Risk-Based Capital Guidelines: Market Risk

Details

• Publisher's site:
  https://www.fdic.gov/|FDIC.gov
• 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:
  https://www.fdic.gov/regulations/laws/federal/2012/2012-08-30_final-rule.pdf
• 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:
  urn:sha256:124ebdccb3ac8a64b3dd2cee0b064a730cf1e4acb0494df0a782c18abab40d90
• Download URL:
  https://archive.fdic.gov/view/fdic/5900/fdic_5900_DS1.pdf
• File Type:
  [PDF - 1.11 MB ]