The federal banking and thrift regulatory agencies today
issued a final rule amending their risk-based capital standards. The rule permits sponsoring banks, bank
holding companies, and thrifts (banking organizations) to continue to exclude
from their risk-weighted asset base for purposes of calculating the risk-based
capital ratios asset-backed
commercial paper (ABCP) program assets that
are consolidated onto sponsoring banking organizations’ balance sheets as a
result of Financial Accounting Standards Board Interpretation No. 46,
Consolidation of Variable Interest Entities, as revised (FIN 46-R). This provision of the final rule will make
permanent an existing interim final rule.
The final rule also requires banking organizations to
hold risk-based capital against eligible ABCP liquidity facilities with an
original maturity of one year or less that provide liquidity support to ABCP by
imposing a 10 percent credit conversion factor on such facilities. Eligible ABCP liquidity facilities with an
original maturity exceeding one year remain subject to the current 50 percent
credit conversion factor. Ineligible
liquidity facilities are treated as direct credit substitutes or recourse
obligations and are subject to a 100 percent credit conversion factor. The resulting credit equivalent amount is
then risk
weighted according to
the underlying assets, after consideration of any collateral, guarantees, or
external ratings, if applicable. All
liquidity facilities that provide liquidity support to ABCP will be treated as
eligible liquidity facilities for a one-year transition period.
The rule, which will be published shortly in the Federal
Register, will become effective on September 30, 2004.
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