Risk-Weighting Factors for Covered Corporate Debt Positions Under the Agencies' Market Risk Capital Rules (Pg 79389)
Table 10: Table 10-BCBS 2005 Specific Risk-Weighting Factors for Corporate Debt Positions (Pg 79389)
Table 11: Table 11-Specific Risk-Weighting Factors for Non-Financial Publicly-Traded Corporate Debt Positions (Pg 79390-79391)
Table 12: Table 11A-Specific Risk-Weighting Factors Non-Financial Publicly Traded Company Debt Positions (Pg 79391)
Table 13: Table 12-Specific Risk-Weighting Factors Using Corporate Bond Spreads (Pg 79392)
Table 14: Table 12A-Specific Risk-Weighting Factors Using Corporate Bond Spreads (Pg 79392)
Table 15: Table 13-Long-Term Credit Rating Specific Risk-Weighting Factors for Securitization Positions in the Basel Market Risk Framework (Pg 79393)
Table 16: Table 14-Short-Term Credit Rating Specific Risk-Weighting Factors for Securitization Positions in the Basel Market Risk Framework (Pg 79393-79394)
Table 17: Table 15-Supervisory Minimum Specific Risk-Weighting Factor Floors for Securitization Exposures (Pg 79395)
Table 18: Table 16-Example of a Hypothetical Residential Mortgage-Backed Securitization (Pg 79395)
Table 19: (Pg 79396)
Table 20: Table 17-Alternative Approach Based on Credit Spreads for Assigning Specific Risk-Weighting Factors to Securitization Positions (Pg 79397)
Table 21: Table 2-Specific Risk-Weighting Factors for Sovereign Debt Positions (Pg 79402)
Table 22: Table 3-Specific Risk-Weighting Factors for Depository Institution, Foreign Bank, and Credit Union Debt Positions (Pg 79403)
Table 23: Table 4-Specific Risk-Weighting Factors for PSE General Obligation Debt Positions (Pg 79403)
Table 24: Table 5-Specific Risk-Weighting Factors for PSE Revenue Obligation Debt Positions (Pg 79403-79404)
Table 25: Table 6-Specific Risk-Weighting Factors for Non-Financial Publicly-Traded Company Debt Positions (Pg 79404)
Table 26: Table 6A-Specific Risk-Weighting Factors for Certain Non-Financial Publicly-Traded Company Debt Positions (Pg 79404)
Table 27: Table 7-Minimum Specific Risk-Weighting Factor for a Position (Pg 79405)
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Release Date:12/21/2011
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Agencies Involved:Federal Deposit Insurance Corporation (FDIC);Office of the Comptroller of the Currency (OCC);Board of Governors of the Federal Reserve System;
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Law Involved:Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act)
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Related Regulation:12 CFR Part 3;12 CFR Part 208;12 CFR Part 225;
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Comment Period End Date:02/03/2012
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Source:FDIC Website
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Federal Register Citation Number:76 FR 79380
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CFR Number:12 CFR Part 325
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RIN Indentifier:1557–AC99;7100–AD61;3064–AD70;
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Other Agency Docket IDs:Docket ID OCC–2010–0003;Regulations H and Y; Docket No. R–1401;
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