On May 10, the Office of the Comptroller of the Currency (OCC) issued Bulletin OCC 2013-13, which is intended to clarify the treatment of sovereign and securitization provisions under the Market Risk Capital Rule. Specifically, for the purpose of determining standardized specific risk capital requirements for certain sovereign debt positions, “sovereign entities that are members of the Organization for Economic Cooperation and Development (OECD) but do not receive a Country Risk Classification (CRC) should be treated as having the functional equivalent of a CRC of zero.” Further, with respect to securitization positions,
the OCC is clarifying that exposures underlying the securitization position should not necessarily be considered to be in default solely because the borrower has deferred payments of principal or interest. In limited cases, such a deferral is not a result of a change in the borrower’s creditworthiness. Instead, payment deferrals might be a result of provisions in the contract at the time funds were disbursed. In such circumstances, the loan need not be classified as being in default.
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