Federal Register - October 1, 2021
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Source: Federal Register
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Federal Register / Vol. 86, No. 188 / Friday, October 1, 2021 / Rules and Regulations
a
6 The System institutions allocated equity investment in another System institution or service corporation; and
b Regulatory adjustments to CET1
capital. 1 Any accrual of a patronage
628.32
l
1 A System institution must assign a 0-percent risk weight to cash owned and held in all offices of the System institution or in transit; to gold bullion held in the System institutions own vaults or held in a depository institutions vaults on an allocated basis, to the extent the gold bullion assets are offset by gold bullion liabilities; and to exposures that arise from the settlement of cash transactions such as equities, fixed income, spot foreign exchange FX, and spot
628.52 Simple risk-weight approach SRWA.
18. Amend 628.52 by revising paragraph c2ii to read as follows:
Where:
c
The revision reads as follows:
Xt = AtBt;
At = the value at time t of one exposure in a hedge pair; and Bt = the value at time t of the other exposure in a hedge pair.
19. Amend 628.63 by:
a. Removing and reserving paragraph b3;
b. Revising paragraph b4.
VerDate Sep<11>2014
General risk weights.
16:40 Sep 30, 2021
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628.63
Disclosures.
b
4 A reconciliation of regulatory capital elements using month-end balances as they relate to its balance sheet in any applicable audited consolidated financial statements. The reconciliation must include a statement
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commodities with a central counterparty where there is no assumption of ongoing counterparty credit risk by the central counterparty after settlement of the trade.
17. Amend 628.43 by revising paragraphs d1 and 2 to read as follows:
628.43 Simplified supervisory formula approach SSFA and the gross-up approach.
d
1 The System institution must define the following parameters:
KA = 1W KG + 0.5 W
2 Then the System institution must calculate KSSFA according to the following equation:
Where:
2
ii Under the variability-reduction method of measuring effectiveness:
that compliance with the regulatory capital requirements outlined in subpart B of this part is determined using average daily balances for the most recent 3 months.
E:FRFM01OCR1.SGM
01OCR1
ER01OC21.003 ER01OC21.004
628.22 Regulatory capital adjustments and deductions.
or dividend payable or receivable recognized in the financial statements prior to a related board declaration or resolution must be reversed to or from unallocated retained earnings for purposes of calculating CET1 capital.
2 Reserved
16. Amend 628.32 by revising paragraph l1 to read as follows:
ER01OC21.002
equivalents except upon dissolution or liquidation and shall not offset URE
equivalents against a loan in default except as required under final order of a court of competent jurisdiction or if required under 615.5290 in connection with a restructuring under part 617 of this chapter.
e The minimum redemption and revolvement period holding period for purchased and allocated equities starts on the common cooperative equity issuance date, as defined in 628.2.
15. Amend 628.22 by revising paragraph a6 and adding paragraph b to read as follows:
