Risk-Based Capital Guidelines: Market Risk; Alternatives to Credit Ratings for Debt and Securitization Positions.

Details

• Publisher's site:
  https://www.fdic.gov/|FDIC.gov
• Corporate Authors:
  Federal Deposit Insurance Corporation (FDIC)
• Description:
  This Federal Register contains 5 Staff Disclosures and 23 comments. The comments can be found in the Supporting Files section.
• 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)
  
  
• Dataset Download URL:
  https://www.fdic.gov/regulations/laws/federal/2011/11proposedec21.pdf
• Format:
  PDF
• Release Date:
  12/21/2011
• Agencies Involved:
  Federal Deposit Insurance Corporation (FDIC) ; Office of the Comptroller of the Currency (OCC) ; Board of Governors of the Federal Reserve System
• Law Involved:
  Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act)
• Related Regulation:
  12 CFR Part 3 ; 12 CFR Part 208 ; 12 CFR Part 225
• Comment Period End Date:
  02/03/2012
• Source:
  FDIC Website
• Federal Register Citation Number:
  76 FR 79380
• CFR Number:
  12 CFR Part 325
• RIN Indentifier:
  1557–AC99 ; 7100–AD61 ; 3064–AD70
• Other Agency Docket IDs:
  Docket ID OCC–2010–0003 ; Regulations H and Y; Docket No. R–1401
• Main Document Checksum:
  urn:sha256:5e2aa30d2cbd1c740be4988c4049d6501aaf90ed5fc7e72b92ee381ade59648a
• Download URL:
  https://archive.fdic.gov/view/fdic/5762/fdic_5762_DS1.pdf
• File Type:
  [PDF - 307.73 KB ]