(a) Except as provided in Sec. 324.62, an FDIC-supervised institution described in Sec. 324.61 must make the disclosures described in Tables 1 through 10 of this section. The FDIC-supervised institution 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) An FDIC-supervised institution 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.
Table 1 to Sec. 324.63--Scope of Application------------------------------------------------------------------------
(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.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\ Entities include securities, insurance and other financial
subsidiaries, commercial subsidiaries (where permitted), and
significant minority equity investments in insurance, financial and
commercial entities.
Table 2 to Sec. 324.63--Capital Structure------------------------------------------------------------------------
(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.------------------------------------------------------------------------
Table 3 to Sec. 324.63--Capital Adequacy------------------------------------------------------------------------
(a).............. A summary discussion
of the FDIC-
supervised
institution'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.------------------------------------------------------------------------
Table 4 to Sec. 324.63--Capital Conservation Buffer------------------------------------------------------------------------
(a).............. At least quarterly,
the FDIC-supervised
institution must
calculate and
publicly disclose
the capital
conservation buffer
as described under
Sec. 324.11.
(b).............. At least quarterly,
the FDIC-supervised
institution must
calculate and
publicly disclose
the eligible
retained income of
the FDIC-supervised
institution, as
described under Sec.
324.11.
(c).............. At least quarterly,
the FDIC-supervised
institution 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.
324.11, 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 FDIC-supervised institution 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.
Table 5 to Sec. 324.63--Credit Risk: General Disclosures------------------------------------------------------------------------
(a).............. The general
qualitative
disclosure
requirement with
respect to credit
risk (excluding
counterparty credit
risk disclosed in
accordance with
Table 6 to Sec.
324.63), 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 FDIC-supervised
institution 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
FDIC-supervised
institution'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, FDIC-
supervised
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.\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 FDIC-
supervised
institution'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 to Sec. 324.63 does not cover equity exposures, which
should be reported in Table 9 to Sec. 324.63.\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. An FDIC-supervised institution
might choose to define the geographical areas based on the way the
FDIC-supervised institution's portfolio is geographically managed. The
criteria used to allocate the loans to geographical areas must be
specified.\4\ An FDIC-supervised 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. 324.63--General Disclosure for Counterparty Credit Risk-
Related Exposures------------------------------------------------------------------------
(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 FDIC-supervised
institution would
have to provide
given a
deterioration in the
FDIC-supervised
institution'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\ An FDIC-
supervised
institution 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 FDIC-
supervised
institution'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.
Table 7 to Sec. 324.63--Credit Risk Mitigation 1 2------------------------------------------------------------------------
(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 FDIC-supervised
institution;
(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, an FDIC-supervised institution 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, FDIC-supervised institutions 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 to Sec. 324.63).
Table 8 to Sec. 324.63--Securitization------------------------------------------------------------------------
(a)............... The general
qualitative
disclosure
requirement with
respect to a
securitization
(including
synthetic
securitizations),
including a
discussion of:
(1) The FDIC-
supervised
institution's
objectives for
securitizing
assets, including
the extent to
which these
activities
transfer credit
risk of the
underlying
exposures away
from the FDIC-
supervised
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 FDIC-
supervised
institution in the
securitization
process \2\ and an
indication of the
extent of the FDIC-
supervised
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 FDIC-
supervised
institution's
policy for
mitigating the
credit risk
retained through
securitization and
resecuritization
exposures; and
(6) The risk-based
capital approaches
that the FDIC-
supervised
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 FDIC-
supervised
institution, as
sponsor, uses to
securitize third-
party exposures.
The FDIC-
supervised
institution must
indicate whether
it has exposure to
these SPEs, either
on- or off-balance
sheet; and
(2) Affiliated
entities:
(i) That the FDIC-
supervised
institution
manages or
advises; and
(ii) That invest
either in the
securitization
exposures that the
FDIC-supervised
institution has
securitized or in
securitization
SPEs that the FDIC-
supervised
institution
sponsors.\3\
(c)............... Summary of the FDIC-
supervised
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
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
FDIC-supervised
institution 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
FDIC-supervised
institution in
securitizations
that meet the
operational
criteria provided
in Sec. 324.41
(categorized into
traditional and
synthetic
securitizations),
by exposure type,
separately for
securitizations of
third-party
exposures for
which the FDIC-
supervised
institution acts
only as
sponsor.\4\
(f)............... For exposures
securitized by the
FDIC-supervised
institution in
securitizations
that meet the
operational
criteria in Sec.
324.41:
(1) Amount of
securitized assets
that are impaired/
past due
categorized by
exposure type; \5\
and
(2) Losses
recognized by the
FDIC-supervised
institution 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.
324.42(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 FDIC-supervised institution 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 FDIC-supervised institution 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 FDIC-supervised institution, 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 FDIC-supervised institution's balance sheet and underlying
exposures acquired by the FDIC-supervised institution 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. FDIC-supervised institutions 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
FDIC-supervised institution'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 FDIC-supervised institution with respect to
securitized assets.
Table 9 to Sec. 324.63--Equities Not Subject to Subpart F of This Part------------------------------------------------------------------------
(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
FDIC-supervised
institution'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.
Table 10 to Sec. 324.63--Interest Rate Risk for Non-Trading Activities------------------------------------------------------------------------
(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).------------------------------------------------------------------------ [78 FR 55471, Sept. 10, 2013, as amended at 78 FR 62417, Oct. 22, 2013; 79 FR 20760, Apr. 14, 2014] Sec. Sec. 324.64-324.99 [Reserved]