Risk-Based Capital Guidelines: Market Risk (Final Rule)

The OCC, Board of Governors of the Federal Reserve System, and the FDIC (collectively, the agencies) are revising their market risk capital rules to better capture positions for which the market risk capital rules are appropriate; reduce procyclicality; enhance the rules’ sensitivity to risks that are not adequately captured under current methodologies; and increase transparency through enhanced disclosures. The final rule does not include all of the methodologies adopted by the Basel Committee on Banking Supervision for calculating the standardized specific risk capital requirements for debt and securitization positions due to their reliance on credit ratings, which is impermissible under the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. Instead, the final rule includes alternative methodologies for calculating standardized specific risk capital requirements for debt and securitization positions.

Action: Joint final rule.

Effective Date: January 1, 2013

Cross References: Dodd-Frank Section 939A.