Department of the Treasury, Office of the Comptroller of the Currency; Federal Reserve System, and Federal Deposit Insurance Corporation: Risk-Based Capital Guidelines: Market Risk
GAO-12-1030R, Sep 19, 2012
GAO reviewed the Department of the Treasury, Office of the Comptroller of the Currency (OCC); the Board of Governors of the Federal Reserve System (Board), and Federal Deposit Insurance Corporation's (FDIC) new rule on risk-based capital guidelines. GAO found that (1) The final rule revises OCC's, the Board's, and FDIC's 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; and (2) agencies complied with applicable requirements in promulgating the rule.