Risk-Based Capital Guidelines: Market Risk

Document ID: OCC-2010-0003-0001
Document Type: Proposed Rule
Agency: Comptroller Of The Currency
Topics: Administrative Practices and Procedures, Capital, National Banks, Reporting and Recordkeeping Requirements, Risk
Federal Register Number: 2010-32189
CFR Citation: 12 CFR Part 3
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Details Information

Abstract:	The Office of the Comptroller of the Currency (OCC), Board of Governors of the Federal Reserve System (Board), and Federal Deposit Insurance Corporation (FDIC) are requesting comment on a proposal to revise their market risk capital rules to modify their scope to better capture positions for which the market risk capital rules are appropriate; reduce procyclicality in market risk capital requirements; enhance the rules' sensitivity to risks that are not adequately captured under the current regulatory measurement methodologies; and increase transparency through enhanced disclosures. The proposal does not include the methodologies adopted by the Basel Committee on Banking Supervision for calculating the specific risk capital requirements for debt and securitization positions due to their reliance on credit ratings, which is impermissible under the Dodd-Frank Wall Street Reform and Consumer Protection Act. The proposal, therefore, retains the current specific risk treatment for these positions until the agencies develop alternative standards of creditworthiness as required by the Act. The proposed rules are substantively the same across the agencies.
Document Subtype:	NPRM
Received Date:	January 11 2011, at 10:07 AM Eastern Standard Time
Start-End Page:	1889 - 1922
Comment Start Date:	January 11 2011, at 12:00 AM Eastern Standard Time
Comment Due Date:	April 11 2011, at 11:59 PM Eastern Standard Time