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CFG/RBS Comments

Q 55: The agencies seek comment on this definition.

The US NPR definition seems reasonable. We welcome the inclusion of point (iii) any non-U.S.-based securities exchange that is registered with, or approved by, a national securities regulatory authority, provided that there is a liquid, two-way market for the exposure (that is, there are enough bona fide offers to buy and sell so that a sales price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined promptly and a trade can be settled at such a price within five business days).

Q 56: The agencies seek comment on the approach to adjusted carrying value for the off- balance sheet component of equity exposures and on alternative approaches that may better capture the market risk of such exposures.

No comment.

Q 57: The agencies seek comment on the proposed rule’s requirements for IMA qualification, including in particular the proposed rule’s use of a 99.0 percent, quarterly returns standard.

No comment.

Q 58: The agencies seek comment on the operational aspects of these floor calculations.

Calculation of the floors requires a moderate resource commitment. Given materiality issues, our plans are focused on applying standard risk weights.

Q 59: The agencies seek comment on the necessity and appropriateness of the separate treatment for equity exposures to investment funds and the three approaches in the proposed rule. The agencies also seek comment on the proposed definition of an investment fund.

No comment.


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