2  See Bank for International Settlements, Basel Committee on Banking Supervision, The Application of Basel II to Trading Activities and the Treatment of Double Default Effects (July 2005), www.bis.org. BIS Review 35/2006  3  The U.S. banking agencies are in the process of developing a notice of proposed rulemaking to implement the Basel-IOSCO market risk revisions in this country.
We expect that the current market risk revisions, like the current U.S. rules implementing the MRA for U.S. banking organizations, will apply only to banking organizations meeting the current threshold criteria for application of the market risk rules--that is, to those organizations having aggregate trading assets and liabilities, as reported on the Call Report, of (1) 10 percent or more of total assets or (2) $ billion or more.