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 |
Item 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.
|