Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 33423 

section provides the FDIC with the 

requested written commitments within 

the timeframe specified in the letter, 

and where any required remediation has 

been verified by FDIC staff, the FDIC 

will generally take no further 

administrative enforcement against such 

a party under § 328.107. 

(d) Where a recipient of an advisory 

letter described in paragraph (a) of this 

section fails to respond to the letter, 

fails to make the requested 

commitments, or fails to provide 

additional information, documentation, 

or justifications that the FDIC, in its 

discretion, finds adequate to 

substantiate the representations made or 

otherwise refute the concerns set forth 

in the advisory letter, the FDIC may 

pursue all remedies set forth in this 

subpart. 

(e) Nothing in this section will 

prevent the FDIC from commencing a 

formal enforcement action under 

§ 328.107 at any time before or after the 

issuance of an advisory letter under this 

section if: 

(1) The FDIC has reason to believe 

that consumers or Insured Depository 

Institutions may suffer harm arising 

from continued violations; or 

(2) The person to whom such an 

advisory letter would be sent has 

previously received a similar advisory 

letter from the FDIC under paragraph (a) 

of this section. 

§ 328.107 Formal enforcement actions. 

(a) Enforcement authority. For the 

purpose of enforcing the requirements 

of section 18(a)(4) of the FDI Act (12 

U.S.C. 1818(a)(4)) and this subpart, the 

General Counsel has delegated authority 

to bring administrative enforcement 

actions against any person under 

sections 8(b), (c), (d), and (i) of the FDI 

Act (12 U.S.C. 1818(b), 1818(c), 1818(d), 

and 1818(i)). In the case of conduct by 

a Regulated Institution for which 

another Federal banking agency is the 

appropriate Federal banking agency or 

an institution-affiliated party of such an 

institution, the General Counsel may not 

bring an enforcement action under this 

subpart unless the FDIC has provided 

the appropriate Federal banking agency 

with notice as set forth in 

§ 328.105(a)(1) and the appropriate 

Federal banking agency failed to take 

the recommended action. 

(b) Venue. Unless the person who is 

the subject of the enforcement action 

consents to a different location, the 

venue for an administrative action 

commenced under section 18(a)(4) of 

the FDI Act (12 U.S.C. 1818(a)(4)), will 

be as follows: 

(1) In a case where the person who is 

the subject of the action is an Insured 

Depository Institution or an IAP of an 

Insured Depository Institution, in the 

Federal judicial district or territory in 

which the home office of the Insured 

Depository Institution is located. 

(2) In a case where the person who is 

the subject of the action is not an 

Insured Depository Institution or an IAP 

of an Insured Depository Institution, the 

Federal judicial district or territory 

where the person who is the subject of 

the action resides, if the subject resides 

in the United States. If the subject of the 

action does not reside in the United 

States, the venue will be where the 

subject of the action conducts business 

or the Federal judicial district for the 

District of Columbia. 

(3) For the purposes of paragraph 

(b)(1) of this section, a natural person is 

deemed to reside in the Federal judicial 

district where the natural person is 

domiciled. A person other than a 

natural person is deemed to reside in 

the Federal judicial district where it is 

headquartered or has its principal place 

of business. 

(c) Rules of practice and procedure. 

All actions brought and maintained 

under this section will be subject to the 

FDIC’s Rules of Practice and Procedure 

in subparts A through C of part 308 of 

this chapter (12 CFR 308.1 through 

308.109). 

§ 328.108 Appeals process. 

(a) A person who is the subject of a 

final order issued after an 

administrative action commenced 

pursuant to this subpart may obtain 

judicial review of such order in 

accordance with the procedures set 

forth in section 8(h)(2) of the FDI Act 

(12 U.S.C. 1818(h)(2)). 

(b) Petitions for review under this 

section may be filed in the court of 

appeals for the circuit where the hearing 

was held or the United States Court of 

Appeals for the District of Columbia 

Circuit. 

§ 328.109 Other actions preserved. 

No provision of this subpart shall be 

construed as barring any action 

otherwise available, under the laws or 

regulations of the United States or any 

state, to any Federal or state agency or 

person. 

Federal Deposit Insurance Corporation. 

By order of the Board of Directors. 

Dated at Washington, DC, on May 17, 2022. 

James P. Sheesley, 

Assistant Executive Secretary. 

[FR Doc. 2022–10903 Filed 6–1–22; 8:45 am] 

BILLING CODE 6714–01–P 

FEDERAL HOUSING FINANCE 

AGENCY 

12 CFR Part 1240 

RIN 2590–AB18 

Enterprise Regulatory Capital 

Framework—Public Disclosures for the 

Standardized Approach 

AGENCY: Federal Housing Finance 

Agency. 

ACTION: Final rule. 

SUMMARY: The Federal Housing Finance 

Agency (FHFA or the Agency) is 

adopting a final rule (final rule) that 

amends the Enterprise Regulatory 

Capital Framework (ERCF) by 

introducing new public disclosure 

requirements for the Federal National 

Mortgage Association (Fannie Mae) and 

the Federal Home Loan Mortgage 

Corporation (Freddie Mac, and with 

Fannie Mae, each an Enterprise). The 

requirements include quantitative and 

qualitative disclosures related to risk 

management, corporate governance, 

capital structure, and capital 

requirements and buffers under the 

standardized approach. 

DATES: This rule is effective August 1, 

2022. 

FOR FURTHER INFORMATION CONTACT: 

Andrew Varrieur, Senior Associate 

Director, Office of Capital Policy, (202) 

649–3141, Andrew.Varrieur@fhfa.gov; 

Christopher Vincent, Senior Financial 

Analyst, Office of Capital Policy, (202) 

649–3685, Christopher.Vincent@

fhfa.gov; or James Jordan, Associate 

General Counsel, Office of General 

Counsel, (202) 649–3075, 

James.Jordan@fhfa.gov (these are not 

toll-free numbers); Federal Housing 

Finance Agency, 400 7th Street SW, 

Washington, DC 20219. For TTY/TRS 

users with hearing and speech 

disabilities, dial 711 and ask to be 

connected to any of the contact numbers 

above. 

SUPPLEMENTARY INFORMATION: 

Table of Contents 

I. Introduction 

II. Overview of the Final Rule 

III. General Overview of Comments on the 

Proposed Rule 

IV. Public Disclosure Requirements 

A. General Requirements 

B. Standardized Approach 

C. Market Risk 

V. Frequency of Disclosures 

VI. Compliance Dates 

VII. Location of Disclosures and Audit 

Requirements 

VIII. Proprietary and Confidential 

Information 

IX. Paperwork Reduction Act 

X. Regulatory Flexibility Act 


jspears on DSK121TN23PROD with RULES1
33424 Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 

1 86 FR 60589. 

2 85 FR 82150. 

3See comments on Amendments to the Enterprise 

Regulatory Capital Framework Rule—Public 

Disclosures for the Standardized Approach, 

available at https://www.fhfa.gov/ 

SupervisionRegulation/Rules/Pages/CommentList.aspx?RuleID=710. The comment period for the 

proposed rule closed on January 3, 2022. 

XI. Congressional Review Act 

I. Introduction 

On November 3, 2021, FHFA 

published in the Federal Register a 

notice of proposed rulemaking 

(proposed rule) seeking comments on 

amendments to the ERCF that would 

implement new public disclosure 

requirements for the Enterprises.1 FHFA 

proposed these amendments to improve 

market discipline and encourage sound 

risk-management practices at the 

Enterprises by ensuring that market 

participants have access to sufficient 

information with which they can assess 

an Enterprise’s material risks and 

capital adequacy and make informed 

investment decisions. Public disclosures 

that are clear, comprehensive, useful, 

consistent over time, and comparable 

across Enterprises will facilitate such 

analyses and will therefore contribute to 

the safety and soundness of the 

Enterprises, decreasing risk to U.S. 

taxpayers. FHFA is now adopting in this 

final rule the proposed amendments, 

substantially as proposed, with minor 

modifications as discussed in the 

relevant sections of this preamble. 

The public disclosure requirements in 

the final rule align with many of the 

public disclosure requirements for large 

banking organizations under the 

regulatory capital framework adopted by 

United States banking regulators (U.S. 

banking framework). Modern bank 

disclosure requirements were initially 

contemplated by the Basel Committee 

on Banking Supervision (BCBS) under 

Pillar 3 of Basel II in order to 

complement the minimum capital 

requirements and the supervisory 

review process and were later expanded 

with additional requirements in Basel 

III. In much the same way, the public 

disclosure requirements in the final rule 

will bolster the ERCF as it aims to 

ensure that each Enterprise operates in 

a safe and sound manner and is 

positioned to fulfill its statutory mission 

to provide stability and ongoing 

assistance to the secondary mortgage 

market across the economic cycle, in 

particular during periods of financial 

stress.2

II. Overview of the Final Rule 

The final rule implements 

quantitative and qualitative disclosure 

requirements related to risk 

management, corporate governance, 

capital structure, statutory capital 

requirements, supplemental capital 

requirements, including risk-weighted 

assets calculated under the standardized 

approach, and capital buffers. In 

contrast to the U.S. banking framework, 

which has fewer requirements and 

buffers under the standard approach 

than under the advanced approaches, 

the ERCF requires the Enterprises to 

satisfy the same capital buffers and 

leverage requirements under the 

standard approach and under the 

advanced approaches. Therefore, the 

final rule adapts the public disclosure 

requirements in the U.S. banking 

framework to reflect the ERCF’s 

standardized approach, blending 

elements from the U.S. banking 

framework’s standardized and advanced 

approaches. While the final rule 

implements disclosure requirements for 

the ERCF’s standardized approach only, 

FHFA may in the future consider 

additional disclosure requirements 

related to the advanced approaches. 

In general, the final rule requires 

quarterly quantitative disclosures and 

annual qualitative disclosures, provided 

the Enterprises disclose any material 

changes to disclosure items as soon as 

practicable, and no later than the end of 

the next calendar quarter. As discussed 

below, Enterprises will publish on their 

websites their first public disclosure 

reports under the final rule in the first 

quarter of 2023. This timeframe will 

allow the Enterprises to establish the 

internal reporting and governance 

functions necessary to fulfill the 

disclosure requirements and will 

minimize duplicative reporting by 

aligning the schedule of annual 

qualitative disclosures with the 

Securities and Exchange Commission’s 

(SEC) reporting schedule for Form 10– 

K. 

The final rule balances the potential 

costs of disclosures with the many 

benefits, including the benefits of 

increased market discipline of the 

Enterprises. By allowing market 

participants to assess key information 

about the Enterprises’ risk profiles and 

associated levels of capital, the final 

rule will promote transparency, increase 

the amount of information available to 

the public, and encourage sound risk 

management practices at the 

Enterprises. In doing so, the final rule 

will foster financial stability at the 

Enterprises and in the broader housing 

finance market both during and after the 

Enterprisers’ conservatorships. 

However, enhanced public disclosures 

could be costly for the Enterprises. The 

final rule strikes an appropriate balance 

between the market benefits of 

disclosure and the additional financial 

burden to the Enterprises by permitting 

the Enterprises to fulfill many of the 

disclosure requirements by relying on 

similar disclosures made in accordance 

with accounting standards or SEC 

mandates. When an Enterprise fulfills a 

disclosure requirement using 

information provided in a different 

regulatory report, the Enterprise must 

provide a summary table that 

specifically indicates where the crossreferenced disclosures may be found 

and provide a reconciliation of 

regulatory capital elements as they 

relate to its balance sheet in any audited 

consolidated financial statements 

should there be differences between the 

accounting or other disclosures and the 

disclosures required under the final 

rule. 

As proposed, the final rule also 

introduces a materiality concept for 

items not explicitly identified as 

required disclosures. The materiality 

concept is designed to ensure that 

improvements in public disclosures 

come not only from regulatory 

standards, but also as a result of efforts 

made by management at the Enterprises 

to communicate advances in risk 

management processes and internal 

reporting systems to public shareholders 

and other market participants. In a 

manner similar to the requirements for 

U.S. banking organizations, the final 

rule requires an Enterprise to decide 

which additional disclosures are 

relevant based on this materiality 

concept. Information is material if its 

omission or misstatement could change 

or influence the assessment or decision 

of a user relying on that information for 

the purpose of making investment 

decisions. Similarly, the final rule 

requires an Enterprise to have a formal 

disclosure policy approved by its board 

of directors that addresses the 

Enterprise’s approach for determining 

which disclosures are necessary and 

appropriate. The policy must address 

internal controls, disclosure controls, 

and procedures. 

III. General Overview of Comments on 

the Proposed Rule 

FHFA received six public comment 

letters on the proposed rule.3 In general, 

commenters were very supportive of the 

proposed disclosure requirements. Most 

commenters recommended FHFA adopt 

the amendments to the ERCF as 

proposed, with a few specific 

recommendations which are discussed 

in the relevant sections below. 

However, one commenter expressed 

only measured support for the 


jspears on DSK121TN23PROD with RULES1
Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 33425 

disclosure requirements due to the 

Enterprises being in conservatorships. 

The commenter stated that without 

more certainty regarding the future of 

the Enterprises, a rule requiring the 

Enterprises to devote substantial time 

and resources to developing and 

producing these disclosures seems to be 

premature. FHFA maintains that 

requirements that encourage sound riskmanagement practices, such as 

comprehensive, consistent, and 

comparable public disclosures, serve an 

important function at the Enterprises 

regardless of an Enterprise’s 

conservatorship status. 

In addition to comments directly 

related to the proposed amendments, 

FHFA also received several comments 

on other matters, such as the magnitude 

of funds remitted to the U.S. 

Department of the Treasury by the 

Enterprises relative to cumulative 

draws, the costs of owning or renting a 

home in the U.S., and the implications 

of mortgage originators selling their debt 

to other financial institutions. FHFA 

acknowledges the importance of these 

topics and will thoroughly consider the 

public’s feedback on these issues when 

relevant rulemakings and policy 

decisions are under consideration. 

IV. Public Disclosure Requirements 

A. General Requirements 

The proposed rule would implement 

general requirements related to a formal 

disclosure policy, the concept of 

materiality, and fulfilling disclosure 

requirements by relying on other 

required public reports. 

Market participants consider many 

factors when making their assessment of 

an Enterprise, including the Enterprise’s 

risk profile and the techniques it uses to 

identify, measure, monitor, and control 

the risks to which the Enterprise is 

exposed. Accordingly, the proposed rule 

would require an Enterprise to have a 

formal disclosure policy approved by its 

board of directors that addresses the 

Enterprise’s approach for determining 

which disclosures are necessary and 

appropriate. The policy would be 

required to address internal controls, 

disclosure controls, and procedures. 

The board of directors and senior 

management would ensure the 

appropriate review of the disclosures 

and that effective internal controls, 

disclosure controls, and procedures are 

maintained. One or more senior officers 

of the Enterprise would be required to 

attest that the disclosures meet the 

requirements of the proposed rule. The 

final rule adopts the requirements 

related to a formal disclosure policy as 

proposed. 

For items not explicitly identified as 

required disclosures, the proposed rule 

would require an Enterprise to decide 

which additional disclosures are 

relevant based on a materiality concept. 

Information is material if its omission or 

misstatement could change or influence 

the assessment or decision of a user 

relying on that information for the 

purpose of making investment 

decisions. Through the implementation 

of a materiality concept, FHFA would 

encourage the management of each 

Enterprise to regularly review its public 

disclosures and enhance these 

disclosures, where appropriate, to 

clearly identify all significant risk 

exposures and their effects on the 

Enterprise’s financial condition and 

performance, cash flow, and earnings 

potential. The final rule adopts the 

requirements related to the materiality 

concept as proposed. 

To help mitigate the financial burden 

of public disclosures, the proposed rule 

would allow an Enterprise to fulfill 

some of the disclosure requirements by 

relying on similar disclosures made in 

accordance with accounting standards 

or SEC mandates. In addition, an 

Enterprise could use information 

provided in regulatory reports to fulfill 

the disclosure requirements. In these 

situations, an Enterprise would be 

required to provide a reconciliation of 

regulatory capital elements as they 

relate to its balance sheet in any audited 

consolidated financial statements 

should there be differences between the 

accounting or other disclosures and the 

disclosures required under the proposed 

rule. In addition, an Enterprise would 

be required to provide a summary table 

that specifically indicates where all the 

cross-referenced disclosures may be 

found. The final rule adopts, without 

change, the proposed requirements 

related to fulfilling disclosure 

requirements by relying on other 

required reports. 

B. Standardized Approach 

The proposed rule would require 

public disclosures related to the ERCF 

standardized approach across eleven 

categories, with each category 

containing qualitative disclosures and 

quantitative disclosures, with one 

exception. The categories are: (1) Capital 

structure; (2) capital adequacy; (3) 

capital buffers; (4) credit risk: general 

disclosures; (5) general disclosure for 

counterparty credit risk-related 

exposures; (6) credit risk mitigation; (7) 

credit risk transfers (CRT) and 

securitization; (8) equities; (9) interest 

rate risk for non-trading activities; (10) 

operational risk; and (11) tier 1 leverage 

ratio. The first 10 categories would 

require both quantitative and qualitative 

disclosures, while the required 

disclosures related to the tier 1 leverage 

ratio would be quantitative only. Many 

of the disclosures described within the 

categories are identical to the 

disclosures applicable to U.S. banking 

organizations subject to the 

standardized approach. Others have 

been modified to reflect the ERCF, such 

as those referring to statutory core 

capital and statutory total capital, 

adjusted total capital, the prescribed 

capital conservation buffer amount 

(PCCBA), and CRT. In addition, FHFA 

has excluded several disclosure items 

that are included in the U.S. banking 

framework for activities or 

categorizations not relevant in the 

ERCF, such as exposures to foreign 

banks, statutory multifamily mortgages, 

and high volatility commercial real 

estate (HVCRE). 

The standardized approach in the 

ERCF differs broadly from the U.S. 

banking standardized approach in its 

inclusion of risk-weighted assets for 

operational risk and market risk, in its 

application of capital buffers, and in its 

application of leverage ratio 

requirements. In contrast to capital 

requirements for banking organizations 

subject to the standardized approach in 

the U.S. banking framework, the 

standardized approach in the ERCF 

requires an Enterprise to capitalize 

operational and market risks, to apply 

every component of the PCCBA 

including the countercyclical capital 

buffer, and to apply the same leverage 

ratio requirements and prescribed 

leverage buffer amount (PLBA) 

regardless of approach. Accordingly, the 

proposed rule would require an 

Enterprise to publicly disclose 

qualitative and quantitative information 

related to these items in the 

standardized approach. 

Several of the proposed rule’s 

qualitative disclosure requirements for 

operational risk pertain to the advanced 

measurement approach (AMA). These 

disclosures would include a description 

of the AMA, as well as a discussion of 

relevant internal and external factors 

considered in the Enterprise’s 

measurement approach. Because the 

Enterprises are not required to 

implement the AMA approach until at 

least January 1, 2025, FHFA would 

expect the AMA-related disclosures to 

begin at the same time. Until then, the 

Enterprises are required to adhere to an 

operational risk capital requirement of 

15 basis points of adjusted total assets. 

Advanced approaches banking 

organizations must disclose information 

related to total leverage exposure (TLE) 

and the supplementary leverage ratio, 


jspears on DSK121TN23PROD with RULES1
33426 Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 

while standardized approach banking 

institutions are not required to do so. 

The ERCF analog to the concept of TLE 

is adjusted total assets, and the analog 

to the concept of the supplementary 

leverage ratio is the tier 1 leverage ratio. 

In contrast to the U.S. banking 

framework, the ERCF tier 1 leverage 

ratio requirement is the same for an 

Enterprise operating under the 

standardized or advanced approaches. 

In addition, under the ERCF the PCCBA 

is based on adjusted total assets, while 

the capital conservation buffer in the 

U.S. banking framework is based on 

risk-weighted assets. For these reasons, 

FHFA included disclosures related to 

the leverage ratio and adjusted total 

assets within the disclosure 

requirements for the standardized 

approach. 

Many of the disclosure requirements 

for the standardized approach are also 

applicable to the advanced approach. 

For example, the disclosure items 

described within the categories for 

capital structure, PCCBA, PLBA, 

operational risk, and leverage would not 

differ conditional on whether an 

Enterprise’s total risk-weighted assets 

are higher under the standardized 

approach or the advanced approach. 

Because these items are applicable to 

the standardized approach, the 

proposed rule would include 

disclosures related to these items within 

the disclosure requirements for the 

standardized approach. 

The proposed rule would require an 

Enterprise to make the required 

disclosures publicly available for each 

of the last three years or such shorter 

time period beginning when the 

disclosure requirements come into 

effect. The public disclosure 

requirements are designed to provide 

important information to market 

participants on capital, risk exposures, 

risk assessment processes, and, thus, the 

capital adequacy of an Enterprise. 

Although the disclosure requirements 

are categorized into tables, the 

substantive content is the focus of the 

disclosure requirements, not the tables 

themselves. The proposed rule would 

require an Enterprise to make the 

disclosures described in tables 1 

through 11 to § 1240.63. 

Table 1 disclosures, ‘‘Capital 

Structure,’’ would provide summary 

information on the terms and conditions 

of the main features of regulatory capital 

instruments, which would allow for an 

evaluation of the quality of the capital 

available to absorb losses within an 

Enterprise. An Enterprise also would 

disclose the total amount of common 

equity tier 1, core, tier 1, total, and 

adjusted total capital, with separate 

disclosures for deductions and 

adjustments to capital. 

Table 2 disclosures, ‘‘Capital 

Adequacy,’’ would provide information 

on an Enterprise’s approach for 

categorizing and risk-weighting its 

exposures, as well as the amount of total 

risk-weighted assets. The table would 

also include common equity tier 1, tier 

1, and adjusted total risk-based capital 

ratios. 

Table 3 disclosures, ‘‘Capital Buffers,’’ 

would require an Enterprise to disclose 

the PCCBA, the PLBA, eligible retained 

income, and any limitations on capital 

distributions and certain discretionary 

bonus payments, as applicable. 

One commenter recommended FHFA 

either clarify or remove the proposed 

requirement that an Enterprise discuss 

the differential effects, if any, the buffers 

have on an Enterprise’s business by 

geographic breakdown. The commenter 

noted that the ERCF buffers are applied 

at the Enterprise-level, not by business 

line, and are based on adjusted total 

assets rather than risk-weighted assets. 

For these reasons, items that do vary by 

geographic region, such as house price 

appreciation, should have no 

differential impact on the capital 

buffers. In light of the commenter’s 

recommendation and rationale, FHFA 

removed from the final rule the Table 3 

line (a) requirement to discuss the 

differential effects, if any, the buffers 

have on an Enterprise’s business by 

geographic breakdown. 

Tables 4, 5, and 6 disclosures, related 

to credit risk, counterparty credit risk, 

and credit risk mitigation, respectively, 

would provide market participants with 

insight into different types and 

concentrations of credit risk to which an 

Enterprise is exposed and the 

techniques it uses to measure, monitor, 

and mitigate those risks. These 

disclosures are intended to enable 

market participants to assess the credit 

risk exposures of the Enterprise without 

revealing proprietary information. 

Table 7 disclosures, ‘‘CRT and 

Securitization,’’ would provide 

information to market participants on 

the amount of credit risk transferred and 

retained by an Enterprise through CRT 

and securitization transactions, the 

types of products securitized by the 

Enterprise, the risks inherent in the 

Enterprise’s securitized assets, the 

Enterprise’s policies regarding credit 

risk mitigation, and the names of any 

entities that provide external credit 

assessments of a securitization. These 

disclosures would provide for a better 

understanding of how securitization 

transactions impact the credit risk of an 

Enterprise. To further facilitate that 

understanding, securitization 

transactions in which the originating 

Enterprise does not retain any 

securitization exposure would be shown 

separately and would only be reported 

for the year of inception. 

One commenter recommended that 

certain required market risk disclosures 

from proposed §§ 1240.205(d)(7) and 

(d)(8) be relocated to this Table 7. These 

disclosures relate to the monitoring of 

changes in the credit risk of 

securitization positions and to the 

policy governing the use of credit risk 

mitigation to mitigate the risks of 

securitization and resecuritization 

positions. While FHFA agrees that these 

required disclosures are more 

appropriate to Table 7, FHFA 

determined that no additions to the 

table in the final rule were necessary 

given disclosure items (a)(4) and (a)(5) 

of Table 7, which adequately cover 

these topics. 

Table 8 disclosures, ‘‘Equities,’’ 

would provide market participants with 

an understanding of the types of equity 

securities held by the Enterprise and 

how they are valued. The table would 

also provide information on the capital 

allocated to different equity products 

and the amount of unrealized gains and 

losses. (In comparison with bank 

holding companies subject to the 

Federal Reserve Board’s Regulation Q, 

on which the proposed regulation was 

based, the types of equity securities that 

may be held by the Enterprises are 

limited. Their capital treatment is 

governed by 12 CFR 1240.51 and 

1240.52.) 

Table 9 disclosures, ‘‘Interest Rate 

Risk for Non-trading Activities,’’ would 

require an Enterprise to provide certain 

quantitative and qualitative disclosures 

regarding the Enterprise’s management 

of interest rate risks. 

Table 10 disclosures, ‘‘Operational 

Risk,’’ would require an Enterprise to 

provide certain qualitative disclosures 

regarding the advanced measurement 

approach, when applicable, and a 

description of the use of insurance for 

the purpose of mitigating operational 

risk. These disclosures would include a 

description of the AMA, as well as a 

discussion of relevant internal and 

external factors considered in the 

Enterprise’s measurement approach. 

Table 11 disclosures, ‘‘Tier 1 Leverage 

Ratio,’’ would provide information 

related to an Enterprise’s adjusted total 

assets, including adjustments for 

fiduciary assets, derivative exposures, 

repo-style transactions, and off-balance 

sheet exposures. The table would also 

include an Enterprise’s tier 1 leverage 

ratio. These disclosures are intended to 

enable market participants to assess the 

aggregate exposure to risk at an 


jspears on DSK121TN23PROD with RULES1
Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 33427 

Enterprise and to consider that risk 

against the Enterprise’s capital backstop. 

The final rule adopts the disclosure 

requirements for the standardized 

approach substantially as proposed, 

with one adjustment to Table 3, as 

discussed above. 

C. Market Risk 

In § 1240.205, the proposed rule 

would require an Enterprise to make 

public disclosures related to market risk 

for covered positions under the 

standardized approach. These 

disclosures would provide quantitative 

and qualitative information related to an 

Enterprise’s market risk profile, market 

risk valuation strategies, internal 

controls, and disclosure controls and 

procedures. The quantitative disclosures 

would detail exposure amounts and 

risk-weighted assets for material 

portfolios of covered positions, as well 

as on-balance sheet and off-balance 

sheet securitization positions by 

exposure type. 

The proposed rule’s market risk 

disclosure requirements would include 

a formal disclosure policy approved by 

an Enterprise’s board of directors that 

addresses the Enterprise’s approach for 

determining its market risk disclosures. 

The policy would address the associated 

internal controls and disclosure controls 

and procedures and would contain 

requirements related to the verification 

and attestation of disclosures and the 

maintaining of effective controls and 

procedures. The requirements would 

also include quarterly quantitative 

disclosures for each material portfolio of 

covered positions related to exposure 

and risk-weighted asset amounts as well 

as the aggregate amount of on-balance 

sheet and off-balance sheet 

securitization positions by exposure 

type. 

In addition, an Enterprise would be 

required to make annual public 

disclosures for each material portfolio of 

covered positions related generally to 

portfolio composition and valuation 

policies, procedures, and 

methodologies. These disclosures would 

include, among other things, key 

valuation assumptions and information 

on significant changes, model 

characteristics used to calculate riskweighted assets for market risk, and a 

description of the approaches used for 

validating and evaluating the accuracy 

of internal models and modeling 

processes. In addition, the annual 

disclosures would include a description 

of the Enterprise’s processes for 

monitoring changes in the market risk of 

securitization positions. 

As discussed above, one commenter 

recommended that certain credit risk 

disclosures in proposed 

§§ 1240.205(d)(7) and (d)(8) be relocated 

to a more appropriate section. FHFA 

determined that these disclosures, 

related to the monitoring of changes in 

the credit risk of securitization positions 

and to the policy governing the use of 

credit risk mitigation to mitigate the 

risks of securitization and 

resecuritization positions, were already 

present in Table 7 of § 1240.63. As a 

result, FHFA has removed reference to 

credit risk from proposed 

§ 1240.205(d)(7) and deleted proposed 

§ 1240.205(d)(8). 

The final rule adopts the disclosure 

requirements for market risk under the 

standardized approach substantially as 

proposed, with adjustments to proposed 

§§ 1240.205(d)(7) and (d)(8), as 

discussed above. 

V. Frequency of Disclosures 

The proposed rule would require the 

Enterprises to make quantitative 

disclosures on a quarterly basis, 

consistent with the disclosure 

requirements for most regulated 

financial institutions and frequently 

enough to capture most changes in risk 

profiles. The proposed rule would also 

require the Enterprises to make 

qualitative disclosures that provide a 

general summary of an Enterprise’s riskmanagement objectives and policies, 

reporting system, and definitions may 

be disclosed annually. However, if a 

material change occurs, where for the 

purpose of these disclosure 

requirements a material change means a 

change such that the omission or 

misstatement of which could change or 

influence the assessment or decision of 

a user relying on that information for 

the purpose of making investment 

decisions, the proposed rule would 

require the Enterprises to disclose a 

brief discussion of this change and its 

likely impact as soon as practicable, and 

no later than the end of the next 

calendar quarter. 

The proposed rule would also require 

that the disclosures be timely. As 

described above, an Enterprise may be 

able to fulfill some of the proposed 

disclosure requirements by relying on 

similar disclosures made in accordance 

with accounting standards or SEC 

mandates. FHFA acknowledges that 

timing of disclosures required under 

other federal laws, including disclosures 

required under the federal securities 

laws and their implementing regulations 

by the SEC, may not always align with 

the timing of required Enterprise 

disclosures. For this reason, the 

proposed rule described timely 

disclosures as being no later than the 

applicable SEC disclosure deadlines for 

the corresponding Form 10–K annual 

report at the end of a fiscal year and the 

corresponding Form 10–Q at the end of 

other calendar quarters. In cases where 

an Enterprise’s fiscal year-end does not 

coincide with the end of a calendar 

quarter, FHFA would consider the 

timeliness of disclosures on a case-bycase basis. In some cases, management 

may determine that a material change 

has occurred, such that the most recent 

reported amounts do not reflect the 

Enterprise’s capital adequacy and risk 

profile. In those cases, an Enterprise 

would need to disclose the general 

nature of these changes and briefly 

describe how they are likely to affect 

public disclosures going forward. An 

Enterprise would make these interim 

disclosures as soon as practicable after 

the determination that a material change 

has occurred. 

The concept of timely disclosures was 

described in the preamble to the 

proposed rule, but not explicitly in the 

proposed rule itself. FHFA has 

determined to formalize the concept of 

timely disclosures in the final rule by 

adopting similar disclosure deadlines as 

those discussed above, while adding a 

short buffer of 10 business days. 

Therefore, the final rule adopts, without 

change, the proposed requirements 

related to the frequency of public 

disclosures and requires the proposed 

disclosure requirements to be made in a 

timely manner no later than 10 business 

days after an Enterprise files its 

corresponding Annual Report or 

Quarterly report on SEC Form 10–K or 

Form 10–Q, respectively. 

VI. Compliance Dates 

The compliance date for the 

disclosure requirements under the 

proposed rule would be six months 

from the date of publication of the final 

rule in the Federal Register. In addition, 

the proposed rule would generally 

require qualitative disclosures to be 

made annually ‘‘after the end of the 

fourth calendar quarter.’’ One 

commenter recommended that FHFA 

reconsider this compliance date to align 

the required annual qualitative public 

disclosures, and in particular an 

Enterprise’s first public disclosures 

under the final rule which must be 

made after the end of the fourth 

calendar quarter, with the more 

comprehensive annual qualitative 

disclosures included in an Enterprise’s 

Annual Report on the SEC’s Form 10– 

K. The commenter recommended this 

alignment because the required public 

disclosures under the final rule would 

likely reference disclosures made on 

Form 10–K. 


jspears on DSK121TN23PROD with RULES1
33428 Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 

Upon consideration of the 

commenter’s recommendation, the final 

rule adopts a compliance date for the 

new standardized approach disclosure 

requirements in §§ 1240.61 to 1240.63 

and § 1240.205 of no later than 10 

business days after an Enterprise files its 

Annual Report on SEC Form 10–K for 

the fiscal year ending December 31, 

2022. This compliance date will align 

the new public disclosures with the 

reporting cycle for the Enterprises’ 

Annual Reports, while providing a short 

buffer for the publication of an 

Enterprise’s first disclosure report. 

Further, FHFA has determined that the 

costs to an Enterprise of producing a 

public disclosure report containing 

extensive qualitative disclosures one 

quarter before the Enterprise produces a 

public disclosure report where many of 

the same qualitative disclosures will 

likely be included by reference 

outweigh the benefits to investors and 

market participants of having the report 

one quarter earlier, in particular given 

the Enterprises’ current significant 

capital deficits relative to capital 

requirements and buffers under the 

ERCF. 

The proposed rule would also amend 

the reporting requirement compliance 

dates in § 1240.4(b) to remove references 

to parts of the ERCF that do not contain 

reporting requirements. Specifically, the 

proposed rule would remove references 

to compliance dates for reporting 

requirements in subparts C and G of 12 

CFR 1240, §§ 1240.162(d) and 1240.204, 

as these parts do not contain reporting 

requirements. The proposed rule would 

retain without modification the January 

1, 2022 compliance dates for reporting 

requirements outlined in §§ 1240.1(f) 

and 1240.41. 

The final rule adopts, without change, 

the proposed amendments to other 

reporting requirement compliance dates 

in the ERCF. 

VII. Location of Disclosures and Audit 

Requirements 

The proposed rule would require an 

Enterprise to ensure that required 

disclosures are publicly available (for 

example, included on a public website) 

for each of the last three years or such 

shorter time period beginning when the 

proposed rule, if adopted as a final rule, 

comes into effect. In general, 

management of an Enterprise would 

have some discretion to determine the 

appropriate medium and location of the 

disclosures, provided the Enterprise 

meets the requirements related to crossreferencing described below. 

Furthermore, an Enterprise would have 

flexibility in formatting its public 

disclosures unless otherwise ordered by 

FHFA under its general authority to 

follow specific reporting guidelines or 

procedures, including potentially 

utilizing specified templates for certain 

quantitative disclosure elements. For 

example, FHFA may determine that 

standardizing the way the Enterprises 

present a subset of the required 

quantitative disclosures would facilitate 

the ability of market participants to 

compare attributes or results across 

Enterprises and better assess the risk 

profile and capital adequacy of each 

Enterprise. Conversely, there may be 

aspects of the required disclosures that 

cannot easily be standardized or where 

comparison across Enterprises may be 

less meaningful to market participants, 

such as descriptions of an Enterprise’s 

risk management practices or certain 

analyses that contain bespoke risk 

metrics. 

FHFA encourages each Enterprise to 

make all required disclosures available 

in one place on the Enterprise’s public 

website, the address of which should be 

communicated in the Enterprise’s 

regulatory report. However, the 

proposed rule would permit an 

Enterprise to provide the disclosures in 

more than one place, such as in its 

public financial reports (for example, in 

Management’s Discussion and Analysis 

included in SEC filings) or other 

regulatory reports, as long as the 

Enterprise also provides a summary 

table on its public website that 

specifically indicates where all the 

disclosures may be found (for example, 

regulatory report schedules, page 

numbers in annual reports). 

The proposed rule would require an 

Enterprise to reconcile disclosures of 

regulatory capital elements as the 

elements relate to an Enterprise’s 

balance sheet in any audited 

consolidated financial statements. 

However, disclosures under the 

proposed rule which are not included in 

the footnotes to the audited financial 

statements would not be subject to 

external audit reports for financial 

statements or internal control reports 

from management and the external 

auditor. Therefore, the proposed rule 

would not introduce any new audit 

requirements, and under the proposed 

rule, the audit requirements for an 

Enterprise’s required public disclosures 

would be identical to the audit 

requirements for a banking 

organization’s required public 

disclosures in the U.S. banking 

framework. 

The final rule adopts, without change, 

the proposed requirements related to the 

location of disclosures and audit 

requirements. 

VIII. Proprietary and Confidential 

Information 

FHFA believes that the proposed 

disclosure requirements strike an 

appropriate balance between the need 

for meaningful disclosure and the 

protection of proprietary and 

confidential information. Accordingly, 

FHFA believes that an Enterprise would 

be able to provide all these disclosures 

without revealing proprietary and 

confidential information. Only in rare 

circumstances might the required 

disclosure of certain items of 

information compel an Enterprise to 

reveal confidential and proprietary 

information. In these unusual situations, 

FHFA proposed that if an Enterprise 

believes that disclosure of specific 

commercial or financial information 

would compromise its position by 

making public information that is either 

proprietary or confidential in nature, the 

Enterprise need not disclose those 

specific items. Instead, the Enterprise 

must disclose more general information 

about the subject matter of the 

requirement, together with the fact that, 

and the reason why, the specific items 

of information have not been disclosed. 

This provision would apply only to 

those disclosures included in the 

proposed rule and would not apply to 

disclosure requirements imposed by 

accounting standards or other regulatory 

agencies. 

The final rule adopts the requirements 

related to proprietary and confidential 

information as proposed. 

IX. Paperwork Reduction Act 

The Paperwork Reduction Act (PRA) 

(44 U.S.C. 3501 et seq.) requires that 

regulations involving the collection of 

information receive clearance from the 

Office of Management and Budget 

(OMB). The final rule contains no such 

collection of information requiring OMB 

approval under the PRA. Therefore, no 

information has been submitted to OMB 

for review. 

X. Regulatory Flexibility Act 

The Regulatory Flexibility Act (5 

U.S.C. 601 et seq.) requires that a 

regulation that has a significant 

economic impact on a substantial 

number of small entities, small 

businesses, or small organizations must 

include an initial regulatory flexibility 

analysis describing the regulation’s 

impact on small entities. FHFA need not 

undertake such an analysis if the agency 

has certified that the regulation will not 

have a significant economic impact on 

a substantial number of small entities. 5 

U.S.C. 605(b). FHFA has considered the 

impact of the final rule under the 


jspears on DSK121TN23PROD with RULES1
Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 33429 

Regulatory Flexibility Act. FHFA 

certifies that the final rule will not have 

a significant economic impact on a 

substantial number of small entities 

because the final rule is applicable only 

to the Enterprises, which are not small 

entities for purposes of the Regulatory 

Flexibility Act. 

XI. Congressional Review Act 

In accordance with the Congressional 

Review Act (5 U.S.C. 801 et seq.), FHFA 

has determined that this final rule is a 

major rule and has verified this 

determination with the Office of 

Information and Regulatory Affairs of 

OMB. 

List of Subjects for 12 CFR Part 1240 

Capital, Credit, Enterprise, 

Investments, Reporting and 

recordkeeping requirements. 

Authority and Issuance 

For the reasons stated in the 

Preamble, under the authority of 12 

U.S.C. 4511, 4513, 4513b, 4514, 4515– 

17, 4526, 4611–4612, 4631–36, FHFA 

amends part 1240 of title 12 of the Code 

of Federal Regulation as follows: 

CHAPTER XII—FEDERAL HOUSING 

FINANCE AGENCY 

SUBCHAPTER C—ENTERPRISES 

PART 1240—CAPITAL ADEQUACY OF 

ENTERPRISES 

■ 1. The authority citation for part 1240 

is revised to read as follows: 

Authority: 12 U.S.C. 4511, 4513, 4513b, 

4514, 4515, 4517, 4526, 4611–4612, 4631–36. 

■ 2. Amend § 1240.4 by revising 

paragraph (b) to read as follows: 

§ 1240.4 Transition. 

* * * * * 

(b) Reporting requirements. (1) For 

any reporting requirement under 

§ 1240.1(f) or § 1240.41, the compliance 

date will be January 1, 2022. 

(2) For any reporting requirement 

under §§ 1240.61 through 1240.63, the 

compliance date will be no later than 10 

business days after an Enterprise files its 

Annual Report on SEC Form 10–K for 

the fiscal year ending December 31, 

2022. 

(3) For any reporting requirement 

under § 1240.205, the compliance date 

will be no later than 10 business days 

after an Enterprise files its Annual 

Report on SEC Form 10–K for the fiscal 

year ending December 31, 2022. 

* * * * * 

■ 3. Add §§ 1240.61 through 1240.63 to 

Subpart D to read as follows: 

Subpart D—Risk-Weighted Assets— 

Standardized Approach 

* * * * * 

Sec. 

1240.61 Purpose and scope. 

1240.62 Disclosure requirements. 

1240.63 Disclosures. 

* * * * * 

§ 1240.61 Purpose and scope. 

Sections 1240.61 through 1240.63 of 

this subpart establish public disclosure 

requirements related to the capital 

requirements and buffers described in 

subpart B and subpart G. 

§ 1240.62 Disclosure requirements. 

(a) An Enterprise must provide timely 

public disclosures each calendar quarter 

of the information in the applicable 

tables in § 1240.63, where for the 

purpose of these disclosure 

requirements timely means no later than 

10 business days after an Enterprise files 

its corresponding Annual Report on SEC 

Form 10–K at the end of a fiscal year or 

its corresponding Quarterly Report on 

SEC Form 10–Q at the end of other 

calendar quarters. If a material change 

occurs, where for the purpose of these 

disclosure requirements a material 

change means a change such that the 

omission or misstatement of which 

could change or influence the 

assessment or decision of a user relying 

on that information for the purpose of 

making investment decisions, then an 

Enterprise must disclose a brief 

discussion of this change and its likely 

impact as soon as practicable thereafter, 

and no later than the end of the next 

calendar quarter. Qualitative disclosures 

that have not changed from the prior 

quarter may be omitted from the next 

quarterly disclosure but must be 

disclosed at least annually after the end 

of the fourth calendar quarter. 

(b) Unless otherwise directed by 

FHFA, the Enterprise’s management 

may provide all of the disclosures 

required by §§ 1240.61 through 1240.63 

in one place on the Enterprise’s public 

website or may provide the disclosures 

in more than one public financial report 

or other regulatory reports, provided 

that the Enterprise publicly provides a 

summary table specifically indicating 

the location(s) of all such disclosures. 

(c) An Enterprise must have a formal 

disclosure policy approved by the board 

of directors that addresses its approach 

for determining the disclosures it 

makes. The policy must address the 

associated internal controls and 

disclosure controls and procedures. 

(d) The Enterprise’s board of directors 

and senior management are responsible 

for establishing and maintaining an 

effective internal control structure over 

the disclosures required by this subpart, 

and must ensure that appropriate review 

of the disclosures takes place. The Chief 

Risk Officer and the Chief Financial 

Officer of the Enterprise must attest that 

the disclosures meet the requirements of 

this subpart. 

(e) If an Enterprise believes that 

disclosure of specific commercial or 

financial information would prejudice 

seriously its position by making public 

certain information that is either 

proprietary or confidential in nature, the 

Enterprise is not required to disclose 

these specific items but must disclose 

more general information about the 

subject matter of the requirement, 

together with the fact that, and the 

reason why, the specific items of 

information have not been disclosed. 

§ 1240.63 Disclosures. 

(a) Except as provided in § 1240.62, 

an Enterprise must make the disclosures 

described in Tables 1 through 11 of this 

section publicly available for each of the 

last three years (that is, twelve quarters) 

or such shorter period until an 

Enterprise has made twelve quarterly 

disclosures pursuant to this part 

beginning with the disclosure for the 

quarter ending December 31, 2022. 

(b) An Enterprise must publicly 

disclose each quarter the following: 

(1) Regulatory capital ratios for 

common equity tier 1 capital, additional 

tier 1 capital, tier 1 capital, tier 2 

capital, total capital, core capital, and 

adjusted total capital, including 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; and 

(3) A reconciliation of regulatory 

capital elements as they relate to its 

balance sheet in any audited 

consolidated financial statements. 


jspears on DSK121TN23PROD with RULES1
33430 Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 

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. 


jspears on DSK121TN23PROD with RULES1
Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 33431 

(c) For each separate risk area 

described in Tables 4 through 9, the 

Enterprise must, as a general qualitative 

disclosure requirement, 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 

and/or mitigants. 

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. 

1Table 4 does not cover equity exposures, which should be reported in Table 8 of this section. 

2Geographical 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. 3An Enterprise may, but is not required to, also provide an analysis of the aging of past-due loans. 

4The portion of the general allowance that is not allocated to a geographical area should be disclosed separately. 

5The 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. 2This 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. 


jspears on DSK121TN23PROD with RULES1
33432 Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 

TABLE 6 TO PARAGRAPH (c)—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 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. 

1At 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 process 2 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 bank 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. 


jspears on DSK121TN23PROD with RULES1
Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 33433 

TABLE 7 TO PARAGRAPH (c)—CRT AND SECURITIZATION—Continued 

(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. 

1The 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. 2For example, these roles may include originator, investor, servicer, provider of credit enhancement, sponsor, liquidity provider, or swap provider. 3Such 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. 5For 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 bank 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

1This 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.


jspears on DSK121TN23PROD with RULES1
33434 Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 

TABLE 11 TO PARAGRAPH (c)—TIER 1 LEVERAGE RATIO—Continued 

Dollar amounts in thousands 

Tril Bil Mil Thou 

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) 

■ 4. Add § 1240.205 to Subpart F to read 

as follows: 

Subpart F—Risk-weighted Assets— 

Market Risk 

* * * * * 

§ 1240.205 Market risk disclosures. 

(a) Scope. An Enterprise must make 

timely public disclosures each calendar 

quarter, where for the purpose of these 

disclosure requirements timely means 

no later than 10 business days after an 

Enterprise files its corresponding 

Annual Report on SEC Form 10–K at the 

end of a fiscal year or its corresponding 

Quarterly Report on SEC Form 10–Q at 

the end of other calendar quarters. If a 

significant change occurs, such that the 

most recent reporting amounts are no 

longer reflective of the Enterprise’s 

capital adequacy and risk profile, then 

a brief discussion of this change and its 

likely impact must be provided as soon 

as practicable thereafter. Qualitative 

disclosures that typically do not change 

each quarter may be disclosed annually, 

provided any material changes are 

disclosed as soon as practicable 

thereafter, and no later than the end of 

the next calendar quarter, where for the 

purpose of these disclosure 

requirements a material change means a 


jspears on DSK121TN23PROD with RULES1
Federal Register / Vol. 87, No. 106 / Thursday, June 2, 2022 / Rules and Regulations 33435 

change such that the omission or 

misstatement of which could change or 

influence the assessment or decision of 

a user relying on that information for 

the purpose of making investment 

decisions. If an Enterprise believes that 

disclosure of specific commercial or 

financial information would prejudice 

seriously its position by making public 

certain information that is either 

proprietary or confidential in nature, the 

Enterprise is not required to disclose 

these specific items but must disclose 

more general information about the 

subject matter of the requirement, 

together with the fact that, and the 

reason why, the specific items of 

information have not been disclosed. 

(b) Location. The Enterprise’s 

management may provide all of the 

disclosures required by this section in 

one place on the Enterprise’s public 

website or may provide the disclosures 

in more than one public financial report 

or other regulatory reports, provided 

that the Enterprise publicly provides a 

summary table specifically indicating 

the location(s) of all such disclosures. 

(c) Disclosure policy. The Enterprise 

must have a formal disclosure policy 

approved by the board of directors that 

addresses the Enterprise’s approach for 

determining its market risk disclosures. 

The policy must address the associated 

internal controls and disclosure controls 

and procedures. The board of directors 

and senior management must ensure 

that appropriate verification of the 

disclosures takes place and that 

effective internal controls and 

disclosure controls and procedures are 

maintained. The Chief Risk Officer and 

the Chief Financial Officer of the 

Enterprise must attest that the 

disclosures meet the requirements of 

this subpart, and the board of directors 

and senior management are responsible 

for establishing and maintaining an 

effective internal control structure over 

the disclosures required by this section. 

(d) Quantitative disclosures. (1) For 

each material portfolio of covered 

positions, the Enterprise must provide 

timely public disclosures of the 

following information at least quarterly: 

(i) Exposure amounts for each product 

type included in covered positions as 

described in § 1240.202; and 

(ii) Risk-weighted assets for each 

product type included in covered 

positions as described in § 1240.202. 

(2) In addition, the Enterprise must 

disclose publicly the aggregate amount 

of on-balance sheet and off-balance 

sheet securitization positions by 

exposure type at least quarterly. 

(e) Qualitative disclosures. For each 

material portfolio of covered positions 

as identified using the definitions in 

§ 1240.202, the Enterprise must provide 

timely public disclosures of the 

following information at least annually 

after the end of the fourth calendar 

quarter, or more frequently in the event 

of material changes for each portfolio: 

(1) The composition of material 

portfolios of covered positions; 

(2) The Enterprise’s valuation 

policies, procedures, and methodologies 

for covered positions including, for 

securitization positions, the methods 

and key assumptions used for valuing 

such positions, any significant changes 

since the last reporting period, and the 

impact of such change; 

(3) The characteristics of the internal 

models used for purposes of this 

subpart; 

(4) A description of the approaches 

used for validating and evaluating the 

accuracy of internal models and 

modeling processes for purposes of this 

subpart; 

(5) For each market risk category (that 

is, interest rate risk, credit spread risk, 

equity price risk, foreign exchange risk, 

and commodity price risk), a 

description of the stress tests applied to 

the positions subject to the factor; 

(6) The results of the comparison of 

the Enterprise’s internal estimates for 

purposes of this subpart with actual 

outcomes during a sample period not 

used in model development; and 

(7) A description of the Enterprise’s 

processes for monitoring changes in the 

market risk of securitization positions, 

including how those processes differ for 

resecuritization positions. 

Sandra L. Thompson, 

Acting Director, Federal Housing Finance 

Agency. 

[FR Doc. 2022–11582 Filed 6–1–22; 8:45 am] 

BILLING CODE 8070–01–P 

DEPARTMENT OF TRANSPORTATION 

Federal Aviation Administration 

14 CFR Part 39 

[Docket No. FAA–2021–0844; Project 

Identifier AD–2021–00689–T; Amendment 

39–22028; AD 2022–09–08] 

RIN 2120–AA64 

Airworthiness Directives; The Boeing 

Company Airplanes 

AGENCY: Federal Aviation 

Administration (FAA), DOT. 

ACTION: Final rule. 

SUMMARY: The FAA is adopting a new 

airworthiness directive (AD) for certain 

The Boeing Company Model 787–8, 

787–9, and 787–10 airplanes. This AD 

was prompted by reports of a missing 

shim at a joint common to the main 

torque box (MTB) skin panel and rear 

spar root fitting. This AD requires 

inspecting the MTB skin panel and rear 

spar root fitting for cracking and 

delamination, and applicable oncondition actions. The FAA is issuing 

this AD to address the unsafe condition 

on these products. 

DATES: This AD is effective July 7, 2022. 

The Director of the Federal Register 

approved the incorporation by reference 

of a certain publication listed in this AD 

as of July 7, 2022. 

ADDRESSES: For service information 

identified in this final rule, contact 

Boeing Commercial Airplanes, 

Attention: Contractual & Data Services 

(C&DS), 2600 Westminster Blvd., MC 

110–SK57, Seal Beach, CA 90740–5600; 

telephone 562–797–1717; internet 

https://www.myboeingfleet.com. You 

may view this referenced service 

information at the FAA, Airworthiness 

Products Section, Operational Safety 

Branch, 2200 South 216th St., Des 

Moines, WA. For information on the 

availability of this material at the FAA, 

call 206–231–3195. It is also available at 

https://www.regulations.gov by 

searching for and locating Docket No. 

FAA–2021–0844. 

Examining the AD Docket 

You may examine the AD docket at 

https://www.regulations.gov by 

searching for and locating Docket No. 

FAA–2021–0844; or in person at Docket 

Operations between 9 a.m. and 5 p.m., 

Monday through Friday, except Federal 

holidays. The AD docket contains this 

final rule, any comments received, and 

other information. The address for 

Docket Operations is U.S. Department of 

Transportation, Docket Operations, M– 

30, West Building Ground Floor, Room 

W12–140, 1200 New Jersey Avenue SE, 

Washington, DC 20590. 

FOR FURTHER INFORMATION CONTACT: 

Joseph Hodgin, Aerospace Engineer, 

Airframe Section, FAA, Seattle ACO 

Branch, 2200 South 216th St., Des 

Moines, WA 98198; phone and fax: 206– 

231–3962; email: joseph.j.hodgin@

faa.gov. 

SUPPLEMENTARY INFORMATION: 

Background 

The FAA issued a notice of proposed 

rulemaking (NPRM) to amend 14 CFR 

part 39 by adding an AD that would 

apply to certain The Boeing Company 

Model 787–8, 787–9, and 787–10 

airplanes. The NPRM published in the 

Federal Register on October 28, 2021 

(86 FR 59665). The NPRM was 


jspears on DSK121TN23PROD with RULES1