INSTRUCTIONS FOR PART
2,
CALCULATION OF RISK WEIGHTED ASSETS
General instructions have been provided below for each row of
the worksheet to assist banks in allocating the balance sheet or
credit equivalent amounts in Column A to the risk weight categories
in Columns B through E and the other categories in Columns F and
G. These instructions generally provide an appropriate allocation
for most banks. In addition, banks should be aware that there are
specific exceptions to the general instructions for risk weight
categories. Some of the most common exceptions to the general instructions
for risk weight categories have also been provided for certain assets
and other bank transactions. For further information on allocating
assets and off-balance sheet transactions to the proper risk weight
category, banks should consult the Risk-Based Capital Guidelines.
In order to save time and reduce burden, a bank may decide not
to determine every asset or off-balance sheet transaction that is
accorded a lower risk weight than the maximum risk weight (i.e.,
100% generally and 50% for derivative contracts). Accordingly,
at its option, a bank may risk-weight any asset or the credit equivalent
amount of any off-balance sheet item (excluding nonqualifying intangibles
and other amounts deducted from regulatory capital) at a higher
risk weight than the risk weight that would otherwise apply to the
asset or credit equivalent amount, e.g., at the maximum risk weight.
Columns F and G should include the amount of the balance sheet
assets that are deducted or excluded (not risk weighted) in the
determination of risk-weighted assets. Column F should include assets
that are deducted from capital such as goodwill, excess net deferred
tax assets, excess mortgage servicing assets, reciprocal holdings
of bank capital instruments, and any other assets that must be deducted
in accordance with the requirements of a bank's primary federal
supervisory authority. Column G should include items that are excluded
from the calculation of risk weighted assets such as the allowance
for loan and lease losses and certain on-balance sheet asset amounts
associated with off-balance sheet derivative contracts that are
included in the calculation of their credit equivalent amounts.
Columns B through G in each row should equal the total asset or
credit equivalent amount of off-balance sheet transactions reported
in Column A.
Section 1 of this schedule includes separate line items for assets
in balance sheet order. Include in Column A, the amounts for the
applicable line items on Schedule RC, Balance Sheet. Section 2 of
this schedule includes off-balance-sheet transactions. Include in
the Column labelled "Face Value or Notional Amount" the amounts
for the applicable line items as reported on Schedule RC-L, Off-Balance
Sheet Items. Include in Column A, the credit-equivalent amount of
the Face Value or Notional Amount. The credit equivalent amount
for most transactions is determined by multiplying the Face Value
or Notional Amount by its applicable conversion factor. The credit
equivalent amount should be determined prior to assigning an appropriate
risk-weight category and should be allocated to Columns B through
E, according to the risk category assigned to each transaction,
in accordance with the Risk-Based Capital Guidelines.
The following are some of the most common exceptions to the risk
weight category assignments that are described below in the general
instructions for each row. These exceptions enable a bank, at
its option, to assign assets and off-balance sheet items to
lower risk weight categories than under the general instructions
for each row.
0%
column: |
- All
claims (defined broadly to include securities, loans, and
leases) that are direct claims on, or the portion of claims
that are directly and unconditionally guaranteed by, OECD
central governments or U.S. government agencies
- For
national and state member banks, claims that are collateralized
by cash on deposit in the bank or by securities issued or
guaranteed by OECD central governments or U.S. government
agencies (refer to the risk based capital guidelines for
specific criteria).
|
20%
column: |
- The
portion of claims that are conditionally guaranteed by OECD
central governments or U.S. Government agencies
- The
portion of claims that are collateralized by cash on deposit
in the bank or by securities issued or guaranteed by OECD
central governments or U.S. government agencies that are
not included in zero percent column
- The
portion of local currency securities that are conditionally
guaranteed by non-OECD central governments (to the extent
that the bank has liabilities booked in that currency)
- General
obligation claims on, or portions of claims guaranteed by
the full faith and credit of, states or other political
subdivisions of the U.S.
- Claims
on, and the portions of claims guaranteed by, multilateral
lending institutions or regional development banks in which
the U.S. government is a shareholder or contributing member.
|
NOTE:
These instructions contain several references to the OECD, i.e.,
the Organization for Economic Cooperation and Development. The
following countries are members of the OECD: Australia, Austria,
Belgium, Canada, the Czech Republic, Denmark, the Federal Republic
of Germany, Finland, France, Greece, Hungary, Iceland, Ireland,
Italy, Japan, Korea, Luxembourg, Mexico, Netherlands, New Zealand,
Norway, Poland, Portugal, Spain, Sweden, Switzerland, Turkey,
the United Kingdom, and the United States. In addition, Saudi
Arabia should be treated as an OECD country. All other countries
should be treated as non-OECD countries.
Section 1. Balance Sheet Assets
Row 1, Cash and balances due from depository institutions
(Noninterest-bearing balances and currency and coin and Interest
bearing balances).
|
0%
column: |
For 034
filers: RC-M, item 3(b), plus the portion of RC, item 1(a),
that represents Balances due from Federal Reserve Banks
For 031,
032, and 033 filers: RC-A, item 1(b), and RC-A, item 4
|
100%
column: |
Claims
on non-OECD depository institutions with remaining maturities
of over one year, all non-local currency claims on non-OECD
central banks, and local currency claims on non-OECD central
banks that exceed the local currency liability held by the bank
|
20%
column: |
Worksheet
Row 1, Column A, minus the amount allocated to the other columns |
Row
2, Held-to-maturity securities. |
0%
column: |
RC-B, Column
A, items 1, 2(a), 4(a)(1), and the portion of 4(b)(1) that represents
GNMA securities. |
20%
column: |
RC-B, Column
A, items 2(b), 3(a), 4(a)(2), 4(b)(1)[excluding the GNMA portion],
and 4(b)(2), but excluding any interest-only strips, principal-only
strips, residuals, subordinated classes, and similar instruments,
which are assigned a 100% risk weight. |
50%
column: |
RC-B, Column
A, items 3(b), 4(a)(3), and 4(b)(3), but excluding any interest-only
strips, principal-only strips, residuals, subordinated classes,
and similar instruments, which are assigned a 100% risk weight. |
100%
column: |
Worksheet
Row 2, Column A, minus the amounts allocated to the other columns. |
Row
3, Available-for-sale securities.
Although available-for-sale securities are reported at fair
value, they are generally treated for regulatory capital
purposes on an amortized cost basis. Marketable equity securities
are measured at the lower of cost or market value for regulatory
capital purposes. |
0%
column: |
RC-B, Column
C, items 1, 2(a), 4(a)(1), the portion of 4(b)(1) that represents
GNMA securities, and the portion of 6(b) that represents Federal
Reserve Bank stock. |
20%
column: |
RC-B, Column
C, items 2(b), 3(a), 4(a)(2), 4(b)(1)[excluding the GNMA portion],
4(b)(2), and the portion of 6(b) that represents Federal Home
Loan Bank stock, but excluding any interest-only strips, principal-only
strips, residuals, subordinated classes, and similar instruments,
which are assigned a 100% risk weight. |
50%
column: |
RC-B, Column
C, items 3(b), 4(a)(3), and 4(b)(3), but excluding any interest-only
strips, principal-only strips, residuals, subordinated classes,
and similar instruments, which are assigned a 100% risk weight. |
Capital
exclusions (column G): |
Include
the difference between the fair value and amortized cost of
available-for-sale debt securities (RC-B, items 1 through 5,
Column D minus C) (the difference may be reported as a negative
value) plus the difference between the fair value and cost
of available-for-sale equity securities (only if the difference
is positive) (RC-B, item 6(a), Column D minus C). |
100%
column: |
Worksheet
Row 3, Column A, minus the amounts allocated to the other columns.
Generally, this would equal the sum of RC-B, Column C, items
3(c) and 5, the lesser of Column C or D for RC-B, item 6(a),
and RC-B, item 6(b), Column C [excluding Federal Reserve and
Federal Home Loan Bank stock]. |
Row
4, Federal funds sold and securities purchased under agreements
to resell. |
100%
column: |
Claims
on non-depository institution counterparties that lack qualifying
collateral (refer to the risk based capital guidelines for specific
criteria) and claims on non-OECD depository institutions with
maturities of over one year. |
20%
column: |
Worksheet
Row 4, Column A, minus the amounts allocated to the other columns.
|
Row
5, Loans and leases, net of unearned income. |
0%
column: |
Include
the guaranteed portion of SBA loans purchased in the secondary
market included in RC-C, items 3 and 4. |
20%
column: |
RC-C, items
2 and 5, plus the guaranteed portion of FHA and VA mortgage
loans included in RC-C, item 1(c)(2)(a), the guaranteed portion
of SBA loans originated and held by the reporting bank included
in RC-C, items 3 and 4, and the portion of student loans reinsured
by the U.S. Department of Education included in RC-C, item 6(b). |
50%
column: |
Include
the portion of loans included in RC-C, items 1(c)(2)(a) and
1(d) that are prudently underwritten, fully secured by first
liens on 1-4 family or multifamily residential properties, are
not 90 days or more past due or in nonaccrual status, and meet
other requirements specified in the risk-based capital guidelines. |
100%
column: |
Worksheet
Row 5, Column A, minus the amounts allocated to the other columns. |
NOTE:
For low level recourse transactions in which the loans sold
remain on Schedule RC, allocate the loan amounts among Columns
B through G in accordance with the guidance in the instructions
to Schedule RC-R.
Row 6, Allowance for loan and lease losses. Include
the entire balance in the capital exclusions column
(column G). Reflect this amount as a negative value.
Row 7, Allocated transfer risk reserve. Include the
entire balance in the capital exclusions column (column
G). Reflect this amount as a negative value.
Row 8, Trading assets. Consult the risk-based capital
guidelines for guidance on allocating the balance.
|
However,
if the bank prepares schedule RC-D: |
0%
column: |
RC-D, items
1, the portion of item 2 that is issued by U.S. government agencies,
and the portion of items 4(a) and 4(b) that represents GNMA
securities. |
20%
column: |
The portion
of RC-D, item 2, that is issued by U.S. government-sponsored
agencies, the portion of item 3 that represents general obligations
issued by states and political subdivisions in the U.S., items
4(a) and 4(b)[excluding the GNMA portion], items 6 and 8. |
50%
column: |
The portion
of RC-D, item 3, that represents revenue obligations issued
by states and political subdivisions in the U.S. and item 4(c). |
Capital
exclusions (column G): |
The fair
value of derivative contracts that are reported as trading assets
that are also included in the credit equivalent amount of derivatives
contracts reported in Row 24. |
100%
column: |
Worksheet
Row 8, Column A, minus the amounts allocated to the other columns. |
Row
9, Premises and fixed assets.
Include the entire balance in the 100% column.
Row
10, Other real estate owned. Include the entire balance
in the 100% column.
Row
11, Investments in unconsolidated subsidiaries and associated
companies.
|
Capital
deductions (column F): |
Include
the amount of any investments in unconsolidated banking and
finance subsidiaries and any other investments that are required
to be deducted from total risk-based capital in accordance with
the guidelines of the bank's primary supervisory agency. |
100%
column: |
Worksheet
Row 11, Column A, minus the amounts allocated to the other columns. |
Row
12, Customers' liability to this bank on acceptances outstanding. |
20%
column: |
Include
the portion of RC-L, item 5, (not reported by 034 filers) that
represents risk participations conveyed to other depository
institutions in the bank's own acceptances that are outstanding. |
100%
column: |
Worksheet
Row 12, Column A, minus the amounts allocated to the other columns. |
Row
13, Intangible assets. |
Capital
deductions (column F): |
RC-M, items
6(b)(2) and 6(c), minus RC-M, item 6(e), plus any mortgage servicing
assets and purchased credit card relationships disallowed for
regulatory capital purposes. |
100%
column: |
Worksheet
Row 13, Column A, minus the amounts allocated to the other columns. |
Row
14, Other Assets. |
0%
column: |
Accrued
interest receivable on assets included in the 0% risk weight
column of rows 1 through 5, 8, and 12, and gold bullion not
held for trading that is held in the bank's own vault or in
another bank's vault on an allocated basis. |
Capital
deductions (column F): |
RC-F, Memo
item 1. |
Capital
exclusions (column G): |
Include
the fair value of derivative contracts that are reported as
other assets that are also included in the credit equivalent
amount of derivatives contracts reported in Row 24. |
100%
column: |
Worksheet
Row 14, Column A, minus the amounts allocated to the other columns. |
Row
15, Total Assets.
For each of Columns A through G, include the sum of Rows 1 through
14. The sum of Columns B through G must equal the sum of Column
A.
Section 2. Off-Balance Sheet Transactions
Summary of credit conversion factors: Direct credit substitutes
(e.g., financial standby letters of credit (LOCs), risk participations,
etc.) are converted at 100%, transaction-related contingencies
(e.g., performance standby LOCs, unused commitments with an
original maturity exceeding one year, etc.) are converted
at 50%, and short-term, self- liquidating, trade-related contingencies
(e.g., commercial LOCs) are converted at 20%.
Row 16, Financial standby letters of credit.
|
20%
column: |
Include
the credit equivalent amount (i.e., 100% of the face or notional
amount) of the portion of RC-L, item 2(a), that has been conveyed
to U.S. and other OECD depository institutions (and to non-OECD
depository institutions for letters of credit with remaining
maturities of one year or less) |
100%
column: |
Worksheet
Row 16, Column A, minus the amounts allocated to the other columns.
|
Row
17, Performance standby letters of credit. |
20%
column: |
Include
the credit equivalent amount (i.e., 50% of the face or notional
amount) of the portion of RC-L, item 3(a), that has been conveyed
to U.S. and other OECD depository institutions (and to non-OECD
depository institutions for letters of credit with remaining
maturities of one year or less) |
100%
column: |
Worksheet
Row 17, Column A, minus the amounts allocated to the other columns. |
Row
18, Commercial and similar letters of credit.
Include the entire credit equivalent amount (i.e., 20% of the
face or notional amount) in the 100% column.
Row
19, Risk Participations in acceptances acquired by the reporting
bank.
|
20%
column: |
Include
the credit equivalent amount (i.e., 100% of the face or notional
amount) of the portion of RC-L, item 5, that represents the
amount of participations in acceptances of other (accepting)
banks that the reporting bank has acquired and subsequently
conveyed to U.S. and other OECD depository institutions (and
to non-OECD depository institutions for letters of credit with
remaining maturities of one year or less) |
100%
column: |
Worksheet
Row 19, Column A, minus the amounts allocated to the other columns. |
Row
20, Securities lent. |
100%
column: |
Include
the credit equivalent amount (i.e., 100% of the face or notional
amount) of the portion of Worksheet Row 20, Column A, that represents
claims on non-depository institution counterparties that lack
qualifying collateral (refer to the risk based capital guidelines
for specific criteria) and claims on non-OECD depository institutions
with maturities of over one year |
20%
column: |
'
Worksheet
Row 20, Column A, minus the amounts allocated to the other columns.
|
Row
21, Assets transferred with recourse. |
50%
column: |
Include
the credit equivalent amount (i.e., 100% of the face or notional
amount) of RC-L, item 9(a)(1). |
100%
column: |
Worksheet Row 21, Column A, minus the amounts
allocated to the other columns. |
NOTE:
For low level recourse transactions in which the assets sold
are not reported on Schedule RC, refer to the guidance in the
instructions to Schedule RC-R to determine the amount to report
in Column A and to allocate this amount to the other
columns.
Row 22, All other off-balance sheet liabilities.
Refer to the Risk-based capital guidelines to allocate the
credit equivalent amount (i.e., 100% of the face or notional
amount) in Column A to Columns B through E.
Row 23, Unused commitments with an original maturity
exceeding one year.
|
20%
column: |
Include
the credit equivalent amount (i.e., 50% of the face or notional
amount) of the portion of RC-L, Memo item 3(a), that has been
conveyed to U.S. and other OECD depository institutions (and
to non-OECD depository institutions for commitments with original
maturities of one year or less) (Memo item 3(a) is not reported
by 034 filers; at a bank's option, such information can be obtained
from the bank's records.) |
100%
column: |
Worksheet
Row 23, Column A, minus the amounts allocated to the other columns. |
Row
24, Credit equivalent amount of derivative contracts.
The credit equivalent amount of an interest rate, foreign exchange,
equity, commodity, or other derivative contract is the sum of
the mark-to-market value of each contract (only if positive)
and an estimate of the potential future credit exposure over
the remaining life of each contract. The potential future credit
exposure is estimated by multiplying the notional amount by
a specific percentage. Bilateral netting agreements may also
be considered. Refer to the Risk-based capital guidelines and
the instructions to Schedule RC-R to calculate the credit equivalent
amount to report in Column A and to allocate this credit
equivalent amount to Columns B through D.
Row 25, Total Assets and Off-balance Sheet Transactions
by Risk Weight Category. For each of columns B through
E, include the sum of Rows 15 through 24.
Row 26, Risk Weight Factors.
Row 27, Gross Risk Weighted Assets by Category. For
each of columns B through E, multiply the amount in Row 25
by the risk weight factor in Row 26.
Row 28, "Gross" Risk Weighted Assets excluding assets
that are deducted. Include the sum of Row 27, columns
B through E.
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WORKSHEET PART 3.
Schedule |
Item #
|
Amount |
tem Name/Comments |
CALCULATION
OF "AVERAGE TOTAL ASSETS" |
1.
RC-K |
7 (034)
9 (031, 032,
and 033) |
_________ |
Quarterly
average for total assets |
2. Worksheet
Part 1, Line 7 plus line 8 minus line 9 |
|
_______ |
Intangible
assets (other than mortgage servicing assets and purchased credit
card relationships) that are deducted for regulatory capital
purposes |
3. Worksheet
Part 1, line 19 |
|
_______ |
Total disallowed
purchased mortgage servicing assets, purchased credit card relationships,
and deferred tax assets(1) |
4. Line
1 minus lines 2 and 3 |
|
_______ |
"Average
total assets" for the Tier 1 leverage ratio (report in Schedule
RC-R, item 3.f) |
CALCULATION
OF THE TIER 1 LEVERAGE RATIO |
5. Worksheet
Part 1, line 20 |
|
_______ |
Tier 1
Capital |
6. Divide
line 5 by line 4 and multiply by 100 |
|
_______% |
Tier 1
Leverage Ratio |
(1)
Worksheet Part 1, line 19, includes the amount of any other assets
that must be deducted when determining Tier 1 capital in accordance
with the requirements of a bank's primary federal supervisory authority.
|