Risk-Based Capital Guidelines; Capital Adequacy Guidelines; Capital Maintenance: Consolidation of Asset-Backed Commercial Paper Programs and Other Related Issues

The Office of the Comptroller of the Currency (OCC), Board of Governors of the Federal Reserve System (Board), Federal Deposit Insurance Corporation (FDIC), and Office of Thrift Supervision (OTS) (collectively, the agencies) are amending their risk-based capital standards by removing a sunset provision that would preclude a certain capital treatment for asset-backed commercial paper (ABCP) programs after a certain date. The final rule will permanently permit sponsoring banks, bank holding companies, and thrifts (collectively, sponsoring banking organizations) to exclude from their risk-weighted asset base those assets in ABCP programs 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). The agencies also are implementing more risk-sensitive risk-based capital standards for credit exposures arising from involvement with ABCP. This final rule generally 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. The agencies have decided not to implement the proposed risk-based capital charge for securitizations of revolving retail credit facilities (for example, credit card receivables) that incorporate early amortization provisions. In addition, the agencies are making technical amendments to their risk-based capital standards by deleting tables and attachments that summarize risk categories, credit conversion factors, and transitional arrangements.