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Risk-Based Capital Guidelines: Market Risk
Document ID: OCC-2012-0002-0001
Document Type: Rule
Agency: Comptroller Of The Currency
Topics: Administrative Practices and Procedures, Banks and Banking, Capital, Confidential Business Information, Crime, Currency, Federal Reserve System, Holding Companies, Mortgages, National Banks, Reporting and Recordkeeping Requirements, Risk, Savings Associations, Securities, State Non-Member Banks
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 revising their market risk capital
rules to better capture positions for which the market risk capital
rules are appropriate; reduce procyclicality; enhance the rules'
sensitivity to risks that are not adequately captured under current
methodologies; and increase transparency through enhanced disclosures.
The final rule does not include all of the methodologies adopted by the
Basel Committee on Banking Supervision for calculating the standardized
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 of 2010. Instead, the final rule includes alternative
methodologies for calculating standardized specific risk capital
requirements for debt and securitization positions.
Risk-Based Capital Guidelines: Market Risk
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