Federal Register - February 25, 2021
Versione di testo Cosa è?Dateas è un sito indipendente non affiliato a entità governative. La fonte dei documenti PDF che pubblichiamo qui è l'entità governativa indicata in ciascuno di essi. Le versioni in testo sono trascrizioni che realizziamo per facilitare l'accesso e la ricerca di informazioni, ma possono contenere errori o non essere complete.
Source: Federal Register
11404
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
1 Trading Revenue Volatility/Tier 1 Capital.
2 Market Risk Capital/
Tier 1 Capital.
3 Level 3 Trading Assets/Tier 1 Capital.
Average Short-term Funding/
Average Total Assets.
Trailing 4-quarter standard deviation of quarterly trading revenue merger-adjusted divided by Tier 1 capital.
Market risk capital divided by Tier 1 capital
No Exclusion.
Level 3 trading assets divided by Tier 1 capital
No Exclusion.
Quarterly average of federal funds purchased and repurchase agreements divided by the quarterly average of total assets as reported on Schedule RCK of the Call Reports.
Exclude from the quarterly average of total assets the outstanding balance of loans provided under the Paycheck Protection Program.
Exclusions
No Exclusion.
1 The applicable portions of the current expected credit loss methodology CECL transitional amounts attributable to the allowance for credit losses on loans and leases held for investment and added to retained earnings for regulatory capital purposes pursuant to the regulatory capital regulations, as they may be amended from time to time 12 CFR part 3, 12 CFR part 217, 12 CFR part 324, 85 FR 61577 Sept. 30, 2020, and 84 FR 4222 Feb. 14, 2019, will be removed from the sum of Tier 1 capital and reserves throughout the large bank and highly complex bank scorecards, including in the ratio of Higher-Risk Assets to Tier 1 Capital and Reserves, the Growth-Adjusted Portfolio Concentrations Measure, the ratio of Top 20 Counterparty Exposure to Tier 1 Capital and Reserves, the Ratio of Largest Counterparty Exposure to Tier 1 Capital and Reserves, the ratio of Criticized and Classified Items to Tier 1 Capital and Reserves, and the ratio of Underperforming Assets to Tier 1 Capital and Reserves. All of these ratios are described in appendix A of this subpart.
2 The credit quality score is the greater of the criticized and classified items to Tier 1 capital and reserves score or the underperforming assets to Tier 1 capital and reserves score. The market risk score is the weighted average of three scoresthe trading revenue volatility to Tier 1 capital score, the market risk capital to Tier 1 capital score, and the level 3 trading assets to Tier 1 capital score. All of these ratios are described in appendix A of this subpart and the method of calculating the scores is described in appendix B of this subpart. Each score is multiplied by its respective weight, and the resulting weighted score is summed to compute the score for the market risk measure. An overall weight of 35 percent is allocated between the scores for the credit quality measure and market risk measure. The allocation depends on the ratio of average trading assets to the sum of average securities, loans and trading assets trading asset ratio as follows: 1 Weight for credit quality score = 35 percent 1trading asset ratio; and, 2 Weight for market risk score = 35 percent trading asset ratio. In calculating the trading asset ratio, exclude from the balance of loans the outstanding balance of loans provided under the Paycheck Protection Program.
a Description of the loss severity measure. The loss severity measure applies a standardized set of assumptions to an institutions balance sheet to measure possible losses to the FDIC in the event of an institutions failure. To determine an institutions loss severity rate, the FDIC first applies assumptions about uninsured deposit and other liability runoff, and growth in insured deposits, to adjust the size and composition of the institutions liabilities. Exclude total outstanding borrowings from Federal Reserve Banks under the Paycheck Protection Program Liquidity Facility from short-and longterm secured borrowings, as appropriate. Assets are then reduced to match any reduction in liabilities.
Exclude from an institutions balance of commercial and industrial loans the outstanding balance of loans provided under the Paycheck Protection Program.
In the event that the outstanding balance of loans provided under the Paycheck Protection Program exceeds the balance of commercial and industrial loans, exclude any remaining balance of loans provided under the Paycheck Protection Program first from the balance of all other loans, up to the total amount of all other loans, followed by the balance of agricultural loans, up to the total amount of agricultural loans.
Increase cash balances by outstanding loans provided under the Paycheck
VerDate Sep<11>2014
16:18 Feb 24, 2021
Jkt 253001
Protection Program that exceed total outstanding borrowings from Federal Reserve Banks under the Paycheck Protection Program Liquidity Facility, if any. The institutions asset values are then further reduced so that the Leverage Ratio reaches 2 percent. In both cases, assets are adjusted pro rata to preserve the institutions asset composition. Assumptions regarding loss rates at failure for a given asset category and the extent of secured liabilities are then applied to estimated assets and liabilities at failure to determine whether the institution has enough unencumbered assets to cover domestic deposits. Any projected shortfall is divided by current domestic deposits to obtain an end-of-period loss severity ratio. The loss severity measure is an average loss severity ratio for the three most recent quarters of data available. The applicable portions of the current expected credit loss methodology CECL transitional amounts attributable to the allowance for credit losses on loans and leases held for investment and added to retained earnings for regulatory capital purposes pursuant to the regulatory capital regulations, as they may be amended from time to time 12 CFR part 3, 12 CFR part 217, 12 CFR part 324, 85
FR 61577 Sept. 30, 2020, and 84 FR
4222 Feb. 14, 2019, will be removed
PO 00000
Frm 00018
Fmt 4700
Sfmt 4700
from the calculation of the loss severity measure.
Federal Deposit Insurance Corporation.
By order of the Board of Directors.
Dated at Washington, DC, on February 16, 2021.
James P. Sheesley, Assistant Executive Secretary.
FR Doc. 202103456 Filed 22321; 11:15 am BILLING CODE 671401P
DEPARTMENT OF TRANSPORTATION
Federal Aviation Administration 14 CFR Part 39
Docket No. FAA20200503; Product Identifier 2018SW006AD; Amendment 3921386; AD 20210203
RIN 2120AA64
Airworthiness Directives; Leonardo S.p.a. Helicopters Federal Aviation Administration FAA, DOT.
ACTION: Final rule.
AGENCY:
The FAA is adopting a new airworthiness directive AD for certain Leonardo S.p.a. Leonardo Model AW189 helicopters. This AD requires various repetitive inspections of the
SUMMARY:
E:FRFM25FER1.SGM
25FER1
