Securitization Exposures Replaces the ratings-based approach with either the standardized supervisory formula approach (SSFA) or the (§§ 628.41, 628.42, 628.43, 628.44, gross-up approach for determining a securitization and 628.45) exposure’s risk weight based on the underlying assets and exposure’s relative position in the securitization’s structure. Equity exposures Establishes a more risk-sensitive treatment for equity exposures. (§§ 628.51, 628.52, and 628.53) Disclosure Requirements Establishes qualitative and quantitative disclosure requirements, including regarding regulatory capital (§§ 628.61, 628.62, and 628.63) instruments, for all System banks. Existing FCA Regulatory Capital Minimum Capital Ratios Permanent capital ratio Numerator calculation remains unchanged, but risk weights (denominator) are revised. (§§ 615.5201 and 615.5205) Total surplus ratio Eliminated. (§§ 615.5301(i) and 615.5330(a)) Core surplus ratio Eliminated. (§§ 615.5301(b) and 615.5330(b)) Net collateral Ratio Eliminated. (banks only) (§§ 615.5301(d) and 615.5335)
Securitization Exposures (§§ 628.41, 628.42, 628.43, 628.44, and 628.45) Replaces the ratings-based approach with either the standardized supervisory formula approach (SSFA) or the gross-up approach for determining a securitization exposure’s risk weight based on the underlying assets and exposure’s relative position in the securitization’s structure. Equity exposures (§§ 628.51, 628.52, and 628.53) Establishes a more risk-sensitive treatment for equity exposures. Disclosure Requirements (§§ 628.61, 628.62, and 628.63) Establishes qualitative and quantitative disclosure requirements, including regarding regulatory capital instruments, for all System banks. Existing FCA Regulatory Capital Minimum Capital Ratios Permanent capital ratio (§§ 615.5201 and 615.5205) Numerator calculation remains unchanged, but risk weights (denominator) are revised. Total surplus ratio (§§ 615.5301(i) and 615.5330(a)) Eliminated. Core surplus ratio (§§ 615.5301(b) and 615.5330(b)) Eliminated. Net collateral Ratio (banks only) (§§ 615.5301(d) and 615.5335) Eliminated.