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| SEC | RIN: 3235-AG18 | Publication ID: Spring 1997 |
| Title: Use of Statistical Models for Regulatory Capital Purposes; Market Risk Haircuts for Instruments Subject to Interest Rate Risk | |
| Abstract: As part of its comprehensive review of Exchange Act Rule 15c3-1, the net capital rule, the Commission will publish a concept release soliciting comments on how the net capital rule may incorporate statistical models as a basis for calculating market risk capital requirements for interest rate instruments. The Commission also is proposing for comment an amendment to the net capital rule revising the percentage deductions from net worth, or haircuts, applicable to interest rate products when calculating net capital. Under the proposal, haircuts on government securities, investment grade corporate securities, certain mortgage-backed securities, interest rate swaps, and other interest rate-related derivative instruments would be determined by treating these instruments as part of a single portfolio. | |
| Agency: Securities and Exchange Commission(SEC) | Priority: Substantive, Nonsignificant |
| RIN Status: Previously published in the Unified Agenda | Agenda Stage of Rulemaking: Proposed Rule Stage |
| Major: Undetermined | Unfunded Mandates: No |
| CFR Citation: 17 CFR 240.15c3-1 | |
| Legal Authority: 15 USC 78o(c)(3) 15 USC 78q 15 USC 78w | |
Timetable:
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| Regulatory Flexibility Analysis Required: Undetermined | Government Levels Affected: Undetermined |
| Included in the Regulatory Plan: No | |
|
Agency Contact: Peter Geraghty Division of Market Regulation Securities and Exchange Commission Phone:202 942-0177 Email: geraghtyp@sec.gov |
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