12 C.F.R. § 1240.63
Current through September 30, 2024
Table 1 to Paragraph (b)(3)-Capital Structure
| Qualitative disclosures | (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) AOCI (net of tax) and other reserves; and | |
| (4) Regulatory adjustments and deductions made to common equity tier 1 capital. | |
| (c) The amount of core capital, with separate disclosure of: | |
| (1) The par or stated value of outstanding common stock; | |
| (2) The par or stated value of outstanding perpetual, noncumulative preferred stock; | |
| (3) Paid-in capital; and | |
| (4) Retained earnings. | |
| (d) 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. | |
| (e) The amount of total capital, with separate disclosure of: | |
| (1) The general allowance for foreclosure losses; and | |
| (2) Other amounts from sources of funds available to absorb losses incurred by the Enterprise that the Director by regulation determines are appropriate to include in determining total capital. | |
| (f) The amount of adjusted total capital, with separate disclosure of: | |
| (1) Tier 2 capital elements, including tier 2 capital instruments; and | |
| (2) Regulatory adjustments and deductions made to adjusted total capital. |
Table 2 to Paragraph (b)(3)-Capital Adequacy
| Qualitative disclosures | (a) A summary discussion of the Enterprise'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 GSEs; | |
| (4) Exposures to depository institutions and credit unions; | |
| (5) Exposures to PSEs; | |
| (6) Corporate exposures; | |
| (7) Aggregate single-family mortgage exposures categorized by: | |
| (i) Performing loans; | |
| (ii) Non-modified re-performing loans; | |
| (iii) Modified re-performing loans; | |
| (iv) Non-performing loans; | |
| (8) Aggregate multifamily mortgage exposures categorized by: | |
| (i) Multifamily fixed-rate exposures; | |
| (ii) Multifamily adjustable-rate exposures; | |
| (9) Past due loans; | |
| (10) Other assets; | |
| (11) Insurance assets; | |
| (12) Off-balance sheet exposures; | |
| (13) Cleared transactions; | |
| (14) Default fund contributions; | |
| (15) Unsettled transactions; | |
| (16) CRT and other securitization exposures; and | |
| (17) Equity exposures. | |
| (c) Standardized market risk-weighted assets as calculated under subpart F of this part. | |
| (d) Risk-weighted assets for operational risk. | |
| (e) Common equity tier 1, tier 1, and adjusted total risk-based capital ratios. | |
| (f) Total standardized risk-weighted assets. |
Table 3 to Paragraph (b)(3)-Capital Buffers
| Qualitative disclosures | (a) A summary discussion of the Enterprise's capital buffers. |
| Quantitative disclosures | (b) At least quarterly, the Enterprise must calculate and publicly disclose the prescribed capital conservation buffer amount and all its components as described under § 1240.11 . |
| (c) At least quarterly, the Enterprise must calculate and publicly disclose the prescribed leverage buffer amount as described under § 1240.11 . | |
| (d) At least quarterly, the Enterprise must calculate and publicly disclose the eligible retained income of the Enterprise, as described under § 1240.11 . | |
| (e) At least quarterly, the Enterprise must calculate and publicly disclose any limitations it has on distributions and discretionary bonus payments resulting from the capital buffer framework described under § 1240.11 , including the maximum payout amount for the quarter. |
Table 4 to Paragraph (c)1-Credit Risk: General Disclosures
| Qualitative disclosures | (a) The general qualitative disclosure requirement with respect to credit risk (excluding counterparty credit risk disclosed in accordance with Table 5 of this section), 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) Description of the methodology that the Enterprise uses to estimate its adjusted allowance for credit losses, including statistical methods used where applicable; | |
| (5) Policy for charging-off uncollectible amounts; and | |
| (6) Discussion of the Enterprise'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, the Enterprises 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 distribution of exposures, categorized in significant areas by major types of credit exposure.2 | |
| (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 loans not past due or past due less than 30 days; | |
| (2) Amount of loans past due 30 days but less than 90 days; | |
| (3) Amount of loans past due 90 days and on nonaccrual; | |
| (4) Amount of loans past due 90 days and still accruing;3 | |
| (5) The balance in the adjusted allowance for credit losses at the end of each period, disaggregated on the basis of loans not past due or past due less than 30 days, loans past due 30 days but less than 90 days, loans past due 90 days and on nonaccrual, and loans past due 90 days and still accruing; and | |
| (6) Charge-offs during the period. | |
| (f) Amount of past due loans categorized by significant geographic areas including, if practical, the amounts of allowances related to each geographical area,4 further categorized as required by GAAP. | |
| (g) Reconciliation of changes in the adjusted allowance for credit losses.5 | |
| (h) Remaining contractual maturity delineation (for example, one year or less) of the whole portfolio, categorized by credit exposure. |
1 Table 4 does not cover equity exposures, which should be reported in Table 8 of this section.
2 Geographical areas consist of areas within the United States and territories. An Enterprise might choose to define the geographical areas based on the way the Enterprise's portfolio is geographically managed. The criteria used to allocate the loans to geographical areas must be specified.
3 An Enterprise may, but is not required to, also provide an analysis of the aging of past-due loans.
4 The portion of the general allowance that is not allocated to a geographical area should be disclosed separately.
5 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 expected credit 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 5 to Paragraph (c)-General Disclosure for Counterparty Credit Risk-Related Exposures
| Qualitative disclosures | (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 Enterprise would have to provide given a deterioration in the Enterprise's own creditworthiness. | |
| Quantitative Disclosures | (b) Gross positive fair value of contracts, collateral held (including type, for example, cash, government securities), and net unsecured credit exposure.1 An Enterprise 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 Enterprise's own credit portfolio and in its intermediation activities, including the distribution of the credit derivative products used, categorized further by protection bought and sold within each product group. |
1 Net unsecured credit exposure is the credit exposure after considering both the benefits from legally enforceable netting agreements and collateral arrangements without taking into account haircuts for price volatility, liquidity, etc.
2 This may include interest rate derivative contracts, foreign exchange derivative contracts, equity derivative contracts, credit derivatives, commodity or other derivative contracts, repo-style transactions, and eligible margin loans.
Table 6 to Paragraph (c)-Credit Risk Mitigation 12
| Qualitative disclosures | (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 Enterprise; | |
| (3) The main types of guarantors/credit derivative counterparties and their creditworthiness; and | |
| (4) Information about (market or credit) risk concentrations with respect to credit risk mitigation. | |
| Quantitative Disclosures | (b) For each separately disclosed credit risk portfolio, the total exposure that is covered by eligible financial collateral, and after the application of haircuts. |
| (c) For each separately disclosed portfolio, the total exposure that is covered by guarantees/credit derivatives and the risk-weighted asset amount associated with that exposure. |
1 At a minimum, an Enterprise must provide the disclosures in Table 6 in relation to credit risk mitigation that has been recognized for the purposes of reducing capital requirements under this subpart. Where relevant, the Enterprises may 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 7 of this section).
Table 7 to Paragraph (c)-CRT and Securitization
| Qualitative disclosures | (a) The general qualitative disclosure requirement with respect to a securitization (including synthetic securitizations), including a discussion of: |
| (1) The Enterprise's objectives for securitizing assets, including the extent to which these activities transfer credit risk of the underlying exposures away from the Enterprise 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 Enterprise in the securitization process2 and an indication of the extent of the Enterprise'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 Enterprise's policy for mitigating the credit risk retained through securitization and resecuritization exposures; and | |
| (6) The risk-based capital approaches that the Enterprise 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 Enterprise, as sponsor, uses to securitize third-party exposures. The Enterprise must indicate whether it has exposure to these SPEs, either on- or off-balance sheet; and | |
| (2) Affiliated entities: | |
| (i) That the Enterprise manages or advises; and | |
| (ii) That invest either in the securitization exposures that the Enterprise has securitized or in securitization SPEs that the Enterprise sponsors.3 | |
| (c) Summary of the Enterprise's accounting policies for CRT and securitization activities, including: | |
| (1) Whether the transactions are treated as sales (i.e., sale accounting has been obtained) 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 Enterprise 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 Enterprise in securitizations that meet the operational criteria provided in § 1240.41 (categorized into traditional and synthetic securitizations), by exposure type, separately for securitizations of third-party exposures for which the Enterprise acts only as sponsor.4 |
| (f) For exposures securitized by the Enterprise in securitizations that meet the operational criteria in § 1240.41 : | |
| (1) Amount of securitized assets that are past due categorized by exposure type; and | |
| (2) Losses recognized by the Enterprise during the current period categorized by exposure type.5 | |
| (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., CRTA, SSFA); and | |
| (2) Aggregate amount disclosed separately by type of underlying exposure in the pool of any: | |
| (i) After-tax gain-on-sale on a securitization that has been deducted from common equity tier 1 capital; and | |
| (ii) Credit-enhancing interest-only strip that is assigned a 1,250 percent risk weight. | |
| (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 Enterprise 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 Enterprise 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 Enterprise, 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 Enterprise's balance sheet and underlying exposures acquired by the Enterprise from third-party entities) in which the originating Enterprise does not retain any securitization exposure should be shown separately but need only be reported for the year of inception. Enterprises are required to disclose exposures regardless of whether there is a capital charge under this part.
5 For example, charge-offs/allowances (if the assets remain on the Enterprise's balance sheet) or credit-related write-off of interest-only strips and other retained residual interests, as well as recognition of liabilities for probable future financial support required of the Enterprise with respect to securitized assets.
Table 8 to Paragraph (c)-Equities
| Qualitative Disclosures | (a) The general qualitative disclosure requirement with respect to equity risk for equities, 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. 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) Carrying 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) recognized on the balance sheet but not through earnings. | |
| (2) Total unrealized gains (losses) not recognized either on the balance sheet or through earnings. | |
| (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 Enterprise's methodology, as well as the aggregate amounts and the type of equity investments subject to any supervisory transition regarding regulatory capital requirements.1 |
1 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 9 to Paragraph (c)-Interest Rate Risk for Non-Trading Activities
| Qualitative disclosures | (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 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). |
Table 10 to Paragraph (c)-Operational Risk
| Qualitative disclosures | (a) The general qualitative disclosure requirement for operational risk. |
| (b) Description of the AMA, when applicable, including a discussion of relevant internal and external factors considered in the Enterprise's measurement approach. | |
| (c) A description of the use of insurance for the purpose of mitigating operational risk. |
Table 11 to Paragraph (c)-Tier 1 Leverage Ratio
| Dollar amounts in thousands | ||||
| Tril | Bil | Mil | Thou | |
| Part 1: Summary comparison of accounting assets and adjusted total assets | ||||
| 1 Total consolidated assets as reported in published financial statements | ||||
| 2 Adjustment for fiduciary assets recognized on balance sheet but excluded from total leverage exposure | ||||
| 3 Adjustment for derivative exposures | ||||
| 4 Adjustment for repo-style transactions | ||||
| 5 Adjustment for off-balance sheet exposures (that is, conversion to credit equivalent amounts of off-balance sheet exposures) | ||||
| 6 Other adjustments | ||||
| 7 Adjusted total assets (sum of lines 1 to 6) | ||||
| Part 2: Tier 1 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 Current exposure 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 adjusted total assets | ||||
| 20 Tier 1 capital | ||||
| 21 Adjusted total assets (sum of lines 3, 11, 16, and 19) | ||||
| Tier 1 leverage ratio | ||||
| 22 Tier 1 leverage ratio | (in percent) | |||
12 C.F.R. §1240.63