Capital Treatment for Synthetic CLOs
December 6, 1999
Circular No. 11214

To the Chief Executive Officers of Large Complex State Member Banks, Bank Holding Companies, Edge and Agreement Corporations, and U.S. Branches and Agencies of Foreign Banks in the Second Federal Reserve District:

A supervisory letter (SR 99-32) of the Board of Governors of the Federal Reserve System and supervisory guidance developed jointly by the Federal Reserve Board and the Office of the Comptroller of the Currency on how synthetic collateralized loan obligations ("CLOs") should be treated under the agencies' current leverage and risk-based capital guidelines are available.

Questions on this matter should be directed, at this Bank, to Darryll E. Hendricks, Senior Vice President, Bank Analysis Function or to Kim P. Olson, Bank Supervision Officer, Bank Analysis Department.