Risk-Based Capital Guidelines: Market Risk; Alternatives to Credit Ratings for Debt and Securitization Positions

SUMMARY: The Office of the Comptroller of the Currency (OCC), Board of Governors of the Federal Reserve System (Board), and Federal Deposit Insurance Corporation (FDIC) (collectively, the agencies) are seeking comment on an amendment to the notice of proposed rulemaking (NPR) to modify the agencies' market risk capital rules, published in the Federal Register on January 11, 2011 (January 2011NPR). The January 2011NPR did not include the methodologies adopted by the Basel Committee on Banking Supervision (BCBS) for calculating the standard specific risk capital requirements for certain debt and securitization positions, because the BCBS methodologies generally rely on credit ratings. Under section 939A of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the Act), all federal agencies must remove references to and requirements of reliance on credit ratings from their regulations and replace them with appropriate alternatives for evaluating creditworthiness. In this NPR, the agencies are proposing to incorporate into the proposed market risk capital rules certain alternative methodologies for calculating specific risk capital requirements for debt and securitization positions that do not rely on credit ratings. The agencies expect to finalize this proposal, together with the January 2011NPR, in the coming months after receipt and consideration of comments.

EFFECTIVE DATE: Comments on this notice of proposed rulemaking must be received by February 3, 2012.

ADDRESSES: Comments should be directed to:

OCC: Because paper mail in the Washington, DC area and at the Agencies is subject to delay, commenters are encouraged to submit comments by the Federal eRulemaking Portal or email, if possible. Please use the title "Risk-Based Capital Guidelines: Market Risk" to facilitate the organization and distribution of the comments. You may submit comments by any of the following methods:

* Federal eRulemaking Portal--"regulations.gov": Go to http://www.regulations.gov. Select "Document Type" of "Proposed Rules," and in "Enter Keyword or ID Box," enter Docket ID "OCC-2010-0003," and click "Search." On "View By Relevance" tab at bottom of screen, in the "Agency" column, locate the proposed rule for OCC, in the "Action" column, click on "Submit a Comment" or "Open Docket Folder" to submit or view public comments and to view supporting and related materials for this rulemaking action.

* Click on the "Help" tab on the Regulations.gov home page to get information on using Regulations.gov, including instructions for submitting or viewing public comments, viewing other supporting and related materials, and viewing the docket after the close of the comment period.

* Email: [email protected].

* Mail: Office of the Comptroller of the Currency, 250 E Street SW., Mail Stop 2-3, Washington, DC 20219.

* Fax: (202) 874-5274.

* Hand Delivery/Courier: 250 E Street SW., Mail Stop 2-3, Washington, DC 20219.

Instructions: You must include "OCC" as the agency name and "Docket ID OCC-2010-0003" in your comment. In general, OCC will enter all comments received into the docket and publish them on the Regulations.gov Web site without change, including any business or personal information that you provide such as name and address information, email addresses, or phone numbers. Comments received, including attachments and other supporting materials, are part of the public record and subject to public disclosure. Do not enclose any information in your comment or supporting materials that you consider confidential or inappropriate for public disclosure.

You may review comments and other related materials that pertain to this proposed rule by any of the following methods:

* Viewing Comments Electronically: Go to http://www.regulations.gov. Select "Document Type" of "Public Submissions," in "Enter Keyword or ID Box," enter Docket ID "OCC-2010-0003," and click "Search." Comments will be listed under "View By Relevance" tab at bottom of screen. If comments from more than one agency are listed, the "Agency" column will indicate which comments were received by the OCC.

* Viewing Comments Personally: You may personally inspect and photocopy comments at the OCC, 250 E Street SW., Washington, DC. For security reasons, the OCC requires that visitors make an appointment to inspect comments. You may do so by calling (202) 874-4700. Upon arrival, visitors will be required to present valid government-issued photo identification and to submit to security screening in order to inspect and photocopy comments.

* Docket: You may also view or request available background documents and project summaries using the methods described above.

Board: You may submit comments, identified by Docket No. R-[1401], by any of the following methods:

* Agency Web Site: http://www.federalreserve.gov. Follow the instructions for submitting comments at http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.

* Federal eRulemaking Portal: http://www.regulations.gov. Follow the instructions for submitting comments.

* Email: [email protected]. Include docket number in the subject line of the message.

* Fax: (202) 452-3819 or (202) 452-3102.

* Mail: Jennifer J. Johnson, Secretary, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW., Washington, DC 20551.

All public comments are available from the Board's Web site at http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm as submitted, unless modified for technical reasons. Accordingly, your comments will not be edited to remove any identifying or contact information. Public comments may also be viewed electronically or in paper form in Room MP-500 of the Board's Martin Building (20th and C Street NW.) between 9 a.m. and 5 p.m. on weekdays.

FDIC: You may submit comments by any of the following methods:

* Federal eRulemaking Portal: http://www.regulations.gov. Follow the instructions for submitting comments.

* Agency Web site: http://www.FDIC.gov/regulations/laws/federal/propose.html.

* Mail: Robert E. Feldman, Executive Secretary, Attention: Comments/Legal ESS, Federal Deposit Insurance Corporation, 550 17th Street NW., Washington, DC 20429.

* Hand Delivered/Courier: The guard station at the rear of the 550 17th Street Building (located on F Street), on business days between 7 a.m. and 5 p.m.

* Email: [email protected].

Instructions: Comments submitted must include "FDIC" and "RIN 3064-AD70." Comments received will be posted without change to http://www.FDIC.gov/regulations/laws/federal/propose.html, including any personal information provided.

FOR FURTHER INFORMATION CONTACT:

OCC: Mark Ginsberg, Risk Expert, (202) 927-4580, Roger Tufts, Senior Economic Advisor, Capital Policy Division, (202) 874-5070; or Carl Kaminski, Senior Attorney, Legislative and Regulatory Activities Division, (202) 874-5090, Office of the Comptroller of the Currency, 250 E Street SW., Washington, DC 20219.

Board: Anna Lee Hewko, Assistant Director, (202) 530-6260, Tom Boemio, Manager, (202) 452-2982, Connie Horsley, Manager, (202) 452-5239, Division of Banking Supervision and Regulation; or April C. Snyder, Senior Counsel, (202) 452-3099, or Benjamin W. McDonough, Senior Counsel, (202) 452-2036, Legal Division. For the hearing impaired only, Telecommunication Device for the Deaf (TDD), (202) 263-4869.

FDIC: Bobby R. Bean, Associate Director, Capital Markets Branch, (202) 898-6705; Ryan Billingsley, Chief (Acting), Policy Section, (202) 898-3797; Karl Reitz, Senior Policy Analyst, (202) 898-6775, Division of Risk Management Supervision; or Mark Handzlik, Counsel, (202) 898-3990; or Michael Phillips, Counsel, (202) 898-3581, Supervision Branch, Legal Division.

SUPPLEMENTARY INFORMATION:

I. Introduction

This NPR amends the January 2011NPR and solicits public comment on proposed methodologies for calculating the specific risk capital requirements for covered debt and securitization positions under the market risk capital rules. Specific risk relates to changes in the market value of a position due to factors other than general market movements. The proposed methodologies would result in specific risk capital requirements for debt and securitization positions that are generally consistent with the BCBS's market risk framework, which relies on the use of credit ratings. The agencies expect to finalize this proposal, together with the January 2011NPR, in the coming months after receipt and consideration of comments.

A. January 2011NPR

--This is a summary of a Federal Register article originally published on the page number listed below--

Notice of proposed rulemaking (NPR).

CFR Part: "12 CFR Part 3"

RIN Number: "RIN 1557-AC99"

Citation: "76 FR 79380"

Document Number: "RIN 3064-AD70"

Federal Register Page Number: "79380"

"Proposed Rules"