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Empirical Data Supports TCH Position on Creditworthiness Standards Proposal

The Clearing House Association, along with three other trade associations, sent a follow-up letter to the FRB, FDIC, and OCC on the agencies’ NPR to incorporate into their proposed market-risk rules alternative methodologies for calculating specific risk-capital requirements for debt and securitization positions that do not rely on credit ratings. The letter, and an attached annex, includes calculations to show how changes in the underlying collateral performance of a securitization are reflected in the capital charge through different points in time.