Risk-Based Capital Guidelines: Market Risk
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Risk-Based Capital Guidelines: Market Risk

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Details:

  • Publisher's site:
  • Corporate Authors:
    Federal Deposit Insurance Corporation (FDIC)
  • Content Notes:
    Table 1: Table 1-Mapping of CRC to Risk Weights Under the Basel Accord (Pg 53075)

    Table 2: Table 2-Specific Risk-Weighting Factors for Sovereign Debt Positions (Pg 53075)

    Table 3: Table 3-Specific Risk-Weighting Factors for Depository Institution, Foreign Bank, and Credit Union Debt Positions (Pg 53077)

    Table 4: Table 4-Specific Risk-Weighting Factors for PSE General Obligation Debt Positions (Pg 53078)

    Table 5: Table 5-Specific Risk-Weighting Factors for PSE Revenue Obligtation Debt Positions (Pg 53078)

    Table 6-Specific Risk-Weighting Factors for Corporate Debt Positins Under the Investment Grade Methodology (Pg 53080)

    Table 7: Table 1-Trading Book Measures of OCC-Regulated Organizations Affected by the Market Risk Rule [Call Reports as of December 31, 2011, $ in billions] (Pg 53095)

    Table 8: Table 2-Estimated Annual Hours for Creditworthiness Measurement Activities for Institutions Subject to the Market Risk Rule (Pg 53097)

    Table 9: Table 3-Estimated Costs of Credit Rating Alternatives to the Market Risk Rule (Pg 53097)

    Table 10: Table 4-Alternative A: Impact of Variations in Trading Book Size Threshold [December 31, 2011 Call Reports] (Pg 53098)

    Table 11: Table 5-Alternative B: Impact of Variations in Size Threshold Conditions [December 31, 2011 Call Reports] (Pg 53098)

    Table 12: Table 1-Multiplication Factors Based on Results of Backtesting (Pg 53104)

    Table 13: Table 2-Specific Risk-Weighting Factors for Soveriegn Debt Positions (Pg 53107)

    Table 14: Table 3-Specific Risk-Weighting Factors for Depository Institution, Foreign Bank, and Credit Union Debt Positions (Pg 53108)

    Table 15: Table 4-Specific Risk-Weighting Factors for PSE General Obligation Debt Positions (Pg 53108)

    Table 16: Table 5-Specific Risk-Weighting Factors for PSE Revenue Obligationo Debt Positions (Pg 53108-53109)

    Table 17: Table 6-Specific Risk-Weighting Factors for Corporate Debt Positions Under the Investment Grade Methodology (Pg 53109)

  • Dataset Download URL:
  • Release Date:
    08/30/2012
  • 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;
  • Source:
    FDIC Website
  • Effective Date:
    01/30/2012
  • Federal Register Citation Number:
    77 FR 53060
  • CFR Number:
    12 CFR Part 325
  • RIN Indentifier:
    1557–AC99;7100–AD61;3064–AD70;
  • Other Agency Docket IDs:
    Docket ID: OCC–2012–0002;Regulations H and Y; Docket No. R–1401;
  • Main Document Checksum:
  • Download URL:
  • File Type:

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