Risk-Based Capital Standards: Advanced Capital Adequacy Framework, 77518-77519 [06-9737]

Download as PDF 77518 Federal Register / Vol. 71, No. 247 / Tuesday, December 26, 2006 / Proposed Rules TABLE 7.—EARLY AMORTIZATION CREDIT CONVERSION FACTORS— Continued Excess spread trapping point ratio CCF (percent) Less than 75 percent to 50 percent of trapping point ............ Less than 50 percent of trapping point .............................. 50 100 6. In § 567.11, revise paragraph (c)(2), redesignate paragraph (c)(3) as paragraph (c)(4) and add new paragraph (c)(3) to read as follows: § 567.11 Dated: December, 11, 2006. By the Office of Thrift Supervision John Reich, Director. [FR Doc. 06–9738 Filed 12–22–06; 8:45 am] BILLING CODE 4810–33–P(25%); 6210–01–P(25%); 6714– 01–P(25%); 6720–01–P(25%) DEPARTMENT OF THE TREASURY Office of the Comptroller of the Currency Reservation of authority. * * * * * (c) * * * (2) Notwithstanding §§ 567.6 and 567.7 of this part, OTS will look to the substance of a transaction and may find that the assigned risk-weight for any asset, or credit equivalent amount or credit conversion factor for any offbalance sheet item does not appropriately reflect the risks imposed on the savings association. OTS may require the savings association to apply another risk weight, credit equivalent amount, or credit conversion factor that the OTS deems appropriate. Similarly, OTS may override the use of certain ratings or ratings on certain instruments, if necessary or appropriate to reflect the risk that that an instrument poses to a savings association. (3) OTS may require a savings association to use § 567.6 or § 567.7 of this part to compute risk-weighted assets, if OTS determines that the riskweighted capital requirement computed under that section is more appropriate for the risk profile of the savings association or would otherwise enhance the safety and soundness of the savings association. In making a determination under this paragraph (c)(3), OTS will apply notice and response procedures in the same manner and to the same extent as the notice procedures in 12 CFR 567.3(d). * * * * * Dated: December 12, 2006. John C. Dugan, Comptroller of the Currency. sroberts on PROD1PC70 with PROPOSALS Federal Deposit Insurance Corporation. Valerie J. Best, Assistant Executive Secretary. By order of the Board of Governors of the Federal Reserve System, December 8, 2006. Jennifer J. Johnson, Secretary of the Board. Dated at Washington, D.C., this 5th Day of December, 2006. By order of the Board of Directors. VerDate Aug<31>2005 16:17 Dec 22, 2006 Jkt 211001 12 CFR Part 3 [Docket No. 06–09] RIN 1557–AC91 FEDERAL RESERVE SYSTEM 12 CFR Parts 208 and 225 [Regulations H and Y; Docket No. R–1261] FEDERAL DEPOSIT INSURANCE CORPORATION 12 CFR Part 325 RIN 3064–AC73 DEPARTMENT OF THE TREASURY Office of Thrift Supervision 12 CFR Part 566 [Docket No. 2006–33] RIN 1550–AB56 Risk-Based Capital Standards: Advanced Capital Adequacy Framework AGENCIES: Office of the Comptroller of the Currency, Treasury; Board of Governors of the Federal Reserve System; Federal Deposit Insurance Corporation; and Office of Thrift Supervision, Treasury. ACTION: Joint notice of proposed rulemaking; extension of comment period. SUMMARY: On September 25, 2006, the Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Board), the Federal Deposit Insurance Corporation (FDIC), and the Office of Thrift Supervision (OTS) (collectively, the agencies) issued a joint notice of proposed rulemaking for public comment that proposed a new riskbased capital adequacy framework (Basel II NPR). The Basel II NPR would PO 00000 Frm 00074 Fmt 4701 Sfmt 4702 require some and permit other qualifying banks 1 to use an internal ratings-based approach to calculate regulatory credit risk capital requirements and advanced measurement approaches to calculate regulatory operational risk capital requirements. The Basel II NPR describes the qualifying criteria for banks required or seeking to operate under the proposed framework and the applicable risk-based capital requirements for banks that operate under the framework. The Basel II NPR comment period will end on January 23, 2007. In today’s issue of the Federal Register, the agencies are proposing revisions to the existing risk-based capital framework that would apply to banks that do not use the Basel II NPR (Basel IA NPR). The agencies have determined that an extension of the Basel II NPR comment period is appropriate to allow interested parties additional time to compare the riskbased capital requirements as proposed in the Basel II NPR with the risk-based capital requirements as proposed in the Basel IA NPR. DATES: The comment period for the proposed rule published at 71 FR 55830 (Sept. 25, 2006) is extended until March 26, 2007. ADDRESSES: You may submit comments by any of the methods identified in the Basel II NPR (See 71 FR 55830, September 25, 2006.) FOR FURTHER INFORMATION CONTACT: OCC: Roger Tufts, Senior Economic Advisor, Capital Policy (202–874–4925) or Ron Shimabukuro, Special Counsel, Legislative and Regulatory Activities Division (202–874–5090). Office of the Comptroller of the Currency, 250 E Street, SW., Washington, DC 20219. Board: Barbara Bouchard, Deputy Associate Director (202–452–3072 or barbara.bouchard@frb.gov) or Anna Lee Hewko, Senior Supervisory Financial Analyst (202–530–6260 or anna.hewko@frb.gov), Division of Banking Supervision and Regulation; or Mark E. Van Der Weide, Senior Counsel (202–452–2263 or mark.vanderweide@frb.gov), Legal Division. For users of Telecommunications Device for the Deaf (‘‘TDD’’) only, contact 202–263–4869. FDIC: Jason C. Cave, Associate Director, Capital Markets Branch, (202) 898–3548, Bobby R. Bean, Chief, Policy Section, Capital Markets Branch, (202) 898–3575, Kenton Fox, Senior Capital Markets Specialist, Capital Markets 1 As used in this notice, the term ‘‘bank’’ includes banks, savings associations, and bank holding companies. E:\FR\FM\26DEP2.SGM 26DEP2 Federal Register / Vol. 71, No. 247 / Tuesday, December 26, 2006 / Proposed Rules Branch, (202) 898–7119, Division of Supervision and Consumer Protection; or Michael B. Phillips, Counsel, (202) 898–3581, Supervision and Legislation Branch, Legal Division, Federal Deposit Insurance Corporation, 550 17th Street, NW., Washington, DC 20429. OTS: Michael D. Solomon, Director, Capital Policy, Supervision Policy (202) 906–5654; David W. Riley, Senior Analyst, Capital Policy (202) 906–6669; or Karen Osterloh, Special Counsel, Regulations and Legislation Division (202) 906–6639, Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552. On September 25, 2006, the agencies issued the Basel II NPR, which proposed a new risk-based capital adequacy framework that would require some and permit other qualifying banks to use an internal ratings-based approach to calculate regulatory credit risk capital requirements and advanced measurement approaches to calculate regulatory operational risk capital sroberts on PROD1PC70 with PROPOSALS SUPPLEMENTARY INFORMATION: VerDate Aug<31>2005 16:17 Dec 22, 2006 Jkt 211001 requirements. See 71 FR 55830. The proposed rule describes the qualifying criteria for banks required or seeking to operate under the proposed framework and the applicable risk-based capital requirements for banks that would operate under that framework. In today’s issue of the Federal Register, the agencies are proposing revisions to the existing risk-based capital framework applicable to banks that would not use the Basel II NPR. The Basel IA NPR proposes to expand the number of risk weight categories, allow the use of external credit ratings to risk weight certain exposures, expand the range of recognized collateral and eligible guarantors, use loan-to-value ratios to risk weight most residential mortgages, and revise other provisions of the existing risk-based capital requirements to increase the risk sensitivity of the risk-based capital rules for those banks that will not use the proposed risk-based capital requirements in the Basel II NPR. The agencies believe that it is important for interested parties to be PO 00000 Frm 00075 Fmt 4701 Sfmt 4702 77519 able to compare the risk-based capital requirements in the Basel II NPR and Basel IA NPR. Therefore, the agencies are extending the comment period for the Basel II NPR from January 23, 2007, to March 26, 2007. Dated: December 5, 2006. John C. Dugan, Comptroller of the Currency. Dated: December 8, 2006. By order of the Board of Governors of the Federal Reserve System. Jennifer J. Johnson, Secretary of the Board. Dated at Washington, DC, this 5th day of December, 2006. By order of the Board of Directors, Federal Deposit Insurance Corporation. Valerie J. Best, Assistant Executive Secretary. Dated: December 11, 2006. John Reich, Director. [FR Doc. 06–9737 Filed 12–22–06; 8:45 am] BILLING CODE 4810–33–P; 6210–01–P; 6714–01–P; 6720–01–P E:\FR\FM\26DEP2.SGM 26DEP2

Agencies

[Federal Register Volume 71, Number 247 (Tuesday, December 26, 2006)]
[Proposed Rules]
[Pages 77518-77519]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 06-9737]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency

12 CFR Part 3

[Docket No. 06-09]
RIN 1557-AC91

FEDERAL RESERVE SYSTEM

12 CFR Parts 208 and 225

[Regulations H and Y; Docket No. R-1261]

FEDERAL DEPOSIT INSURANCE CORPORATION

12 CFR Part 325

RIN 3064-AC73

DEPARTMENT OF THE TREASURY

Office of Thrift Supervision

12 CFR Part 566

[Docket No. 2006-33]
RIN 1550-AB56


Risk-Based Capital Standards: Advanced Capital Adequacy Framework

AGENCIES: Office of the Comptroller of the Currency, Treasury; Board of 
Governors of the Federal Reserve System; Federal Deposit Insurance 
Corporation; and Office of Thrift Supervision, Treasury.

ACTION: Joint notice of proposed rulemaking; extension of comment 
period.

-----------------------------------------------------------------------

SUMMARY: On September 25, 2006, the Office of the Comptroller of the 
Currency (OCC), the Board of Governors of the Federal Reserve System 
(Board), the Federal Deposit Insurance Corporation (FDIC), and the 
Office of Thrift Supervision (OTS) (collectively, the agencies) issued 
a joint notice of proposed rulemaking for public comment that proposed 
a new risk-based capital adequacy framework (Basel II NPR). The Basel 
II NPR would require some and permit other qualifying banks \1\ to use 
an internal ratings-based approach to calculate regulatory credit risk 
capital requirements and advanced measurement approaches to calculate 
regulatory operational risk capital requirements. The Basel II NPR 
describes the qualifying criteria for banks required or seeking to 
operate under the proposed framework and the applicable risk-based 
capital requirements for banks that operate under the framework. The 
Basel II NPR comment period will end on January 23, 2007.
---------------------------------------------------------------------------

    \1\ As used in this notice, the term ``bank'' includes banks, 
savings associations, and bank holding companies.
---------------------------------------------------------------------------

    In today's issue of the Federal Register, the agencies are 
proposing revisions to the existing risk-based capital framework that 
would apply to banks that do not use the Basel II NPR (Basel IA NPR). 
The agencies have determined that an extension of the Basel II NPR 
comment period is appropriate to allow interested parties additional 
time to compare the risk-based capital requirements as proposed in the 
Basel II NPR with the risk-based capital requirements as proposed in 
the Basel IA NPR.

DATES: The comment period for the proposed rule published at 71 FR 
55830 (Sept. 25, 2006) is extended until March 26, 2007.

ADDRESSES: You may submit comments by any of the methods identified in 
the Basel II NPR (See 71 FR 55830, September 25, 2006.)

FOR FURTHER INFORMATION CONTACT: OCC: Roger Tufts, Senior Economic 
Advisor, Capital Policy (202-874-4925) or Ron Shimabukuro, Special 
Counsel, Legislative and Regulatory Activities Division (202-874-5090). 
Office of the Comptroller of the Currency, 250 E Street, SW., 
Washington, DC 20219.
    Board: Barbara Bouchard, Deputy Associate Director (202-452-3072 or 
barbara.bouchard@frb.gov) or Anna Lee Hewko, Senior Supervisory 
Financial Analyst (202-530-6260 or anna.hewko@frb.gov), Division of 
Banking Supervision and Regulation; or Mark E. Van Der Weide, Senior 
Counsel (202-452-2263 or mark.vanderweide@frb.gov), Legal Division. For 
users of Telecommunications Device for the Deaf (``TDD'') only, contact 
202-263-4869.
    FDIC: Jason C. Cave, Associate Director, Capital Markets Branch, 
(202) 898-3548, Bobby R. Bean, Chief, Policy Section, Capital Markets 
Branch, (202) 898-3575, Kenton Fox, Senior Capital Markets Specialist, 
Capital Markets

[[Page 77519]]

Branch, (202) 898-7119, Division of Supervision and Consumer 
Protection; or Michael B. Phillips, Counsel, (202) 898-3581, 
Supervision and Legislation Branch, Legal Division, Federal Deposit 
Insurance Corporation, 550 17th Street, NW., Washington, DC 20429.
    OTS: Michael D. Solomon, Director, Capital Policy, Supervision 
Policy (202) 906-5654; David W. Riley, Senior Analyst, Capital Policy 
(202) 906-6669; or Karen Osterloh, Special Counsel, Regulations and 
Legislation Division (202) 906-6639, Office of Thrift Supervision, 1700 
G Street, NW., Washington, DC 20552.

SUPPLEMENTARY INFORMATION: On September 25, 2006, the agencies issued 
the Basel II NPR, which proposed a new risk-based capital adequacy 
framework that would require some and permit other qualifying banks to 
use an internal ratings-based approach to calculate regulatory credit 
risk capital requirements and advanced measurement approaches to 
calculate regulatory operational risk capital requirements. See 71 FR 
55830. The proposed rule describes the qualifying criteria for banks 
required or seeking to operate under the proposed framework and the 
applicable risk-based capital requirements for banks that would operate 
under that framework.
    In today's issue of the Federal Register, the agencies are 
proposing revisions to the existing risk-based capital framework 
applicable to banks that would not use the Basel II NPR. The Basel IA 
NPR proposes to expand the number of risk weight categories, allow the 
use of external credit ratings to risk weight certain exposures, expand 
the range of recognized collateral and eligible guarantors, use loan-
to-value ratios to risk weight most residential mortgages, and revise 
other provisions of the existing risk-based capital requirements to 
increase the risk sensitivity of the risk-based capital rules for those 
banks that will not use the proposed risk-based capital requirements in 
the Basel II NPR.
    The agencies believe that it is important for interested parties to 
be able to compare the risk-based capital requirements in the Basel II 
NPR and Basel IA NPR. Therefore, the agencies are extending the comment 
period for the Basel II NPR from January 23, 2007, to March 26, 2007.

    Dated: December 5, 2006.
John C. Dugan,
Comptroller of the Currency.
    Dated: December 8, 2006.

    By order of the Board of Governors of the Federal Reserve 
System.
Jennifer J. Johnson,
Secretary of the Board.
    Dated at Washington, DC, this 5th day of December, 2006.

    By order of the Board of Directors,
Federal Deposit Insurance Corporation.
Valerie J. Best,
Assistant Executive Secretary.
    Dated: December 11, 2006.
John Reich,
Director.
[FR Doc. 06-9737 Filed 12-22-06; 8:45 am]
BILLING CODE 4810-33-P; 6210-01-P; 6714-01-P; 6720-01-P