Part: / PART 628 - CAPITAL ADEQUACY OF SYSTEM INSTITUTIONS /
Subpart: / Subpart D - Risk Weighted Assets--Standardized Approach /
Date Created: / 1/6/2017
Date Modified: / 1/9/2017
Disclosures
§628.63 Disclosures.
(a)Exceptas providedin§628.62, a System bank mustmakethe disclosuresdescribedinTables1 through10 of thissection. TheSystem bank mustmake thesedisclosurespubliclyavailablefor eachof thelast3 years(thatis,12quarters)or such shorterperiodbeginningon January 1, 2017.
(b) A System bank mustpubliclydiscloseeachquarterthefollowing:
(1) CET1 capital,tier1 capital, andtotal capitalratios,including all theregulatorycapitalelementsandalltheregulatoryadjustmentsand deductionsneededtocalculatethenumeratorof such ratios;
(2) Totalrisk-weightedassets, includingthedifferentregulatoryadjustmentsand deductionsneededtocalculatetotalrisk-weightedassets;
(3) Regulatorycapitalratiosduringthe transitionperiod,includingadescriptionof all the regulatorycapitalelementsandallregulatoryadjustmentsanddeductionsneededtocalculate thenumeratoranddenominatorof eachcapitalratioduring the transitionperiod;and
(4) A reconciliationof regulatorycapitalelementsas theyrelatetoitsbalancesheetin anyauditedconsolidatedfinancialstatements.
TABLE1TO §628.63–SCOPEOFAPPLICATION
Qualitative Disclosures / (a) / Thename ofthe top corporate entity in the group to which this subpart applies.1(b) / A briefdescription of thedifferences in thebasisfor consolidating entities2for accountingand regulatorypurposes,with a description ofthose entities:
(1)That arefullyconsolidated;
(2)That aredeconsolidated and deducted from total capital;
(3) For which thetotal capital requirement is deducted; and
(4)That areneither consolidated nordeducted(for example, where the investment in the entityis assigned arisk weight in accordance with this subpart).
(c) / Anyrestrictions, or othermajorimpediments, on transfer of funds ortotal capital within the group.
Quantitative Disclosures / (d) / [Reserved]
(e) / Theaggregateamountbywhich actual total capital is less than the minimum total capital requirement in all subsidiaries, with total capital requirements andthe name(s) of thesubsidiaries with such deficiencies.
1 The System bank is the top corporate entity.
2Entities include any subsidiaries authorized by the FCA, including operating subsidiaries, service corporations, and unincorporated business entities.
TABLE2TO §628.63–CAPITALSTRUCTURE
Qualitative Disclosures / (a) / Summaryinformation onthe terms and conditions of themain features of allregulatorycapital instruments.Quantitative Disclosures / (b) / Theamountof commonequitytier1capital,withseparate disclosureof:
(1)Common cooperative equities
a.Statutory minimum purchased borrower stock;
b.Other required member purchased stock;
c.Allocated equities (stock or surplus):
1. Qualified allocated equities subject to retirement;
2. Nonqualified allocated equities subject to retirement;
3. Nonqualified allocated equities not subject to retirement;
(2)Unallocated retained earnings (URE);
(3) Paid-in capital; and
(4)Regulatoryadjustments and deductions madeto common equitytier 1capital.
(c) / The amountof tier 1 capital, with separate disclosureof:
(1)Additionaltier 1 capital elements;and
(2)Regulatoryadjustments and deductionsmadeto tier 1 capital.
(d) / The amountof total capital,with separatedisclosureof:
(1)Common cooperative equities not included in common equity tier 1 capital;
(2)Tier2capital elements, includingtier 2 capital instruments; and
(3)Regulatoryadjustments and deductionsmadeto total capital, including deductions of third-party capital under § 628.23.
TABLE3TO§628.63 –CAPITALADEQUACY
Qualitative disclosures / (a) / A summarydiscussion ofthe System bank's approachto assessingthe adequacyof its capital tosupport currentand future activities.Quantitative disclosures / (b) / Risk-weightedassets for:
(1)Exposures tosovereign entities;
(2)Exposures to certain supranational entities andMDBs;
(3)Exposures to GSEs;
(4)Exposures to depositoryinstitutions, foreign banks, and credit unions, including OFI exposures that are risk weighted as exposures to U.S. depository institutions and credit unions;
(5)Exposures to PSEs;
(6)Corporateexposures, including borrower loans (including agricultural and consumer loans) and OFI exposures that are not risk weighted as exposures to U.S. depository institutions and credit unions;
(7)Residential mortgageexposures;
(8)[Reserved]
(9)Past due and nonaccrual exposures;
(10)Exposures to otherassets;
(11)Cleared transactions;
(12)Unsettled transactions;
(13)Securitization exposures; and
(14)Equityexposures.
(c) / [Reserved]
(d) / Common equitytier 1, tier1 and total risk-basedcapital ratios for the System bank.
(e) / Total standardized risk-weightedassets.
TABLE4TO§628.63 –CAPITALBUFFERS
Quantitative Disclosures / (a) / At least quarterly, the System bank mustcalculate andpubliclydisclose the capital conservationbuffer and leverage buffer as described under§628.11.(b) / At least quarterly, the System bank mustcalculate andpubliclydisclose the eligibleretained income ofthe System bank, as described under §628.11.
(c) / At least quarterly, the System bank mustcalculate andpubliclydisclose anylimitations ithas on distributions and discretionarybonus payments resulting fromthe bufferframework described under §628.11,includingthe maximumpayoutamount and/or maximum leverage payout amount forthe quarter.
(c)General qualitative disclosure requirement. Foreach separate risk areadescribed in Tables 5 through 10 of this section, theSystem bank mustdescribe its risk management objectives andpolicies, including: Strategiesand processes; thestructureand organization ofthe relevant risk management function; thescope and natureof risk reporting and/or measurement systems;policies forhedging and/or mitigatingrisk and strategies and processesformonitoring the continuingeffectiveness of hedges/mitigants.
TABLE5TO§628.631–CREDITRISK:GENERALDISCLOSURES
Qualitative Disclosures / (a) / The general qualitative disclosure requirement with respect to credit risk (excluding counterparty credit risk disclosed in accordance with Table 6 of this section), including the:(1)Policy for determining past due or delinquency status;
(2)Policy for placing loans in nonaccrual status;
(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 System bank uses to estimate its allowance for loan losses, including statistical methods used where applicable;
(6)Policy for charging-off uncollectible amounts; and
(7)Discussion of the System bank'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, System banks 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 in nonaccrual status;
(4)Amount of loans past due 90 days and still accruing;4
(5)The balance in the allowance for loan losses at the end of each period according to 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 allowances for loan losses.6
(h) / Remaining contractual maturity delineation (for example, one year or less) of the whole portfolio, categorized by credit exposure.
1This Table 5 does not coverequityexposures, whichshould be reported in Table 9 of this section.
2See, for example, ASCTopic 815-10 and 210, astheymaybe amended from timeto time.
3A System bank can satisfy this requirement by describing the geographic distribution of its loan portfolio by State or other significant geographic division, if any.
4A System bank is encouraged also toprovide ananalysisof theagingof past-dueloans.
5Theportion of thegeneral allowancethat is not allocated to ageographical areashould bedisclosed separately.
6The reconciliation should include the following: adescription of theallowance; the openingbalanceof the allowance; charge-offs taken againstthe allowanceduringthe period; amounts provided (orreversed)for estimated probable loan losses duringtheperiod; anyother adjustments (for example, exchange rate differences, business combinations, acquisitions and disposals of subsidiaries), includingtransfers between allowances; and the closingbalanceof the allowance. Charge-offsand recoveries that havebeen recorded directlytothe income statement should bedisclosed separately.
TABLE6TO§628.63 –GENERALDISCLOSUREFORCOUNTERPARTYCREDITRISK-RELATED EXPOSURES
Qualitative Disclosures / (a) / Thegeneral qualitativedisclosure requirement with respect to OTC derivatives, eligiblemargin loans, and repo-style transactions, includingadiscussion of:(1)Themethodologyused to assign creditlimits for counterparty creditexposures;
(2)Policies forsecuring collateral, valuingand managingcollateral, and establishing credit reserves;
(3)Theprimarytypes ofcollateral taken; and
(4)Theimpact of the amount of collateral theSystem bank would haveto provide given deterioration in the System bank's own creditworthiness.
Quantitative Disclosures / (b) / Gross positive fair valueof contracts, collateral held (includingtype, for example, cash,government securities), and net unsecuredcredit exposure.1 A System bank also must disclose the notional valueof credit derivativehedges purchased for counterpartycreditrisk protection and the distribution of current creditexposurebyexposuretype.2
(c) / Notional amountof purchased creditderivatives usedforthe System bank's own creditportfolio.
1Net unsecuredcreditexposure is the creditexposure after consideringboth the benefits from legallyenforceablenettingagreementsand collateral arrangements withouttakinginto account haircutsforpricevolatility, liquidity, etc.
2This mayincludeinterest rate derivativecontracts, foreign exchangederivative contracts, equityderivative contracts, creditderivatives, commodityor other derivative contracts, repo-styletransactions, and eligible margin loans.
TABLE7TO§628.63 –CREDITRISKMITIGATION 1, 2
Qualitative Disclosures / (a) / Thegeneral qualitativedisclosure requirement with respect to creditrisk mitigation, including:(1)Policies and processes for collateral valuationand management;
(2)A description of themain types ofcollateral taken bythe System bank;
(3)Themain types ofguarantors/creditderivativecounterparties and their creditworthiness; and
(4)Information about (market orcredit) riskconcentrations with respect to creditrisk mitigation.
Quantitative Disclosures / (b) / Foreach separatelydisclosed creditrisk portfolio,the total exposurethat is covered byeligible financial collateral, and after the application ofhaircuts.
(c) / Foreach separatelydisclosedportfolio, the total exposurethat is covered byguarantees/creditderivatives andtherisk-weighted asset amountassociatedwith that exposure.
1At aminimum, aSystem bank mustprovide thedisclosures in this Table7 in relation to credit risk mitigation thathas been recognized forthe purposes of reducingcapital requirements under this subpart. Whererelevant, System banks areencouraged togive further information about mitigants that havenot been recognized forthat purpose.
2Creditderivatives that aretreated, forthepurposes of this subpart, as synthetic securitization exposures should be excluded from the creditrisk mitigationdisclosures and included within those relatingto securitization (Table 8 of this section).
TABLE8TO§628.63 –SECURITIZATION1
Qualitative Disclosures / (a) / Thegeneral qualitativedisclosure requirement with respect to a securitization (including synthetic securitizations), includingadiscussion of:(1)The System bank's objectives forsecuritizingassets, includingthe extent to which theseactivities transfer creditrisk of the underlying exposures away from the System bank to other entities andincludingthetypeof risksassumed and retainedwith resecuritization activity;2
(2)Thenatureof therisks (e.g. liquidityrisk) inherent in the securitized assets;
(3)The roles played bythe System bank in thesecuritization process3and an indication ofthe extent ofthe System bank's involvement in each of them;
(4)Theprocesses in placeto monitor changes in the creditand market risk ofsecuritization exposuresincludinghow thoseprocesses differfor resecuritization exposures;
(5)TheSystem bank's policyformitigatingthe creditrisk retained through securitization and resecuritization exposures; and
(6)The risk-basedcapital approaches that the System bank follows for its securitization exposures includingthe typeof securitization exposureto which each approach applies.
(b) / [Reserved]
(c) / Summaryof theSystem bank's accountingpolicies forsecuritization activities, including:
(1)Whetherthe transactions aretreated as sales orfinancings;
(2)Recognition ofgain-on-sale;
(3)Methods and keyassumptions applied in valuingretained or purchased interests;
(4)Changes in methods and keyassumptions from theprevious period for valuingretained interestsand impact of the changes;
(5)Treatmentofsyntheticsecuritizations;
(6)How exposures intended to be securitized are valued and whetherthey arerecorded under subpart D of this part;and
(7)Policies forrecognizingliabilities on thebalancesheetforarrangements that could requiretheSystem bank to provide financial support forsecuritized assets.
(d) / An explanation ofsignificant changes to anyquantitative information since the last reportingperiod.
Quantitative Disclosures / (e) / Thetotal outstandingexposures securitized bythe System bankin securitizations that meet theoperational criteria provided in §628.41 (categorized into traditional and synthetic securitizations), byexposuretype.4
(f) / For exposures securitized bythe System bank in securitizations that meet the operational criteria in §628.41:
(1)Amount of securitized assets that areimpaired/past due categorized by exposuretype;5and
(2)Losses recognized bythe System bank duringthecurrent periodcategorized byexposuretype.6
(g) / Thetotal amount of outstanding exposures intended to be securitized categorized byexposuretype.
(h) / Aggregateamountof:
(1)On-balancesheetsecuritization exposures retained orpurchased categorized byexposuretype; and
(2)Off-balancesheet securitization exposures categorized byexposuretype.
(i) / (1)Aggregate amountofsecuritization exposures retained or purchasedand the associatedcapital requirements fortheseexposures, categorized between securitization and resecuritization exposures, further categorized into a meaningful number ofrisk weight bands and byrisk-based capital approach (e.g., SSFA); and
(2)Exposures that havebeendeducted entirelyfrom tier1 capital, CEIOs deducted from total capital (as described in §628.42(a)(1)), and other exposures deducted from total capital should be disclosed separately by exposure type.
(j) / Summary of current year's securitization activity, including the amount of exposures securitized (by exposure type), and recognized gain or loss on sale by exposure type.
(k) / Aggregate amount of resecuritization exposures retained or purchased categorized according to:
(1)Exposures to which credit risk mitigation is applied and those not applied; and
(2)Exposures to guarantors categorized according to guarantor creditworthiness categories or guarantor name.
1A System bank is not authorized to perform every role in a securitization, and nothing in these capital rules authorizes a System bank to engage in activities relating to securitizations that are not otherwise authorized.
2TheSystem bank should describethe structureof resecuritizations in which itparticipates; this description should beprovided forthe main categories ofresecuritization products in which the System bank is active.
3Roles in securitizations generally could include originator,investor, servicer, provider ofcredit enhancement, sponsor, liquidity provider, or swap provider. As noted in footnote 1 of this table, however, a System bank is not authorized to perform all of these roles.
4"Exposures securitized"includeunderlyingexposures originated bythe System bank, whether generated bythem orpurchased, andrecognized in thebalancesheet, from third parties, and third-partyexposures included in sponsored transactions. Securitization transactions (including underlying exposures originallyon the System bank's balancesheet and underlyingexposures acquired bythe System bank from third-partyentities) in which theoriginatingSystem bank (as an originating System institution) does not retain any securitization exposureshould beshown separatelybut need onlybe reported fortheyear of inception. System banksare required to disclose exposures regardless of whetherthereis acapital chargeunder this part.
5Includecredit-related other than temporaryimpairment (OTTI).
6For example, charge-offs/allowances(ifthe assets remain on the System bank's balancesheet) or credit-relatedOTTIofinterest-onlystripsand other retained residual interests, as wellas recognition of liabilities forprobable futurefinancial support required of the System bank with respect to securitized assets.
TABLE9TO§628.63 –EQUITIES
Qualitative Disclosures / (a) / Thegeneral qualitativedisclosure requirement with respect to equityrisk:(1)Differentiation between holdings on whichcapital gains are expected and thosetakenunder other objectives includingfor relationship and strategicreasons;and
(2)Discussion ofimportant policies coveringthevaluation of and accountingforequity. This includes the accountingtechniques andvaluation methodologies used, includingkeyassumptions and practices affectingvaluation as wellas significant changes in these practices.
Quantitative Disclosures / (b) / Value disclosed on the balancesheet of investments, as wellas the fair value of thoseinvestments; forsecurities thatarepublicly traded, acomparison to publiclyquoted sharevalues wherethe sharepriceis materiallydifferentfromfair value.
(c) / Thetypesandnatureofinvestments,includingtheamountthatis:
(1)Publiclytraded; and
(2)Non-publiclytraded.
(d) / The cumulativerealizedgains (losses) arisingfromsalesand liquidations in the reportingperiod.
(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) / [Reserved]
1Unrealized gains (losses) recognized on the balancesheet butnot throughearnings.
2Unrealized gains(losses) not recognized either on the balancesheet or through earnings.
TABLE10TO§628.63–INTERESTRATERISKFORNON-TRADINGACTIVITIES
Qualitative disclosures / (a) / Thegeneral qualitativedisclosure requirement, includingthe nature ofinterestrate risk fornon-tradingactivities and keyassumptions, includingassumptions regardingloan prepayments andbehavior of non-maturitydeposits, and frequencyof measurement of interest rate risk fornon-trading activities.Quantitative disclosures / (b) / Theincrease (decline) inearnings or economicvalue (or market value of equity or other relevant measureusedbymanagement) forupward and downward rate shocks accordingto management's method for measuringinterest rate risk fornon-trading activities, categorized bycurrency(as appropriate).
[81 FR 49808, July 28, 2016]