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

Filetype[PDF-307.73 KB]



Details:

  • Publisher's site:
  • 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)

  • Format:
  • 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:
  • File Type:

Supporting Files

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