The four federal
banking agencies--the Office of the Comptroller of the Currency, the
Board of Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, and the Office of Thrift Supervision--today published an interagency advance notice of proposed rulemaking
(ANPR) regarding potential revisions to the existing risk-based capital
framework. These changes would apply to
banks, bank holding companies, and savings associations.
The ANPR document
discusses various modifications to the U.S. risk-based capital standards
including:
- Increasing the number of risk weight
categories to which credit exposures may be assigned;
- Expanding the use of external credit
ratings as an indicator of credit risk for externally-rated exposures;
- Expanding the range of collateral and
guarantors that may qualify an exposure for lower risk weights;
- Using loan-to-value ratios, credit
assessments, and other broad measures of credit risk for assigning
risk-weights to residential mortgages;
- Modifying the credit conversion factor
for various commitments, including those with an original maturity of
under one year;
- Requiring that certain loans 90 days or
more past due or in a non-accrual status be assigned to a higher risk
weight category;
- Modifying the risk-based capital
requirements for certain commercial real estate exposures;
- Increasing the risk sensitivity of
capital requirements for other types of retail, multifamily, small
business, and commercial exposures; and
- Assessing a risk-based capital charge to
reflect the risks in securitizations with early amortization provisions
that are backed by revolving retail exposures.
Comments must be
received on or before January 18, 2006. The Federal Register notice is attached.
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Attachment
Media Contacts:
Federal Reserve Andrew
Williams (202) 452-2955
FDIC David
Barr (202)
898-6992
OCC Kevin
Mukri (202)
874-5770
OTS Erin
Hickman (202) 906-6677