12 C.F.R. § 217.63
Table 1 to § 217.63 -Scope of Application
| Qualitative Disclosures | (a) | The name of the top corporate entity in the group to which subpart D of this part applies. |
| (b) | A brief description of the differences in the basis for consolidating entities1 for accounting and regulatory purposes, with a description of those entities: | |
| (1) That are fully consolidated; | ||
| (2) That are deconsolidated and deducted from total capital; | ||
| (3) For which the total capital requirement is deducted; and | ||
| (4) That are neither consolidated nor deducted (for example, where the investment in the entity is assigned a risk weight in accordance with this subpart). | ||
| (c) | Any restrictions, or other major impediments, on transfer of funds or total capital within the group. | |
| (d) | The aggregate amount of surplus capital of insurance subsidiaries included in the total capital of the consolidated group. | |
| (e) | The aggregate amount by which actual total capital is less than the minimum total capital requirement in all subsidiaries, with total capital requirements and the name(s) of the subsidiaries with such deficiencies. |
1 Entities include securities, insurance and other financial subsidiaries, commercial subsidiaries (where permitted), and significant minority equity investments in insurance, financial and commercial entities.
Table 2 to § 217.63 -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) Common equity minority interest; | ||
| (4) AOCI; and | ||
| (5) Regulatory adjustments and deductions made to common equity tier 1 capital. | ||
| (c) | The amount of tier 1 capital, with separate disclosure of: | |
| (1) Additional tier 1 capital elements, including additional tier 1 capital instruments and tier 1 minority interest not included in common equity tier 1 capital; and | ||
| (2) Regulatory adjustments and deductions made to tier 1 capital. | ||
| (d) | The amount of total capital, with separate disclosure of: | |
| (1) Tier 2 capital elements, including tier 2 capital instruments and total capital minority interest not included in tier 1 capital; and | ||
| (2) Regulatory adjustments and deductions made to total capital. |
Table 3 to § 217.63 -Capital Adequacy
| Qualitative disclosures | (a) | A summary discussion of the Board-regulated institution's approach to assessing the adequacy of its capital to support current and future activities. |
| Quantitative disclosures | (b) | Risk-weighted assets for: |
| (1) Exposures to sovereign entities; | ||
| (2) Exposures to certain supranational entities and MDBs; | ||
| (3) Exposures to depository institutions, foreign banks, and credit unions; | ||
| (4) Exposures to PSEs; | ||
| (5) Corporate exposures; | ||
| (6) Residential mortgage exposures; | ||
| (7) Statutory multifamily mortgages and pre-sold construction loans; | ||
| (8) HVCRE exposures; | ||
| (9) Past due loans; | ||
| (10) Other assets; | ||
| (11) Cleared transactions; | ||
| (12) Default fund contributions; | ||
| (13) Unsettled transactions; | ||
| (14) Securitization exposures; and | ||
| (15) Equity exposures. | ||
| (c) | Standardized market risk-weighted assets as calculated under subpart F of this part. | |
| (d) | Common equity tier 1, tier 1 and total risk-based capital ratios: | |
| (1) For the top consolidated group; and | ||
| (2) For each depository institution subsidiary. | ||
| (e) | Total standardized risk-weighted assets. |
Table 4 to § 217.63 -Capital Conservation Buffer
| Quantitative Disclosures | (a) | At least quarterly, the Board-regulated institution must calculate and publicly disclose the capital conservation buffer as described under § 217.11 . |
| (b) | At least quarterly, the Board-regulated institution must calculate and publicly disclose the eligible retained income of the Board-regulated institution, as described under § 217.11 . | |
| (c) | At least quarterly, the Board-regulated institution must calculate and publicly disclose any limitations it has on distributions and discretionary bonus payments resulting from the capital conservation buffer framework described under § 217.11 , including the maximum payout amount for the quarter. |
Table 5 to § 217.63 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 6), including the: |
| (1) Policy for determining past due or delinquency status; | ||
| (2) Policy for placing loans on nonaccrual; | ||
| (3) Policy for returning loans to accrual status; | ||
| (4) Definition of and policy for identifying impaired loans (for financial accounting purposes); | ||
| (5) Description of the methodology that the Board-regulated institution uses to estimate its allowance for loan and lease losses or adjusted allowance for credit losses, as applicable, including statistical methods used where applicable; | ||
| (6) Policy for charging-off uncollectible amounts; and | ||
| (7) Discussion of the Board-regulated institution's credit risk management policy. | ||
| Quantitative Disclosures | (b) | Total credit risk exposures and average credit risk exposures, after accounting offsets in accordance with GAAP, without taking into account the effects of credit risk mitigation techniques (for example, collateral and netting not permitted under GAAP), over the period categorized by major types of credit exposure. For example, Board-regulated institutions could use categories similar to that used for financial statement purposes. Such categories might include, for instance |
| (1) Loans, off-balance sheet commitments, and other non-derivative off-balance sheet exposures; | ||
| (2) Debt securities; and | ||
| (3) OTC derivatives.2 | ||
| (c) | Geographic distribution of exposures, categorized in significant areas by major types of credit exposure.3 | |
| (d) | Industry or counterparty type distribution of exposures, categorized by major types of credit exposure. | |
| (e) | By major industry or counterparty type: | |
| (1) Amount of impaired loans for which there was a related allowance under GAAP; | ||
| (2) Amount of impaired loans for which there was no related allowance under GAAP; | ||
| (3) Amount of loans past due 90 days and on nonaccrual; | ||
| (4) Amount of loans past due 90 days and still accruing;4 | ||
| (5) The balance in the allowance for loan and lease losses or adjusted allowance for credit losses, as applicable, at the end of each period, disaggregated on the basis of the Board-regulated institution's impairment method. To disaggregate the information required on the basis of impairment methodology, an entity shall separately disclose the amounts based on the requirements in GAAP; and | ||
| (6) Charge-offs during the period. | ||
| (f) | Amount of impaired loans and, if available, the amount of past due loans categorized by significant geographic areas including, if practical, the amounts of allowances related to each geographical area,5 further categorized as required by GAAP. | |
| (g) | Reconciliation of changes in ALLL or AACL, as applicable.6 | |
| (h) | Remaining contractual maturity delineation (for example, one year or less) of the whole portfolio, categorized by credit exposure. |
1 Table 5 does not cover equity exposures, which should be reported in Table 9.
2See, for example, ASC Topic 815-10 and 210, as they may be amended from time to time.
3 Geographical areas may consist of individual countries, groups of countries, or regions within countries. A Board-regulated institution might choose to define the geographical areas based on the way the Board-regulated institution's portfolio is geographically managed. The criteria used to allocate the loans to geographical areas must be specified.
4 A Board-regulated institution is encouraged also to provide an analysis of the aging of past-due loans.
5 The portion of the general allowance that is not allocated to a geographical area should be disclosed separately.
6 The reconciliation should include the following: A description of the allowance; the opening balance of the allowance; charge-offs taken against the allowance during the period; amounts provided (or reversed) for estimated probable loan losses during the period; any other adjustments (for example, exchange rate differences, business combinations, acquisitions and disposals of subsidiaries), including transfers between allowances; and the closing balance of the allowance. Charge-offs and recoveries that have been recorded directly to the income statement should be disclosed separately.
Table 6 to § 217.63 -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 Board-regulated institution would have to provide given a deterioration in the Board-regulated institution's own creditworthiness. | ||
| Quantitative Disclosures | (b) | Gross positive fair value of contracts, collateral held (including type, for example, cash, government securities), and net unsecured credit exposure.1 A Board-regulated institution also must disclose the notional value of credit derivative hedges purchased for counterparty credit risk protection and the distribution of current credit exposure by exposure type.2 |
| (c) | Notional amount of purchased and sold credit derivatives, segregated between use for the Board-regulated institution's own credit portfolio and in its intermediation activities, including the distribution of the credit derivative products used, categorized further by protection bought and sold within each product group. |
1 Net unsecured credit exposure is the credit exposure after considering both the benefits from legally enforceable netting agreements and collateral arrangements without taking into account haircuts for price volatility, liquidity, etc.
2 This may include interest rate derivative contracts, foreign exchange derivative contracts, equity derivative contracts, credit derivatives, commodity or other derivative contracts, repo-style transactions, and eligible margin loans.
Table 7 to § 217.63 -Credit Risk Mitigation1 2
| 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 Board-regulated institution; | ||
| (3) The main types of guarantors/credit derivative counterparties and their creditworthiness; and | ||
| (4) Information about (market or credit) risk concentrations with respect to credit risk mitigation. | ||
| Quantitative Disclosures | (b) | For each separately disclosed credit risk portfolio, the total exposure that is covered by eligible financial collateral, and after the application of haircuts. |
| (c) | For each separately disclosed portfolio, the total exposure that is covered by guarantees/credit derivatives and the risk-weighted asset amount associated with that exposure. |
1 At a minimum, a Board-regulated institution must provide the disclosures in Table 7 in relation to credit risk mitigation that has been recognized for the purposes of reducing capital requirements under this subpart. Where relevant, Board-regulated institutions are encouraged to give further information about mitigants that have not been recognized for that purpose.
2 Credit derivatives that are treated, for the purposes of this subpart, as synthetic securitization exposures should be excluded from the credit risk mitigation disclosures and included within those relating to securitization (Table 8).
Table 8 to § 217.63 -Securitization
| Qualitative Disclosures | (a) | The general qualitative disclosure requirement with respect to a securitization (including synthetic securitizations), including a discussion of: |
| (1) The Board-regulated institution's objectives for securitizing assets, including the extent to which these activities transfer credit risk of the underlying exposures away from the Board-regulated institution to other entities and including the type of risks assumed and retained with resecuritization activity;1 | ||
| (2) The nature of the risks (e.g., liquidity risk) inherent in the securitized assets; | ||
| (3) The roles played by the Board-regulated institution in the securitization process2 and an indication of the extent of the Board-regulated institution's involvement in each of them; | ||
| (4) The processes in place to monitor changes in the credit and market risk of securitization exposures including how those processes differ for resecuritization exposures; | ||
| (5) The Board-regulated institution's policy for mitigating the credit risk retained through securitization and resecuritization exposures; and | ||
| (6) The risk-based capital approaches that the Board-regulated institution follows for its securitization exposures including the type of securitization exposure to which each approach applies. | ||
| (b) | A list of: | |
| (1) The type of securitization SPEs that the Board-regulated institution, as sponsor, uses to securitize third-party exposures. The Board-regulated institution must indicate whether it has exposure to these SPEs, either on- or off-balance sheet; and | ||
| (2) Affiliated entities: | ||
| (i) That the Board-regulated institution manages or advises; and | ||
| (ii) That invest either in the securitization exposures that the Board-regulated institution has securitized or in securitization SPEs that the Board-regulated institution sponsors.3 | ||
| (c) | Summary of the Board-regulated institution's accounting policies for securitization activities, including: | |
| (1) Whether the transactions are treated as sales or financings; | ||
| (2) Recognition of gain-on-sale; | ||
| (3) Methods and key assumptions applied in valuing retained or purchased interests; | ||
| (4) Changes in methods and key assumptions from the previous period for valuing retained interests and impact of the changes; | ||
| (5) Treatment of synthetic securitizations; | ||
| (6) How exposures intended to be securitized are valued and whether they are recorded under subpart D of this part; and | ||
| (7) Policies for recognizing liabilities on the balance sheet for arrangements that could require the Board-regulated institution to provide financial support for securitized assets. | ||
| (d) | An explanation of significant changes to any quantitative information since the last reporting period. | |
| Quantitative Disclosures | (e) | The total outstanding exposures securitized by the Board-regulated institution in securitizations that meet the operational criteria provided in § 217.41 (categorized into traditional and synthetic securitizations), by exposure type, separately for securitizations of third-party exposures for which the bank acts only as sponsor.4 |
| (f) | For exposures securitized by the Board-regulated institution in securitizations that meet the operational criteria in § 217.41 : | |
| (1) Amount of securitized assets that are impaired/past due categorized by exposure type;5 and | ||
| (2) Losses recognized by the Board-regulated institution during the current period categorized by exposure type.6 | ||
| (g) | The total amount of outstanding exposures intended to be securitized categorized by exposure type. | |
| (h) | Aggregate amount of: | |
| (1) On-balance sheet securitization exposures retained or purchased categorized by exposure type; and | ||
| (2) Off-balance sheet securitization exposures categorized by exposure type. | ||
| (i) | (1) Aggregate amount of securitization exposures retained or purchased and the associated capital requirements for these exposures, categorized between securitization and resecuritization exposures, further categorized into a meaningful number of risk weight bands and by risk-based capital approach (e.g., SSFA); and | |
| (2) 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 Board-regulated institution should describe the structure of resecuritizations in which it participates; this description should be provided for the main categories of resecuritization products in which the Board-regulated institution is active.
2 For example, these roles may include originator, investor, servicer, provider of credit enhancement, sponsor, liquidity provider, or swap provider.
3 Such affiliated entities may include, for example, money market funds, to be listed individually, and personal and private trusts, to be noted collectively.
4 "Exposures securitized" include underlying exposures originated by the bank, whether generated by them or purchased, and recognized in the balance sheet, from third parties, and third-party exposures included in sponsored transactions. Securitization transactions (including underlying exposures originally on the bank's balance sheet and underlying exposures acquired by the bank from third-party entities) in which the originating bank does not retain any securitization exposure should be shown separately but need only be reported for the year of inception. Banks are required to disclose exposures regardless of whether there is a capital charge under this part.
5 Include credit-related other than temporary impairment (OTTI).
6 For example, charge-offs/allowances (if the assets remain on the bank's balance sheet) or credit-related OTTI of interest-only strips and other retained residual interests, as well as recognition of liabilities for probable future financial support required of the bank with respect to securitized assets.
Table 9 to § 217.63 -Equities Not Subject to Subpart F of This Part
| Qualitative Disclosures | (a) | The general qualitative disclosure requirement with respect to equity risk for equities not subject to subpart F of this part, including: |
| (1) Differentiation between holdings on which capital gains are expected and those taken under other objectives including for relationship and strategic reasons; and | ||
| (2) Discussion of important policies covering the valuation of and accounting for equity holdings not subject to subpart F of this part. This includes the accounting techniques and valuation methodologies used, including key assumptions and practices affecting valuation as well as significant changes in these practices. | ||
| Quantitative Disclosures | (b) | Value disclosed on the balance sheet of investments, as well as the fair value of those investments; for securities that are publicly traded, a comparison to publicly-quoted share values where the share price is materially different from fair value. |
| (c) | The types and nature of investments, including the amount that is: (1) Publicly traded; and (2) Non publicly traded. | |
| (d) | The cumulative realized gains (losses) arising from sales and liquidations in the reporting period. | |
| (e) | (1) Total unrealized gains (losses).1 | |
| (2) Total latent revaluation gains (losses).2 | ||
| (3) Any amounts of the above included in tier 1 or tier 2 capital. | ||
| (f) | Capital requirements categorized by appropriate equity groupings, consistent with the Board-regulated institution's methodology, as well as the aggregate amounts and the type of equity investments subject to any supervisory transition regarding regulatory capital requirements. |
1 Unrealized gains (losses) recognized on the balance sheet but not through earnings.
2 Unrealized gains (losses) not recognized either on the balance sheet or through earnings.
Table 10 to § 217.63 -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 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). |
12 C.F.R. §217.63