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Federal Register / Vol. 86, No. 244 / Thursday, December 23, 2021 / Rules and Regulations
as if the exposure is an on-balance sheet securitization exposure.
viii For securities borrowing or lending transactions, a 100 percent CCF
and a 100 percent risk weight. A credit union may recognize the credit risk mitigation benefits of financial collateral, as defined under 12 CFR
324.2, by risk weighting the collateralized portion of the exposure under the applicable provisions of 12
CFR 324.35 or 324.37.
ix For the off-balance sheet portion of repurchase transactions, a 100
percent CCF and a 100 percent risk weight. A credit union may recognize the credit risk mitigation benefits of financial collateral, as defined by 12
CFR 324.2, by risk weighting the collateralized portion of the exposure under the applicable provisions of 12
CFR 324.35 or 324.37.
x For all other off-balance sheet exposures not explicitly provided a CCF
or risk weight in this paragraph c that meet the definition of a commitment, a 100 percent CCF and a 100 percent risk weight.

6 Asset Securitizations Issued by Complex Credit Unions. A credit union must follow the requirements of the applicable provisions of 12 CFR 324.41
when it transfers exposures in connection with a securitization. A
credit union may only exclude the transferred exposures from the calculation of its risk-weighted assets if each condition in 12 CFR 324.41 is satisfied. A credit union that meets these conditions, but retains any credit risk for the transferred exposures, must hold risk-based capital against the credit risk it retains in connection with the securitization.
d Complex Credit Union Leverage Ratio CCULR Framework. 1 General.
A qualifying complex credit union that has opted into the CCULR framework under paragraph d5 of this section is considered to have met the capital ratio requirements for the well capitalized capital category under 702.102a1 if it has a CCULR of 9.0 percent or greater.
2 Qualifying Complex Credit Union.
For purposes of this part, a qualifying complex credit union means a complex credit union under 702.103 that satisfies all of the following criteria:
i Has a CCULR of 9.0 percent or greater;
ii Has total off-balance sheet exposures of 25 percent or less of its total assets;
iii Has the sum of total trading assets and total trading liabilities of 5 percent or less of its total assets; and
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iv Has the sum of total goodwill and total other intangible assets of 2 percent or less of its total assets.
3 Calculation of Qualifying Criteria.
Each of the qualifying criteria in paragraph d2 of this section is calculated based on data reported in the Call Report as of the end of the most recent calendar quarter.
4 Calculation of the CCULR. A
qualifying complex credit union opting into the CCULR framework under this paragraph d calculates its CCULR in the same manner as its net worth ratio under 702.2.
5 Opting into the CCULR
Framework. i A qualifying complex credit union may opt into the CCULR
framework by completing the applicable reporting requirements of its Call Report.
ii A qualifying complex credit union can opt into the CCULR framework at the end of each calendar quarter.
6 Opting Out of the CCULR
Framework. i A qualifying complex credit union may voluntarily opt out of the framework at the end of each calendar quarter.
7 Treatment when ceasing to meet the qualifying complex credit union requirements. i If a qualifying complex credit union that has opted into the CCULR framework ceases to meet the qualifying criteria in paragraph d2 of this section, the credit union has two calendar quarters grace period either to satisfy the requirements to be a qualifying complex credit union or to calculate its risk-based capital ratio under paragraphs a through c of this section.
ii The grace period begins at the end of the calendar quarter in which the credit union no longer satisfies the criteria to be a qualifying complex credit union. The grace period ends on the last day of the second consecutive calendar quarter following the beginning of the grace period.
iii During the grace period, the credit union continues to be treated as a qualifying complex credit union for the purpose of this part and must continue calculating and reporting its CCULR, unless the qualifying complex credit union has opted out of using the CCULR framework under paragraph d6 of this section. The qualifying complex credit union also continues to be considered to have met the capital ratio requirements for the well capitalized capital category under 702.102a1. However, if the qualifying complex credit union has a CCULR of less than seven percent, it will not be considered to have met the capital ratio requirements for the well capitalized capital category under
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702.102a1 and its capital classification is determined by its net worth ratio.
v A qualifying complex credit union that ceases to meet the qualifying criteria in paragraph d2 of this section as a result of a merger or acquisition that is not a supervisory merger or combination has no grace period and must comply with the riskbased capital ratio under paragraphs a through c of this section in the quarter it ceases to be a qualifying complex credit union.
e Reservation of Authority. The NCUA may require a complex credit union that otherwise would meet the definition of a qualifying complex credit union to comply with the risk-based capital ratio under paragraphs a through c of this section if the NCUA
determines that the complex credit unions capital requirements under paragraph d of this section are not commensurate with its risks. Any credit union required to comply with the riskbased capital ratio under this paragraph e, would be permitted a minimum of a two-quarter grace period before being subject to risk-based capital requirements.
702.111

Amended
7. In 702.111, amend paragraph c1i by removing risk-based capital ratio and adding in its place riskbased capital measure.

PART 703INVESTMENT AND
DEPOSIT ACTIVITIES
8. The authority citation for part 703
continues to read as follows:

Authority: 12 U.S.C. 17577, 17578, 175715.
703.2

Amended
9. In 703.2, amend the definition of Net worth by removing 702.2f and adding in its place 702.2.

703.13

Amended
11. In 703.13, amend paragraph d3iii by a. Removing the phrase net worth classification and adding in its place the phrase capital classifications; and b. Removing the phrase or, if subject to a risk-based net worth RBNW
requirement under part 702 of this chapter, has remained well capitalized for the six 6 immediately preceding quarters after applying the applicable RBNW requirement.

FR Doc. 202127644 Filed 122221; 8:45 am BILLING CODE 753501P

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