Highlights:
- Supplements the "Final Rule on Capital Requirements for Asset-Backed Commercial Paper Programs" issued on July 28, 2004 (see FIL-87-2004).
- Provides clarification on the application of the asset quality test for determining the eligibility or ineligibility of an ABCP liquidity facility and the resulting risk-based capital treatment for banks that provide liquidity facilities.
- Provides the agencies' determination of the forms of credit enhancements that are acceptable for mitigating credit risk that would otherwise be assumed by a liquidity facility for purposes of satisfying the asset quality test.
- Allows banks that meet the criteria set forth in the final rule or in this guidance to continue to apply a credit conversion factor of 10 percent for short-term liquidity facilities and 50 percent for long-term liquidity facilities. Banks that fail to meet either the criteria set forth in the final rule or in this guidance will be required to apply a 100 percent credit conversion factor on the liquidity facility starting with the reporting period ending September 30, 2005.
- Generally applies to large banks that provide liquidity facilities to ABCP programs.
Distribution:
FDIC-Supervised Banks (Commercial and Savings)
Suggested Routing:
Chief Executive Officer
Chief Financial Officer
Chief Accounting Officer
Related Topics:
ABCP Programs
Liquidity Facilities
Credit Enhancements
Risk-Based Capital Rules – Part 325
Attachment:
Interagency Guidance on the Eligibility of Asset-Backed Commercial Paper Liquidity Facilities and the Resulting Risk-Based Capital Treatment
Interagency Guidance on the Eligibility of Asset-Backed Commercial Paper Liquidity Facilities and the Resulting Risk-Based Capital Treatment - PDF 28k (PDF Help)
Contact:
Jason C. Cave, Chief, Capital Markets Policy Section, at jcave@fdic.gov or (202) 898-3548. Bobby R. Bean, Senior Quantitative Risk Analyst, at bbean@fdic.gov or (202) 898-3575.
Note:
FDIC Financial Institution Letters (FILs) may be accessed from the FDIC's Web site at www.fdic.gov/news/news/financial/2005/index.html.
To receive FILs electronically, please visit http://www.fdic.gov/about/subscriptions/fil.html.
Paper copies of FDIC FILs may be obtained through the FDIC's Public Information Center, 801 17th Street, NW, Room 100, Washington, DC 20434 (1-877-275-3342 or (703) 562-2200).
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