Highlights:
The proposed rule:
- Applies to banks with aggregate trading assets and liabilities equal to 10
percent or more of quarter-end total assets as reported on the most recent
quarterly Call Report or Thrift Financial Report, or equal to $1 billion or
more.
- Establishes more explicit eligibility criteria for positions that receive
market risk capital treatment; sets requirements for prudent valuation and
robust stress testing, and for the control, oversight and validation
mechanisms for models; and expects banks to have an internal capital
assessment for market risk.
- Introduces a new minimum regulatory capital charge, the incremental default
risk requirement, which captures default risk over a time horizon of one
year, taking into account the impact of liquidity, concentrations, hedging
and optionality.
- Updates standard specific risk capital requirements for sub-investment grade
government debt positions and non-qualifying debt positions to conform to
Basel II credit risk weights.
- Replaces the current joint final rule on "Risk-Based Capital Standards:
Market Risk," published in the Federal Register on September 6,
1996 (see FIL-84-96,
dated October 10, 1996).In reply to: Suggested Routing: Chief Executive
Officer Chief Financial Officer Chief Risk Officer
Distribution:
FDIC-Supervised Banks (Commercial and Savings)
Suggested Routing:
Chief Executive Officer
Chief Financial Officer
Chief Risk Officer
Related Topics:
Risk-Based Capital Rules 12 CFR Part 325 Basel II Market Risk
Attachments:
Contact:
Jason C. Cave, Associate Director, Capital Markets Branch, at jcave@fdic.gov or (202) 898-3548
Gloria Ikosi, Senior Quantitative Risk Analyst, at gikosi@fdic.gov or (202) 898-3997
Printable Format:
FIL-87-2006 - PDF 51k (PDF
Help)
Note:
FDIC financial institution letters (FILs) may be accessed from the FDIC's Web site
at www.fdic.gov/news/news/financial/2006/index.html.
To receive FILs electronically, please visit http://www.fdic.gov/about/subscriptions/fil.html.
Paper copies of FDIC financial institution letters may be obtained through the
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(1-877-275-3342 or 703-562- 2200).
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