(a) Sovereign exposures.
(1) Exposures
to the U.S. government.
(i) Notwithstanding any
other requirement in this subpart, a Board-regulated institution must
assign a zero percent risk weight to:
(A) An exposure to the U.S.
government, its central bank, or a U.S. government agency; and
(B) The portion of an exposure
that is directly and unconditionally guaranteed by the U.S. government,
its central bank, or a U.S. government agency. This includes a deposit
or other exposure, or the portion of a deposit or other exposure,
that is insured or otherwise unconditionally guaranteed by the FDIC
or National Credit Union Administration.
(ii) A Board-regulated
institution must assign a 20 percent risk weight to the portion of
an exposure that is conditionally guaranteed by the U.S. government,
its central bank, or a U.S. government agency. This includes an exposure,
or the portion of an exposure, that is conditionally guaranteed by
the FDIC or National Credit Union Administration.
(iii) A Board-regulated institution
must assign a zero percent risk weight to a Paycheck Protection Program
covered loan as defined in section 7(a)(36) of the Small Business
Act (15 U.S.C. 636(a)(36)).
(2) Other sovereign
exposures. In accordance with Table 1 to section 217.32, a Board-regulated
institution must assign a risk weight to a sovereign exposure based
on the CRC applicable to the sovereign or the sovereign’s OECD membership
status if there is no CRC applicable to the sovereign.
Table 1 to section
217.32—Risk weights for sovereign exposures
| |
Risk weight (in percent) |
| CRC |
0 |
| 20 |
| 50 |
| 100 |
| 150 |
| OECD
member with no CRC |
0 |
| Non-OECD
member with no CRC |
100 |
| Sovereign default |
150 |
(3) Certain sovereign
exposures. Notwithstanding paragraph (a)(2) of this section,
a Board-regulated institution may assign to a sovereign exposure a
risk weight that is lower than the applicable risk weight in Table
1 to section 217.32 if:
(i) The exposure is denominated in the
sovereign’s currency;
(ii) The Board-regulated institution has at least an equivalent amount
of liabilities in that currency; and
(iii) The risk weight is not lower than
the risk weight that the home country supervisor allows Board-regulated
institutions under its jurisdiction to assign to the same exposures
to the sovereign.
(4) Exposures
to a non-OECD member sovereign with no CRC. Except as provided
in paragraphs (a)(3), (a)(5) and (a)(6) of this section, a Board-regulated
institution must assign a 100 percent risk weight to an exposure to
a sovereign if the sovereign does not have a CRC.
(5) Exposures
to an OECD member sovereign with no CRC. Except as provided in
paragraph (a)(6) of this section, a Boardregulated institution must
assign a 0 percent risk weight to an exposure to a sovereign that
is a member of the OECD if the sovereign does not have a CRC.
(6) Sovereign default. A Board-regulated institution must assign
a 150 percent risk weight to a sovereign exposure immediately upon
determining that an event of sovereign default has occurred, or if
an event of sovereign default has occurred during the previous five
years.
(b) Certain supranational entities and multilateral development banks
(MDBs). A Board-regulated institution must assign a zero percent
risk weight to an exposure to the Bank for International Settlements,
the European Central Bank, the European Commission, the International
Monetary Fund, the European Stability Mechanism, the European Financial
Stability Facility, or an MDB.
(c) Exposures to GSEs.
(1) A Board-regulated institution must
assign a 20 percent risk weight to an exposure to a GSE other than
an equity exposure or preferred stock.
(2) A Board-regulated institution must
assign a 100 percent risk weight to preferred stock issued by a GSE.
(d) Exposures
to depository institutions, foreign banks, and credit unions.
(1) Exposures to U.S. depository institutions and credit unions. A Board-regulated institution must assign a 20 percent risk weight
to an exposure to a depository institution or credit union that is
organized under the laws of the United States or any state thereof,
except as otherwise provided under paragraph (d)(3) of this section.
(2) Exposures to foreign banks.
(i) Except
as otherwise provided under paragraphs (d)(2)(iii), (d)(2)(v), and
(d)(3) of this section, a Board-regulated institution must assign
a risk weight to an exposure to a foreign bank, in accordance with
Table 2 to section 217.32, based on the CRC that corresponds to the
foreign bank’s home country or the OECD membership status of the foreign
bank’s home country if there is no CRC applicable to the foreign bank’s
home country.
Table 2 to
section 217.32—Risk weights for exposures to foreign banks
| |
Risk weight (in percent) |
|
CRC |
0-1 |
20 |
| 2 |
50 |
| 3 |
100 |
| 4-7 |
150 |
| OECD
member with no CRC |
20 |
| Non-OECD
member with no CRC |
100 |
| Sovereign default |
150 |
(ii) A Board-regulated institution must
assign a 20 percent risk weight to an exposure to a foreign bank whose
home country is a member of the OECD and does not have a CRC.
(iii) A Board-regulated
institution must assign a 20 percent risk-weight to an exposure that
is a self-liquidating, trade-related contingent item that arises from
the movement of goods and that has a maturity of three months or less
to a foreign bank whose home country has a CRC of 0, 1, 2, or 3, or
is an OECD member with no CRC.
(iv) A Board-regulated institution must
assign a 100 percent risk weight to an exposure to a foreign bank
whose home country is not a member of the OECD and does not have a
CRC, with the exception of self-liquidating, trade-related contingent
items that arise from the movement of goods, and that have a maturity
of three months or less, which may be assigned a 20 percent risk weight.
(v) A Board-regulated
institution must assign a 150 percent risk weight to an exposure to
a foreign bank immediately upon determining that an event of sovereign
default has occurred in the bank’s home country, or if an event of
sovereign default has occurred in the foreign bank’s home country
during the previous five years.
(3) A Board-regulated institution must
assign a 100 percent risk weight to an exposure to a financial institution
if the exposure may be included in that financial institution’s capital
unless the exposure is:
(i) An equity exposure;
(ii) A significant investment in the
capital of an unconsolidated financial institution in the form of
common stock pursuant to section 217.22(d)(2)(i)(C);
(iii) Deducted from regulatory capital
under section 217.22; or
(iv) Subject to a 150 percent risk weight
under paragraph (d)(2)(iv) or Table 2 of paragraph (d)(2) of this
section.
(e) Exposures to public sector entities (PSEs).
(1) Exposures to U.S. PSEs.
(i) A Board-regulated institution
must assign a 20 percent risk weight to a general obligation exposure
to a PSE that is organized under the laws of the United States or
any state or political subdivision thereof.
(ii) A Board-regulated institution must
assign a 50 percent risk weight to a revenue obligation exposure to
a PSE that is organized under the laws of the United States or any
state or political subdivision thereof.
(2) Exposures
to foreign PSEs.
(i) Except as provided in paragraphs
(e)(1) and (e)(3) of this section, a Board-regulated institution must
assign a risk weight to a general obligation exposure to a PSE, in
accordance with Table 3 to section 217.32, based on the CRC that corresponds
to the PSE’s home country or the OECD membership status of the PSE’s
home country if there is no CRC applicable to the PSE’s home country.
(ii) Except as provided
in paragraphs (e)(1) and (e)(3) of this section, a Board-regulated
institution must assign a risk weight to a revenue obligation exposure
to a PSE, in accordance with Table 4 to section 217.32, based on the
CRC that corresponds to the PSE’s home country; or the OECD membership
status of the PSE’s home country if there is no CRC applicable to
the PSE’s home country.
(3) A Board-regulated institution may assign
a lower risk weight than would otherwise apply under Tables 3 or 4
to section 217.32 to an exposure to a foreign PSE if:
(i) The
PSE’s home country supervisor allows banks under its jurisdiction
to assign a lower risk weight to such exposures; and
(ii) The risk weight is not lower than
the risk weight that corresponds to the PSE’s home country in accordance
with Table 1 to section 217.32.
Table 3 to
section 217.32—Risk weights for non-U.S. PSE general obligations
| |
Risk weight (in percent) |
| CRC |
0-1 |
20 |
| 2 |
50 |
| 3 |
100 |
| 4-7 |
150 |
| OECD
member with no CRC |
20 |
| Non-OECD
member with no CRC |
100 |
| Sovereign default |
150 |
Table 4 to
section 217.32—Risk weights for non-U.S. PSE revenue obligations
| |
Risk weight (in percent) |
| CRC |
0-1 |
50 |
| 2-3 |
100 |
| 4-7 |
150 |
| OECD
member with no CRC |
50 |
| Non-OECD
member with no CRC |
100 |
| Sovereign default |
150 |
(4) Exposures
to PSEs from an OECD member sovereign with no CRC.
(i) A Board-regulated
institution must assign a 20 percent risk weight to a general obligation
exposure to a PSE whose home country is an OECD member sovereign with
no CRC.
(ii) A Board-regulated
institution must assign a 50 percent risk weight to a revenue obligation
exposure to a PSE whose home country is an OECD member sovereign with
no CRC.
(5) Exposures to PSEs whose home country
is not an OECD member sovereign with no CRC. A Board-regulated
institution must assign a 100 percent risk weight to an exposure to
a PSE whose home country is not a member of the OECD and does not
have a CRC.
(6) A Board-regulated
institution must assign a 150 percent risk weight to a PSE exposure
immediately upon determining that an event of sovereign default has
occurred in a PSE’s home country or if an event of sovereign default
has occurred in the PSE’s home country during the previous five years.
(f) Corporate
exposures.
(1) A Board-regulated institution must
assign a 100 percent risk weight to all its corporate exposures, except
as provided in paragraphs (f)(2) and (f)(3) of this section.
(2) A Board-regulated institution
must assign a 2 percent risk weight to an exposure to a QCCP arising
from the Board-regulated institution posting cash collateral to the
QCCP in connection with a cleared transaction that meets the requirements
of section 217.35(b)(3)(i)(A) and a 4 percent risk weight to an exposure
to a QCCP arising from the Board-regulated institution posting cash
collateral to the QCCP in connection with a cleared transaction that
meets the requirements of section 217.35(b)(3)(i)(B).
(3) A Board-regulated institution
must assign a 2 percent risk weight to an exposure to a QCCP arising
from the Board-regulated institution posting cash collateral to the
QCCP in connection with a cleared transaction that meets the requirements
of section 217.35(c)(3)(i).
(g) Residential mortgage exposures.
(1) A Board-regulated institution must
assign a 50 percent risk weight to a first-lien residential mortgage
exposure that:
(i) Is secured by a property that is
either owner-occupied or rented;
(ii) Is made in accordance with prudent
underwriting standards, including relating to the loan amount as a
percent of the appraised value of the property. A Board-regulated
institution must base all estimates of a property’s value on an appraisal
or evaluation of the property that satisfies subpart E of 12 CFR part
208.
(iii) Is not
90 days or more past due or carried in nonaccrual status; and
(iv) Is not restructured
or modified.
(2) A Board-regulated institution must assign a 100 percent risk
weight to a first-lien residential mortgage exposure that does not
meet the criteria in paragraph (g)(1) of this section, and to junior-lien
residential mortgage exposures.
(3) For the purpose of this paragraph (g),
if a Board-regulated institution holds the first-lien and junior-lien(s)
residential mortgage exposures, and no other party holds an intervening
lien, the Board-regulated institution must combine the exposures and
treat them as a single first-lien residential mortgage exposure.
(4) A loan modified or
restructured solely pursuant to the U.S. Treasury’s Home Affordable
Mortgage Program is not modified or restructured for purposes of this
section.
(h) Pre-sold construction loans. A Board-regulated institution must
assign a 50 percent risk weight to a pre-sold construction loan unless
the purchase contract is cancelled, in which case a Board-regulated
institution must assign a 100 percent risk weight.
(i) Statutory multifamily mortgages. A Board-regulated institution must assign a 50 percent risk weight
to a statutory multifamily mortgage.
(j) High-volatility commercial real estate (HVCRE)
exposures. A Board-regulated institution must assign a 150 percent
risk weight to an HVCRE exposure.
(k) Past due exposures. Except for an exposure
to a sovereign entity or a residential mortgage exposure or a policy
loan, if an exposure is 90 days or more past due or on nonaccrual:
(1) A Board-regulated institution
must assign a 150 percent risk weight to the portion of the exposure
that is not guaranteed or that is unsecured;
(2) A Board-regulated institution may assign
a risk weight to the guaranteed portion of a past due exposure based
on the risk weight that applies under section 217.36 if the guarantee
or credit derivative meets the requirements of that section; and
(3) A Board-regulated
institution may assign a risk weight to the collateralized portion
of a past due exposure based on the risk weight that applies under
section 217.37 if the collateral meets the requirements of that section.
(l) Other
assets.
(1) (i) A bank
holding company or savings and loan holding company must assign a
zero percent risk weight to cash owned and held in all offices of
subsidiary depository institutions or in transit, and to gold bullion
held in a subsidiary depository institution’s own vaults, or held
in another depository institution’s vaults on an allocated basis,
to the extent the gold bullion assets are offset by gold bullion liabilities.
(ii) A state member
bank must assign a zero percent risk weight to cash owned and held
in all offices of the state member bank or in transit; to gold bullion
held in the state member bank’s own vaults or held in another depository
institution’s 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 and spot commodities) with a central
counterparty where there is no assumption of ongoing counterparty
credit risk by the central counterparty after settlement of the trade
and associated default fund contributions.
(2) A Board-regulated institution
must assign a 20 percent risk weight to cash items in the process
of collection.
(3)
A Board-regulated institution must assign a 100 percent risk weight
to DTAs arising from temporary differences that the Board-regulated
institution could realize through net operating loss carrybacks.
(4) A Board-regulated
institution must assign a 250 percent risk weight to the portion of
each of the following items to the extent it is not deducted from
common equity tier 1 capital pursuant to section 217.22(d):
(i) MSAs;
and
(ii) DTAs arising
from temporary differences that the Board-regulated institution could
not realize through net operating loss carrybacks.
(5) A Board-regulated
institution must assign a 100 percent risk weight to all assets not
specifically assigned a different risk weight under this subpart and
that are not deducted from tier 1 or tier 2 capital pursuant to section
217.22.
(6) Notwithstanding
the requirements of this section, a state member bank may assign an
asset that is not included in one of the categories provided in this
section to the risk weight category applicable under the capital rules
applicable to bank holding companies and savings and loan holding
companies under this part, provided that all of the following conditions
apply:
(i) The Board-regulated institution
is not authorized to hold the asset under applicable law other than
debt previously contracted or similar authority; and
(ii) The risks associated with the asset
are substantially similar to the risks of assets that are otherwise
assigned to a risk weight category of less than 100 percent under
this subpart.
(m) Insurance assets.
(1) Assets held
in a separate account.
(i) A bank holding company
or savings and loan holding company must risk-weight the individual
assets held in a separate account that does not qualify as a non-guaranteed
separate account as if the individual assets were held directly by
the bank holding company or savings and loan holding company.
(ii) A bank holding company
or savings and loan holding company must assign a zero percent risk
weight to an asset that is held in a non-guaranteed separate account.
(2) Policy loans. A bank holding company or
savings and loan holding company must assign a 20 percent risk weight
to a policy loan.
