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Tuesday, June 12, 2012

Agencies Release Final Rule on Market Risk

The OCC, Federal Reserve, and FDIC are revising their market risk capital rules.

The final market risk rule amends the calculation of market risk to better characterize the risks facing a particular institution and to help ensure the adequacy of capital related to the institution's market risk-related positions.

The final rule applies to a banking organization with aggregate trading assets and liabilities equal to 10% of total assets, or $1 billion or more.

The most significant change from the proposal relates to the methods for determining the capital requirements for securitization positions, which will focus on delinquent exposures rather than on cumulative losses.

The final rule will be effective on January 1, 2013.

Read the final rule.

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