Source: https://www.ecfr.gov/cgi-bin/text-idx?mc=true&node=se12.2.217_1173&rgn=div8
Timestamp: 2020-02-17 23:41:32
Document Index: 674504965

Matched Legal Cases: ['art 217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217', 'art.\n6', '§217', '§217', '§217', '§217', '§217', '§217', '§217', '§217']

Title 12 → Chapter II → Subchapter A → Part 217 → Subpart E → §217.173
§217.173 Disclosures by certain advanced approaches Board-regulated institutions and Category III Board-regulated institutions.
Link to an amendment published at 85 FR 4428, Jan. 24, 2020.
(a)(1) An advanced approaches Board-regulated institution described in §217.172(b) must make the disclosures described in Tables 1 through 12 to §217.173.
(2) An advanced approaches Board-regulated institution and a Category III Board-regulated institution that is required to publicly disclose its supplementary leverage ratio pursuant to §217.172(d) must make the disclosures required under Table 13 to this section unless the Board-regulated institution is a consolidated subsidiary of a bank holding company, savings and loan holding company, or depository institution that is subject to these disclosure requirements or a subsidiary of a non-U.S. banking organization that is subject to comparable public disclosure requirements in its home jurisdiction.
(3) The disclosures described in Tables 1 through 12 to §217.173 must be made publicly available for twelve consecutive quarters beginning on January 1, 2014, or a shorter period, as applicable, for the quarters after the Board-regulated institution has completed the parallel run process and received notification from the Board pursuant to §217.121(d). The disclosures described in Table 13 to §217.173 must be made publicly available for twelve consecutive quarters beginning on January 1, 2015, or a shorter period, as applicable, for the quarters after the Board-regulated institution becomes subject to the disclosure of the supplementary leverage ratio pursuant to §217.172(d) and §217.173(a)(2).
Table 1 to §217.173—Scope of Application
1Such entities include securities, insurance and other financial subsidiaries, commercial subsidiaries (where permitted), and significant minority equity investments in insurance, financial and commercial entities.
Table 2 to §217.173—Capital Structure
(e) (1) Whether the Board-regulated institution has elected to phase in recognition of the transitional amounts as defined in §217.300(f).
(2) The Board-regulated institution's common equity tier 1 capital, tier 1 capital, and total capital without including the transitional amounts as defined in §217.300(f).
Table 3 to §217.173—Capital Adequacy
(e) (1) Common equity tier 1, tier 1 and total risk-based capital ratios reflecting the transition provisions described in §217.300(f):
(A) For the top consolidated group; and
(f) Common equity tier 1, tier 1 and total risk-based capital ratios reflecting the full adoption of CECL:
(g) Total risk-weighted assets.
Table 4 to §217.173—Capital Conservation and Countercyclical Capital Buffers
Quantitative disclosures (b) At least quarterly, the Board-regulated institution must calculate and publicly disclose the capital conservation buffer and the countercyclical capital buffer as described under §217.11 of subpart B.
(c) At least quarterly, the Board-regulated institution must calculate and publicly disclose the buffer retained income of the Board-regulated institution, as described under §217.11 of subpart B.
(d) At least quarterly, the Board-regulated institution must calculate and publicly disclose any limitations it has on distributions and discretionary bonus payments resulting from the capital conservation buffer and the countercyclical capital buffer framework described under §217.11 of subpart B, including the maximum payout amount for the quarter.
(b) General qualitative disclosure requirement. For each separate risk area described in Tables 5 through 12 to §217.173, the Board-regulated institution must describe its risk management objectives and policies, including:
Table 51 to §217.173—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 7 to §217.173), including:
(5) Description of the methodology that the entity uses to estimate its allowance for loan and lease losses or adjusted allowance for credit losses, as applicable, including statistical methods used where applicable;
Quantitative disclosures (b) Total credit risk exposures and average credit risk exposures, after accounting offsets in accordance with GAAP,2 without taking into account the effects of credit risk mitigation techniques (for example, collateral and netting not permitted under GAAP), over the period categorized by major types of credit exposure. For example, Board-regulated institutions could use categories similar to that used for financial statement purposes. Such categories might include, for instance:
(c) Geographic3 distribution of exposures, categorized in significant areas by major types of credit exposure.
(5) The balance in the allowance for loan and lease losses or adjusted allowance for credit losses, as applicable, at the end of each period, disaggregated on the basis of the entity's impairment method. To disaggregate the information required on the basis of impairment methodology, an entity shall separately disclose the amounts based on the requirements in GAAP; and
1Table 5 to §217.173 does not cover equity exposures, which should be reported in Table 9.
3Geographical areas may comprise individual countries, groups of countries, or regions within countries. A Board-regulated institution might choose to define the geographical areas based on the way the company's portfolio is geographically managed. The criteria used to allocate the loans to geographical areas must be specified.
Table 6 to §217.173—Credit Risk: Disclosures for Portfolios Subject to IRB Risk-Based Capital Formulas
(3) Process for managing and recognizing credit risk mitigation (see Table 8 to §217.173); and
(B) The definitions, methods and data for estimation and validation of PD, LGD, and EAD, including assumptions employed in the derivation of these variables.1
Quantitative disclosures: risk assessment (c) (1) For wholesale exposures, present the following information across a sufficient number of PD grades (including default) to allow for a meaningful differentiation of credit risk:2
(i) Total EAD;3
Quantitative disclosures: historical results (d) Actual losses in the preceding period for each category and subcategory and how this differs from past experience. A discussion of the factors that impacted the loss experience in the preceding period—for example, has the Board-regulated institution experienced higher than average default rates, loss rates or EADs.
(e) The Board-regulated institution's estimates compared against actual outcomes over a longer period.4 At a minimum, this should include information on estimates of losses against actual losses in the wholesale category and each retail subcategory over a period sufficient to allow for a meaningful assessment of the performance of the internal rating processes for each category/subcategory.5 Where appropriate, the Board-regulated institution should further decompose this to provide analysis of PD, LGD, and EAD outcomes against estimates provided in the quantitative risk assessment disclosures above.6
1This disclosure item does not require a detailed description of the model in full—it should provide the reader with a broad overview of the model approach, describing definitions of the variables and methods for estimating and validating those variables set out in the quantitative risk disclosures below. This should be done for each of the four category/subcategories. The Board-regulated institution must disclose any significant differences in approach to estimating these variables within each category/subcategories.
2The PD, LGD and EAD disclosures in Table 6 (c) to §217.173 should reflect the effects of collateral, qualifying master netting agreements, eligible guarantees and eligible credit derivatives as defined under this part. Disclosure of each PD grade should include the exposure-weighted average PD for each grade. Where a Board-regulated institution aggregates PD grades for the purposes of disclosure, this should be a representative breakdown of the distribution of PD grades used for regulatory capital purposes.
3Outstanding loans and EAD on undrawn commitments can be presented on a combined basis for these disclosures.
4These disclosures are a way of further informing the reader about the reliability of the information provided in the “quantitative disclosures: Risk assessment” over the long run. The disclosures are requirements from year-end 2010; in the meantime, early adoption is encouraged. The phased implementation is to allow a Board-regulated institution sufficient time to build up a longer run of data that will make these disclosures meaningful.
5This disclosure item is not intended to be prescriptive about the period used for this assessment. Upon implementation, it is expected that a Board-regulated institution would provide these disclosures for as long a set of data as possible—for example, if a Board-regulated institution has 10 years of data, it might choose to disclose the average default rates for each PD grade over that 10-year period. Annual amounts need not be disclosed.
6A Board-regulated institution must provide this further decomposition where it will allow users greater insight into the reliability of the estimates provided in the “quantitative disclosures: Risk assessment.” In particular, it must provide this information where there are material differences between its estimates of PD, LGD or EAD compared to actual outcomes over the long run. The Board-regulated institution must also provide explanations for such differences.
Table 7 to §217.173—General Disclosure for Counterparty Credit Risk of OTC Derivative Contracts, Repo-Style Transactions, and Eligible Margin Loans
Quantitative Disclosures (b) Gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held (including type, for example, cash, government securities), and net unsecured credit exposure.1 Also report measures for EAD used for regulatory capital for these transactions, the notional value of credit derivative hedges purchased for counterparty credit risk protection, and, for Board-regulated institutions not using the internal models methodology in §217.132(d) , the distribution of current credit exposure by types of credit exposure.2
1Net unsecured credit exposure is the credit exposure after considering the benefits from legally enforceable netting agreements and collateral arrangements, without taking into account haircuts for price volatility, liquidity, etc.
Table 8 To §217.173—Credit Risk Mitigation1 2
1At a minimum, a Board-regulated institution must provide the disclosures in Table 8 in relation to credit risk mitigation that has been recognized for the purposes of reducing capital requirements under this subpart. Where relevant, Board-regulated institutions are encouraged to give further information about mitigants that have not been recognized for that purpose.
2Credit derivatives and other credit mitigation that are treated for the purposes of this subpart as synthetic securitization exposures should be excluded from the credit risk mitigation disclosures (in Table 8 to §217.173) and included within those relating to securitization (in Table 9 to §217.173).
Table 9 to §217.173—Securitization
Quantitative disclosures (e) The total outstanding exposures securitized4 by the Board-regulated institution in securitizations that meet the operational criteria in §217.141 (categorized into traditional/synthetic), by underlying exposure type5 separately for securitizations of third-party exposures for which the bank acts only as sponsor.
(f) For exposures securitized by the Board-regulated institution in securitizations that meet the operational criteria in §217.141:
(1) Amount of securitized assets that are impaired6/past due categorized by exposure type; and
(2) Losses recognized by the Board-regulated institution during the current period categorized by exposure type.7
1The Board-regulated institution must describe the structure of resecuritizations in which it participates; this description must be provided for the main categories of resecuritization products in which the Board-regulated institution is active.
2For example, these roles would include originator, investor, servicer, provider of credit enhancement, sponsor, liquidity provider, or swap provider.
3For example, money market mutual funds should be listed individually, and personal and private trusts, should be noted collectively.
4“Exposures securitized” include underlying exposures originated by the bank, whether generated by them or purchased, and recognized in the balance sheet, from third parties, and third-party exposures included in sponsored transactions. Securitization transactions (including underlying exposures originally on the bank's balance sheet and underlying exposures acquired by the bank from third-party entities) in which the originating bank does not retain any securitization exposure should be shown separately but need only be reported for the year of inception.
5A Board-regulated institution is required to disclose exposures regardless of whether there is a capital charge under this part.
6A Board-regulated institution must include credit-related other than temporary impairment (OTTI).
7For example, charge-offs/allowances (if the assets remain on the bank's balance sheet) or credit-related OTTI of I/O 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 10 to §217.173—Operational Risk
Table 11 to §217.173—Equities Not Subject to Subpart F of This Part
(e) (1) Total unrealized gains (losses)1
(2) Total latent revaluation gains (losses)2
(f) Capital requirements categorized by appropriate equity groupings, consistent with the Board-regulated institution's methodology, as well as the aggregate amounts and the type of equity investments subject to any supervisory transition regarding total capital requirements.3
1Unrealized gains (losses) recognized in the balance sheet but not through earnings.
2Unrealized gains (losses) not recognized either in the balance sheet or through earnings.
3This 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 12 to §217.173—Interest Rate Risk for Non-Trading Activities
(c) Except as provided in §217.172(b), a Board-regulated institution described in §217.172(d) must make the disclosures described in Table 13 to §217.173; provided, however, the disclosures required under this paragraph are required without regard to whether the Board-regulated institution has completed the parallel run process and has received notification from the Board pursuant to §217.121(d). The Board-regulated institution must make these disclosures publicly available beginning on January 1, 2015.
Table 13 to §217.173—Supplementary Leverage Ratio
[Reg. Q, 78 FR 62157, 62285, Oct. 11, 2013, as amended at 79 FR 57746, Sept. 26, 2014; 80 FR 41421, July 15, 2015; 84 FR 4242, Feb. 14, 2019; 84 FR 59272, Nov. 1, 2019]