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
FDIC-Supervised Banks (Commercial and Savings)
Chief Executive Officer
Chief Financial Officer
Chief Risk Officer
Risk-Based Capital Rules 12 CFR Part 325 Basel II Market Risk
Jason C. Cave, Associate Director, Capital Markets Branch, at firstname.lastname@example.org or (202) 898-3548
Gloria Ikosi, Senior Quantitative Risk Analyst, at email@example.com or (202) 898-3997
FIL-87-2006 - PDF 51k (PDF Help)
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