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:

Supporting Files

• Comments and Staff Disclosures

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