§ 628.63 - Disclosures.

§ 628.63 Disclosures.

Cross Reference

Link to an amendment published at 89 FR 25130, Apr. 10, 2024.

(a) Except as provided in § 628.62, a System bank must make the disclosures described in Tables 1 through 10 of this section. The System bank must make these disclosures publicly available for each of the last 3 years (that is, 12 quarters) or such shorter period beginning on January 1, 2017.

(b) A System bank must publicly disclose each quarter the following:

(1) CET1 capital, tier 1 capital, and total capital ratios, including all the regulatory capital elements and all the regulatory adjustments and deductions needed to calculate the numerator of such ratios;

(2) Total risk-weighted assets, including the different regulatory adjustments and deductions needed to calculate total risk-weighted assets;

(3) [Reserved]

(4) A reconciliation of regulatory capital elements using month-end balances as they relate to its balance sheet in any applicable audited consolidated financial statements. The reconciliation must include a statement that compliance with the regulatory capital requirements outlined in subpart B of this part is determined using average daily balances for the most recent 3 months.

Table 1 to § 628.63—Scope of Application

Qualitative Disclosures	(a) The name of the top corporate entity in the group to which this subpart applies.1
	(b) A brief description of the differences in the basis for consolidating entities2 for accounting and regulatory purposes, with a description of those entities:
	(1) That are fully consolidated;
	(2) That are deconsolidated and deducted from total capital;
	(3) For which the total capital requirement is deducted; and
	(4) That are neither consolidated nor deducted (for example, where the investment in the entity is assigned a risk weight in accordance with this subpart).
	(c) Any restrictions, or other major impediments, on transfer of funds or total capital within the group.
Quantitative Disclosures	(d) [Reserved]
	(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 The System bank is the top corporate entity.

² Entities include any subsidiaries authorized by the FCA, including operating subsidiaries, service corporations, and unincorporated business entities.

Table 2 to § 628.63—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 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) 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; and
	(2) Regulatory adjustments and deductions made to tier 1 capital.
	(d) The amount of total capital, with separate disclosure of:
	(1) Common cooperative equities not included in common equity tier 1 capital;
	(2) Tier 2 capital elements, including tier 2 capital instruments; and
	(3) Regulatory adjustments and deductions made to total capital, including deductions of third-party capital under § 628.23.

Table 3 to § 628.63—Capital Adequacy

Qualitative disclosures	(a) A summary discussion of the System bank'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, 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) Corporate exposures, 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 mortgage exposures;
	(8) [Reserved]
	(9) Past due and nonaccrual exposures;
	(10) Exposures to other assets;
	(11) Cleared transactions;
	(12) Unsettled transactions;
	(13) Securitization exposures; and
	(14) Equity exposures.
	(c) [Reserved]
	(d) Common equity tier 1, tier 1 and total risk-based capital ratios for the System bank.
	(e) Total standardized risk-weighted assets.

Table 4 to § 628.63—Capital Buffers

Quantitative Disclosures	(a) At least quarterly, the System bank must calculate and publicly disclose the capital conservation buffer and leverage buffer as described under § 628.11.
	(b) At least quarterly, the System bank must calculate and publicly disclose the eligible retained income of the System bank, as described under § 628.11.
	(c) At least quarterly, the System bank must calculate and publicly disclose any limitations it has on distributions and discretionary bonus payments resulting from the buffer framework described under § 628.11, including the maximum payout amount and/or maximum leverage payout amount for the quarter.

(c) General qualitative disclosure requirement. For each separate risk area described in tables 5 through 10 of this section, the System bank must describe its risk management objectives and policies, including: Strategies and processes; the structure and organization of the relevant risk management function; the scope and nature of risk reporting and/or measurement systems; policies for hedging and/or mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges/mitigants.

Table 5 to § 628.63¹—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 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 adjusted allowance for credit 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 adjusted allowance for credit 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 adjusted allowance for credit losses.6
	(h) Remaining contractual maturity delineation (for example, one year or less) of the whole portfolio, categorized by credit exposure.

¹ This Table 5 does not cover equity exposures, which should be reported in Table 9 of this section.

² See, for example, ASC Topic 815-10 and 210, as they may be amended from time to time.

³ A System bank can satisfy this requirement by describing the geographic distribution of its loan portfolio by State or other significant geographic division, if any.

⁴ A System bank 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 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 6 to § 628.63—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;
	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 System bank would have to provide given deterioration in the System bank'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 System bank 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 credit derivatives used for the System bank's own credit portfolio.

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 § 628.63—Credit Risk Mitigation^{1 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 System bank;
	(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 System bank must provide the disclosures in this Table 7 in relation to credit risk mitigation that has been recognized for the purposes of reducing capital requirements under this subpart. Where relevant, System banks 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 of this section).

Table 8 to § 628.63—Securitization¹

Qualitative Disclosures	(a) The general qualitative disclosure requirement with respect to a securitization (including synthetic securitizations), including a discussion of:
	(1) The System bank's objectives for securitizing assets, including the extent to which these activities transfer credit risk of the underlying exposures away from the System bank to other entities and including the type of risks assumed and retained with resecuritization activity;2
	(2) The nature of the risks (e.g. liquidity risk) inherent in the securitized assets;
	(3) The roles played by the System bank in the securitization process3 and an indication of the extent of the System bank'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 System bank's policy for mitigating the credit risk retained through securitization and resecuritization exposures; and
	(6) The risk-based capital approaches that the System bank follows for its securitization exposures including the type of securitization exposure to which each approach applies.
	(b) [Reserved]
	(c) Summary of the System bank'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 System bank 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 System bank in securitizations that meet the operational criteria provided in § 628.41 (categorized into traditional and synthetic securitizations), by exposure type.4
	(f) For exposures securitized by the System bank in securitizations that meet the operational criteria in § 628.41:
	(1) Amount of securitized assets that are impaired/past due categorized by exposure type;5 and
	(2) Losses recognized by the System bank 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) Exposures that have been deducted entirely from tier 1 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.

¹ A 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.

² The System bank 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 System bank is active.

³ Roles in securitizations generally could include originator, investor, servicer, provider of credit 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” include underlying exposures originated by the System 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 System bank's balance sheet and underlying exposures acquired by the System bank from third-party entities) in which the originating System bank (as an originating System institution) does not retain any securitization exposure should be shown separately but need only be reported for the year of inception. System 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 System 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 System bank with respect to securitized assets.

Table 9 to § 628.63—Equities

Qualitative Disclosures	(a) The general qualitative disclosure requirement with respect to equity risk:
	(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. 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) [Reserved]

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 § 628.63—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 market value of equity or other 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).

[81 FR 49779, July 28, 2016, as amended at 86 FR 54360, Oct. 1, 2021; 87 FR 27493, May 9, 2022]