Comment Period Extended by: 88 FR 73770

Tables:

Table 1. Proposed Risk Weights for Bank Exposures (Pg 64042)

Table 2. Proposed Risk Weights for Regulatory Residential Real Estate Exposures That Are Not Dependent on the Cash Flows of the Real Estate (Pg 64048)

Table 3. Proposed Risk Weights for Regulatory Residential Real Estate Exposures That Are Dependent on the Cash Flows of the Real Estate (Pg 64048)

Table 4. Proposed Risk Weights for Regulatory Commercial Real Estate Exposures That Are Not Dependent on the Cash Flows of the Real Estate (Pg 64049)

Table 5. Proposed Risk Weights for Regulatory Commercial Real Estate Exposures That Are Dependent on the Cash Flows of the Real Estate (Pg 64049)

Proposed Table 1 to Section __.121. Market Price Volatility Haircuts (Pg 64062, 64206)

Table 2 to Section __.121. The Minimum Haircut Floors (f) by Collateral Types and Maturity (Pg 64065, 64208)

Table 6. Adjusted Carrying Value for Equity Exposures (Pg 64075)

Table 7. Risk Weights Applicable to Equity Exposures Under the Expanded Simple Risk-Weight Approach (ESRWA) (Pg 64076)

Table 8. Business Indicator Components by Business Indicator Range (Pg 64086)

Table 2 to Section __.215. Liquidity Horizon, n (Number of Days, by Risk Factor (Pg 64138, 64274)

Table 1 to Section __.222. Supervisory Risk Weights, RWc (Pg 64156, 64279)

Table 2 to Section __.222. Correlations Between Credit Spread of Counterparty, c, and a Single-Name Hedge, h (Pg 64158, 64280)

Table 9. Transition of Expanded Total Risk-Weighted Assets (Pg 64166)

Table 10. Transition of AOCI Adjustment Amount (Pg 64167)

Table 11. Risk-Weighted Assets (RWA) by Risk Category ($ Billion, Year-End 2021) (Pg 64168)

Tables 1-8 to Section __.111. Risk Weights (Pg 64188-68191)

Table 1 to Section __.113. Supervisory Delta Adjustment for Options Contracts (Pg 64197)

Table 2 to Section __.113. Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts (Pg 64199)

Table 1 to Section __.115. Risk Weights for Unsettled DvP and PvP Transactions (Pg 64202)

Tables 1-15 to Section __.162. Disclosures (Pg 64219-64228)

Table 1 to Section __.204. Backtesting Capital Multiplier (mc) (Pg 64238)

Tables 1-11 to Section __.209. Sensitivities-based Method (Pg 64248, 64250-64251, 64253-64255, 64257, 64259-64261)

Table 1 to Section __.210. Default Risk Weights (Pg 64264)

Table 1 to Paragraph (c)(3)(i). PLA Test Zones (Pg 64270)

Table 1 to Section __.214. Standard Bucketing Approach: Standards Buckets (Pg 64271)

Table 1 to Section __.215. Liquidity Horizons (Pg 64273)

Tables 1-9 to Section __.215. Standardized CFA Approach: Delta Risk Weights/Correlation Factors (Pg 64285-64291)

Table 3 to Section 3.63. Capital Adequacy (Pg 64304)

Tables 1-2 to Section 3.300. Transitions (Pg 64305-64306)

Tables 1-2 to Section 217.11(a)(4)(iv). Calculation of Maximum Payout Amount/Ratio (Pg 64315, 64317)

Table 3 to Section 217.63. Capital Adequacy (Pg 64321)

Tables 1-2 to Section 217.300. Transition AOCI/Expanded Total Risk-Weighted Asset Adjustment (Pg 64321-64322)

Tables of Changes to Section 217 (Pg 64323-64324)

Table 3 to Section 324.63. Capital Adequacy (Pg 64338)

Table 15 to Paragraph (c). Main Features of Regulatory Capital Instruments and of Other TLAC-Eligible Instruments (Pg 64339-64340)

Tables 1-2 to Section 324.300. Transition AOCI/Expanded Total Risk-Weighted Asset Adjustment (Pg 64341)

Table of Changes to Section 324 (Pg 64343)

Charts and Figures:

Assignment of Risk Weights to Various Real Estate Exposures (Pg 64045)

Decision Tree Steps Using Example Above (Pg 64053)

Figure 1. Flow Chart for Applying the Minimum Haircut Floors (Pg 64065)

Figure 2. Standardized Measure for Market Risk (Pg 64093)

Figure 3. Models--based Measure for Market Risk (Pg 64094)

Graphic 1. Calculation of Curvature Risk-Weighted Sensitivity in Upward and Downward Shock Scenarios (Pg 64118)

Related Items:

79 FR 20754, 4/14/2014

84 FR 59032, 11/1/2019

84 FR 59230, 11/1/2019