Interim Rule and Request for Public Comment on Market Risk Rules -  District Notice 00-78 - Dallas Fed
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Interim Rule and Request for Public Comment on Market Risk Rules - District Notice 00-78 - Dallas Fed

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Federal Reserve Bankll★Kof DallasDALLAS, TEXASDecember 15, 2000 75265-5906Notice 00-78TO: The Chief Executive Officer of eachfinancial institution and others concernedin the Eleventh Federal Reserve DistrictSUBJECTInterim Rule and Request forPublic Comment on Market Risk RulesDETAILSThe Board of Governors of the Federal Reserve System, the Office of the Comptroller of theCurrency, and the Federal Deposit Insurance Corporation have issued an interim rule and requested publiccomment on an amendment to their market risk rules.The amendment revises the capital treatment for cash collateral that is posted in connectionwith certain securities borrowing transactions. The interim rule, which becomes effective January 4, 2001,•m ore appropriately aligns the capital requirements for these transactions with the riskinvolved and• provides a capital treatment for U.S. banking organizations that is more in line with thecapital treatment applied to their domestic and foreign competitors.The Board must receive comments by January 19, 2001. Please address comments to JenniferJ. Johnson, Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, N.W.,Washington, DC 20551. Also, you may mail comments electronically toregs.comments@federalreserve.gov. All comments should refer to Docket No. R-1087.AT TACHMENTA copy of the Board’s notice as it appears on pages 75856–59, Vol. 65, No. 234 of theFederal Register dated December 5, 2000, is ...

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Federal Reserve Bank
ll★K
of Dallas
DALLAS, TEXAS
December 15, 2000 75265-5906
Notice 00-78
TO: The Chief Executive Officer of each
financial institution and others concerned
in the Eleventh Federal Reserve District
SUBJECT
Interim Rule and Request for
Public Comment on Market Risk Rules
DETAILS
The Board of Governors of the Federal Reserve System, the Office of the Comptroller of the
Currency, and the Federal Deposit Insurance Corporation have issued an interim rule and requested public
comment on an amendment to their market risk rules.
The amendment revises the capital treatment for cash collateral that is posted in connection
with certain securities borrowing transactions. The interim rule, which becomes effective January 4, 2001,
•m ore appropriately aligns the capital requirements for these transactions with the risk
involved and
• provides a capital treatment for U.S. banking organizations that is more in line with the
capital treatment applied to their domestic and foreign competitors.
The Board must receive comments by January 19, 2001. Please address comments to Jennifer
J. Johnson, Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, N.W.,
Washington, DC 20551. Also, you may mail comments electronically to
regs.comments@federalreserve.gov. All comments should refer to Docket No. R-1087.
AT TACHMENT
A copy of the Board’s notice as it appears on pages 75856–59, Vol. 65, No. 234 of the
Federal Register dated December 5, 2000, is attached.
MORE INFORMATION
For more information, please contact Dorsey Davis, Banking Supervision Department,
(214) 922-6051. For additional copies of this Bank’s notice, contact the Public Affairs Department at
(214) 922-5254 or access District Notices on our web site at http://www.dallasfed.org/banking/notices/index.html.
For additional copies, bankers and others are encouraged to use one of the following toll-free numbers in contacting the Federal
Reserve Bank of Dallas: Dallas Office (800) 333-4460; El Paso Branch Intrastate (800) 592-1631, Interstate (800) 351-1012;
Houston Branch Intrastate (800) 392-4162, Interstate (800) 221-0363; San Antonio Branch Intrastate (800) 292-5810.75856 Federal Register/Vol. 65, No. 234/Tuesday, December 5, 2000/Rules and Regulations
Comments will be available for SUPPLEMENTARY INFORMATION: SecuritiesDEPARTMENT OF THE TREASURY
inspection and photocopying at that borrowing transactions were not
Office of the Comptroller of the address. specifically addressed in the July 1988
Currency Board: Comments, which should refer agreement entitled ‘‘International
to Docket No. R–1087, may be mailed to Convergence of Capital Measurement
12 CFR Part 3 Ms. Jennifer J. Johnson, Secretary, Board and Capital Standards’’ (Basel Accord),
of Governors of the Federal Reserve nor in the risk-based capital guidelines
[Docket No. 00–28]
1System, 20th and C Streets, NW, adopted by the Agencies in 1989. At
RIN 1557–AB14 Washington, DC 20551, or mailed that time, the involvement of U.S.
electronically to banking organizations in corporate debt
FEDERAL RESERVE SYSTEM regs.comments@federalreserve.gov. and equity securities trading activities
Comments addressed to Ms. Johnson was limited. However, in recent years,
12 CFR Parts 208 and 225 may be delivered to the Board’s U.S. banking organizations have
mailroom between 8:45 a.m. and 5:15 experienced a rapid growth of such[Regulation H and Y; Docket No. R–1087]
p.m., and to the security control room activities, and it is recognized that
outside of those hours. Both theFEDERAL DEPOSIT INSURANCE securities borrowing transactions serve
mailroom and the security control roomCORPORATION an important function in the operation
are accessible from the courtyard of securities markets. Securities
entrance on 20th Street between12 CFR Part 325 borrowings are used in conjunction with
Constitution Avenue and C Street, NW. short sales, securities fails (securitiesRIN 3064–AC46
Comments may be inspected in Room sold but not made available for delivery
MP–500 between 9 a.m. and 5 p.m. on the settlement date), and option andRisk-Based Capital Guidelines; Market
weekdays pursuant to § 261.12, except arbitrage positions. Securities are alsoRisk Measure; Securities Borrowing
as provided in § 261.14 of the Board’s borrowed in order to be pledged againstTransactions
Rules Regarding Availability of public fund deposits. Securities
AGENCIES: Office of the Comptroller of Information, 12 CFR 261.12 and 261.14. borrowing enhances market efficiency
FDIC: Written comments should bethe Currency, Treasury; Board of and provides an important source of
addressed to Robert E. Feldman,Governors of the Federal Reserve liquidity to the securities markets.
Executive Secretary, Attention:System; and Federal Deposit Insurance In a typical securities borrowing
Comments/OES, Federal DepositCorporation. transaction, a party (for example, a
Insurance Corporation, 550 17th Street,ACTION: Interim rule with request for banking organization) needing to borrow
NW, Washington, DC 20429. Commentscomment. securities obtains the securities from a
may be hand delivered to the guard securities lender and posts collateral in
SUMMARY: The Office of the Comptroller station at the rear of the 550 17th Street the form of cash or highly marketable
of the Currency (OCC), the Board of Building (located on F Street), on securities with the securities lender (or
Governors of the Federal Reserve business days between 7 a.m. and 5 p.m. an agent acting on behalf of the
(Fax number: (202) 898–3838; InternetSystem (Board), and the Federal Deposit securities lender) in an amount that
address: comments@fdic.gov).Insurance Corporation (FDIC) fully covers the value of the securities
Comments may be inspected and(collectively, the Agencies) are issuing borrowed plus an additional margin,
photocopied in the FDIC Publican interim rule with a request for usually ranging from two to five
Information Center, Room 100, 801 17thcomment that amends their market risk percent. In accordance with U.S.
Street, NW, Washington, DC, between 9rules to revise the capital treatment for generally accepted accounting
a.m. and 4:30 p.m. on business days.cash collateral that is posted in principles, cash collateral posted with
connection with certain securities FOR FURTHER INFORMATION CONTACT: the securities lender is treated as a
OCC: Roger Tufts, Senior Economicborrowing transactions. The effect of the receivable on the books of the securities
Advisor, Capital Policy (202) 874–5070,interim rule is to more appropriately borrower (that is, it is treated as a cash
or Ron Shimabukuro, Senior Attorney,align the capital requirements for these loan from the securities borrower to the
Legislative and Regulatory Activitiestransactions with the risk involved and securities lender, who is the obligor).
Division (202) 874–5090, Office of theto provide a capital treatment for U.S. Under the existing capital rules, the
Comptroller of the Currency, 250 Ebanking organizations that is more in securities borrower must hold capital
Street, SW, Washington, DC 20219.line with the capital treatment applied against the full amount of this
Board: Norah Barger, Assistantto their domestic and foreign receivable, i.e., the collateral posted.
Director (202/452–2402), or Davidcompetitors. The borrowed securities generally
Adkins, Supervisory Financial Analyst
remain on the balance sheet of theDATES: This interim rule is effective (202/452–5259), Division of Banking
securities lender, and, therefore, noJanuary 4, 2001. U.S. banking Supervision and Regulation. For the
additional capital charge is incurred byorganizations may apply the provisions hearing impaired only,
of this interim rule beginning December Telecommunication Device for the Deaf
1 The Basel Accord was developed by the Basel5, 2000. Comments must be received by (TDD), Janice Simms (202/872–4984), Committee on Banking Supervision and endorsedJanuary 19, 2001. Board of Governors of the Federal by the central bank governors of the Group of Ten
ADDRESSES: Comments should be (G–10) countries. The Basel Accord provides aReserve System, 20th and C Streets,
framework for assessing the capital adequacy of adirected to: NW, Washington, DC 20551.
depository institution by risk weighting its assetsOCC: Written comments may be FDIC: Stephen G. Pfeifer, Examination
and off-balance sheet exposures primarily based on
submitted electronically to Specialist (202/898–8904), Accounting credit risk. The Basel Committee on Banking
regs.comments@occ.treas.gov or by mail Section, Division of Supervision; Supervision consists of representatives of the
supervisory authorities and central banks from theto Docket No. 00–28, Office of the Michael B. Phillips, Counsel, (202/898–
Group of Ten countries (Belgium, Canada, France,Comptroller of the Currency, Public 3581), Legal Division, Federal Deposit
Germany, Italy, Japan, Netherlands, Sweden,
Information Room, 250 E Street, SW, Insurance Corporation, 550 17th Street, Switzerland, United Kingdom, United States), and
Mail Stop 1–5, Washington, DC 20219. NW, Washington, DC 20429. Luxembourg.
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the securities borrower. Where a Corporation Improvement Act of 1991 cash and securities collateral posted in
securities borrower posts collateral in (12 U.S.C. 4401–4407), or the Board’s support of a securities borrowing
the form of securities that continue to be Regulation EE (12 CFR Part 231). transaction.
Under this treatment, the amount ofcarried on the borrower’s books, the In addition, the Agencies are
the receivable created in connectiononly capital charge incurred by the specifically interested in whether this
with the posting of cash collateral in aborrower under the present guidelines is revision to the calculation of the capital
securities borrowing transaction thatthat associated with a direct holding of requirement for securities borrowing
would be excluded from the securitiesthe securities. transactions should be limited only to
The Agencies recognize that securities borrower’s adjusted risk-weighted assets those banking organizations that have
borrowing is a long-established financial is limited to the portion that is implemented the market risk rules.
activity that historically has resulted in collateralized by the market value of the Under the interim rule, no reduction in
an exceedingly low level of losses. securities borrowed. The the capital requirement for these
Applying a standard 100 percent risk uncollateralized portion, which equals securities borrowing transactions is
the difference between the amount ofweight to the full amount of the cash available to banking organizations that
collateral posted to support such cash collateral that the securities have not implemented an approved
borrowings, the Agencies further borrower posts in support of the value-at-risk model. Accordingly,
recognize, results in a capital charge borrowing and the current market value comment is sought on whether the
that is inordinately high, not only in of the securities borrowed, would be capital treatment of securities borrowing
light of the risk involved in the assigned to the risk weight appropriate should be modified within the non-
transactions, but also in comparison to to the obligor. trading portion of the risk-based capital
The Agencies note that the Baselthe capital required by other U.S. and calculation.
Accord is currently under revision.non-U.S. regulators of financial firms for
These revisions could result in a more Regulatory Flexibility Act Analysisthe same transactions. Further, under
risk-sensitive treatment for securitiesthe current capital rules, a banking Pursuant to section 605(b) of the
organization incurs no incremental borrowing transactions. Accordingly,
Regulatory Flexibility Act, the Agencies
capital charge when it borrows banking organizations should be aware
have determined that this interim rulethat this capital treatment under thesecurities and posts securities to
would not have a significant impact onmarket risk rules is subject to changecollateralize the borrowing, even though
a substantial number of small entities inpending the outcome of the Baselit is at risk for the amount by which the
accord with the spirit and purposes ofrevisions, which may call for highercollateral exceeds the value of the
the Regulatory Flexibility Act (5 U.S.C.capital charges for securities borrowingsecurities borrowed.
601 et seq.). Accordingly, a regulatoryThe Agencies are issuing an interim and similar transactions.
flexibility analysis is not required. TheThe Agencies welcome comment onrule that better reflects the low risk of
interim rule would reduce regulatoryall aspects of this interim rule. Insecurities borrowing and the posting of
burden. The rule will only affectparticular, the Agencies requestcash collateral in connection with such
banking organizations that operateindustry views on the capital treatmenttransactions and brings the capital
under the market risk rules which limitsof the posting of securities collateralrequirements for U.S. banking
the applicability of the rule toassociated with securities borrowingorganizations into better alignment with
organizations with significant tradingtransactions. Under the current capitalthe capital requirements of other U.S.
operations. The rule will reducerules and the interim rule, the postingand non-U.S. regulators of financial
regulatory burden for bankingof securities collateral will continue toinstitutions.
organizations that engage in securitiesnot incur a capital charge even thoughSpecifically, the Agencies are
borrowing transactions.the securities borrower is at risk (as itadopting an interim rule that permits
is where cash is posted as collateral) forbanking organizations under the market Administrative Procedure Act
the amount by which the securitiesrisk rules to exclude from risk-weighted
Pursuant to section 553 of thecollateral exceeds the value of theassets receivables arising from the
Administrative Procedure Act, 5 U.S.C.securities borrowed. The Agenciesposting of cash collateral associated
553, the Agencies find good cause forrecognize that a strong case can be madewith securities borrowing transactions
issuing this interim rule in advance offor achieving a greater consistencyto the extent such receivables are
the receipt of comments from interestedbetween the treatment of the posting ofcollateralized by the market value of the
parties. Currently, U.S. bankingcash collateral and the posting ofsecurities borrowed, subject to the
organizations are at a competitivesecurities collateral by requiring afollowing conditions:
disadvantage versus certain foreigncapital charge on the amount by which1. The transaction is based on
organizations because of differingthe market value of the securities postedsecurities includable in the trading book
capital treatment for securitiesas collateral exceeds the market value ofthat are liquid and readily marketable;
borrowing transactions. The Agenciessecurities borrowed. This could be2. The transaction is marked to market
find that it is contrary to the publicaccomplished under the present capitaldaily;
interest for U.S. banking organizations3. The transaction is subject to daily framework, for example, by requiring
to be subject to more stringent rulesmargin maintenance requirements, and; the difference in the market value of the
4. The transaction is a securities securities posted as collateral and that (resulting in higher regulatory capital
contract for the purposes of section 555 of the securities borrowed to be treated requirements) than direct competitor
of the Bankruptcy Code (11 U.S.C. 555), as a securities lending transaction. institutions outside of the U.S. that have
a qualified financial contract for the Under such a treatment, the difference capital charges determined from rules
purpose of section 11(e)(8) of the would be converted at 100 percent to an that are consistent with the interim rule.
Federal Deposit Insurance Act (12 on-balance sheet credit equivalent This rule relieves a restriction on
U.S.C. 1821(e)(8)), or a netting contract amount and risk-weighted according to banking organizations and fosters
between or among financial institutions the obligor. Industry views are sought consistency among international
for the purposes of sections 401–407 of on whether the Agencies should seek to institutions prior to year-end, but does
the Federal Deposit Insurance further equalize the capital treatment of not raise safety and soundness concerns.
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is collateralized by the market value of theThe Agencies are seeking public Banks, banking, Capital adequacy,
borrowed securities and subject to thecomment on the interim rule. Reporting and recordkeeping
following conditions:requirements, Savings associations,
Paperwork Reduction Act (A) The borrowed securities must beState non-member banks.
includable in the trading account and mustThe Agencies have determined that
be liquid and readily marketable;Department of Treasurythis interim rule does not involve a
(B) The borrowed securities must be
collection of information pursuant to Office of the Comptroller of the marked to market daily;
the provisions of the Paperwork Currency (C) The receivable must be subject to a
Reduction Act of 1995 (44 U.S.C. 3501 daily margining requirement; and
12 CFR Chapter 1et seq.). (D) The securities borrowing transaction
must be a securities contract for purposes ofAuthority and IssuanceOCC Unfunded Mandates Reform Act of
section 555 of the Bankruptcy Code (11
1995 Determinations For the reasons set out in the joint U.S.C. 555741(7)), a qualified financial
preamble, part 3 of chapter I of title 12 contract for purposes of section 11(e)(8) ofSection 202 of the Unfunded
of the Code of Federal Regulations is the Federal Deposit Insurance Act (12 U.S.C.Mandates Reform Act of 1995, Public
1821(e)(8)), or a netting contract between oramended as follows:Law 104–4 (Unfunded Mandates Act)
among financial institutions, for purposes ofrequires that an agency prepare a
sections 401–407 of the Federal DepositPART 3—MINIMUM CAPITAL RATIOS;budgetary impact statement before
Insurance Corporation Improvement Act ofISSUANCE OF DIRECTIVESpromulgating a rule that includes a 1991 (12 U.S.C. 4401–4407) or Regulation EE
Federal mandate that may result in 1. The authority citation for part 3 (12 CFR Part 231).
expenditure by State, local, and tribal continues to read as follows: * * * * *
governments, in the aggregate, or by the 7 Foreign exchange positions outside theAuthority: 12 U.S.C. 93a, 161, 1818,private sector, of $100 million or more trading account and all over-the-counter1828(n), 1828 note, 1831n note, 1835, 3907
in any one year. If a budgetary impact derivative positions, whether or not in theand 3909.
statement is required, section 205 of the trading account, must be included in
2. In appendix A to part 3, in section
adjusted risk-weighted assets as determinedUnfunded Mandates Act also requires
3: in appendix A of this part 3.an agency to identify and consider a a. Revise paragraph (a)(4) introductory
reasonable number of regulatory Dated: November 20, 2000.text; and
alternatives before promulgating a rule. John D. Hawke, Jr.,b. Add a new footnote 12a.
As discussed in the preamble, this Comptroller of the Currency.
Appendix A To Part 3—Risked-Basedinterim rule is limited to banking
Federal Reserve SystemCapital Guidelinesorganizations subject to the market risk
rules and to securities borrowing * * * * * 12 CFR Chapter 11
transactions collateralized with cash.
Section 3. Risk Categories/Weights for On- Authority and IssuanceThe OCC, therefore, has determined that
Balance Sheet Assets and Off-Balance Sheet
the interim rule will not result in
Items For the reasons set forth in the joint
expenditures by State, local, or tribal preamble, part 208 of chapter II of titlegovernments, or by the private sector of 12 of the Code of Federal Regulations is(a) * * *
$100 million or more. Accordingly, the
(4) 100 percent risk weight. All other assets amended as set forth below:
OCC has not prepared a budgetary 12anot specified above, including:
impact statement or specifically 12a A bank subject to the market risk capital PART 208—MEMBERSHIP OF STATE
addressed the regulatory alternatives requirements pursuant to appendix B of this BANKING INSTITUTIONS IN THE
considered. part 3 may calculate the capital requirement FEDERAL RESERVE SYSTEM
for qualifying securities borrowing (REGULATION H)List of Subjects transactions pursuant to section 3(a)(1)(ii) of
appendix B of this part 3.12 CFR Part 3 1. The authority citation for part 208
* * * * * continues to read as follows:Administrative practice and
procedure, Capital, National banks, 3. In appendix B to part 3, in section Authority: 12 U.S.C. 24, 36, 92a, 93a,
Reporting and recordkeeping 3, revise paragraph (a)(1) to read as 248(a), 248(c), 321–338a, 371d, 461, 481–486,
requirements, Risk. 601, 611, 1814, 1816, 1818, 1820(d)(9),follows:
1823(j), 1828(o), 1831, 1831o, 1831p–1,
12 CFR Part 208 Appendix B to Part 3—Risk-Based 1831r–1, 1835a, 1882, 2901–2907, 3105,
Capital Guidelines; Market Risk 3310, 3331–3351, and 3906–3909; 15 U.S.C.Accounting, Agriculture, Banks,
Adjustment 78b, 78l(b), 78l(g), 78l(i), 78o–4(c)(5), 78q,banking, Confidential business
78q–1, and 78w, 6801, and 6805; 31 U.S.C.information, Crime, Currency, Federal (a) * * *
5318; 42 U.S.C. 4012a, 4104a, 4104b, 4106,Reserve System, Mortgages, Reporting (1) Adjusted risk-weighted assets. (i)
and 4128.
and recordkeeping requirements, Covered positions. Calculate adjusted risk-
weighted assets, which equal risk-weightedSecurities. 2. In appendix E to part 208, under
assets (as determined in accordance with section 3, paragraph (a)(1) is revised to12 CFR Part 225 appendix A of this part), excluding the risk-
read as follows:
weighted amount of all covered positionsAdministrative practice and
(except foreign exchange positions outsideprocedure, Banks, banking, Federal Appendix E to part 208—Capital
the trading account and over-the-counter Adequacy Guidelines for State MemberReserve System, Holding companies, 7derivatives positions).
Banks; Market Risk MeasureReporting and recordkeeping (ii) Securities borrowing transactions. In
requirements, Securities. calculating adjusted risk-weighted assets, a * * * * *
bank also may exclude a receivable that12 CFR Part 325 Section 3 Adjustments to the Risk-Basedresults from the bank’s posting of cash
Capital Ratio CalculationsAdministrative practice and collateral in a securities borrowing
procedure, Bank deposit insurance, transaction to the extent that the receivable (a) * * *
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(1) Adjusted risk-weighted assets. Calcuate collateral that is associated with securities risk-weighted assets (as determined in
adjusted risk-weighted assets, which equals borrowing transactions to the extent the accordance with appendix A of this part),
risk-weighted assets (as determined in receivables are collateralized by the market excluding the risk-weighted amounts of all
accordance with appendix A of this part), value of the borrowed securities, provided covered positions (except foreign exchange
excluding the risk-weighted amounts of all that the following conditions are met: positions outside the trading account and
7covered positions (except foreign exchange (i) The transaction is based on securities over-the-counter derivative positions) and
positions outside the trading account and includable in the trading book that are liquid receivables arising from the posting of cash
7over-the counter derivative positions) and and readily marketable, collateral that is associated with securities
receivables arising from the posting of cash (ii) The transaction is marked to market borrowing transactions to the extent the
collateral that is associated with securities daily, receivables are collateralized by the market
borrowing transactions to the extent the (iii) The transaction is subject to daily value of the borrowed securities, provided
receivables are collateralized by the market margin maintenance requirements, that the following conditions are met:
value of the borrowed securities, provided (iv) The transaction is a securities contract (i) The transaction is based on securities
that the following conditions are met: for the purposes of section 555 of the includable in the trading book that are liquid
(i) The transaction is based on securities Bankruptcy Code (11 U.S.C. 555), a qualified and readily marketable,
includable in the trading book that are liquid financial contract for the purposes of section (ii) The transaction is marked to market
and readily marketable, 11(e)(8) of the Federal Deposit Insurance Act daily,
(ii) The transaction is marked to market (12 U.S.C. 1821(e)(8)), or a netting contract (iii) The transaction is subject to daily
daily, between or among financial institutions for margin maintenance requirements,
(iii) The transaction is subject to daily the purposes of sections 401–407 of the (iv) The transaction is a securities contract
margin maintenance requirements, Federal Deposit Insurance Corporation for the purposes of section 555 of the
(iv) The transaction is a securities contract Improvement Act of 1991 (12 U.S.C. 4401– Bankruptcy Code (11 U.S.C. 555), a qualified
for the purposes of section 555 of the 4407), or the Board’s Regulation EE (12 CFR financial contract for the purposes of section
Bankruptcy Code (11 U.S.C. 555), a qualified Part 231). 11(e)(8) of the Federal Deposit Insurance Act
financial contract for the purposes of section (12 U.S.C. 1821(e)(8)), or a netting contract* * * * *
11(e)(8) of the Federal Deposit Insurance Act 7 between or among financial institutions forForeign exchange positions outside the
(12 U.S.C. 1821(e)(8)), or a netting contract the purposes of sections 401–407 of thetrading account and all over-the-counter
between or among financial institutions for Federal Deposit Insurance Corporationderivative positions, whether or not in the
the purposes of sections 401–407 of the Improvement Act of 1991 (12 U.S.C. 4401–trading account, must be included in the
Federal Deposit Insurance Corporation 4407), or the Board’s Regulation EE (12 CFRadjusted risk weighted assets as determined
Improvement Act of 1991 (12 U.S.C. 4401– in appendix A of this part. Part 231).
4407), or the Board’s Regulation EE (12 CFR
* * * * *
part 231). By order of the Board of Governors of the 7 Foreign exchange positions outside the
Federal Reserve System, November 24, 2000.* * * * * trading account and all over-the-counter
7 Foreign exchange positions outside the Jennifer J. Johnson, derivative positions, whether or not in the
trading account and all over-the-counter trading account, must be included in theSecretary of the Board.
derivative positions, whether or not in the adjusted risk weighted assets as determined
trading account, must be included in the Federal Deposit Insurance Corporation in appendix A of this part.
adjusted risk weighted assets asdetermined
12 CFR Chapter III
in appendix A of this part. Dated at Washington, DC, this 21st day of
Authority and Issuance November, 2000.* * * * *
By order of the Board of Directors.For the reasons set forth in the jointPART 225—BANK HOLDING Federal Deposit Insurance Corporation.preamble, part 325 of chapter III of titleCOMPANIES AND CHANGE IN BANK
James D. LaPierre,12 of the Code of Federal Regulations isCONTROL (REGULATION Y)
Deputy Executive Secretary.amended as follows:
[FR Doc. 00–30748 Filed 12–4–00; 8:45 am]1. The authority citation for part 225
PART 325—CAPITAL MAINTENANCE
BILLING CODE 4810–33–P 6210–01–P 6714–01–Pcontinues to read as follows:
1. The authority citation for part 325Authority: 12 U.S.C. 1817(j)(13), 1818,
continues to read as follows:1828(o), 1831i, 1831p–1, 1843(c), 1844(b),
DEPARTMENT OF THE TREASURY
1972(1), 3106, 3108, 3310, 3331–3351, 3907. Authority: 12 U.S.C. 1815(a), 1815(b),
and 3909; 15 U.S.C. 6801 and 6805. 1816, 1818(a), 1818(b), 1818(c), 1818(t), Office of the Comptroller of the
1819(Tenth), 1828(c), 1828(d), 1828(i),2. In appendix E to part 225, under Currency
1828(n), 1828(o), 1831o, 1835, 3907, 3909,
section 3, paragraph (a)(1) is revised to
4808; Pub. L. 102–233, 105 Stat. 1761, 1789,
read as follows: 12 CFR Part 81790 (12 U.S.C. 1831n note); Pub. L. 102–
242, 105 Stat. 2236, 2355, 2386 (12 U.S.C. [Docket No. 00–31]Appendix E to Part 225—Capital
1828 note).
Adequacy Guidelines for Bank Holding
RIN 1557–AB722. In appendix C to part 325, underCompanies; Market Risk Measure
section 3, paragraph (a)(1) is revised to
Assessment of Fees; National Banks;* * * * * read as follows:
District of Columbia Banks
Appendix C to Part 325—Risk-BasedSection 3. Adjustments to the Risk-Based
AGENCY: Office of the Comptroller of the
Capital Ratio Calculations Capital for State Non-Member Banks:
Currency, Treasury.Market Risk(a) * * *
ACTION: Final rule.
(1) Adjusted risk-weighted assets. Calculate * * * * *
adjusted risk-weighted assets, which equals SUMMARY: The Office of the Comptroller
risk-weighted assets (as determined in Section 3. Adjustments to the Risk-Based of the Currency (OCC) is amending the
accordance with appendix A of this part), Capital Ratio Calculations assessment formula it uses to assess
excluding the risk-weighted amounts of all
(a) * * * independent trust banks. A trust bank iscovered positions (except foreign exchange
considered independent for purposes ofpositions outside the trading account and * * * * *
7 this regulation if it specializes in trustover-the-counter derivative positions) and (1) Adjusted risk-weighted assets. Calculate
receivables arising from the posting of cash adjusted risk-weighted assets, which equals activities and is not affiliated with a
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