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Federal Register / Vol. 86, No. 36 / Thursday, February 25, 2021 / Rules and Regulations
11403

TABLE E.2EXCLUSIONS FROM CERTAIN RISK MEASURES USED TO CALCULATE THE ASSESSMENT RATE FOR LARGE OR
HIGHLY COMPLEX INSTITUTIONSContinued Scorecard measures 1

Description
Exclusions
Core Earnings/Average Quarter-End Total Assets.

Core earnings are defined as net income less extraordinary items and tax-adjusted realized gains and losses on available-for-sale AFS and held-to-maturity HTM securities, adjusted for mergers. The ratio takes a four-quarter sum of merger-adjusted core earnings and divides it by an average of five quarter-end total assets most recent and four prior quarters. If four quarters of data on core earnings are not available, data for quarters that are available will be added and annualized. If five quarters of data on total assets are not available, data for quarters that are available will be averaged.
The credit quality score is the higher of the following two scores:
Sum of criticized and classified items divided by the sum of Tier 1 capital and reserves. Criticized and classified items include items an institution or its primary federal regulator have graded Special Mention or worse and include retail items under Uniform Retail Classification Guidelines, securities, funded and unfunded loans, other real estate owned ORE, other assets, and marked-to-market counterparty positions, less credit valuation adjustments. Criticized and classified items exclude loans and securities in trading books, and the amount recoverable from the U.S. government, its agencies, or government-sponsored enterprises, under guarantee or insurance provisions.
Sum of loans that are 30 days or more past due and still accruing interest, nonaccrual loans, restructured loans including restructured 14 family loans, and ORE, excluding the maximum amount recoverable from the U.S. government, its agencies, or government-sponsored enterprises, under guarantee or insurance provisions, divided by a sum of Tier 1 capital and reserves.
Total domestic deposits excluding brokered deposits and uninsured non-brokered time deposits divided by total liabilities.

Prior to averaging, exclude from total assets for the applicable quarter-end periods the outstanding balance of loans provided under the Paycheck Protection Program.

Credit Quality Measure. 2
1 Criticized and Classified Items/Tier 1 Capital and Reserves.

2 Underperforming Assets/Tier 1 Capital and Reserves.
Core Deposits/Total Liabilities
Balance Sheet Liquidity Ratio
Sum of cash and balances due from depository institutions, federal funds sold and securities purchased under agreements to resell, and the market value of available for sale and held to maturity agency securities excludes agency mortgagebacked securities but includes all other agency securities issued by the U.S.
Treasury, U.S. government agencies, and U.S. government sponsored enterprises divided by the sum of federal funds purchased and repurchase agreements, other borrowings including FHLB with a remaining maturity of one year or less, 5 percent of insured domestic deposits, and 10 percent of uninsured domestic and foreign deposits.

Potential Losses/Total Domestic Deposits Loss Severity Measure.
Market Risk Measure for Highly Complex Institutions 2.

Potential losses to the DIF in the event of failure divided by total domestic deposits. Paragraph a of this section describes the calculation of the loss severity measure in detail.
The market risk score is a weighted average of the following three scores:

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No Exclusion.

No Exclusion.

Exclude from total liabilities outstanding borrowings from Federal Reserve Banks under the Paycheck Protection Program Liquidity Facility with a maturity of one year or less and outstanding borrowings from the Federal Reserve Banks under the Paycheck Protection Program Liquidity Facility with a maturity of greater than one year.
Include in highly liquid assets the outstanding balance of PPP loans that exceed borrowings from the Federal Reserve Banks under the PPPLF, until September 30, 2020, or if extended by the Board of Governors of the Federal Reserve System and the Secretary of the Treasury, until such date of extension.
Exclude from other borrowings with a remaining maturity of one year or less the balance of outstanding borrowings from the Federal Reserve Banks under the Paycheck Protection Program Liquidity Facility with a remaining maturity of one year or less.
Exclusions are described in paragraph a of this section.