2013-20707. Regulations Transferred From the Office of Thrift Supervision

CFR Correction

In Title 12 of the Code of Federal Regulations, Parts 300 to 499, revised as of January 1, 2013, in Appendix A to Subpart Z of Part 390, at the bottom of page 1015, reinstate footnotes 10 through 12, and at the bottom of page 1019, reinstate footnotes 28 through 32, to read as follows:

Appendix A to Subpart Z to Part 390—Risk-Based Capital Requirements—Internal-Ratings-Based and Advanced Measurement Approaches

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¹⁰ Entities include securities, insurance and other financial subsidiaries, commercial subsidiaries (where permitted), and significant minority equity investments in insurance, financial and commercial entities.

¹¹ Representing 50 percent of the amount, if any, by which total expected credit losses as calculated within the IRB approach exceed eligible credit reserves, which must be deducted from tier 1 capital.

¹² Including 50 percent of the amount, if any, by which total expected credit losses as calculated within the IRB approach exceed eligible credit reserves, which must be deducted from tier 2 capital.

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²⁸ Net unsecured credit exposure is the credit exposure after considering the benefits from legally enforceable netting agreements and collateral arrangements, without taking into account haircuts for price volatility, liquidity, etc.

²⁹ This may include interest rate derivative contracts, foreign exchange derivative contracts, equity derivative contracts, credit derivatives, commodity or other derivative contracts, repo-style transactions, and eligible margin loans.

³⁰ At a minimum, a State savings association must provide the disclosures in Table 11.7 in relation to credit risk mitigation that has been recognized for the purposes of reducing capital requirements under this appendix. Where relevant, State savings associations are encouraged to give further information about mitigants that have not been recognized for that purpose.

³¹ Credit derivatives that are treated, for the purposes of this appendix, as synthetic securitization exposures should be excluded from the credit risk mitigation disclosures and included within those relating to securitization.

³² Counterparty credit risk-related exposures disclosed pursuant to Table 11.6 should be excluded from the credit risk mitigation disclosures in Table 11.7.

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