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Federal Register / Vol. 86, No. 36 / Thursday, February 25, 2021 / Rules and Regulations major rule as any rule that the Administrator of the Office of Information and Regulatory Affairs of the OMB finds has resulted in or is likely to result inA an annual effect on the economy of $100,000,000 or more; B a major increase in costs or prices for consumers, individual industries, Federal, State, or Local government agencies or geographic regions, or C significant adverse effects on competition, employment, investment, productivity, innovation, or on the ability of United States-based enterprises to compete with foreignbased enterprises in domestic and export markets. As required by the
Congressional Review Act, the FDIC
will submit the final rule and other appropriate reports to Congress and the Government Accountability Office for review.
List of Subjects in 12 CFR Part 327

Concentration Measure for Large Insured depository institutions excluding Highly Complex Institutions.
1 Higher-Risk Assets/
Tier 1 Capital and Reserves 2.
2 Growth-Adjusted Portfolio Concentrations 2.

Concentration Measure for Highly Complex Institutions.
1 Higher-Risk Assets/
Tier 1 Capital and Reserves 2.
2 Top 20 Counterparty Exposure/Tier 1 Capital and Reserves 2.

VerDate Sep<11>2014

16:18 Feb 24, 2021

PART 327ASSESSMENTS
1. The authority citation for part 327
continues to read as follows:

Authority: 12 U.S.C. 1813, 1815, 181719, 1821.

2. In Appendix A to Subpart A, revise the table under the heading, VI.
Description of Scorecard Measures to read as follows:

Bank deposit insurance, Banks, Banking, Savings associations.
Authority and Issuance For the reasons stated in the preamble, the Federal Deposit Insurance Corporation amends 12 CFR part 327 as follows:

Appendix A to Subpart A of Part 327
Method To Derive Pricing Multipliers and Uniform Amount

VI. Description of Scorecard Measures
Scorecard measures 1
Leverage Ratio

11399

Description Tier 1 capital for Prompt Corrective Action PCA divided by adjusted average assets based on the definition for prompt corrective action.
The concentration score for large institutions is the higher of the following two scores:

Sum of construction and land development C&D loans funded and unfunded, higher-risk C&I loans funded and unfunded, nontraditional mortgages, higher-risk consumer loans, and higher-risk securitizations divided by Tier 1 capital and reserves. See Appendix C for the detailed description of the ratio.
The measure is calculated in the following steps:

1 Concentration levels as a ratio to Tier 1 capital and reserves are calculated for each broad portfolio category:
C&D, Other commercial real estate loans, First lien residential mortgages including non-agency residential mortgage-backed securities, Closed-end junior liens and home equity lines of credit HELOCs, Commercial and industrial loans, Credit card loans, and Other consumer loans.
2 Risk weights are assigned to each loan category based on historical loss rates.
3 Concentration levels are multiplied by risk weights and squared to produce a risk-adjusted concentration ratio for each portfolio.
4 Three-year merger-adjusted portfolio growth rates are then scaled to a growth factor of 1 to 1.2 where a 3-year cumulative growth rate of 20 percent or less equals a factor of 1 and a growth rate of 80 percent or greater equals a factor of 1.2. If three years of data are not available, a growth factor of 1 will be assigned.
5 The risk-adjusted concentration ratio for each portfolio is multiplied by the growth factor and resulting values are summed.
See Appendix C for the detailed description of the measure.
Concentration score for highly complex institutions is the highest of the following three scores:

Sum of C&D loans funded and unfunded, higher-risk C&I loans funded and unfunded, nontraditional mortgages, higher-risk consumer loans, and higher-risk securitizations divided by Tier 1 capital and reserves. See Appendix C for the detailed description of the measure.
Sum of the 20 largest total exposure amounts to counterparties divided by Tier 1 capital and reserves. The total exposure amount is equal to the sum of the institutions exposure amounts to one counterparty or borrower for derivatives, securities financing transactions SFTs, and cleared transactions, and its gross lending exposure including all unfunded commitments to that counterparty or borrower. A counterparty includes an entitys own affiliates. Exposures to entities that are affiliates of each other are treated as exposures to one counterparty or borrower. Counterparty exposure excludes all counterparty exposure to the U.S. Government and departments or agencies of the U.S. Government that is unconditionally guaranteed by the full faith and credit of the United States. The exposure amount for derivatives, including OTC derivatives, cleared transactions that are derivative contracts, and netting sets of derivative contracts, must be calculated using the methodology set forth in 12 CFR 324.34b, but without any reduction for collateral other than cash collateral that is all or part of variation margin and that satisfies the requirements of 12 CFR 324.10c4iiC1ii and iii and 324.10c4iiC3 through 7. The exposure amount associated with SFTs, including cleared transactions that are SFTs, must be calculated using the standardized approach set forth in 12 CFR 324.37b or c. For both derivatives and SFT exposures, the exposure amount to central counterparties must also include the default fund contribution.3

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