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  • Comment Detail

  • Date: 07/26/18
    First Name: Carlos
    Last Name: Vignote
    Organization: N/A
    City: N/A
    State: N/A
    Attachment: N/A
    Number: RIN-2590-AA95

  • Comment

    I have the impression that the Credit Risk is duplicated for the Retained Portfolio in the Market Risk line item. What the former FHEFSSA formula called Interest Rate Risk, the newly proposed rule says Market Risk comprised for Interest Rate Risk (hedged) + Spread Risk (interest rate widens vs risk-free asset). But the spread of an asset is more related to the credit risk, that is, the market perception of expected losses or default.
    HERA struck the formula of Risk-Based Capital in the FHEFSSA and it has allowed the FHFA to make up a formula with multiple flaws. Please, simply restore the previous formula. You just have to delete the CRT, Spread Risk included in the Market Risk, Going-concern Buffer and DTA.