DEPARTMENT OF THE TREASURY
FEDERAL RESERVE SYSTEM
FEDERAL DEPOSIT INSURANCE CORPORATION Risk-Based Capital Standards: Market Risk AGENCIES: Office of the Comptroller of the Currency, Treasury; Board of Governors of the Federal Reserve System; and Federal Deposit Insurance Corporation. ACTION: Joint interim rule with request for comment. SUMMARY: The Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Board), and the Federal Deposit Insurance Corporation (FDIC) (collectively, the Agencies) are amending their respective risk-based capital standards for market risk applicable to certain banks and bank holding companies with significant trading activities. The amendment eliminates the requirement that when an institution measures specific risk using its internal model, the total capital charge for specific risk must equal at least 50 percent of the standard specific risk capital charge. The amendment implements a revision to the Basle Accord that permits such treatment for an institution whose internal model adequately measures specific risk. The rule will reduce regulatory burden for institutions with qualifying internal models because they will no longer be required to calculate a standard specific risk capital charge. DATES: This interim rule is effective as of December 31, 1997. Comments must be received by March 2, 1998.
ADDRESSES: Board: Roger Cole, Associate Director (202/452-2618), James Houpt, Deputy Associate Director (202/452-3358), Barbara Bouchard, Senior Supervisory Financial Analyst (202/452-3072), Division of Banking Supervision; or Stephanie Martin, Senior Attorney (202/452-3198), Legal Division. For the hearing impaired only, Telecommunication Device for the Deaf (TDD), Diane Jenkins (202/452-3544). FDIC: William A. Stark, Assistant Director (202/898-6972), Miguel Browne, Manager (202/898-6789), John J. Feid, Chief (202/898-8649), Division of Supervision; Jamey Basham, Counsel (202/898-7265), Legal Division, Federal Deposit Insurance Corporation, 550 17th Street, N.W., Washington DC 20429.
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Summary and joint interim rule (40 KB PDF)
1997 Banking and consumer regulatory policy