Branches and Agencies of Foreign Banks as of the assessment period for which the assessment is being calculated, but measured using the definition for reporting total assets in the schedule of quarterly averages in the Consolidated Reports of Condition and Income, and calculated using the appropriate daily or weekly averaging method under paragraph (a)(1)(i) or (ii) of this section. The Consolidated Reports of Condition and Income instructions in effect for the quarter for which data is being reported shall govern calculation of the average amount of subsidiaries' assets, including those assets eliminated in consolidation. If, during a quarter, an insured branch of a foreign bank remains in Risk Category I, but a ROCA component rating changes that will affect the institution's initial base assessment rate, separate assessment rates for the portion(s) of the quarter before and after the change(s) shall be determined under this paragraph (c)(4) of this section. A new small Risk Category I institution shall be assessed the Risk Category I maximum initial base assessment rate for the relevant assessment period. Unless permitted by the Corporation or otherwise required by law, no institution may state in any advertisement or promotional material, or in any other public place or manner, the assessment risk assignment provided to it pursuant to this part. 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, (3) Largest Counterparty Exposure/Tier 1 Capital and Reserves, The largest total exposure amount to one counterparty divided by Tier 1 capital and reserves. The FDIC may postpone making a determination on any application for exemption filed under paragraph (i)(2) of this section until no later than January 14, 2010. (iv) Large and highly complex institutions initial base assessment rate schedule. Table A.1 defines these six ratios along with the weighted average of CAMELS component ratings. Exclude from the assessment base the outstanding balance of loans provided under the Paycheck Protection Program and the quarterly average amount of assets purchased under the Money Market Mutual Fund Liquidity Facility. Mitigating the Deposit Insurance Assessment Effect of Participation in the Money Market Mutual Fund Liquidity Facility, the Paycheck Protection Program Liquidity Facility, and the Paycheck Protection Program.

If the loan is made to a subsidiary of a larger organization, the debt-to-EBITDA ratio may be calculated using the financial statements of the subsidiary or, if the parent company has unconditionally and irrevocably guaranteed the borrower's debt, using the consolidated financial statements of the parent company. (1) The Corporation shall make available to each insured depository institution via the FDIC's e-business Web site FDICconnect a quarterly certified statement invoice each assessment period. Any insured depository institution that was subject to a surcharge under paragraph (a)(1) of this section, in any assessment period during the surcharge period described in paragraph (a)(2) of this section, shall be subject to the shortfall assessment described in this paragraph (b). (7) Award and notice of assessment credits -. For example, to the extent that a linear relationship exists in the sample data, the bank may use an ordinary least-squares regression to determine the best linear translation of Basel II PDs to final rule PDs. When determining whether a revolving trust or similar securitization meets the threshold, a bank may use established criteria, model portfolios, or limitations published in the offering memorandum, indenture, trustee report, or similar documents.

(ii) Determination whether to adjust upward; effective period of adjustment. Branches and Agencies of Foreign Banks.

The total score can be up to 20 percent higher or lower than the performance score but cannot be less than 30 or more than 90. This information shall be provided at the same time as the institution's quarterly certified statement invoice for the assessment period in which the emergency special assessment was imposed. 30, 2011; 77 FR 66015, Oct. 31, 2012; 78 FR 55904, Sept. 10, 2013; 79 FR 70437, Nov. 26, 2014; 83 FR 17740, Apr. (e) Each credit score will need to have a unique PD associated with it. When calculating either of the borrower's operating leverage ratios, the only permitted EBITDA adjustments are those specifically permitted for that borrower in the loan agreement (at the time of underwriting) and only funded amounts of lines of credit must be considered debt. The Statistical Model uses ordinary least squares (OLS) regression to estimate downgrade probabilities. (2) Exclusion of Paycheck Protection Program Liquidity Facility borrowings from core deposit ratio. Appendix A of this subpart describes these ratios. Appendix B of this subpart describes how these measures are converted to a score between 0 and 100, where a score of 0 reflects the lowest risk and a score of 100 reflects the highest risk. Each score is multiplied by its respective weight, and the resulting weighted score is summed to compute the score for the market risk measure. (h) The bank must maintain documentation of borrowing base certificate reviews and collateral trend analyses to demonstrate that collateral values are actively, routinely and consistently monitored. (10) Mergers and consolidation include only legal mergers and consolidation. (12) Transfer or sale of credits. For example, if one score band ranges from 621 to 625 and has an observed default rate of 4 percent, while the next lowest band ranges from 616 to 620 and has an observed default rate of 6 percent, a 620 score must be assigned a default rate of 5.2 percent, calculated as. (Numerator and denominator are both based on the definition for prompt corrective action.). The annual total base assessment rates for all new small institutions in Risk Category III shall range from 19 to 29 basis points. Prior to making any upward adjustment to an institution's total score because of considerations of additional risk information, the FDIC will formally notify the institution and its primary federal regulator and provide an opportunity to respond. (D) Initial base assessment rate. Total loans and lease financing receivables past due 30 through 89 days and still accruing interest divided by gross assets (gross assets equal total assets plus allowance for loan and lease financing receivable losses and allocated transfer risk). The terms CAMELS composite ratings and CAMELS component ratings shall have the same meaning as in the Uniform Financial Institutions Rating System as published by the Federal Financial Institutions Examination Council. (iv) Implementation of changes between risk categories for insured branches of foreign banks. [13] The growth-adjusted portfolio concentration measure is rounded to two decimal points. (9) Successors. A quarterly certified statement invoice delivered by any alternative means will be treated as if it had been downloaded from FDICconnect. A bank may opt to apply the definition of higher-risk C&I loans and securities in this Appendix to all of its C&I loans and securities, but, if it does so, it must also apply the definition of a higher-risk C&I borrower in this Appendix without regard to when the loan is originally made or refinanced (i.e., whether made or refinanced before or after April 1, 2013).

In addition, appropriate mark-to-market reserves must be established to protect against excessive inventory price fluctuations. (i) The depository institution whose insured status is terminating shall give sufficient advance notice of the intended transfer to the owners of the unclaimed deposits to enable the depositors to obtain their deposits prior to the transfer. Net Income before Taxes/Risk-Weighted Assets (%). If, during an assessment period, a ROCA rating change occurs that results in an insured branch of a foreign bank moving from Risk Category II, III or IV to Risk Category I, the institution's assessment rate for the portion of the assessment period that it was in Risk Category I shall equal the rate determined as provided using the weighted average ROCA component rating. (v) Any other factors the Board may deem appropriate. An institution that reports consolidated assets and tangible equity using data for the prior quarter may switch to concurrent reporting on a permanent basis. 2 All amounts for all risk categories are in basis points annually. Any downward adjustment in an institution's total score will remain in effect for subsequent assessment periods until the FDIC determines that an adjustment is no longer warranted. 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. The dilution rate is the uncollectible accounts receivable as a percentage of sales. (2) Capital evaluations. (A) 5.127 whenever the assessment rate schedule set forth in 327.10(b) is in effect; (B) 6.127 whenever the assessment rate schedule set forth in 327.10(c) is in effect; or.

Institutions that are bridge depository institutions under 12 U.S.C. In making the determination, a bank must use one of the following methods: (a) For a securitization collateralized by a static pool of loans, whose underlying collateral changes due to the sale or amortization of these loans, the 50 percent threshold is to be determined based upon the amount of higher-risk assets, as defined in this Appendix, owned by the securitization on the date of issuance of the securitization. Trailing 4-quarter standard deviation of quarterly trading revenue (merger-adjusted) divided by Tier 1 capital, Market risk capital divided by Tier 1 capital, Level 3 trading assets divided by Tier 1 capital, Quarterly average of federal funds purchased and repurchase agreements divided by the quarterly average of total assets as reported on Schedule RC-K of the Call Reports. The term deposit has the meaning specified in section 3(l) of the Federal Deposit Insurance Act.

[10] The FDIC has the flexibility, as part of its risk-based assessment system, to change the 20 percent threshold for identifying higher-risk consumer loans without further notice-and-comment rulemaking as a result of reviewing data for up to the first two reporting periods after the effective date of this rule. (ii) For the purposes of the shortfall assessment, a merger or consolidation means any transaction in which an insured depository institution merges or consolidates with any other insured depository institution, and includes transactions in which an insured depository institution either directly or indirectly acquires all or substantially all of the assets, or assumes all or substantially all of the deposit liabilities of any other insured depository institution where there is not a legal merger or consolidation of the two insured depository institutions. (k) Established depository institution. (i) Uniform amount. No new highly complex or large institutions are entitled to adjustment under paragraph (e)(1) of this section. The loss rate for each loan category for each bank with over $5 billion in total assets was calculated for each of the last twenty calendar years (1990-2009). In the following table, cutoff values and weights are used to derive an institution's ability to withstand funding-related stress score: (4) Calculation of performance score. developer resources. (i) Award of assessment credits. (c) Assessment rate schedules if the reserve ratio of the DIF as of the end of the prior assessment period is equal to or greater than 2 percent and less than 2.5 percent -. The performance score cannot be less than 0 or more than 100, where a score of 0 reflects the lowest risk and a score of 100 reflects the highest risk. (iii) Risk category III. (f) The credit scores represented in the historical sample must have been produced by the same entity, using the same or substantially similar methodology as the methodology used to derive the credit scores to which the default rates will be applied. A U.S. parent holding company is a parent holding company incorporated or organized under the laws of the United States or any State, as the term State is defined in section 3(a)(3) of the FDI Act. (A) Changes between risk categories. The loss severity score cannot be less than 0 or more than 100, where a score of 0 reflects the lowest risk and a score of 100 reflects the highest risk. Comments or questions about document content can not be answered by OFR staff. 6 The applicable portions of the 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 will be removed from the calculation of the loss severity measure.

(3) Supervisory evaluations for insured branches of foreign banks. (a) Scope. For purposes of the unsecured debt adjustment as set forth in 327.9(d)(1) and 327.16(e)(1) and the depository institution debt adjustment as set forth in 327.9(d)(2) and 327.16(e)(2), unsecured debt shall include senior unsecured liabilities and subordinated debt. To this result will be added the uniform amount. endstream endobj 345 0 obj <>/Metadata 67 0 R/PageLabels 63 0 R/Pages 66 0 R/StructTreeRoot 69 0 R/Type/Catalog/ViewerPreferences<>>> endobj 346 0 obj <>/Font<>/ProcSet[/PDF/Text/ImageC]/XObject<>>>/Rotate 0/StructParents 2/TrimBox[0.0 0.0 612.0 792.0]/Type/Page>> endobj 347 0 obj <> endobj 348 0 obj <> endobj 349 0 obj <> endobj 350 0 obj <> endobj 351 0 obj <> endobj 352 0 obj <> endobj 353 0 obj <> endobj 354 0 obj <>stream (v) Specialized, high technology or other inventory subject to rapid obsolescence or valuation problems.

The adjusted brokered deposit ratio (Bi,T) is calculated by multiplying the ratio of brokered deposits to domestic deposits above the 10 percent threshold by an asset growth rate factor that ranges from 0 to 1 as shown in Equation 2 below. The payment date for any emergency special assessment shall be the date provided in 327.3(b)(2) for the institution's quarterly certified statement invoice for the calendar quarter in which the emergency special assessment was imposed. Each insured branch of a foreign bank will receive one of the following three capital evaluations on the basis of data reported in the institution's Report of Assets and Liabilities of U.S. (4) Finality of prepaid assessment.

The bank must submit a written request to the FDIC either in advance of, or concurrent with, reporting under the requested approach. g is a growth factor for bank i's portfolio k; and. An interest-only loan is no longer considered a nontraditional mortgage loan once the loan begins to amortize.

Small institutions in Supervisory Group C that are Undercapitalized will be assigned to Risk Category IV. A material increase in the amount of a line of credit is defined as a 10 percent or greater increase in the quarter-end line of credit limit; however, a temporary increase in a credit card line of credit is not a material increase; (e) Increasing or decreasing the interest rate (except as noted herein for credit card loans); or. The resulting total score after adjustment cannot be less than 30 or more than 90. (2) Payment of deposits; certification to Corporation. If, however, the loan ceases to meet the nontraditional mortgage loan definition but continues to meet the definition of a higher-risk consumer loan, the loan is to be reported as a higher-risk consumer loan. The weighted average ROCA rating will be multiplied by 5.076 (which shall be the pricing multiplier). (1) New small institutions. (q) Brokered reciprocal deposits. If a large or highly complex institution has not yet received CAMELS ratings, it will be given a weighted CAMELS rating of 2 for assessment purposes until actual CAMELS ratings are assigned. (1) Unsecured debt adjustment to initial base assessment rate for all institutions. 0000001574 00000 n A credit accruing institution is an institution that, for a particular assessment period, is not: (A) A large institution, as defined in 327.8(f); (B) A highly complex institution, as defined in 327.8(g); or. (g) Designated Reserve Ratio. Because performance data for scores at the upper and lower extremes of the population distribution is likely to be limited, however, the top and bottom bands may include a range of scores that suggest some variance in credit quality. (5) Request for review. For the purpose of determining the annual assessment rate for insured depository institutions under 327.9 or 327.16 , each insured depository institution will be provided an assessment risk assignment. [2] For purposes of calculating the minimum and maximum downgrade probability cutoff values, institutions that have less than $100,000 in domestic deposits are assumed to have no brokered deposits. At the time of refinance, whether the original loan met the materiality test may not be easily determined by a new lender. Initial base assessment rates are subject to adjustment pursuant to paragraphs (b)(3), (d)(1), (d)(2), of this section; large institutions that are not well capitalized or have a CAMELS composite rating of 3, 4 or 5 shall be subject to the adjustment at paragraph (d)(3); these adjustments shall result in the institution's total base assessment rate, which in no case can be lower than 50 percent of the institution's initial base assessment rate. The bank (or lead bank or agent bank in the case of a participation or syndication) must have a perfected first priority security interest, a security agreement, and a collateral assignment of the deposit account that is irrevocable for the remaining term of the loan or commitment. Solving equation 4 for minimum and maximum initial base assessment rates simultaneously, Min = 0 + 1 * 0.0182 and Min + 4 = 0 + 1 * 0.1506. where 0.0182 is the minimum downgrade probability cutoff value and 0.1506 is the maximum downgrade probability cutoff value, results in values for the constant amount, 0 and the scale factor, 1: Substituting equations 3, 5 and 6 into equation 4 produces an annual initial base assessment rate for institution i at time T, PiT, in terms of the uniform amount, the pricing multipliers and the ratios and weighted average CAMELS component rating referred to in 12 CFR 327.9(d)(2)(i): PiT = [(Min 0.550) + 30.211* 0] + 30.211 * [1 (Leverage ratioT)] + 30.211 * [2 (Loans past due 30 to 89 days ratioT)] + 30.211 * [3 (Nonperforming asset ratioT)] + 30.211 * [4 (Net loan charge-off ratioT)] + 30.211 * [5 (Net income before taxes ratioT)] + 30.211 * [6 (Adjusted brokered deposit ratioT)] + 30.211 * [7 (Weighted average CAMELS component ratingT)].

When estimating a PD according to the general requirements described above would be unduly complex or burdensome, a bank that is required to calculate PDs for foreign consumer loans under the requirements of the Basel II capital framework may: (1) Use the Basel II approach discussed herein, subject to the terms discussed herein; (2) submit a written request to the FDIC to use its own methodology, but may not use the methodology until approved by the FDIC; or (3) treat the loan as an unscorable consumer loan subject to the de minimis approach described above. Each insured branch of a foreign bank will be assigned to one of three supervisory groups as set forth in paragraph (a)(3) of this section. The annual initial base assessment rates for all large and highly complex institutions shall range from 1 to 25 basis points. Quarterly FICO payments shall be collected by the FDIC without interruption during the assessment system transitional period in 2007. (b) All securities, except securities classified as trading book, issued by a higher-risk C&I borrower, as that term is defined herein, that are owned by the reporting bank, without regard to when the securities were purchased; however, higher-risk C&I loans and securities exclude: (a) The maximum amount that is recoverable from the U.S. government under guarantee or insurance provisions; (b) Loans (including syndicated or participated loans) that are fully secured by cash collateral as provided herein; (c) Loans that are eligible for the asset-based lending exclusion, described herein, provided the bank's primary federal regulator (PFR) has not cited a criticism (included in the Matters Requiring Attention, or MRA) of the bank's controls or administration of its asset-based loan portfolio; and. The FDIC will continue to make such offsets until the earlier of the exhaustion of the institution's prepaid assessment or June 30, 2013. The term acquiring institution means an insured depository institution that assumes some or all of the deposits of another insured depository institution in a terminating transfer. An institution may also request review of a determination by the FDIC to assess the institution as a large, highly complex, or a small institution ( 327.9(e)(3) and 327.16(f)(3)) or a determination by the FDIC that the institution is a new institution ( 327.9(f)(5) and 327.16(g)(5)). For the portion of the quarter that the institution was not in Risk Category I, the institution's initial base assessment rate shall be determined under the assessment schedule for the appropriate Risk Category. The FDIC shall award an aggregate amount of assessment credits equal to the product of the fraction of quarterly regular deposit insurance assessments paid by credit accruing institutions during the credit calculation period and the amount by which the DIF increase, as determined under paragraph (c)(3)(ii) or (iii) of this section, exceeds total surcharges imposed under paragraph (b) of this section; provided, however, that the aggregate amount of assessment credits cannot exceed the aggregate amount of quarterly deposit insurance assessments paid by credit accruing institutions during the credit calculation period. The weighted average CAMELS score, the ability to withstand asset-related stress score, and the ability to withstand funding-related stress score are multiplied by their respective weights (30 percent, 50 percent and 20 percent, respectively) and the results are summed to arrive at the performance score, which cannot be less than 0 or more than 100.

For the purposes of this section: (1) Paycheck Protection Program. (i) If an insured depository institution acquires another insured depository institution through merger or consolidation during the surcharge period, the acquirer's surcharge base will be calculated consistent with 327.6 and 327.11(a)(5). The loss severity score is based on a loss severity measure that is described in appendix D of this subpart. (B) For the assessment period ending December 31, 2016, the increase multiplier shall be 1.1000000. If a bank's PFR requires it to revise its Basel II PD methodology, the bank must use revised Basel II PDs to calculate (or recalculate if necessary) corresponding PDs under this Basel II approach. 0000026979 00000 n This amount is divided by the institution's assessment base. (iii) Determination whether to adjust downward; effective period of adjustment. Any request for review must be submitted within 90 days from the date the assessment risk assignment being challenged pursuant to paragraph (a) of this section appears on the institution's quarterly certified statement invoice. A new small institution in Risk Category I shall be assessed the maximum initial base assessment rate for Risk Category I small institutions in the relevant assessment period.