(a) Except as provided in Sec. 3.172(b), a national bank or Federal savings association described in Sec. 3.172(b) must make the disclosures described in Tables 1 through 13 to Sec. 3.173. The national bank or Federal savings association 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 national bank or Federal savings association 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 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 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.------------------------------------------------------------------------ Table 4 to Sec. 3.173--Capital Conservation and Countercyclical Capital
(a).............. The national bank or
Federal savings
association 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 national bank or
Federal savings
association must
calculate and
publicly disclose
the capital
conservation buffer
and the
countercyclical
capital buffer as
described under Sec.
3.11 of subpart B.
(c).............. At least quarterly,
the national bank or
Federal savings
association must
calculate and
publicly disclose
the buffer retained
income of the
national bank or
Federal savings
association, as
described under Sec.
3.11 of subpart B.
(d).............. 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 and the
countercyclical
capital buffer
framework described
under Sec. 3.11 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. 3.173, the national bank or Federal savings association 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.
3.173), 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
national bank's or
Federal savings
association'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, 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.
(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. 3.173 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 national bank or Federal
savings association 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 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. 3.173--Credit Risk: Disclosures for Portfolios Subject
(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.
3.173); 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
in the derivation of
(1) For wholesale
assessment. exposures, present
the 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: (d).............. Actual losses in the
historical results. preceding period for
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
national bank or
Federal savings
association
experienced higher
than average default
rates, loss rates or
EADs.
(e).............. The national bank's
or Federal savings
association'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 national bank or
Federal savings
association 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 national bank or Federal savings
association 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. 3.173 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 national bank
or Federal savings association 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 national bank or
Federal savings association 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 national bank or Federal savings association would provide
these disclosures for as long a set of data as possible--for example,
if a national bank or Federal savings association 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 national bank or Federal savings association 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
national bank or Federal savings association must also provide
explanations for such differences.
Table 7 to Sec. 3.173--General Disclosure for Counterparty Credit Risk
of OTC Derivative Contracts, Repo-Style Transactions, and Eligible
(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
national bank or
Federal savings
association would
have to provide if
the national bank or
Federal savings
association 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 national
banks or Federal
savings associations
not using the
internal models
methodology in Sec.
3.132(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 national
bank's or Federal
savings
association'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 national bank
or Federal savings
association 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.
Table 8 To Sec. 3.173--Credit Risk Mitigation \1 2\------------------------------------------------------------------------
(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
national bank or
Federal savings
association 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 national bank or
Federal savings
association;
(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 national bank or Federal savings association 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, 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 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. 3.173) and included within those relating to
securitization (in Table 9 to Sec. 3.173).
(a).............. The general
qualitative
disclosure
requirement with
respect to
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 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
national bank or
Federal savings
association 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 national bank or
Federal savings
association in
securitizations that
meet the operational
criteria in Sec.
3.141 (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
national bank or
Federal savings
association in
securitizations that
meet the operational
criteria in Sec.
3.141:
(1) Amount of
securitized assets
that are impaired
\6\/past due
categorized by
exposure type; and
(2) Losses recognized
by the national bank
or Federal savings
association 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.
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
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 national bank or Federal savings association 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 national bank or Federal
savings association 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 national bank or Federal savings association is required to
disclose exposures regardless of whether there is a capital charge
under this part.\6\ A national bank or Federal savings association 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
national bank's or
Federal savings
association'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\
(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
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
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. 3.172(b), a national bank or Federal savings association described in Sec. 3.172(d) must make the disclosures described in Table 13 to Sec. 3.173; provided, however, the disclosures required under this paragraph are required without regard to whether the national bank or Federal savings association has completed the parallel run process and has received notification from the OCC pursuant to Sec. 3.121(d). The national bank or Federal savings association must make these disclosures publicly available beginning on January 1, 2015.
Table 13 to Sec. 3.173--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 transactions15 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)---------------------------------------------------------------------------------------------------------------- [78 FR 62157, 62273, Oct. 11, 2013, as amended at 79 FR 57743, Sept. 26, 2014] Secs. 3.174-3.200 [Reserved]