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Federal Reserve Bank
of Dallas

l l★K

December 15, 2000

DALLAS, TEXAS
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,
•

more 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
regs.comments@federalreserve.gov. All comments should refer to Docket No. R-1087.
ATTACHMENT
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,
(214) 922-6051. For additional copies of this Bank’s notice, contact the Public Affairs Department at
(214) 922-5254 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 (800) 333-4460; El Paso Branch Intrastate (800) 592-1631, Interstate (800) 351-1012;
Houston Branch Intrastate (800) 392-4162, Interstate (800) 221-0363; San Antonio Branch Intrastate (800) 292-5810.

75856

Federal Register / Vol. 65, No. 234 / Tuesday, December 5, 2000 / Rules and Regulations

DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
12 CFR Part 3
[Docket No. 00–28]
RIN 1557–AB14

FEDERAL RESERVE SYSTEM
12 CFR Parts 208 and 225
[Regulation H and Y; Docket No. R–1087]

FEDERAL DEPOSIT INSURANCE
CORPORATION
12 CFR Part 325
RIN 3064–AC46

Risk-Based Capital Guidelines; Market
Risk Measure; Securities Borrowing
Transactions
AGENCIES: Office of the Comptroller of
the Currency, Treasury; Board of
Governors of the Federal Reserve
System; and Federal Deposit Insurance
Corporation.
ACTION: Interim rule with request for
comment.
SUMMARY: The Office of the Comptroller
of the Currency (OCC), the Board of
Governors of the Federal Reserve
System (Board), and the Federal Deposit
Insurance Corporation (FDIC)
(collectively, the Agencies) are issuing
an interim rule with a request for
comment that amends their market risk
rules to revise the capital treatment for
cash collateral that is posted in
connection with certain securities
borrowing transactions. The effect of the
interim rule is to more appropriately
align the capital requirements for these
transactions with the risk involved and
to provide a capital treatment for U.S.
banking organizations that is more in
line with the capital treatment applied
to their domestic and foreign
competitors.

This interim rule is effective
January 4, 2001. U.S. banking
organizations may apply the provisions
of this interim rule beginning December
5, 2000. Comments must be received by
January 19, 2001.
ADDRESSES: Comments should be
directed to:
OCC: Written comments may be
submitted electronically to
regs.comments@occ.treas.gov or by mail
to Docket No. 00–28, Office of the
Comptroller of the Currency, Public
Information Room, 250 E Street, SW,
Mail Stop 1–5, Washington, DC 20219.
DATES:

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15:56 Dec 04, 2000

Comments will be available for
inspection and photocopying at that
address.
Board: Comments, which should refer
to Docket No. R–1087, may be mailed to
Ms. Jennifer J. Johnson, Secretary, Board
of Governors of the Federal Reserve
System, 20th and C Streets, NW,
Washington, DC 20551, or mailed
electronically to
regs.comments@federalreserve.gov.
Comments addressed to Ms. Johnson
may be delivered to the Board’s
mailroom between 8:45 a.m. and 5:15
p.m., and to the security control room
outside of those hours. Both the
mailroom and the security control room
are accessible from the courtyard
entrance on 20th Street between
Constitution Avenue and C Street, NW.
Comments may be inspected in Room
MP–500 between 9 a.m. and 5 p.m.
weekdays pursuant to § 261.12, except
as provided in § 261.14 of the Board’s
Rules Regarding Availability of
Information, 12 CFR 261.12 and 261.14.
FDIC: Written comments should be
addressed to Robert E. Feldman,
Executive Secretary, Attention:
Comments/OES, Federal Deposit
Insurance Corporation, 550 17th Street,
NW, Washington, DC 20429. Comments
may be hand delivered to the guard
station at the rear of the 550 17th Street
Building (located on F Street), on
business days between 7 a.m. and 5 p.m.
(Fax number: (202) 898–3838; Internet
address: comments@fdic.gov).
Comments may be inspected and
photocopied in the FDIC Public
Information Center, Room 100, 801 17th
Street, NW, Washington, DC, between 9
a.m. and 4:30 p.m. on business days.
FOR FURTHER INFORMATION CONTACT:
OCC: Roger Tufts, Senior Economic
Advisor, Capital Policy (202) 874–5070,
or Ron Shimabukuro, Senior Attorney,
Legislative and Regulatory Activities
Division (202) 874–5090, Office of the
Comptroller of the Currency, 250 E
Street, SW, Washington, DC 20219.
Board: Norah Barger, Assistant
Director (202/452–2402), or David
Adkins, Supervisory Financial Analyst
(202/452–5259), Division of Banking
Supervision and Regulation. For the
hearing impaired only,
Telecommunication Device for the Deaf
(TDD), Janice Simms (202/872–4984),
Board of Governors of the Federal
Reserve System, 20th and C Streets,
NW, Washington, DC 20551.
FDIC: Stephen G. Pfeifer, Examination
Specialist (202/898–8904), Accounting
Section, Division of Supervision;
Michael B. Phillips, Counsel, (202/898–
3581), Legal Division, Federal Deposit
Insurance Corporation, 550 17th Street,
NW, Washington, DC 20429.

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SUPPLEMENTARY INFORMATION: Securities
borrowing transactions were not
specifically addressed in the July 1988
agreement entitled ‘‘International
Convergence of Capital Measurement
and Capital Standards’’ (Basel Accord),
nor in the risk-based capital guidelines
adopted by the Agencies in 1989.1 At
that time, the involvement of U.S.
banking organizations in corporate debt
and equity securities trading activities
was limited. However, in recent years,
U.S. banking organizations have
experienced a rapid growth of such
activities, and it is recognized that
securities borrowing transactions serve
an important function in the operation
of securities markets. Securities
borrowings are used in conjunction with
short sales, securities fails (securities
sold but not made available for delivery
on the settlement date), and option and
arbitrage positions. Securities are also
borrowed in order to be pledged against
public fund deposits. Securities
borrowing enhances market efficiency
and provides an important source of
liquidity to the securities markets.
In a typical securities borrowing
transaction, a party (for example, a
banking organization) needing to borrow
securities obtains the securities from a
securities lender and posts collateral in
the form of cash or highly marketable
securities with the securities lender (or
an agent acting on behalf of the
securities lender) in an amount that
fully covers the value of the securities
borrowed plus an additional margin,
usually ranging from two to five
percent. In accordance with U.S.
generally accepted accounting
principles, cash collateral posted with
the securities lender is treated as a
receivable on the books of the securities
borrower (that is, it is treated as a cash
loan from the securities borrower to the
securities lender, who is the obligor).
Under the existing capital rules, the
securities borrower must hold capital
against the full amount of this
receivable, i.e., the collateral posted.
The borrowed securities generally
remain on the balance sheet of the
securities lender, and, therefore, no
additional capital charge is incurred by
1 The Basel Accord was developed by the Basel
Committee on Banking Supervision and endorsed
by the central bank governors of the Group of Ten
(G–10) countries. The Basel Accord provides a
framework for assessing the capital adequacy of a
depository institution by risk weighting its assets
and off-balance sheet exposures primarily based on
credit risk. The Basel Committee on Banking
Supervision consists of representatives of the
supervisory authorities and central banks from the
Group of Ten countries (Belgium, Canada, France,
Germany, Italy, Japan, Netherlands, Sweden,
Switzerland, United Kingdom, United States), and
Luxembourg.

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Federal Register / Vol. 65, No. 234 / Tuesday, December 5, 2000 / Rules and Regulations
the securities borrower. Where a
securities borrower posts collateral in
the form of securities that continue to be
carried on the borrower’s books, the
only capital charge incurred by the
borrower under the present guidelines is
that associated with a direct holding of
the securities.
The Agencies recognize that securities
borrowing is a long-established financial
activity that historically has resulted in
an exceedingly low level of losses.
Applying a standard 100 percent risk
weight to the full amount of the cash
collateral posted to support such
borrowings, the Agencies further
recognize, results in a capital charge
that is inordinately high, not only in
light of the risk involved in the
transactions, but also in comparison to
the capital required by other U.S. and
non-U.S. regulators of financial firms for
the same transactions. Further, under
the current capital rules, a banking
organization incurs no incremental
capital charge when it borrows
securities and posts securities to
collateralize the borrowing, even though
it is at risk for the amount by which the
collateral exceeds the value of the
securities borrowed.
The Agencies are issuing an interim
rule that better reflects the low risk of
securities borrowing and the posting of
cash collateral in connection with such
transactions and brings the capital
requirements for U.S. banking
organizations into better alignment with
the capital requirements of other U.S.
and non-U.S. regulators of financial
institutions.
Specifically, the Agencies are
adopting an interim rule that permits
banking organizations under the market
risk rules to exclude from risk-weighted
assets receivables arising from the
posting of cash collateral associated
with securities borrowing transactions
to the extent such receivables are
collateralized by the market value of the
securities borrowed, subject to the
following conditions:
1. The transaction is based on
securities includable in the trading book
that are liquid and readily marketable;
2. The transaction is marked to market
daily;
3. The transaction is subject to daily
margin maintenance requirements, and;
4. The transaction is a securities
contract for the purposes of section 555
of the Bankruptcy Code (11 U.S.C. 555),
a qualified financial contract for the
purpose of section 11(e)(8) of the
Federal Deposit Insurance Act (12
U.S.C. 1821(e)(8)), or a netting contract
between or among financial institutions
for the purposes of sections 401–407 of
the Federal Deposit Insurance

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Corporation Improvement Act of 1991
(12 U.S.C. 4401–4407), or the Board’s
Regulation EE (12 CFR Part 231).
Under this treatment, the amount of
the receivable created in connection
with the posting of cash collateral in a
securities borrowing transaction that
would be excluded from the securities
borrower’s adjusted risk-weighted assets
is limited to the portion that is
collateralized by the market value of the
securities borrowed. The
uncollateralized portion, which equals
the difference between the amount of
cash collateral that the securities
borrower posts in support of the
borrowing and the current market value
of the securities borrowed, would be
assigned to the risk weight appropriate
to the obligor.
The Agencies note that the Basel
Accord is currently under revision.
These revisions could result in a more
risk-sensitive treatment for securities
borrowing transactions. Accordingly,
banking organizations should be aware
that this capital treatment under the
market risk rules is subject to change
pending the outcome of the Basel
revisions, which may call for higher
capital charges for securities borrowing
and similar transactions.
The Agencies welcome comment on
all aspects of this interim rule. In
particular, the Agencies request
industry views on the capital treatment
of the posting of securities collateral
associated with securities borrowing
transactions. Under the current capital
rules and the interim rule, the posting
of securities collateral will continue to
not incur a capital charge even though
the securities borrower is at risk (as it
is where cash is posted as collateral) for
the amount by which the securities
collateral exceeds the value of the
securities borrowed. The Agencies
recognize that a strong case can be made
for achieving a greater consistency
between the treatment of the posting of
cash collateral and the posting of
securities collateral by requiring a
capital charge on the amount by which
the market value of the securities posted
as collateral exceeds the market value of
securities borrowed. This could be
accomplished under the present capital
framework, for example, by requiring
the difference in the market value of the
securities posted as collateral and that
of the securities borrowed to be treated
as a securities lending transaction.
Under such a treatment, the difference
would be converted at 100 percent to an
on-balance sheet credit equivalent
amount and risk-weighted according to
the obligor. Industry views are sought
on whether the Agencies should seek to
further equalize the capital treatment of

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75857

cash and securities collateral posted in
support of a securities borrowing
transaction.
In addition, the Agencies are
specifically interested in whether this
revision to the calculation of the capital
requirement for securities borrowing
transactions should be limited only to
those banking organizations that have
implemented the market risk rules.
Under the interim rule, no reduction in
the capital requirement for these
securities borrowing transactions is
available to banking organizations that
have not implemented an approved
value-at-risk model. Accordingly,
comment is sought on whether the
capital treatment of securities borrowing
should be modified within the nontrading portion of the risk-based capital
calculation.
Regulatory Flexibility Act Analysis
Pursuant to section 605(b) of the
Regulatory Flexibility Act, the Agencies
have determined that this interim rule
would not have a significant impact on
a substantial number of small entities in
accord with the spirit and purposes of
the Regulatory Flexibility Act (5 U.S.C.
601 et seq.). Accordingly, a regulatory
flexibility analysis is not required. The
interim rule would reduce regulatory
burden. The rule will only affect
banking organizations that operate
under the market risk rules which limits
the applicability of the rule to
organizations with significant trading
operations. The rule will reduce
regulatory burden for banking
organizations that engage in securities
borrowing transactions.
Administrative Procedure Act
Pursuant to section 553 of the
Administrative Procedure Act, 5 U.S.C.
553, the Agencies find good cause for
issuing this interim rule in advance of
the receipt of comments from interested
parties. Currently, U.S. banking
organizations are at a competitive
disadvantage versus certain foreign
organizations because of differing
capital treatment for securities
borrowing transactions. The Agencies
find that it is contrary to the public
interest for U.S. banking organizations
to be subject to more stringent rules
(resulting in higher regulatory capital
requirements) than direct competitor
institutions outside of the U.S. that have
capital charges determined from rules
that are consistent with the interim rule.
This rule relieves a restriction on
banking organizations and fosters
consistency among international
institutions prior to year-end, but does
not raise safety and soundness concerns.

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75858

Federal Register / Vol. 65, No. 234 / Tuesday, December 5, 2000 / Rules and Regulations

The Agencies are seeking public
comment on the interim rule.
Paperwork Reduction Act
The Agencies have determined that
this interim rule does not involve a
collection of information pursuant to
the provisions of the Paperwork
Reduction Act of 1995 (44 U.S.C. 3501
et seq.).
OCC Unfunded Mandates Reform Act of
1995 Determinations
Section 202 of the Unfunded
Mandates Reform Act of 1995, Public
Law 104–4 (Unfunded Mandates Act)
requires that an agency prepare a
budgetary impact statement before
promulgating a rule that includes a
Federal mandate that may result in
expenditure by State, local, and tribal
governments, in the aggregate, or by the
private sector, of $100 million or more
in any one year. If a budgetary impact
statement is required, section 205 of the
Unfunded Mandates Act also requires
an agency to identify and consider a
reasonable number of regulatory
alternatives before promulgating a rule.
As discussed in the preamble, this
interim rule is limited to banking
organizations subject to the market risk
rules and to securities borrowing
transactions collateralized with cash.
The OCC, therefore, has determined that
the interim rule will not result in
expenditures by State, local, or tribal
governments, or by the private sector of
$100 million or more. Accordingly, the
OCC has not prepared a budgetary
impact statement or specifically
addressed the regulatory alternatives
considered.
List of Subjects
12 CFR Part 3
Administrative practice and
procedure, Capital, National banks,
Reporting and recordkeeping
requirements, Risk.

12 CFR Part 325
Administrative practice and
procedure, Bank deposit insurance,

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Department of Treasury
Office of the Comptroller of the
Currency
12 CFR Chapter 1
Authority and Issuance
For the reasons set out in the joint
preamble, part 3 of chapter I of title 12
of the Code of Federal Regulations is
amended as follows:
PART 3—MINIMUM CAPITAL RATIOS;
ISSUANCE OF DIRECTIVES
1. The authority citation for part 3
continues to read as follows:

2. In appendix A to part 3, in section
a. Revise paragraph (a)(4) introductory
text; and
b. Add a new footnote 12a.
Appendix A To Part 3—Risked-Based
Capital Guidelines
*

*

*

*

*

*

*

*

*

*

*

3. In appendix B to part 3, in section
3, revise paragraph (a)(1) to read as
follows:
Appendix B to Part 3—Risk-Based
Capital Guidelines; Market Risk
Adjustment
(a) * * *
(1) Adjusted risk-weighted assets. (i)
Covered positions. Calculate adjusted riskweighted assets, which equal risk-weighted
assets (as determined in accordance with
appendix A of this part), excluding the riskweighted amount of all covered positions
(except foreign exchange positions outside
the trading account and over-the-counter
derivatives positions).7
(ii) Securities borrowing transactions. In
calculating adjusted risk-weighted assets, a
bank also may exclude a receivable that
results from the bank’s posting of cash
collateral in a securities borrowing
transaction to the extent that the receivable

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*

*

Dated: November 20, 2000.
John D. Hawke, Jr.,
Comptroller of the Currency.

12 CFR Chapter 11

(a) * * *
(4) 100 percent risk weight. All other assets
not specified above,12a including:
12a A bank subject to the market risk capital
requirements pursuant to appendix B of this
part 3 may calculate the capital requirement
for qualifying securities borrowing
transactions pursuant to section 3(a)(1)(ii) of
appendix B of this part 3.

*

*

exchange positions outside the
trading account and all over-the-counter
derivative positions, whether or not in the
trading account, must be included in
adjusted risk-weighted assets as determined
in appendix A of this part 3.

Federal Reserve System

Section 3. Risk Categories/Weights for OnBalance Sheet Assets and Off-Balance Sheet
Items

*

*
7 Foreign

3:

*

is collateralized by the market value of the
borrowed securities and subject to the
following conditions:
(A) The borrowed securities must be
includable in the trading account and must
be liquid and readily marketable;
(B) The borrowed securities must be
marked to market daily;
(C) The receivable must be subject to a
daily margining requirement; and
(D) The securities borrowing transaction
must be a securities contract for purposes of
section 555 of the Bankruptcy Code (11
U.S.C. 555741(7)), a qualified financial
contract for purposes of section 11(e)(8) of
the Federal Deposit Insurance Act (12 U.S.C.
1821(e)(8)), or a netting contract between or
among financial institutions, for purposes of
sections 401–407 of the Federal Deposit
Insurance Corporation Improvement Act of
1991 (12 U.S.C. 4401–4407) or Regulation EE
(12 CFR Part 231).

*

Authority: 12 U.S.C. 93a, 161, 1818,
1828(n), 1828 note, 1831n note, 1835, 3907
and 3909.

*

12 CFR Part 208
Accounting, Agriculture, Banks,
banking, Confidential business
information, Crime, Currency, Federal
Reserve System, Mortgages, Reporting
and recordkeeping requirements,
Securities.
12 CFR Part 225
Administrative practice and
procedure, Banks, banking, Federal
Reserve System, Holding companies,
Reporting and recordkeeping
requirements, Securities.

Banks, banking, Capital adequacy,
Reporting and recordkeeping
requirements, Savings associations,
State non-member banks.

Sfmt 4700

Authority and Issuance
For the reasons set forth in the joint
preamble, part 208 of chapter II of title
12 of the Code of Federal Regulations is
amended as set forth below:
PART 208—MEMBERSHIP OF STATE
BANKING INSTITUTIONS IN THE
FEDERAL RESERVE SYSTEM
(REGULATION H)
1. The authority citation for part 208
continues to read as follows:
Authority: 12 U.S.C. 24, 36, 92a, 93a,
248(a), 248(c), 321–338a, 371d, 461, 481–486,
601, 611, 1814, 1816, 1818, 1820(d)(9),
1823(j), 1828(o), 1831, 1831o, 1831p–1,
1831r–1, 1835a, 1882, 2901–2907, 3105,
3310, 3331–3351, and 3906–3909; 15 U.S.C.
78b, 78l(b), 78l(g), 78l(i), 78o–4(c)(5), 78q,
78q–1, and 78w, 6801, and 6805; 31 U.S.C.
5318; 42 U.S.C. 4012a, 4104a, 4104b, 4106,
and 4128.

2. In appendix E to part 208, under
section 3, paragraph (a)(1) is revised to
read as follows:
Appendix E to part 208—Capital
Adequacy Guidelines for State Member
Banks; Market Risk Measure
*

*

*

*

*

Section 3 Adjustments to the Risk-Based
Capital Ratio Calculations
(a) * * *

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Federal Register / Vol. 65, No. 234 / Tuesday, December 5, 2000 / Rules and Regulations
(1) Adjusted risk-weighted assets. Calcuate
adjusted risk-weighted assets, which equals
risk-weighted assets (as determined in
accordance with appendix A of this part),
excluding the risk-weighted amounts of all
covered positions (except foreign exchange
positions outside the trading account and
over-the counter derivative positions) 7 and
receivables arising from the posting of cash
collateral that is associated with securities
borrowing transactions to the extent the
receivables are collateralized by the market
value of the borrowed securities, provided
that the following conditions are met:
(i) The transaction is based on securities
includable in the trading book that are liquid
and readily marketable,
(ii) The transaction is marked to market
daily,
(iii) The transaction is subject to daily
margin maintenance requirements,
(iv) The transaction is a securities contract
for the purposes of section 555 of the
Bankruptcy Code (11 U.S.C. 555), a qualified
financial contract for the purposes of section
11(e)(8) of the Federal Deposit Insurance Act
(12 U.S.C. 1821(e)(8)), or a netting contract
between or among financial institutions for
the purposes of sections 401–407 of the
Federal Deposit Insurance Corporation
Improvement Act of 1991 (12 U.S.C. 4401–
4407), or the Board’s Regulation EE (12 CFR
part 231).

*

*

*

*

*

7 Foreign

exchange positions outside the
trading account and all over-the-counter
derivative positions, whether or not in the
trading account, must be included in the
adjusted risk weighted assets asdetermined
in appendix A of this part.

*

*

*

*

collateral that is associated with securities
borrowing transactions to the extent the
receivables are collateralized by the market
value of the borrowed securities, provided
that the following conditions are met:
(i) The transaction is based on securities
includable in the trading book that are liquid
and readily marketable,
(ii) The transaction is marked to market
daily,
(iii) The transaction is subject to daily
margin maintenance requirements,
(iv) The transaction is a securities contract
for the purposes of section 555 of the
Bankruptcy Code (11 U.S.C. 555), a qualified
financial contract for the purposes of section
11(e)(8) of the Federal Deposit Insurance Act
(12 U.S.C. 1821(e)(8)), or a netting contract
between or among financial institutions for
the purposes of sections 401–407 of the
Federal Deposit Insurance Corporation
Improvement Act of 1991 (12 U.S.C. 4401–
4407), or the Board’s Regulation EE (12 CFR
Part 231).

*

*

*

*

*

7 Foreign

exchange positions outside the
trading account and all over-the-counter
derivative positions, whether or not in the
trading account, must be included in the
adjusted risk weighted assets as determined
in appendix A of this part.
By order of the Board of Governors of the
Federal Reserve System, November 24, 2000.
Jennifer J. Johnson,
Secretary of the Board.

Federal Deposit Insurance Corporation
12 CFR Chapter III
Authority and Issuance

*

PART 225—BANK HOLDING
COMPANIES AND CHANGE IN BANK
CONTROL (REGULATION Y)

For the reasons set forth in the joint
preamble, part 325 of chapter III of title
12 of the Code of Federal Regulations is
amended as follows:

1. The authority citation for part 225
continues to read as follows:

PART 325—CAPITAL MAINTENANCE

Authority: 12 U.S.C. 1817(j)(13), 1818,
1828(o), 1831i, 1831p–1, 1843(c), 1844(b),
1972(1), 3106, 3108, 3310, 3331–3351, 3907.
and 3909; 15 U.S.C. 6801 and 6805.

2. In appendix E to part 225, under
section 3, paragraph (a)(1) is revised to
read as follows:
Appendix E to Part 225—Capital
Adequacy Guidelines for Bank Holding
Companies; Market Risk Measure
*

*

*

*

*

Section 3. Adjustments to the Risk-Based
Capital Ratio Calculations
(a) * * *
(1) Adjusted risk-weighted assets. Calculate
adjusted risk-weighted assets, which equals
risk-weighted assets (as determined in
accordance with appendix A of this part),
excluding the risk-weighted amounts of all
covered positions (except foreign exchange
positions outside the trading account and
over-the-counter derivative positions) 7 and
receivables arising from the posting of cash

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*

*

*

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AGENCY: Office of the Comptroller of the
Currency, Treasury.
ACTION: Final rule.

*

Sfmt 4700

Dated at Washington, DC, this 21st day of
November, 2000.
By order of the Board of Directors.
Federal Deposit Insurance Corporation.
James D. LaPierre,
Deputy Executive Secretary.
[FR Doc. 00–30748 Filed 12–4–00; 8:45 am]

Assessment of Fees; National Banks;
District of Columbia Banks

*

Fmt 4700

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RIN 1557–AB72

(1) Adjusted risk-weighted assets. Calculate
adjusted risk-weighted assets, which equals

Jkt 194001

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[Docket No. 00–31]

Section 3. Adjustments to the Risk-Based
Capital Ratio Calculations
(a) * * *

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exchange positions outside the
trading account and all over-the-counter
derivative positions, whether or not in the
trading account, must be included in the
adjusted risk weighted assets as determined
in appendix A of this part.

12 CFR Part 8

Appendix C to Part 325—Risk-Based
Capital for State Non-Member Banks:
Market Risk
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7 Foreign

Office of the Comptroller of the
Currency

2. In appendix C to part 325, under
section 3, paragraph (a)(1) is revised to
read as follows:

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DEPARTMENT OF THE TREASURY

Authority: 12 U.S.C. 1815(a), 1815(b),
1816, 1818(a), 1818(b), 1818(c), 1818(t),
1819(Tenth), 1828(c), 1828(d), 1828(i),
1828(n), 1828(o), 1831o, 1835, 3907, 3909,
4808; Pub. L. 102–233, 105 Stat. 1761, 1789,
1790 (12 U.S.C. 1831n note); Pub. L. 102–
242, 105 Stat. 2236, 2355, 2386 (12 U.S.C.
1828 note).

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risk-weighted assets (as determined in
accordance with appendix A of this part),
excluding the risk-weighted amounts of all
covered positions (except foreign exchange
positions outside the trading account and
over-the-counter derivative positions) 7 and
receivables arising from the posting of cash
collateral that is associated with securities
borrowing transactions to the extent the
receivables are collateralized by the market
value of the borrowed securities, provided
that the following conditions are met:
(i) The transaction is based on securities
includable in the trading book that are liquid
and readily marketable,
(ii) The transaction is marked to market
daily,
(iii) The transaction is subject to daily
margin maintenance requirements,
(iv) The transaction is a securities contract
for the purposes of section 555 of the
Bankruptcy Code (11 U.S.C. 555), a qualified
financial contract for the purposes of section
11(e)(8) of the Federal Deposit Insurance Act
(12 U.S.C. 1821(e)(8)), or a netting contract
between or among financial institutions for
the purposes of sections 401–407 of the
Federal Deposit Insurance Corporation
Improvement Act of 1991 (12 U.S.C. 4401–
4407), or the Board’s Regulation EE (12 CFR
Part 231).

BILLING CODE 4810–33–P 6210–01–P 6714–01–P

1. The authority citation for part 325
continues to read as follows:

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75859

SUMMARY: The Office of the Comptroller
of the Currency (OCC) is amending the
assessment formula it uses to assess
independent trust banks. A trust bank is
considered independent for purposes of
this regulation if it specializes in trust
activities and is not affiliated with a

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pfrm01

PsN: 05DER1


Federal Reserve Bank of St. Louis, One Federal Reserve Bank Plaza, St. Louis, MO 63102