Federal Register - February 25, 2021
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Source: Federal Register
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Federal Register / Vol. 86, No. 36 / Thursday, February 25, 2021 / Rules and Regulations
TABLE E.2EXCLUSIONS FROM CERTAIN RISK MEASURES USED TO CALCULATE THE ASSESSMENT RATE FOR LARGE OR
HIGHLY COMPLEX INSTITUTIONSContinued Scorecard measures 1
Description
Exclusions
Constructions and land development 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 C&I, 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.
Concentration Measure for Highly Complex Institutions.
1 Higher-Risk Assets/
Tier 1 Capital and Reserves.
2 Top 20 Counterparty Exposure/Tier 1 Capital and Reserves.
3 Largest Counterparty Exposure/Tier 1 Capital and Reserves.
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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.
The largest total exposure amount to one counterparty 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, 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.
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Exclude from C&I loan growth rate the outstanding amount of loans provided under the Paycheck Protection Program.
No Exclusion.
No Exclusion.
No Exclusion.
