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Advanced Capital Adequacy Framework and Market Risk; Proposed Rules and Notices

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Advanced Capital Adequacy Framework and Market Risk; Proposed Rules and Notices Monday, September 25, 2006 Part II Department of the Treasury Office of the Comptroller of the Currency Office of Thrift Supervision 12 CFR Part 3 and 566 Federal Reserve System 12 CFR Parts 208 and 225 Federal Deposit Insurance Corporation 12 CFR Part 325 Risk-Based Capital Standards: Advanced Capital Adequacy Framework and Market Risk; Proposed Rules and Notices VerDate Aug<31>2005 23:25 Sep 22, 2006 Jkt 208001 PO 00000 Frm 00001 Fmt 4717 Sfmt 4717 E:\FR\FM\25SEP2.SGM 25SEP2 sroberts on PROD1PC70 with PROPOSALS 55830 Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Proposed Rules DEPARTMENT OF THE TREASURY requirements for banks that operate All public comments are available under the framework. from the Board’s Web site at Office of the Comptroller of the DATES: Comments must be received on www.federalreserve.gov/generalinfo/ Currency or before January 23, 2007. foia/ProposedRegs.cfm as submitted, ADDRESSES: Comments should be unless modified for technical reasons. 12 CFR Part 3 directed to: Accordingly, your comments will not be [Docket No. 06–09] OCC: You should include OCC and edited to remove any identifying or contact information. Public comments RIN 1557–AC91 Docket Number 06–09 in your comment. You may submit comments by any of may also be viewed electronically or in paper in Room MP–500 of the Board’s FEDERAL RESERVE SYSTEM the following methods: • Federal eRulemaking Portal: http:// Martin Building (20th and C Streets, NW.) between 9 a.m. and 5 p.m. on 12 CFR Parts 208 and 225 www.regulations.gov. Follow the instructions for submitting comments. weekdays. [Regulations H and Y; Docket No. R–1261] • OCC Web Site: http:// FDIC: You may submit comments, www.occ.treas.gov. Click on ‘‘Contact identified by RIN number, by any of the FEDERAL DEPOSIT INSURANCE the OCC,’’ scroll down and click on following methods: CORPORATION • ‘‘Comments on Proposed Regulations.’’ Federal eRulemaking Portal: http:// • E-mail address: www.regulations.gov. Follow the 12 CFR Part 325 [email protected]. instructions for submitting comments. • Agency Web Site: http:// RIN 3064–AC73 • Fax: (202) 874–4448. www.fdic.gov/regulations/laws/federal/ • Mail: Office of the Comptroller of propose.html. DEPARTMENT OF THE TREASURY the Currency, 250 E Street, SW., Mail • Mail: Robert E. Feldman, Executive Stop 1–5, Washington, DC 20219. Secretary, Attention: Comments, Federal Office of Thrift Supervision • Hand Delivery/Courier: 250 E Deposit Insurance Corporation, 550 17th Street, SW., Attn: Public Information 12 CFR Part 566 Street, NW., Washington, DC 20429. Room, Mail Stop 1–5, Washington, DC • Hand Delivery/Courier: Guard RIN 1550–AB56 20219. station at rear of the 550 17th Street Instructions: All submissions received Building (located on F Street) on Risk-Based Capital Standards: must include the agency name (OCC) business days between 7 a.m. and 5 p.m. Advanced Capital Adequacy and docket number or Regulatory • E-mail: [email protected]. Framework Information Number (RIN) for this • Public Inspection: Comments may notice of proposed rulemaking. In AGENCIES: be inspected at the FDIC Public Office of the Comptroller of general, OCC will enter all comments the Currency, Treasury; Board of Information Center, Room E–1002, 3502 received into the docket without Fairfax Drive, Arlington, VA 22226, Governors of the Federal Reserve change, including any business or System; Federal Deposit Insurance between 9 a.m. and 5 p.m. on business personal information that you provide. days. Corporation; and Office of Thrift You may review comments and other Supervision, Treasury. Instructions: Submissions received related materials by any of the following must include the agency name and RIN ACTION: Joint notice of proposed methods: for this rulemaking. Comments received rulemaking. • Viewing Comments Personally: You will be posted without change to http:// SUMMARY: The Office of the Comptroller may personally inspect and photocopy www.fdic.gov/regulations/laws/federal/ of the Currency (OCC), the Board of comments at the OCC’s Public propose.html including any personal Governors of the Federal Reserve Information Room, 250 E Street, SW., information provided. System (Board), the Federal Deposit Washington, DC. You can make an OTS: You may submit comments, Insurance Corporation (FDIC), and the appointment to inspect comments by identified by No. 2006–33, by any of the Office of Thrift Supervision (OTS) calling (202) 874–5043. following methods: (collectively, the agencies) are Board: You may submit comments, • Federal eRulemaking Portal: http:// proposing a new risk-based capital identified by Docket No. R–1261, by any www.regulations.gov. Follow the adequacy framework that would require of the following methods: instructions for submitting comments. • • some and permit other qualifying Agency Web Site: http:// E-mail address: banks 1 to use an internal ratings-based www.federalreserve.gov. Follow the [email protected]. Please approach to calculate regulatory credit instructions for submitting comments at include No. 2006–33 in the subject line risk capital requirements and advanced http://www.federalreserve.gov/ of the message and include your name measurement approaches to calculate generalinfo/foia/ProposedRegs.cfm. and telephone number in the message. • Federal eRulemaking Portal: http:// • Fax: (202) 906–6518. regulatory operational risk capital • requirements. The proposed rule www.regulations.gov. Follow the Mail: Regulation Comments, Chief instructions for submitting comments. Counsel’s Office, Office of Thrift describes the qualifying criteria for • banks required or seeking to operate E-mail: Supervision, 1700 G Street, NW., under the proposed framework and the [email protected]. Washington, DC 20552, Attention: No. applicable risk-based capital Include docket number in the subject 2006–33. line of the message. • Hand Delivery/Courier: Guard’s • 1 For simplicity, and unless otherwise indicated, FAX: 202/452–3819 or 202/452– Desk, East Lobby Entrance, 1700 G this notice of proposed rulemaking (NPR) uses the 3102. Street, NW., from 9 a.m. to 4 p.m. on term ‘‘bank’’ to include banks, savings associations, • Mail: Jennifer J. Johnson, Secretary, business days, Attention: Regulation and bank holding companies (BHCs). The terms Board of Governors of the Federal Comments, Chief Counsel’s Office, ‘‘bank holding company’’ and ‘‘BHS’’ refer only to bank holding companies regulated by the board and Reserve System, 20th Street and Attention: No. 2006–33. do not include savings and loan holding companies Constitution Avenue, NW., Washington, Instructions: All submissions received regulated by the OTS. DC 20551. must include the agency name and VerDate Aug<31>2005 23:25 Sep 22, 2006 Jkt 208001 PO 00000 Frm 00002 Fmt 4701 Sfmt 4702 E:\FR\FM\25SEP2.SGM 25SEP2 sroberts on PROD1PC70 with PROPOSALS Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Proposed Rules 55831 docket number or Regulatory Regulations and Legislation Division Category, and Immaterial Credit Information Number (RIN) for this (202) 906–6639, Office of Thrift Exposures) rulemaking. All comments received will Supervision, 1700 G Street, NW., 1. Phase 1—Categorization of Exposures be posted without change to the OTS Washington, DC 20552. 2. Phase 2—Assignment of Wholesale Obligors and Exposures to Rating Grades Internet Site at http://www.ots.treas.gov/ SUPPLEMENTARY INFORMATION: and Retail Exposures to Segments pagehtml.cfm?catNumber=67&an=1, Purchased wholesale receivables Table of Contents including any personal information Wholesale lease residuals provided. I. Introduction 3. Phase 3—Assignment of Risk Parameters Docket: For access to the docket to A. Background to Wholesale Obligors and Exposures read background documents or B. Conceptual Overview and Retail Segments comments received, go to http:// 1. The IRB Framework for Credit Risk 4. Phase 4—Calculation of Risk-Weighted 2. The AMA for Operational Risk www.ots.treas.gov/ Assets C. Overview of Proposed Rule 5. Statutory Provisions on the Regulatory pagehtml.cfm?catNumber=67&an=1. D. Structure of Proposed Rule Capital Treatment of Certain Mortgage In addition, you may inspect E. Quantitative Impact Study 4 and Overall Loans comments at the Public Reading Room, Capital Objectives C. Credit Risk Mitigation Techniques 1700 G Street, NW., by appointment. To 1. Quantitative Impact Study 4 1. Collateral make an appointment for access, call 2. Overall Capital Objectives 2. EAD for Counterparty Credit Risk (202) 906–5922, send an e-mail to F. Competitive Considerations EAD for repo-style transactions and eligible [email protected], or send a II. Scope margin loans facsimile transmission to (202) 906– A. Core and Opt-In Banks Collateral haircut approach B. U.S. Depository Institution Subsidiaries Standard supervisory haircuts 7755. (Prior notice identifying the of Foreign Banks Own estimates of haircuts materials you will be requesting will C. Reservation of Authority Simple VaR methodology assist us in serving you.) We schedule III. Qualification 3. EAD for OTC Derivative Contracts appointments on business days between A. The Qualification Process Current exposure methodology 10 a.m. and 4 p.m. In most cases, 1. In General 4. Internal Models Methodology appointments will be available the next 2. Parallel Run and Transitional Floor Maturity under the internal models business day following the date we Periods methodology receive a request. B. Qualification Requirements Collateral
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