(a) Except as provided in Sec. 3.62, a national bank or Federal savings association described in Sec. 3.61 must make the disclosures described in Tables 1 through 10 of this section. The national bank or Federal savings association must make these disclosures publicly available for each of the last three years (that is, twelve quarters) or such shorter period beginning on January 1, 2015.
(b) A national bank or Federal savings association must publicly disclose each quarter the following:
(1) Common equity tier 1 capital, additional tier 1 capital, tier 2 capital, tier 1 and total capital ratios, including the regulatory capital elements and all the regulatory adjustments and deductions needed to calculate the numerator of such ratios;
(2) Total risk-weighted assets, including the different regulatory adjustments and deductions needed to calculate total risk-weighted assets;
(3) Regulatory capital ratios during any transition periods, including a description of all the regulatory capital elements and all regulatory adjustments and deductions needed to calculate the numerator and denominator of each capital ratio during any transition period; and
(4) A reconciliation of regulatory capital elements as they relate to its balance sheet in any audited consolidated financial statements.
(a).............. The name of the top
corporate entity in
the group to which
subpart D 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.
(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\ 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; 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 national
bank's or Federal
savings
association's
approach to
assessing the
adequacy of its
capital to support
current and future
activities.Quantitative disclosures...... (b).............. Risk-weighted assets
for:
(1) Exposures to
sovereign entities;
(2) Exposures to
certain
supranational
entities and MDBs;
(3) Exposures to
depository
institutions,
foreign banks, and
credit unions;
(4) Exposures to
PSEs;
(5) Corporate
exposures;
(6) Residential
mortgage exposures;
(7) Statutory
multifamily
mortgages and pre-
sold construction
loans;
(8) HVCRE loans;
(9) Past due loans;
(10) Other assets;
(11) Cleared
transactions;
(12) Default fund
contributions;
(13) Unsettled
transactions;
(14) Securitization
exposures; and
(15) Equity
exposures.
(c).............. Standardized market
risk-weighted assets
as calculated under
subpart F of this
part.
(d).............. 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.
(e).............. Total standardized
risk-weighted
assets.------------------------------------------------------------------------
(a).............. At least quarterly,
the national bank or
Federal savings
association must
calculate and
publicly disclose
the capital
conservation buffer
as described under
Sec. 3.11.
(b).............. At least quarterly,
the national bank or
Federal savings
association must
calculate and
publicly disclose
the eligible
retained income of
the national bank or
Federal savings
association, as
described under Sec.
3.11.
(c).............. At least quarterly,
the national bank or
Federal savings
association must
calculate and
publicly disclose
any limitations it
has on distributions
and discretionary
bonus payments
resulting from the
capital conservation
buffer framework
described under Sec.
3.11, including the
maximum payout
amount for the
quarter.------------------------------------------------------------------------
(c) General qualitative disclosure requirement. For each separate risk area described in Tables 5 through 10, the national bank or Federal savings association must describe its risk management objectives and policies, including: Strategies and processes; the structure and organization of the relevant risk management function; the scope and nature of risk reporting and/or measurement systems; 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 6), including
the:
(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 national bank or
Federal savings
association 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
national bank's or
Federal savings
association's credit
risk management
policy.Quantitative Disclosures...... (b).............. Total credit risk
exposures and
average credit risk
exposures, after
accounting offsets
in accordance with
GAAP, 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, national
banks or Federal
savings associations
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.\2\
(c).............. Geographic
distribution of
exposures,
categorized in
significant areas by
major types of
credit exposure.\3\
(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
national bank's or
Federal savings
association'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 delineation
(for example, one
year or less) of the
whole portfolio,
categorized by
credit exposure.------------------------------------------------------------------------\1\ Table 5 does not cover equity exposures, which should be reported in
Table 9.\2\ See, for example, ASC Topic 815-10 and 210, as they may be amended
from time to time.\3\ Geographical areas may consist of individual countries, groups of
countries, or regions within countries. A national bank or Federal
savings association might choose to define the geographical areas
based on the way the national bank's or Federal savings association's
portfolio is geographically managed. The criteria used to allocate the
loans to geographical areas must be specified.\4\ A national bank or Federal savings association 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. 3.63--General Disclosure for Counterparty Credit Risk-
(a).............. The general
qualitative
disclosure
requirement with
respect to OTC
derivatives,
eligible margin
loans, and repo-
style transactions,
including a
discussion of:
(1) The methodology
used to assign
credit limits for
counterparty credit
exposures;
(2) Policies for
securing collateral,
valuing and managing
collateral, and
establishing credit
reserves;
(3) The primary types
of collateral taken;
and
(4) The impact of the
amount of collateral
the national bank or
Federal savings
association would
have to provide
given a
deterioration in the
national bank's or
Federal savings
association's own
creditworthiness.Quantitative Disclosures...... (b).............. Gross positive fair
value of contracts,
collateral held
(including type, for
example, cash,
government
securities), and net
unsecured credit
exposure.\1\ A
national bank or
Federal savings
association also
must disclose the
notional value of
credit derivative
hedges purchased for
counterparty credit
risk protection and
the distribution of
current credit
exposure by exposure
type.\2\
(c).............. Notional amount of
purchased and sold
credit derivatives,
segregated between
use for the national
bank's or Federal
savings
association's own
credit portfolio and
in its
intermediation
activities,
including the
distribution of the
credit derivative
products used,
categorized further
by protection bought
and sold within each
product group.------------------------------------------------------------------------\1\ Net unsecured credit exposure is the credit exposure after
considering both 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
collateral valuation
and management;
(2) A description of
the main types of
collateral taken by
the national bank or
Federal savings
association;
(3) The main types of
guarantors/credit
derivative
counterparties and
their
creditworthiness;
and
(4) Information about
(market or credit)
risk concentrations
with respect to
credit risk
mitigation.Quantitative Disclosures...... (b).............. For each separately
disclosed credit
risk portfolio, the
total exposure that
is covered by
eligible financial
collateral, and
after the
application of
haircuts.
(c).............. For each separately
disclosed portfolio,
the total exposure
that is covered by
guarantees/credit
derivatives and the
risk-weighted asset
amount associated
with that exposure.------------------------------------------------------------------------\1\ At a minimum, a national bank or Federal savings association must
provide the disclosures in Table 7 in relation to credit risk
mitigation that has been recognized for the purposes of reducing
capital requirements under this subpart. Where relevant, national
banks or Federal savings associations are encouraged to give further
information about mitigants that have not been recognized for that
purpose.\2\ Credit derivatives that are treated, for the purposes of this
subpart, as synthetic securitization exposures should be excluded from
the credit risk mitigation disclosures and included within those
relating to securitization (Table 8).
(a).............. The general
qualitative
disclosure
requirement with
respect to a
securitization
(including synthetic
securitizations),
including a
discussion of:
(1) The national
bank's or Federal
savings
association's
objectives for
securitizing assets,
including the extent
to which these
activities transfer
credit risk of the
underlying exposures
away from the
national bank or
Federal savings
association 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 national bank
or Federal savings
association in the
securitization
process \2\ and an
indication of the
extent of the
national bank's or
Federal savings
association'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 national
bank's or Federal
savings
association's policy
for mitigating the
credit risk retained
through
securitization and
resecuritization
exposures; and
(6) The risk-based
capital approaches
that the national
bank or Federal
savings association
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 national
bank or Federal
savings association,
as sponsor, uses to
securitize third-
party exposures. The
national bank or
Federal savings
association must
indicate whether it
has exposure to
these SPEs, either
on- or off-balance
sheet; and
(2) Affiliated
entities:
(i) That the national
bank or Federal
savings association
manages or advises;
and
(ii) That invest
either in the
securitization
exposures that the
national bank or
Federal savings
association has
securitized or in
securitization SPEs
that the national
bank or Federal
savings association
sponsors.\3\
(c).............. Summary of the
national bank's or
Federal savings
association'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 applied
in valuing retained
or purchased
interests;
(4) Changes in
methods and key
assumptions 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 D of
this part; and
(7) Policies for
recognizing
liabilities on the
balance sheet for
arrangements that
could require the
national bank or
Federal savings
association to
provide financial
support for
securitized assets.
(d).............. An explanation of
significant changes
to any quantitative
information since
the last reporting
period.Quantitative Disclosures...... (e).............. The total outstanding
exposures
securitized by the
national bank or
Federal savings
association in
securitizations that
meet the operational
criteria provided in
Sec. 3.41
(categorized into
traditional and
synthetic
securitizations), by
exposure type,
separately for
securitizations of
third-party
exposures for which
the bank acts only
as sponsor.\4\
(f).............. For exposures
securitized by the
national bank or
Federal savings
association in
securitizations that
meet the operational
criteria in Sec.
3.41:
(1) Amount of
securitized assets
that are impaired/
past due categorized
by exposure type;
\5\ and
(2) Losses recognized
by the national bank
or Federal savings
association during
the current period
categorized by
exposure type.\6\
(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., SSFA); and
(2) Exposures that
have been deducted
entirely from tier 1
capital, CEIOs
deducted from total
capital (as
described in Sec.
3.42(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
exposure 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 national bank or Federal savings association should describe the
structure of resecuritizations in which it participates; this
description should be provided for the main categories of
resecuritization products in which the national bank or Federal
savings association is active.\2\ For example, these roles may include originator, investor, servicer,
provider of credit enhancement, sponsor, liquidity provider, or swap
provider.\3\ Such affiliated entities may include, for example, money market
funds, to be listed individually, and personal and private trusts, to
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. Banks are required to disclose
exposures regardless of whether there is a capital charge under this
part.\5\ Include credit-related other than temporary impairment (OTTI).\6\ For example, charge-offs/allowances (if the assets remain on the
bank's balance sheet) or credit-related OTTI of interest-only 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 with
respect to equity
risk for equities
not subject to
subpart F of this
part, including:
(1) Differentiation
between holdings on
which capital gains
are expected and
those taken under
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
techniques and
valuation
methodologies used,
including key
assumptions and
practices affecting
valuation as well as
significant changes
in these practices.Quantitative Disclosures...... (b).............. Value disclosed on
the balance sheet of
investments, as well
as the fair value of
those investments;
for securities that
are publicly traded,
a comparison to
publicly-quoted
share values where
the share price is
materially different
from fair value.
(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\
(2) Total latent
revaluation gains
(losses).\2\
(3) Any amounts of
the above included
in tier 1 or tier 2
capital.
(f).............. Capital requirements
categorized by
appropriate equity
groupings,
consistent with the
national bank's or
Federal savings
association's
methodology, as well
as the aggregate
amounts and the type
of equity
investments subject
to any supervisory
transition regarding
regulatory capital
requirements.------------------------------------------------------------------------\1\ Unrealized gains (losses) recognized on the balance sheet but not
through earnings.\2\ Unrealized gains (losses) not recognized either on the balance sheet
or through earnings.
(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).------------------------------------------------------------------------ Secs. 3.64-3.99 [Reserved]