(a) Except as provided in Sec. 324.172(b), an FDIC-supervised institution described in Sec. 324.172(b) must make the disclosures described in Tables 1 through 13 to Sec. 324.173. The FDIC-supervised 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 FDIC-supervised institution must make the disclosures required under Table 13 publicly available beginning on January 1, 2015.
Table 1 to Sec. 324.173--Scope of Application------------------------------------------------------------------------
(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 E).
(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.
Table 2 to Sec. 324.173--Capital Structure------------------------------------------------------------------------
(a)............ Summary information on
the terms and
conditions of the main
features of all
regulatory capital
instruments.Quantitative disclosures..... (b)............ The amount of common
equity tier 1 capital,
with separate
disclosure of:
(1) Common stock and
related surplus;
(2) Retained earnings;
(3) Common equity
minority interest;
(4) AOCI (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.------------------------------------------------------------------------
Table 3 to Sec. 324.173--Capital Adequacy------------------------------------------------------------------------
(a)............ A summary discussion of
the FDIC-supervised
institution's approach
to assessing the
adequacy of its capital
to support current and
future activities.Quantitative disclosures..... (b)............ Risk-weighted assets for
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. 324.173--Capital Conservation and Countercyclical
Capital Buffers------------------------------------------------------------------------
(a)............ The FDIC-supervised
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
FDIC-supervised
institution must
calculate and publicly
disclose the capital
conservation buffer and
the countercyclical
capital buffer as
described under Sec.
324.11 of subpart B.
(c)............ At least quarterly, the
FDIC-supervised
institution must
calculate and publicly
disclose the buffer
retained income of the
FDIC-supervised
institution, as
described under Sec.
324.11 of subpart B.
(d)............ At least quarterly, the
FDIC-supervised
institution must
calculate and publicly
disclose any
limitations it has on
distributions and
discretionary bonus
payments resulting from
the capital
conservation buffer and
the countercyclical
capital buffer
framework described
under Sec. 324.11 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. 324.173, the FDIC-supervised 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.
Table 5\1\ to Sec. 324.173--Credit Risk: General Disclosures------------------------------------------------------------------------
(a)............ The general qualitative
disclosure requirement
with respect to credit
risk (excluding
counterparty credit
risk disclosed in
accordance with Table 7
to Sec. 324.173),
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
FDIC-supervised
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,
FDIC-supervised
institutions could use
categories similar to
that used for financial
statement purposes.
Such categories might
include, for instance:
(1) Loans, off-balance
sheet commitments, and
other non-derivative
off-balance sheet
exposures;
(2) Debt securities; and
(3) OTC derivatives.
(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. 324.173 does not cover equity exposures, which
should be reported in Table 9 to Sec. 324.173.\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. An FDIC-supervised 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\ An FDIC-supervised institution is encouraged also to provide an
analysis of the aging of past-due loans.\5\ The portion of the general allowance that is not allocated to a
geographical area should be disclosed separately.\6\ The reconciliation should include the following: a description of
the allowance; the opening balance of the allowance; charge-offs taken
against the allowance during the period; amounts provided (or
reversed) for estimated probable loan losses during the period; any
other adjustments (for example, exchange rate differences, business
combinations, acquisitions and disposals of subsidiaries), including
transfers between allowances; and the closing balance of the
allowance. Charge-offs and recoveries that have been recorded directly
to the income statement should be disclosed separately.
Table 6 to Sec. 324.173--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.
324.173); and
(4) Control mechanisms
for the rating system,
including discussion of
independence,
accountability, and
rating systems review.
(b)............ (1) Description of the
internal ratings
process, provided
separately for the
following:
(i) Wholesale category;
(ii) Retail
subcategories;
(iii) Residential
mortgage exposures;
(iv) Qualifying
revolving exposures;
and
(v) Other retail
exposures.
(2) For each category
and subcategory above
the description should
include:
(i) The types of
exposure included in
the category/
subcategories; and
(ii) The definitions,
methods and data for
estimation and
validation of PD, LGD,
and EAD, including
assumptions employed in
the derivation of these
variables.\1\
(1) For wholesale
risk 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
FDIC-supervised
institution experienced
higher than average
default rates, loss
rates or EADs.
(e)............ The FDIC-supervised
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 FDIC-
supervised 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 FDIC-supervised 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. 324.173
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 an FDIC-
supervised 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 an FDIC-supervised
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 an FDIC-supervised institution would provide these disclosures
for as long a set of data as possible--for example, if an FDIC-
supervised 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\ An FDIC-supervised 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
FDIC-supervised institution must also provide explanations for such
differences.
Table 7 to Sec. 324.173--General Disclosure for Counterparty Credit
Risk of OTC Derivative Contracts, Repo-Style Transactions, and Eligible
Margin Loans------------------------------------------------------------------------
(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 FDIC-
supervised institution
would have to provide
if the FDIC-supervised
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 FDIC-supervised
institutions not using
the internal models
methodology in Sec.
324.132(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 FDIC-supervised
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 FDIC-supervised
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.
Table 8 to Sec. 324.173--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
FDIC-supervised
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
FDIC-supervised
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, an FDIC-supervised institution must provide the
disclosures in Table 8 to Sec. 324.173 in relation to credit risk
mitigation that has been recognized for the purposes of reducing
capital requirements under this subpart. Where relevant, FDIC-
supervised institutions are encouraged to give further information
about mitigants that have not been recognized for that purpose.\2\ Credit derivatives 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. 324.173) and included within those relating to
securitization (in Table 9 to Sec. 324.173).
Table 9 to Sec. 324.173--Securitization------------------------------------------------------------------------
(a)............ The general qualitative
disclosure requirement
with respect to
securitization
(including synthetic
securitizations),
including a discussion
of:
(1) The FDIC-supervised
institution's
objectives for
securitizing assets,
including the extent to
which these activities
transfer credit risk of
the underlying
exposures away from the
FDIC-supervised
institution to other
entities and including
the type of risks
assumed and retained
with resecuritization
activity; \1\
(2) The nature of the
risks (e.g. liquidity
risk) inherent in the
securitized assets;
(3) The roles played by
the FDIC-supervised
institution in the
securitization process
\2\ and an indication
of the extent of the
FDIC-supervised
institution's
involvement in each of
them;
(4) The processes in
place to monitor
changes in the credit
and market risk of
securitization
exposures including how
those processes differ
for resecuritization
exposures;
(5) The FDIC-supervised
institution's policy
for mitigating the
credit risk retained
through securitization
and resecuritization
exposures; and
(6) The risk-based
capital approaches that
the FDIC-supervised
institution follows for
its securitization
exposures including the
type of securitization
exposure to which each
approach applies.
(b)............ A list of:
(1) The type of
securitization SPEs
that the FDIC-
supervised institution,
as sponsor, uses to
securitize third-party
exposures. The FDIC-
supervised institution
must indicate whether
it has exposure to
these SPEs, either on-
or off- balance sheet;
and
(2) Affiliated entities:
(i) That the FDIC-
supervised institution
manages or advises; and
(ii) That invest either
in the securitization
exposures that the FDIC-
supervised institution
has securitized or in
securitization SPEs
that the FDIC-
supervised institution
sponsors.\3\
(c)............ Summary of the FDIC-
supervised
institution's
accounting policies for
securitization
activities, including:
(1) Whether the
transactions are
treated as sales or
financings;
(2) Recognition of gain-
on-sale;
(3) Methods and key
assumptions 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 FDIC-
supervised 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 FDIC-
supervised institution
in securitizations that
meet the operational
criteria in Sec.
324.141 (categorized
into traditional/
synthetic), by
underlying exposure
type \5\ separately for
securitizations of
third-party exposures
for which the FDIC-
supervised institution
acts only as sponsor.
(f)............ For exposures
securitized by the FDIC-
supervised institution
in securitizations that
meet the operational
criteria in Sec.
324.141:
(1) Amount of
securitized assets that
are impaired \6\/past
due categorized by
exposure type; and
(2) Losses recognized by
the FDIC-supervised
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.
324.42(a)(1)), and
other exposures
deducted from total
capital should be
disclosed separately by
exposure type.
(j)............ Summary of current
year's securitization
activity, including the
amount of exposures
securitized (by
exposure type), and
recognized gain or loss
on sale by 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 FDIC-supervised 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 FDIC-supervised 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 FDIC-supervised institution, whether generated by them or
purchased, and recognized in the balance sheet, from third parties,
and third-party exposures included in sponsored transactions.
Securitization transactions (including underlying exposures originally
on the FDIC-supervised institution's balance sheet and underlying
exposures acquired by the FDIC-supervised institution from third-party
entities) in which the originating bank does not retain any
securitization exposure should be shown separately but need only be
reported for the year of inception.\5\ An FDIC-supervised institution is required to disclose exposures
regardless of whether there is a capital charge under this part.\6\ An FDIC-supervised institution must include credit-related other
than temporary impairment (OTTI).\7\ For example, charge-offs/allowances (if the assets remain on the
FDIC-supervised institution'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 FDIC-supervised institution with respect to
securitized assets.
Table 10 to Sec. 324.173--Operational Risk------------------------------------------------------------------------
(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 FDIC-
supervised
institution's
measurement approach.
(c)............ A description of the use
of insurance for the
purpose of mitigating
operational risk.------------------------------------------------------------------------
Table 11 to Sec. 324.173--Equities Not Subject to Subpart F of This
Part------------------------------------------------------------------------
(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 FDIC-
supervised
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. Table 12 to Sec. 324.173--Interest Rate Risk for Non-trading Activities------------------------------------------------------------------------
(a)............ The general qualitative
disclosure requirement,
including the nature of
interest rate risk for
non-trading activities
and key assumptions,
including assumptions
regarding loan
prepayments and
behavior of non-
maturity deposits, and
frequency of
measurement of interest
rate risk for non-
trading activities.Quantitative disclosures..... (b)............ The increase (decline)
in earnings or economic
value (or relevant
measure used by
management) for upward
and downward rate
shocks according to
management's method for
measuring interest rate
risk for non-trading
activities, categorized
by currency (as
appropriate).------------------------------------------------------------------------
(c) Except as provided in Sec. 324.172(b), an FDIC-supervised institution described in Sec. 324.172(d) must make the disclosures described in Table 13 to Sec. 324.173; provided, however, the disclosures required under this paragraph are required without regard to whether the FDIC-supervised institution has completed the parallel run process and has received notification from the FDIC pursuant to Sec. 324.121(d). The FDIC-supervised institution must make these disclosures publicly available beginning on January 1, 2015.
Table 13 to Sec. 324.173--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 transactions
12 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)---------------------------------------------------------------------------------------------------------------- [78 FR 55471, Sept. 10, 2013, as amended at 79 FR 57750, Sept. 26, 2014] Sec. Sec. 324.174-324.200 [Reserved]