| Current Risk Weight (in general) | | |
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Direct and unconditional claims on the US Government, its Agencies, and the Federal Reserve | | | |
Claims on certain supranational entities and multilateral development banks | | | Claims on supranational entities include, for example, claims on the International Monetary Fund. |
Cash items in the process of collection | | | |
Conditional claims on the US Government | | | A conditional claim is one that requires the satisfaction of certain conditions, for example, servicing requirements. |
Claims on government sponsored entities (GSEs) | 100% on GSE preferred stock (20% for national banks). | 20% on exposures other than equity exposures or preferred stock. | |
Claims on US depository institutions and credit unions | 100% risk weight for an instrument included in the depository institution's regulatory capital. | 100% risk weight if the exposure is an equity exposure, a significant investment in the capital of an unconsolidated financial institution in the form of common stock, or deducted from regulatory capital. | Instruments included in the capital of the depository institution may be deducted or treated under the equities section below. |
Claims on US public sector entities (PSEs) | 20% for general obligations. 50% for revenue obligations. | 20% for general obligations. 50% for revenue obligations. | |
Industrial development bonds | | | |
Claims on qualifying securities firms | | See commercial loans and corporate exposures to financial companies section below. | Instruments included in the capital of the securities firm may be deducted or treated under the equities section below. |
| 50% if first lien, prudently underwritten, owner occupied or rented, current or less than 90 days past due. | 50% if first lien, prudently underwirtten, owner-occupied or rented, current or <90 days past due. | |
1 to 4 family loans modified under HAMP | The banking organization must use the same risk weight assigned to the loan prior to the modification so long as the loan continues to meet other applicable prudential criteria. | | HAMP loans are not treated as modified or restructured loans. |
Loans to builders secured by 1 to 4 family properties presold under firm contracts | 50% if the loan meets all criteria in the regulation. 100% if the contract is cancelled. 100% for loans not meeting the criteria. | 50% if the loan meets all criteria in the regulation. 100% if the contract is cancelled. 100% for loans not meeting the criteria. | |
Loans on multifamily properties | 50% if the loan meets all the criteria in the regulation; 100% otherwise. | 50% if the loan meets all the criteria in the regulation; 100% otherwise. | |
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High volatility commercial real estate (HVCRE) loans | | | The proposed treatment would apply to certain facilities that finance the acquisition, development or construction of real property other than 1 to 4 family residential property. |
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| Generally the risk weight does not change when the loan is past due. However, 1 to 4 family loans that are past due 90 days or more are 100% risk weight. | 150% for the portion that is not guaranteed or secured (does not apply to sovereign exposures or 1 to 4 family residential mortgage exposures). | |
Assets not assigned to a risk weight category, including fixed assets, premises, and other real estate owned | | | |
Claims on foreign governments and their central banks | 0% for direct and unconditional claims on OECD governments. 20% for conditional claims on OECD governments. 100% for claims on non-OECD governments that entail some degree of transfer risk. | Risk weight depends on CRC applicable to the sovereign and ranges between 0% and 150%. 0% for sovereigns that do not have a CRC but are in the OECD. 100% for sovereigns that do not have a CRC and are not in the OECD. 150% for a sovereign that has defaulted within the previous five years. | |
| 20% for claims on banks in OECD countries. 20% for short-term claims on banks in non-OECD countries. 100% for long-term claims on banks in non-OECD countries. | Risk weight depends on home country's CRC rating and ranges between 20% and 150%. 20% for a foreign bank in a country that does not have a CRC but is a member of the OECD. 100% for a foreign bank in a non OECD member country and does not have a CRC. 150% in the case of a sovereign default in the bank's home country. 100% for an instrument included in a bank's regulatory capital (unless that instrument is an equity exposure or is deducted). | |
| 20% for general obligations of states and political subdivisions of OECD countries. 50% for revenue obligations of states and political subdivisions of OECD countries. 100% for all obligations of states and political subdivisions of non-OECD countries. | Risk weight depends on the home country's CRC and ranges between 20% and 150% for general obligations; and between 50% and 150% for revenue obligations. 20% for exposures to a PSE general obligation in a home country that does not have a CRC but is in the OECD and 50% for revenue obligations. 100% for exposures to a PSE general obligation in a home country that does not have a CRC and is not in the OECD and 100% for revenue obligations. 150% for a PSE in a home country with a sovereign default. | |
MBS, ABS, and structured securities | Securitizations with short-term ratings: 20, 50, 100. For unrated positions, where the banking organization determines the credit rating: 100 or 200. Gross-up approach: The risk-weighted asset amount is calculated using the risk weight of the underlying assets amount of the position and the full amount of the assets supported by the position (that is, all of the more senior positions). Dollar for dollar capital for residual interests. Deduction for CEIO strips over concentration limit. 100% for stripped MBS (IOs and POs) that are not credit enhancing. | Deduction for the after-tax gain-on-sale of a securitization. 1,250% risk weight for a CEIO. 100% for interest-only MBS that are not credit-enhancing. Banking organizations may elect to follow a gross-up approach, similar to existing rules. Simplified Supervisory Formula Approach (SSFA): The risk weight for a position is determined by a formula and is based on the risk weight applicable to the underlying exposures, the relative position of the securitization position in the structure (subordination), and measures of delinquency and loss on the securitized assets. | |
| | 100%, 625%, 937.5%, and 1,250% for DvP or PvP transactions depending on the number of business days past the settlement date. 1,250% for non-DvP, non-PvP transactions more than five days past the settlement date. The proposed capital requirement for unsettled transactions would not apply to cleared transactions that are marked-to-market daily and subject to daily receipt of variation margin. | DvP (delivery vs. payment) transaction means a securities or commodities transaction in which the buyer is obligated to make payment only if the seller has made delivery of the securities or commodities, and the seller is obligated to deliver the securities or commodities only if the buyer has made the payment. PvP (payment vs. payment) transaction means a foreign exchange transaction in which each counterparty is obligated to make the final transfer of one or more currencies only if the other counterparty has made a final transfer of one or more currencies. |
| 100% of incremental deduction approach for nonfinancial equity investments. | 0%: Equity exposures to a sovereign, certain supranational entities, or an MDB whose debt exposures are eligible for 0% risk weight. 20%: Equity, exposures to a PSE, a FHLB, or Farmer Mac. 100%: Equity exposures to community development investments and small business investment companies and non-significant equity investments. 250%: Significant investments in the capital of unconsolidated financial institutions not deducted from capital. 300%: Most publicly traded equity exposures. 400%: Equity exposures that are not publicly traded. 600%: Equity exposures to certain investment funds. | MDB (multilateral development bank). |
Equity exposures to investment funds | There is a 20% risk weight floor on mutual fund holdings. General rule: Risk weight is the same as the highest risk weight investment the fund is permitted to hold. Option: a banking organization may assign risk weights pro rata according to the investment limits in the fund's prospectus. | Full look-through: Risk weight the assets of the fund (as if owned directly) multiplied by the banking organization's proportional ownership in the fund. Simple modified look-through: Multiply the banking organization's exposure by the risk weight of the highest risk weight asset in the fund. Alternative modified look-through: Assign risk weight on a pro rata basis based on the investment limits in the fund's prospectus. For community development exposures, risk-weighted asset amount = adjusted carrying value. | |
Credit Conversion Factors Under the Current and Final Rules |
Conversion factors for off-balance sheet items | 0% for the unused portion of a commitment with an original maturity of one year or less, or which is unconditionally cancellable at any time. 10% for unused portions of eligible ABCP liquidity facilities with an original maturity of one year or less. 20% for self-liquidating trade-related contingent items. 50% for the unused portion of a commitment with an original maturity of more than one year that are not unconditionally cancellable. 50% for transaction-related contingent items (performance bonds, bid bonds, warranties and standby letters of credit). 100% for guarantees, repurchase agreements, securities lending and borrowing transactions, financial standby letters of credit and forward agreements. | 0% for the unused portion of a commitment that is unconditionally cancellable by the banking organization. 20% for the unused portion of a commitment with an original maturity of one year or less that is not unconditionally cancellable. 20% for self-liquidating trade-related contingent items. 50% for the unused portion of a commitment over one year that is not unconditionally cancellable. 50% for transaction-related contingent items (performance bonds, bid bonds, warranties and standby letters of credit). 100% for guarantees, repurchase agreements, securities lending and borrowing transactions, financial standby letters of credit, and forward agreements. | |
| Conversion to an on-balance sheet amount based on current exposure plus potential future exposure and a set of conversion factors. | Conversion to an on-balance sheet amount based on current exposure plus potential future exposure and a set of conversion factors. | |
Credit Risk Mitigation Under the Current and Final Rules |
| Generally recognizes guarantees provided by central governments, GSEs, PSEs in OECD countries, multilateral lending institutions, regional development banking organizations, US depository institutions, foreign banks, and qualifying securities firms in OECD countries. Substitution approach that allows the banking organization to substitute the risk weight of the protection provider for the risk weight ordinarily assigned to the exposure. | Recognizes guarantees from eligible guarantors; sovereign entities, BIS, IMF, ECB, European Commission, FHLBs, Farmer Mac, a multilateral development bank, a depository institution, a BHC, an SLHC, a foreign bank, or an entity other than a SPE that has investment grade debt, whose creditworthiness is not positively correlated with the credit risk of the exposures for which it provides guarantees and is not a monocline insurer or reinsurer. Substitution treatment allows the banking organization to substitute the risk weight of the protection provider for the risk weight ordinarily assigned to the exposure. Applies only to eligible guarantees and eligible credit derivatives, and adjusts for maturity mismatches, currency mismatches, and where restructuring is not treated as a credit event. | Claims conditionally guaranteed by the US government receive a 20% risk weight. |
Collateralized transactions | Recognizes only cash on deposit, securities issued or guaranteed by OECD countries, securities issued or guaranteed by the US government or a US government agency, and securities issued by certain multilateral development banks. Substitute risk weight of collateral for risk weight of exposure, sometimes with a 20% risk weight floor. | Simple approach: A banking organization may apply a risk weight to the portion of an exposure that is secured by the market value of collateral by using the risk weight of collateral, with a general risk weight floor of 20%. Collateral haircut approach: using standard supervisory haircuts or own estimates of haircuts for eligible margin loans, repo-style transactions, collateralized derivative contracts.
| Cash on deposit at the banking organization (or third-party custodian). Investment grade securities (excluding re-securitizations). Publicly traded convertible bonds. Money market mutual fund shares and other mutual fund shares if a price is quoted daily. In all cases the banking organization must have a perfected, first priority interest. For the simple approach there must be a collateral agreement for at least the life of the exposure, collateral must be revalued at least every six months, and collateral other than gold must be in the same currency.
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