Appendix B to Subpart A of Part 327 - Conversion of Scorecard Measures into Score
12:5.0.1.2.16.1.23.16.4 : Appendix B
Appendix B to Subpart A of Part 327 - Conversion of Scorecard
Measures into Score 1. Weighted Average CAMELS Rating
Weighted average CAMELS ratings between 1 and 3.5 are assigned a
score between 25 and 100 according to the following equation:
S = 25 + [(20/3) * (
C 2 −1)], where:
S = the
weighted average CAMELS score; and
C = the weighted average
CAMELS rating. 2. Other Scorecard Measures
For certain scorecard measures, a lower ratio implies lower risk
and a higher ratio implies higher risk. These measures include:
• Concentration measure;
• Credit quality measure;
• Market risk measure;
• Average short-term funding to average total assets ratio;
and
• Potential losses to total domestic deposits ratio (loss
severity measure).
For those measures, a value between the minimum and maximum
cutoff values is converted linearly to a score between 0 and 100,
according to the following formula:
S = (
V −Min) * 100/(Max −Min), where
S is
score (rounded to three decimal points),
V is the value of
the measure, Min is the minimum cutoff value and Max is the maximum
cutoff value.
For other scorecard measures, a lower value represents higher
risk and a higher value represents lower risk. These measures
include:
• Leverage ratio;
• Core earnings to average quarter-end total assets ratio;
• Core deposits to total liabilities ratio; and
• Balance sheet liquidity ratio.
For those measures, a value between the minimum and maximum
cutoff values is converted linearly to a score between 0 and 100,
according to the following formula:
S = (Max −
V) * 100/(Max −Min), where
S is
score (rounded to three decimal points),
V is the value of
the measure, Max is the maximum cutoff value and Min is the minimum
cutoff value. [76 FR 10720, Feb. 25, 2011]