(a) Except as provided in Sec. 217.62, a Board-regulated institution described in Sec. 217.61 must make the disclosures described in Tables 1 through 10 of this section. The Board-regulated 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) A Board-regulated 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.
(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 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:
(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 Board-regulated
institution must calculate and publicly
disclose the capital conservation buffer
as described under Sec. 217.11.
(b)........................ At least quarterly, the Board-regulated
institution must calculate and publicly
disclose the eligible retained income of
the Board-regulated institution, as
described under Sec. 217.11.
(c)........................ 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 framework described
under Sec. 217.11, 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 Board-regulated 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.
(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 Board-regulated 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 Board-regulated
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, 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.\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 Board-regulated 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 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
Board-regulated institution might choose to define the geographical areas based on the way the Board-regulated
institution'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.
(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 Board-regulated
institution would have to provide given
a deterioration in the Board-regulated
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\ A
Board-regulated 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 Board-regulated
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.
(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 Board-regulated
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, a Board-regulated 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, Board-regulated 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).
(a)........................ The general qualitative disclosure
requirement with respect to a
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 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 Board-regulated
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 Board-regulated
institution in securitizations that meet
the operational criteria provided in
Sec. 217.41 (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 Board-
regulated institution in securitizations
that meet the operational criteria in
Sec. 217.41:
(1) Amount of securitized assets that are
impaired/past due categorized by
exposure type; \5\ and
(2) Losses recognized by the Board-
regulated 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. 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 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 Board-regulated 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 Board-
regulated 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 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\
(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 Board-regulated 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.
(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).---------------------------------------------------------------------------------------------------------------- Sec. Sec. 217.64-217.99 [Reserved]