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

Federal Reserve Bank Of Dallas

Informations

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• Langue: English

Extrait

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
[e-mail]. 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,
[phone]. For additional copies of this Bank’s notice, contact the Public Affairs Department at
[phone] 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 [phone]; El Paso Branch Intrastate [phone], Interstate [phone];
Houston Branch Intrastate [phone], Interstate [phone]; San Antonio Branch Intrastate [phone].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 [e-mail]. 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: [e-mail]).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
[e-mail] 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.
VerDate 11<MAY>2000 15:56 Dec 04, 2000 Jkt 194001 PO 00000 Frm 00004 Fmt 4700 Sfmt 4700 E:\FR\FM\05DER1.SGM pfrm01 PsN: 05DER1Federal Register/Vol. 65, No. 234/Tuesday, December 5, 2000/Rules and Regulations 75857
the securities borrower. Where a Corporation Improvement Act of 1991 cash and securiti