(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]