(a) General. Each Bank shall hold retained earnings plus general allowance for losses as support for the credit risk of all AMA estimated by the Bank to represent a credit risk that is greater than that of comparable instruments that have received the second highest credit rating from an NRSRO in an amount equal to or greater than the outstanding balance of the assets or pools of assets times a factor associated with the putative credit rating of the assets or pools of assets as determined by the Finance Board on a case-by-case basis. For single-family mortgage assets, the factors are as set forth in Table 1 of this part.
Table 1------------------------------------------------------------------------
Percentage
applicable to on-
Putative rating of single-family mortgage assets balance sheet
equivalent value
of AMA------------------------------------------------------------------------Third Highest Investment Grade........................ 0.90Fourth Highest Investment Grade....................... 1.50If Downgraded to Below Investment Grade After
Acquisition By Bank:
Highest Below Investment Grade.................... 2.25
Second Highest Below Investment Grade............. 2.60
All Other Below Investment Grade.................. 100.00------------------------------------------------------------------------
(b) Recalculation of credit enhancement. For risk-based capital purposes, each Bank shall recalculate the estimated credit rating of a pool of AMA if there is evidence that a decline in the credit quality of that pool may have occurred.
PARTS 934 999 [RESERVED]
SUBCHAPTERS H M [RESERVED]