Federal Register - August 16, 2021
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Source: Federal Register
45849
Federal Register / Vol. 86, No. 155 / Monday, August 16, 2021 / Proposed Rules
Chart 4 Part II - Risk weight asset form for on-balance sheet assets
Risk-Weight Asset Form -Part II Denominator
Risk Weight Category and Asset Allocations 1
On-Balance Sheet Items --------------Cash, Cash Equivalents, Deposits in Fincl lnsts or Reserve Banks
2
3
4
10
Alt RW
Totalsfrom Adjsto r--+---+---------+---+----1
Schedules Totals 0% 20% 50% 75% 100% 150% 250% 300% 400% 1250% Other
INVESTMENTS
Securities
Other Investments
Allowance for Credit Losses & AFS Gain/LossSecurities .
Total Investments .
LOANS
First Lien Residential Real Estate Loans .
Junior-Lien Residential Real Estate Loans ..
Consumer Loans
Commercial Loans
Loans held for sale
Allowance for Credit Losses Loans
Total Loans
OTHER ASSETS .. .. ,, .. ,, ,, .. ,, .. ,, .. ,, .. ,, .. ,, .. ,, .. ,, .. ,, .. , TOTAL ON-BALANCE ASSETS by RISK WEIGHT ..
TOTAL RISK-WEIGHTED ASSETSON BALANCE SHEET ..
The Board is proposing to improve the clarity and completeness of offbalance sheet and derivative exposures with the Part IIIDenominator form example below. Similar to Part II, a
detailed instruction guide consistent with the 2015 Final Rule 702.1044
and 702.105 will supplement the schedule for risk weighting the offbalance sheet and derivative exposures
into their respective risk weight categories. Both the Credit Conversion Factor CCF and the Credit Equivalent Amount CEA assist in calculating the amount to be risk weighted.
Chart 5 Part III - Risk weight form for off-balance sheet exposures and derivatives
Face or Notional Adjs to Amount Totals
Risk-Weight Asset Form -Part Ill Denominator Off-Balance Sheet and Derivative Exposures
Credit Equivalent Risk Weight Allocations CCF
CEA 0% 2% 4% 20% 50% 75% 100% Other
Total Conditionally Cancelable Unfunded Commitments:
A. Unfunded CommitmentCommercial loans
B. Unfunded CommitmentConsumer loans -Secured &RE ..
C. Unfunded Commitment-Consumer loansUnsecured ..
Al Iother off-balance sheet exposures see instructions ..
EP16AU21.004
Over-the-counter de ri vati ves
Centrally cleared derivatives
TOTAL OFF-BALANCE SHEET AND DERIVATIVE EXPOSURES ..
TOTAL RISK-WEIGHTED ASSETSOFF BAL AND DERIVATIVE EXPOSURES
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