Quiero saber acerca de...

11396

Federal Register / Vol. 86, No. 36 / Thursday, February 25, 2021 / Rules and Regulations
rule.31 The FDIC will continue the application of the transition provisions provided for under the 2019 and 2020
CECL rules to the Tier 1 leverage ratio used in determining deposit insurance assessment rates for all IDIs.
Temporary changes to the Call Report forms and instructions are required to implement the amendments to the assessment system to remove the double counting under the final rule. These changes are being effectuated in coordination with the other member entities of the Federal Financial Institutions Examination Council FFIEC.32 Changes to regulatory reporting requirements pursuant to this final rule will be required only while the regulatory capital relief is reflected in the regulatory reports of banks.
B. Adjustments to Certain Measures Used in the Scorecard Approach for Determining Assessment Rates for Large or Highly Complex Banks Under the final rule, the FDIC will adjust the calculations of certain financial measures used to determine deposit insurance assessment rates for large or highly complex banks to remove the applicable portions of the CECL
transitional amounts added to retained earnings that is attributable to the allowance for credit losses on loans and leases held for investment. The FDIC is removing this part of the CECL
transitional amounts because, for large or highly complex banks that have adopted CECL, the measure of reserves used in the scorecard is the allowance for credit losses on loans and leases reported in Call Report Schedule RC, item 4.c.
This amount, which will be reported in a new line item in Schedule RCO
only on the FFIEC 031 and FFIEC 041
versions of the Call Report, will be removed from scorecard measures that are calculated using the sum of Tier 1
capital and reserves, as described in more detail below. The FDIC also will adjust the calculation of the loss severity measure to remove the double counting by removing the applicable portions of the CECL transitional amounts added to retained earnings for regulatory capital purposes and attributable to the allowance for credit losses on loans and leases held for 31 See 12 CFR part 3 OCC; 12 CFR part 217
Board; 12 CFR part 324 FDIC. See also 84 FR
4222 Feb. 14, 2019 and 85 FR 61577 Sept. 30, 2020.
32 As discussed in the section on the Paperwork Reduction Act below, the agencies published a joint notice and request for comment 85 FR 82580 Dec.
18, 2020 requesting one additional temporary item on the Call Report FFIEC 031 and FFIEC 041 only to make the adjustments described below.

VerDate Sep<11>2014

16:18 Feb 24, 2021

Jkt 253001

investment for large or highly complex banks.
While the FDIC recognizes that by the April 1, 2021, effective date for this final rule, numerous large or highly complex banks will have implemented CECL and many will have elected the transition provided under either the 2019 CECL
rule or 2020 CECL rule, the FDIC is not making adjustments to prior quarterly assessments.
1. Credit Quality Measure The score for the credit quality measure, applicable to both large banks and highly complex banks, is the greater of 1 the ratio of criticized and classified items to Tier 1 capital and reserves score or 2 the ratio of underperforming assets to Tier 1 capital and reserves score.33 The double counting results in lower ratios and a credit quality measure that reflects less risk than a bank actually poses to the DIF. Under the final rule, the FDIC is adjusting the denominator, Tier 1
capital and reserves, used in both ratios by removing the applicable portions of the CECL transitional amounts added to retained earnings for regulatory capital purposes and attributable to the allowance for credit losses on loans and leases held for investment.
2. Concentration Measure For large banks, the concentration measure is the higher of 1 the ratio of higher-risk assets to Tier 1 capital and reserves or 2 the growth-adjusted portfolio concentration measure. The growth-adjusted portfolio concentration measure includes the ratio of concentration levels for several loan portfolios to Tier 1 capital and reserves.
For highly complex banks, the concentration measure is the highest of three measures: 1 The ratio of higherrisk assets to Tier 1 capital and reserves, 2 the ratio of top 20 counterparty exposures to Tier 1 capital and reserves, or 3 the ratio of the largest counterparty exposure to Tier 1 capital and reserves.34
The double counting results in lower ratios and a concentration measure that reflects less risk than a bank actually poses to the DIF. Under the final rule, the FDIC is adjusting the denominator, Tier 1 capital and reserves, used in each of these ratios by removing the applicable portions of the CECL
transitional amounts added to retained earnings for regulatory capital purposes and attributable to the allowance for credit losses on loans and leases held for investment.
33 See 34 See
PO 00000

12 CFR 327.16biiA2iv.
Appendix A to subpart A of 23 CFR 327.

Frm 00010

Fmt 4700

Sfmt 4700

3. Loss Severity Measure The loss severity measure estimates the relative magnitude of potential losses to the DIF in the event of an IDIs failure.35 In calculating this measure, the FDIC applies a standardized set of assumptions based on historical failures regarding liability runoffs and the recovery value of asset categories to simulate possible losses to the FDIC, reducing capital and assets until the Tier 1 leverage ratio declines to 2
percent. The double counting results in a greater reduction of assets during the capital reduction phase and therefore a lower resolution value of assets at the time of failure, which in turn results in a higher loss severity measure that reflects more risk than a bank actually poses to the DIF. Under the final rule, the FDIC is adjusting the calculation of the capital adjustment in the loss severity measure to remove the double counting of the applicable portion of the CECL transitional amounts added to retained earnings for regulatory capital purposes and attributable to the allowance for credit losses on loans and leases held for investment for both large banks and highly complex banks.36
C. Other Conforming Amendments to the Assessment Regulations Under the final rule, the FDIC is making conforming amendments to the FDICs assessment regulations to effectuate the adjustments described above and consistent with the proposed rule. These conforming amendments ensure that the adjustments to the financial measures used to calculate a large or highly complex banks assessment rate are properly incorporated into the assessment regulations.
D. Regulatory Reporting Changes A bank electing a transition under either the 2019 CECL rule or the 2020
CECL rule must indicate its election to use the 3-year 2019 or the 5-year 2020
CECL transition provision in Call Report 35 Appendix D to subpart A of 12 CFR part 327
describes the calculation of the loss severity measure.
36 The loss severity measure is an average loss severity ratio for the three most recent quarters of data available. It is anticipated that the temporary reporting changes proposed pursuant to this final rule would be implemented no earlier than the first applicable reporting period following the anticipated effective date of this final rule. As such, the FDIC will adjust the calculation of the loss severity measure to remove the double counting of the specified portion of the CECL transitional amounts for one of the three quarters averaged in the first reporting period following the effective date, for two of the three quarters averaged in the second reporting period following the effective date, and for all three quarters averaged in all subsequent reporting periods, as applicable.

E:FRFM25FER1.SGM

25FER1