Code of Federal Regulations (alpha)

CFR /  Title 12  /  Part 217  /  Sec. 217.173 Disclosures by certain advanced approaches Board-

(a) Except as provided in Sec. 217.172(b), a Board-regulated institution described in Sec. 217.172(b) must make the disclosures described in Tables 1 through 13 to Sec. 217.173. The Board-regulated institution must make the disclosures required under Tables 1 through 12 publicly available for each of the last three years (that is, twelve quarters) or such shorter period beginning on January 1, 2014. The Board-regulated institution must make the disclosures required under Table 13 publicly available beginning on January 1, 2015.

(a)........................ The name of the top corporate entity in

the group to which subpart E of this

part applies.

(b)........................ A brief description of the differences in

the basis for consolidating entities\1\

for accounting and regulatory purposes,

with a description of those entities:

(1) That are fully consolidated;

(2) That are deconsolidated and deducted

from total capital;

(3) For which the total capital

requirement is deducted; and

(4) That are neither consolidated nor

deducted (for example, where the

investment in the entity is assigned a

risk weight in accordance with this

subpart).

(c)........................ Any restrictions, or other major

impediments, on transfer of funds or

total capital within the group.Quantitative disclosures................ (d)........................ The aggregate amount of surplus capital

of insurance subsidiaries included in

the total capital of the consolidated

group.

(e)........................ The aggregate amount by which actual

total capital is less than the minimum

total capital requirement in all

subsidiaries, with total capital

requirements and the name(s) of the

subsidiaries with such deficiencies.----------------------------------------------------------------------------------------------------------------\1\ Such entities include securities, insurance and other financial subsidiaries, commercial subsidiaries (where

permitted), and significant minority equity investments in insurance, financial and commercial entities.

(a)........................ Summary information on the terms and

conditions of the main features of all

regulatory capital instruments.Quantitative disclosures................ (b)........................ The amount of common equity tier 1

capital, with separate disclosure of:

(1) Common stock and related surplus;

(2) Retained earnings;

(3) Common equity minority interest;

(4) AOCI (net of tax) and other reserves;

and

(5) Regulatory adjustments and deductions

made to common equity tier 1 capital.

(c)........................ The amount of tier 1 capital, with

separate disclosure of:

(1) Additional tier 1 capital elements,

including additional tier 1 capital

instruments and tier 1 minority interest

not included in common equity tier 1

capital; and

(2) Regulatory adjustments and deductions

made to tier 1 capital.

(d)........................ The amount of total capital, with

separate disclosure of:

(1) Tier 2 capital elements, including

tier 2 capital instruments and total

capital minority interest not included

in tier 1 capital; and

(2) Regulatory adjustments and deductions

made to total capital.----------------------------------------------------------------------------------------------------------------

(a)........................ A summary discussion of the Board-

regulated institution's approach to

assessing the adequacy of its capital to

support current and future activities.Quantitative disclosures................ (b)........................ Risk-weighted assets for credit risk

from:

(1) Wholesale exposures;

(2) Residential mortgage exposures;

(3) Qualifying revolving exposures;

(4) Other retail exposures;

(5) Securitization exposures;

(6) Equity exposures:

(7) Equity exposures subject to the

simple risk weight approach; and

(8) Equity exposures subject to the

internal models approach.

(c)........................ Standardized market risk-weighted assets

and advanced market risk-weighted assets

as calculated under subpart F of this

part:

(1) Standardized approach for specific

risk; and

(2) Internal models approach for specific

risk.

(d)........................ Risk-weighted assets for operational

risk.

(e)........................ Common equity tier 1, tier 1 and total

risk-based capital ratios:

(1) For the top consolidated group; and

(2) For each depository institution

subsidiary.

(f)........................ Total risk-weighted assets.----------------------------------------------------------------------------------------------------------------

(a)........................ The Board-regulated institution must

publicly disclose the geographic

breakdown of its private sector credit

exposures used in the calculation of the

countercyclical capital buffer.Quantitative disclosures................ (b)........................ At least quarterly, the Board-regulated

institution must calculate and publicly

disclose the capital conservation buffer

and the countercyclical capital buffer

as described under Sec. 217.11 of

subpart B.

(c)........................ At least quarterly, the Board-regulated

institution must calculate and publicly

disclose the buffer retained income of

the Board-regulated institution, as

described under Sec. 217.11 of subpart

B.

(d)........................ At least quarterly, the Board-regulated

institution must calculate and publicly

disclose any limitations it has on

distributions and discretionary bonus

payments resulting from the capital

conservation buffer and the

countercyclical capital buffer framework

described under Sec. 217.11 of subpart

B, including the maximum payout amount

for the quarter.----------------------------------------------------------------------------------------------------------------

(b) General qualitative disclosure requirement. For each separate risk area described in Tables 5 through 12 to Sec. 217.173, the Board-regulated institution must describe its risk management objectives and policies, including:

(1) Strategies and processes;

(2) The structure and organization of the relevant risk management function;

(3) The scope and nature of risk reporting and/or measurement systems; and

(4) Policies for hedging and/or mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges/mitigants.

(a)........................ The general qualitative disclosure

requirement with respect to credit risk

(excluding counterparty credit risk

disclosed in accordance with Table 7 to

Sec. 217.173), including:

(1) Policy for determining past due or

delinquency status;

(2) Policy for placing loans on

nonaccrual;

(3) Policy for returning loans to accrual

status;

(4) Definition of and policy for

identifying impaired loans (for

financial accounting purposes).

(5) Description of the methodology that

the entity uses to estimate its

allowance for loan and lease losses,

including statistical methods used where

applicable;

(6) Policy for charging-off uncollectible

amounts; and

(7) Discussion of the Board-regulated

institution's credit risk management

policyQuantitative disclosures................ (b)........................ Total credit risk exposures and average

credit risk exposures, after accounting

offsets in accordance with GAAP,\2\

without taking into account the effects

of credit risk mitigation techniques

(for example, collateral and netting not

permitted under GAAP), over the period

categorized by major types of credit

exposure. For example, Board-regulated

institutions could use categories

similar to that used for financial

statement purposes. Such categories

might include, for instance:

(1) Loans, off-balance sheet commitments,

and other non-derivative off-balance

sheet exposures;

(2) Debt securities; and

(3) OTC derivatives.

(c)........................ Geographic \3\ distribution of exposures,

categorized in significant areas by

major types of credit exposure.

(d)........................ Industry or counterparty type

distribution of exposures, categorized

by major types of credit exposure.

(e)........................ By major industry or counterparty type:

(1) Amount of impaired loans for which

there was a related allowance under

GAAP;

(2) Amount of impaired loans for which

there was no related allowance under

GAAP;

(3) Amount of loans past due 90 days and

on nonaccrual;

(4) Amount of loans past due 90 days and

still accruing; \4\

(5) The balance in the allowance for loan

and lease losses at the end of each

period, disaggregated on the basis of

the entity's impairment method. To

disaggregate the information required on

the basis of impairment methodology, an

entity shall separately disclose the

amounts based on the requirements in

GAAP; and

(6) Charge-offs during the period.

(f)........................ Amount of impaired loans and, if

available, the amount of past due loans

categorized by significant geographic

areas including, if practical, the

amounts of allowances related to each

geographical area,\5\ further

categorized as required by GAAP.

(g)........................ Reconciliation of changes in ALLL.\6\

(h)........................ Remaining contractual maturity breakdown

(for example, one year or less) of the

whole portfolio, categorized by credit

exposure.----------------------------------------------------------------------------------------------------------------\1\ Table 5 to Sec. 217.173 does not cover equity exposures, which should be reported in Table 9.\2\ See, for example, ASC Topic 815-10 and 210-20 as they may be amended from time to time.\3\ Geographical areas may comprise individual countries, groups of countries, or regions within countries. A

Board-regulated institution might choose to define the geographical areas based on the way the company's

portfolio is geographically managed. The criteria used to allocate the loans to geographical areas must be

specified.\4\ A Board-regulated institution is encouraged also to provide an analysis of the aging of past-due loans.\5\ The portion of the general allowance that is not allocated to a geographical area should be disclosed

separately.\6\ The reconciliation should include the following: A description of the allowance; the opening balance of the

allowance; charge-offs taken against the allowance during the period; amounts provided (or reversed) for

estimated probable loan losses during the period; any other adjustments (for example, exchange rate

differences, business combinations, acquisitions and disposals of subsidiaries), including transfers between

allowances; and the closing balance of the allowance. Charge-offs and recoveries that have been recorded

directly to the income statement should be disclosed separately.

Table 6 to Sec. 217.173--Credit Risk: Disclosures for Portfolios Subject to IRB Risk-Based Capital Formulas----------------------------------------------------------------------------------------------------------------

(a)........................ Explanation and review of the:

(1) Structure of internal rating systems

and relation between internal and

external ratings;

(2) Use of risk parameter estimates other

than for regulatory capital purposes;

(3) Process for managing and recognizing

credit risk mitigation (see Table 8 to

Sec. 217.173); and

(4) Control mechanisms for the rating

system, including discussion of

independence, accountability, and rating

systems review.

(b)........................ Description of the internal ratings

process, provided separately for the

following:

(1) Wholesale category;

(2) Retail subcategories;

(i) Residential mortgage exposures;

(ii) Qualifying revolving exposures; and

(iii) Other retail exposures.

For each category and subcategory above

the description should include:

(A) The types of exposure included in the

category/subcategories; and

(B) The definitions, methods and data for

estimation and validation of PD, LGD,

and EAD, including assumptions employed

(1) For wholesale exposures, present the

assessment. following information across a

sufficient number of PD grades

(including default) to allow for a

meaningful differentiation of credit

risk: \2\

(i) Total EAD; \3\

(ii) Exposure-weighted average LGD

(percentage);

(iii) Exposure-weighted average risk

weight; and

(iv) Amount of undrawn commitments and

exposure-weighted average EAD including

average drawdowns prior to default for

wholesale exposures.

(2) For each retail subcategory, present

the disclosures outlined above across a

sufficient number of segments to allow

for a meaningful differentiation of

credit risk.Quantitative disclosures: historical (d)........................ Actual losses in the preceding period for

results. each category and subcategory and how

this differs from past experience. A

discussion of the factors that impacted

the loss experience in the preceding

period--for example, has the Board-

regulated institution experienced higher

than average default rates, loss rates

or EADs.

(e)........................ The Board-regulated institution's

estimates compared against actual

outcomes over a longer period.\4\ At a

minimum, this should include information

on estimates of losses against actual

losses in the wholesale category and

each retail subcategory over a period

sufficient to allow for a meaningful

assessment of the performance of the

internal rating processes for each

category/subcategory.\5\ Where

appropriate, the Board-regulated

institution should further decompose

this to provide analysis of PD, LGD, and

EAD outcomes against estimates provided

in the quantitative risk assessment

disclosures above.\6\----------------------------------------------------------------------------------------------------------------\1\ This disclosure item does not require a detailed description of the model in full--it should provide the

reader with a broad overview of the model approach, describing definitions of the variables and methods for

estimating and validating those variables set out in the quantitative risk disclosures below. This should be

done for each of the four category/subcategories. The Board-regulated institution must disclose any

significant differences in approach to estimating these variables within each category/subcategories.\2\ The PD, LGD and EAD disclosures in Table 6 (c) to Sec. 217.173 should reflect the effects of collateral,

qualifying master netting agreements, eligible guarantees and eligible credit derivatives as defined under

this part. Disclosure of each PD grade should include the exposure-weighted average PD for each grade. Where a

Board-regulated institution aggregates PD grades for the purposes of disclosure, this should be a

representative breakdown of the distribution of PD grades used for regulatory capital purposes.\3\ Outstanding loans and EAD on undrawn commitments can be presented on a combined basis for these disclosures.\4\ These disclosures are a way of further informing the reader about the reliability of the information

provided in the ``quantitative disclosures: Risk assessment'' over the long run. The disclosures are

requirements from year-end 2010; in the meantime, early adoption is encouraged. The phased implementation is

to allow a Board-regulated institution sufficient time to build up a longer run of data that will make these

disclosures meaningful.\5\ This disclosure item is not intended to be prescriptive about the period used for this assessment. Upon

implementation, it is expected that a Board-regulated institution would provide these disclosures for as long

a set of data as possible--for example, if a Board-regulated institution has 10 years of data, it might choose

to disclose the average default rates for each PD grade over that 10-year period. Annual amounts need not be

disclosed.\6\ A Board-regulated institution must provide this further decomposition where it will allow users greater

insight into the reliability of the estimates provided in the ``quantitative disclosures: Risk assessment.''

In particular, it must provide this information where there are material differences between its estimates of

PD, LGD or EAD compared to actual outcomes over the long run. The Board-regulated institution must also

provide explanations for such differences.

Table 7 to Sec. 217.173--General Disclosure for Counterparty Credit Risk of OTC Derivative Contracts, Repo-

(a)........................ The general qualitative disclosure

requirement with respect to OTC

derivatives, eligible margin loans, and

repo-style transactions, including:

(1) Discussion of methodology used to

assign economic capital and credit

limits for counterparty credit

exposures;

(2) Discussion of policies for securing

collateral, valuing and managing

collateral, and establishing credit

reserves;

(3) Discussion of the primary types of

collateral taken;

(4) Discussion of policies with respect

to wrong-way risk exposures; and

(5) Discussion of the impact of the

amount of collateral the Board-regulated

institution would have to provide if the

Board-regulated institution were to

receive a credit rating downgrade.

Quantitative Disclosures................ (b)........................ Gross positive fair value of contracts,

netting benefits, netted current credit

exposure, collateral held (including

type, for example, cash, government

securities), and net unsecured credit

exposure.\1\ Also report measures for

EAD used for regulatory capital for

these transactions, the notional value

of credit derivative hedges purchased

for counterparty credit risk protection,

and, for Board-regulated institutions

not using the internal models

methodology in Sec. 217.132(d) , the

distribution of current credit exposure

by types of credit exposure.\2\

(c)........................ Notional amount of purchased and sold

credit derivatives, segregated between

use for the Board-regulated

institution's own credit portfolio and

for its intermediation activities,

including the distribution of the credit

derivative products used, categorized

further by protection bought and sold

within each product group.

(d)........................ The estimate of alpha if the Board-

regulated institution has received

supervisory approval to estimate alpha.----------------------------------------------------------------------------------------------------------------\1\ Net unsecured credit exposure is the credit exposure after considering the benefits from legally enforceable

netting agreements and collateral arrangements, without taking into account haircuts for price volatility,

liquidity, etc.\2\ This may include interest rate derivative contracts, foreign exchange derivative contracts, equity

derivative contracts, credit derivatives, commodity or other derivative contracts, repo-style transactions,

and eligible margin loans.

(a)........................ The general qualitative disclosure

requirement with respect to credit risk

mitigation, including:

(1) Policies and processes for, and an

indication of the extent to which the

Board-regulated institution uses, on- or

off-balance sheet netting;

(2) Policies and processes for collateral

valuation and management;

(3) A description of the main types of

collateral taken by the Board-regulated

institution;

(4) The main types of guarantors/credit

derivative counterparties and their

creditworthiness; and

(5) Information about (market or credit)

risk concentrations within the

mitigation taken.Quantitative disclosures................ (b)........................ For each separately disclosed portfolio,

the total exposure (after, where

applicable, on- or off-balance sheet

netting) that is covered by guarantees/

credit derivatives.----------------------------------------------------------------------------------------------------------------\1\ At a minimum, a Board-regulated institution must provide the disclosures in Table 8 in relation to credit

risk mitigation that has been recognized for the purposes of reducing capital requirements under this subpart.

Where relevant, Board-regulated institutions are encouraged to give further information about mitigants that

have not been recognized for that purpose.\2\ Credit derivatives and other credit mitigation that are treated for the purposes of this subpart as

synthetic securitization exposures should be excluded from the credit risk mitigation disclosures (in Table 8

to Sec. 217.173) and included within those relating to securitization (in Table 9 to Sec. 217.173).

(a)........................ The general qualitative disclosure

requirement with respect to

securitization (including synthetic

securitizations), including a discussion

of:

(1) The Board-regulated institution's

objectives for securitizing assets,

including the extent to which these

activities transfer credit risk of the

underlying exposures away from the Board-

regulated institution to other entities

and including the type of risks assumed

and retained with resecuritization

activity; \1\

(2) The nature of the risks (e.g.

liquidity risk) inherent in the

securitized assets;

(3) The roles played by the Board-

regulated institution in the

securitization process \2\ and an

indication of the extent of the Board-

regulated institution's involvement in

each of them;

(4) The processes in place to monitor

changes in the credit and market risk of

securitization exposures including how

those processes differ for

resecuritization exposures;

(5) The Board-regulated institution's

policy for mitigating the credit risk

retained through securitization and

resecuritization exposures; and

(6) The risk-based capital approaches

that the Board-regulated institution

follows for its securitization exposures

including the type of securitization

exposure to which each approach applies.

(b)........................ A list of:

(1) The type of securitization SPEs that

the Board-regulated institution, as

sponsor, uses to securitize third-party

exposures. The Board-regulated

institution must indicate whether it has

exposure to these SPEs, either on- or

off- balance sheet; and

(2) Affiliated entities:

(i) That the Board-regulated institution

manages or advises; and

(ii) That invest either in the

securitization exposures that the Board-

regulated institution has securitized or

in securitization SPEs that the Board-

regulated institution sponsors.\3\

(c)........................ Summary of the Board-regulated

institution's accounting policies for

securitization activities, including:

(1) Whether the transactions are treated

as sales or financings;

(2) Recognition of gain-on-sale;

(3) Methods and key assumptions and

inputs applied in valuing retained or

purchased interests;

(4) Changes in methods and key

assumptions and inputs from the previous

period for valuing retained interests

and impact of the changes;

(5) Treatment of synthetic

securitizations;

(6) How exposures intended to be

securitized are valued and whether they

are recorded under subpart E of this

part; and

(7) Policies for recognizing liabilities

on the balance sheet for arrangements

that could require the Board-regulated

institution to provide financial support

for securitized assets.

(d)........................ An explanation of significant changes to

any of the quantitative information set

forth below since the last reporting

period.Quantitative disclosures................ (e)........................ The total outstanding exposures

securitized \4\ by the Board-regulated

institution in securitizations that meet

the operational criteria in Sec.

217.141 (categorized into traditional/

synthetic), by underlying exposure type

\5\ separately for securitizations of

third-party exposures for which the bank

acts only as sponsor.

(f)........................ For exposures securitized by the Board-

regulated institution in securitizations

that meet the operational criteria in

Sec. 217.141:

(1) Amount of securitized assets that are

impaired \6\/past due categorized by

exposure type; and

(2) Losses recognized by the Board-

regulated institution during the current

period categorized by exposure type.\7\

(g)........................ The total amount of outstanding exposures

intended to be securitized categorized

by exposure type.

(h)........................ Aggregate amount of:

(1) On-balance sheet securitization

exposures retained or purchased

categorized by exposure type; and

(2) Off-balance sheet securitization

exposures categorized by exposure type.

(i)........................ (1) Aggregate amount of securitization

exposures retained or purchased and the

associated capital requirements for

these exposures, categorized between

securitization and resecuritization

exposures, further categorized into a

meaningful number of risk weight bands

and by risk-based capital approach (e.g.

SA, SFA, or SSFA).

(2) Exposures that have been deducted

entirely from tier 1 capital, CEIOs

deducted from total capital (as

described in Sec. 217.42(a)(1), and

other exposures deducted from total

capital should be disclosed separately

by exposure type.

(j)........................ Summary of current year's securitization

activity, including the amount of

exposures securitized (by exposure

type), and recognized gain or loss on

sale by asset type.

(k)........................ Aggregate amount of resecuritization

exposures retained or purchased

categorized according to:

(1) Exposures to which credit risk

mitigation is applied and those not

applied; and

(2) Exposures to guarantors categorized

according to guarantor creditworthiness

categories or guarantor name.----------------------------------------------------------------------------------------------------------------\1\ The Board-regulated institution must describe the structure of resecuritizations in which it participates;

this description must be provided for the main categories of resecuritization products in which the Board-

regulated institution is active.\2\ For example, these roles would include originator, investor, servicer, provider of credit enhancement,

sponsor, liquidity provider, or swap provider.\3\ For example, money market mutual funds should be listed individually, and personal and private trusts,

should be noted collectively.\4\ ``Exposures securitized'' include underlying exposures originated by the bank, whether generated by them or

purchased, and recognized in the balance sheet, from third parties, and third-party exposures included in

sponsored transactions. Securitization transactions (including underlying exposures originally on the bank's

balance sheet and underlying exposures acquired by the bank from third-party entities) in which the

originating bank does not retain any securitization exposure should be shown separately but need only be

reported for the year of inception.\5\ A Board-regulated institution is required to disclose exposures regardless of whether there is a capital

charge under this part.\6\ A Board-regulated institution must include credit-related other than temporary impairment (OTTI).\7\ For example, charge-offs/allowances (if the assets remain on the bank's balance sheet) or credit-related

OTTI of I/O strips and other retained residual interests, as well as recognition of liabilities for probable

future financial support required of the bank with respect to securitized assets.

(a)........................ The general qualitative disclosure

requirement for operational risk.

(b)........................ Description of the AMA, including a

discussion of relevant internal and

external factors considered in the Board-

regulated institution's measurement

approach.

(c)........................ A description of the use of insurance for

the purpose of mitigating operational

risk.----------------------------------------------------------------------------------------------------------------

(a)........................ The general qualitative disclosure

requirement with respect to the equity

risk of equity holdings not subject to

subpart F of this part, including:

(1) Differentiation between holdings on

which capital gains are expected and

those held for other objectives,

including for relationship and strategic

reasons; and

(2) Discussion of important policies

covering the valuation of and accounting

for equity holdings not subject to

subpart F of this part. This includes

the accounting methodology and valuation

methodologies used, including key

assumptions and practices affecting

valuation as well as significant changes

in these practices.Quantitative disclosures................ (b)........................ Carrying value on the balance sheet of

equity investments, as well as the fair

value of those investments.

(c)........................ The types and nature of investments,

including the amount that is:

(1) Publicly traded; and

(2) Non-publicly traded.

(d)........................ The cumulative realized gains (losses)

arising from sales and liquidations in

the reporting period.

(e)........................ (1) Total unrealized gains (losses) \1\

(1) Total unrealized gains (losses) \1\

(2) Total latent revaluation gains

(losses) \2\

(3) Any amounts of the above included in

tier 1 and/or tier 2 capital.

(f)........................ Capital requirements categorized by

appropriate equity groupings, consistent

with the Board-regulated institution's

methodology, as well as the aggregate

amounts and the type of equity

investments subject to any supervisory

transition regarding total capital

requirements.\3\----------------------------------------------------------------------------------------------------------------\1\ Unrealized gains (losses) recognized in the balance sheet but not through earnings.\2\ Unrealized gains (losses) not recognized either in the balance sheet or through earnings.\3\ This disclosure must include a breakdown of equities that are subject to the 0 percent, 20 percent, 100

percent, 300 percent, 400 percent, and 600 percent risk weights, as applicable.

(a)........................ The general qualitative disclosure

requirement, including the nature of

interest rate risk for non-trading

activities and key assumptions,

including assumptions regarding loan

prepayments and behavior of non-maturity

deposits, and frequency of measurement

of interest rate risk for non-trading

activities.Quantitative disclosures................ (b)........................ The increase (decline) in earnings or

economic value (or relevant measure used

by management) for upward and downward

rate shocks according to management's

method for measuring interest rate risk

for non-trading activities, categorized

by currency (as appropriate).----------------------------------------------------------------------------------------------------------------

(c) Except as provided in Sec. 217.172(b), a Board-regulated institution described in Sec. 217.172(d) must make the disclosures described in Table 13 to Sec. 217.173; provided, however, the disclosures required under this paragraph are required without regard to whether the Board-regulated institution has completed the parallel run process and has received notification from the Board pursuant to Sec. 217.121(d). The Board-regulated institution must make these disclosures publicly available beginning on January 1, 2015.

Table 13 to Sec. 217.173--Supplementary Leverage Ratio------------------------------------------------------------------------

Dollar amounts in thousands

---------------------------------------

Tril Bil Mil Thou------------------------------------------------------------------------

Part 1: Summary comparison of accounting assets and total leverage

exposure------------------------------------------------------------------------1 Total consolidated assets as

reported in published financial

statements.....................2 Adjustment for investments in

banking, financial, insurance

or commercial entities that are

consolidated for accounting

purposes but outside the scope

of regulatory consolidation....3 Adjustment for fiduciary

assets recognized on balance

sheet but excluded from total

leverage exposure..............4 Adjustment for derivative

exposures......................5 Adjustment for repo-style

transactions...................6 Adjustment for off-balance

sheet exposures (that is,

conversion to credit equivalent

amounts of off-balance sheet

exposures).....................7 Other adjustments.............8 Total leverage exposure.......------------------------------------------------------------------------

Part 2: Supplementary leverage ratio------------------------------------------------------------------------

On-balance sheet exposures

1 On-balance sheet assets

(excluding on-balance sheet

assets for repo-style

transactions and derivative

exposures, but including cash

collateral received in

derivative transactions).......2 LESS: Amounts deducted from

tier 1 capital.................3 Total on-balance sheet

exposures (excluding on-balance

sheet assets for repo-style

transactions and derivative

exposures, but including cash

collateral received in

derivative transactions) (sum

of lines 1 and 2)..............

Derivative exposures

4 Replacement cost for

derivative exposures (that is,

net of cash variation margin)..5 Add-on amounts for potential

future exposure (PFE) for

derivative exposures...........6 Gross-up for cash collateral

posted if deducted from the on-

balance sheet assets, except

for cash variation margin......

7 LESS: Deductions of receivable

assets for cash variation

margin posted in derivative

transactions, if included in on-

balance sheet assets...........8 LESS: Exempted CCP leg of

client-cleared transactions....9 Effective notional principal

amount of sold credit

protection.....................10 LESS: Effective notional

principal amount offsets and

PFE adjustments for sold credit

protection.....................11 Total derivative exposures

(sum of lines 4 to 10).........

Repo-style transactions12 On-balance sheet assets for

repo-style transactions, except

include the gross value of

receivables for reverse

repurchase transactions.

Exclude from this item the

value of securities received in

a security-for-security repo-

style transaction where the

securities lender has not sold

or re-hypothecated the

securities received. Include in

this item the value of

securities that qualified for

sales treatment that must be

reversed.......................13 LESS: Reduction of the gross

value of receivables in reverse

repurchase transactions by cash

payables in repurchase

transactions under netting

agreements.....................14 Counterparty credit risk for

all repo-style transactions....15 Exposure for repo-style

transactions where a banking

organization acts as an agent..16 Total exposures for repo-

style transactions (sum of

lines 12 to 15)................

Other off-balance sheet

exposures

17 Off-balance sheet exposures

at gross notional amounts......18 LESS: Adjustments for

conversion to credit equivalent

amounts........................19 Off-balance sheet exposures

(sum of lines 17 and 18).......

Capital and total leverage

exposure

20 Tier 1 capital...............21 Total leverage exposure (sum

of lines 3, 11, 16 and 19).....

Supplementary leverage ratio

---------------------------------------22 Supplementary leverage ratio. (in percent)------------------------------------------------------------------------ [Reg. Q, 78 FR 62157 and 62285, Oct. 11, 2013, as amended at 79 FR 57746, Sept. 26, 2014] Sec. Sec. 217.174-217.200 [Reserved]