Source: https://regulations.vlex.com/vid/regulatory-capital-rules-regulatory-577975474
Timestamp: 2019-11-12 18:12:41
Document Index: 389010408

Matched Legal Cases: ['art 225', 'art 3', 'art 217', 'art 324', 'art 3', 'art 217', 'art 324', 'ART 324', 'art 324']

Regulatory Capital Rules: Regulatory Capital, Final Revisions Applicable to Banking Organizations Subject to the Advanced Approaches Risk-Based Capital Rule - July 15, 2015 - Regulations - VLEX 577975474
Pages 41409-41426
FR Doc No: 2015-15748
Page 41409
Regulation Q; Docket No. R-1502
RIN 7100-AE 24
SUMMARY: The Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Board), and the Federal Deposit Insurance Corporation (FDIC) are adopting a final rule to clarify, correct, and update aspects of the regulatory capital framework applicable to certain large, internationally active banking organizations. The revisions correct technical and typographical errors and clarify certain requirements of the advanced approaches risk-based capital rule based on observations made by the agencies during the parallel run review process of advanced approaches banking organizations. The corrections also enhance consistency of the agencies' advanced approaches risk-based capital rule with relevant international standards. The agencies proposed these changes in a notice of proposed rulemaking that was published in the Federal Register on December 18, 2014. The agencies are now adopting the proposed rule as final with some additional clarifications and amendments.
DATES: This rule is effective on October 1, 2015.
FOR FURTHER INFORMATION CONTACT: OCC: Margot Schwadron, Senior Risk Expert (202) 649-6982; or Mark Ginsberg, Principal Risk Expert (202) 649-6983, Capital Policy; or Kevin Korzeniewski, Senior Attorney, Legislative and Regulatory Activities Division, (202) 649-5490, for persons who are deaf or hard of hearing, TTY, (202) 649-5597, Office of the Comptroller of the Currency, 400 7th Street SW., Washington, DC 20219.
Board: Constance M. Horsley, Assistant Director, (202) 452-5239; Juan Climent, Manager, (202) 872-7546; Andrew Willis, Supervisory Financial Analyst, (202) 912-4323, Matthew McQueeney, Senior Financial Analyst, (202) 425-2942, or Justyna Milewski, Senior Financial Analyst, (202) 452-3607, Capital and Regulatory Policy, Division of Banking Supervision and Regulation; or Christine Graham, Counsel (202) 452-
3005; or David W. Alexander, Counsel (202) 452-2877, Legal Division, Board of Governors of the Federal Reserve System, 20th and C Streets NW., Washington, DC 20551. For the hearing impaired only, Telecommunication Device for the Deaf (TDD), (202) 263-4869.
In 2013, the Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Board), and the Federal Deposit Insurance Corporation (FDIC) (collectively, the agencies) comprehensively revised and strengthened the capital requirements applicable to banking organizations \1\ (regulatory capital framework).\2\ Among other changes, the regulatory capital framework revised elements of the advanced approaches risk-based capital rule (advanced approaches rule) now located at subpart E of the agencies' revised regulatory capital framework.\3\
\1\ The term banking organizations includes national banks, state member banks, state nonmember banks, savings associations, and top-tier bank holding companies domiciled in the United States not subject to the Board's Small Bank Holding Company Policy Statement (12 CFR part 225, appendix C), as well as top-tier savings and loan holding companies domiciled in the United States, except for certain savings and loan holding companies that are substantially engaged in insurance underwriting or commercial activities.
\2\ The Board and the OCC issued a joint final rule on October 11, 2013 (78 FR 62018) and the FDIC issued a substantially identical interim final rule on September 10, 2013 (78 FR 55340). In April 2014, the FDIC adopted the interim final rule as a final rule with no substantive changes. 79 FR 20754 (April 14, 2014).
\3\ 12 CFR part 3 (OCC), 12 CFR part 217 (Board), and 12 CFR part 324 (FDIC).
The advanced approaches rule applies to large, internationally active banking organizations, generally those with $250 billion or more in total consolidated assets or $10 billion or more in total on-balance sheet foreign exposure, depository institution subsidiaries of those banking organizations that use the advanced approaches rule, and banking organizations that elect to use the advanced approaches rule (advanced approaches banking organizations).\4\ Before an advanced approaches banking organization may use the advanced approaches rule to determine its risk-based capital requirements, it must conduct a satisfactory parallel run.\5\ After the primary Federal supervisor determines that the banking organization fully complies with all the qualification requirements, has conducted a satisfactory parallel run, and has an adequate process to ensure ongoing compliance, the banking
organization will be required to use the advanced approaches rule to calculate its risk-based capital requirements.\6\
\4\ 12 CFR 3.100(b)(1) (OCC), 12 CFR 217.100(b)(1) (Board), and 12 CFR 324.100(b)(1) (FDIC).
\5\ 12 CFR 3.121(c) (OCC), 12 CFR 217.121(c) (Board), and 12 CFR 324.121(c) (FDIC).
\6\ 12 CFR 3.121(d) (OCC), 12 CFR 217.121(d) (Board), and 12 CFR 324.121(d) (FDIC).
An advanced approaches banking organization that is required to calculate its risk-based capital requirements under the advanced approaches rule also must determine its risk-based capital requirements under the standardized approach in subpart D of the agencies' regulatory capital framework.\7\ In accordance with section 171 of the Dodd-Frank Act, the lower ratio (i.e., the more binding ratio) for each risk-based capital requirement is the ratio the banking organization must use for regulatory capital purposes.
\7\ See 12 CFR part 3.10(c) (OCC); 12 CFR part 217.10(c) (Board); and 12 CFR part 324.10(c) (FDIC).
Proposed Rule and Summary of Comments
In December 2014, the agencies invited comment on a notice of proposed rulemaking designed to clarify, correct, and update aspects of the regulatory capital framework applicable to advanced approaches banking organizations (proposed rule).\8\ The proposed revisions were largely driven by observations made by the agencies during the parallel run review process of advanced approaches banking organizations, and included corrections to typographical and technical errors, clarifications and updates in light of revisions to other rules. The proposed revisions were also intended to enhance consistency of the agencies' advanced approaches rule with relevant international standards.\9\ The proposed amendments affect only those provisions of the revised capital framework that apply to advanced approaches banking organizations.
\8\ See 79 FR 75455 (Dec. 18, 2014).
\9\ See International Convergence of Capital Measurement and Capital Standards: A Revised Framework,'' (June 2006) http://www.bis.org/publ/bcbs128.htm.
The agencies received two comment letters on the proposed revisions--one from a financial services trade association, and another from a public advocacy nonprofit organization. The financial services trade association suggested that several of the proposed changes also be applied to the standardized approach. Both commenters expressed views on the proposed treatment of cleared transactions. The financial services trade association suggested that the agencies expand the proposed treatment, while the public advocacy nonprofit organization suggested that the proposed treatment was too generous. In addition, the public advocacy nonprofit organization disagreed with the proposed exemption for cleared transactions from the higher capital charge applicable to large nettings sets.
The proposed rule would have revised the definition of residential mortgage exposure in section 2 of the regulatory capital framework to clarify that an advanced approaches banking organization must manage qualifying exposures as part of a segment of exposures with homogenous risk characteristics, and not on an individual basis, for purposes of classifying an exposure as a residential mortgage exposure under the advanced approaches rule. This clarification was consistent with the agencies' intent in adopting the proposed definition of residential mortgage exposure, and with the requirement that an advanced approaches banking organization have an internal system that groups retail exposures into the appropriate retail exposure subcategory and that groups the retail exposures in each retail exposure subcategory into separate segments with homogenous risk characteristics.\10\ The agencies did not receive any comments on this part of the proposed rule and are adopting it as final, with a technical edit to correct a grammatical error.
\10\ See 12 CFR 3.122(b)(3) (OCC), 12 CFR 217.122(b)(3) (Board), and 12 CFR 324.122(b)(3) (FDIC).
Second, the proposed rule would have updated the disclosure requirement related to securitization exposures in Table 9 to reflect the treatment of credit-enhancing interest only strips (CEIOs) and after-tax gain-on-sale resulting from a securitization. Specifically, CEIOs that do not constitute after-tax gain-on-sale would be risk-
weighted at 1,250 percent, and an after-tax gain-on-sale resulting from a securitization would be deducted from common equity tier 1 capital, rather than from tier 1 capital. The agencies did not receive any comments on this part of the proposed rule and are adopting it as final.
Advanced approaches banking organizations are subject to the supplementary leverage ratio.\11\ The agencies proposed to clarify that the supplementary leverage ratio would apply to an advanced approaches banking organization, regardless of whether it had completed its parallel run process. The supplementary leverage ratio described in section 10(c)(4) would begin to apply to a banking organization immediately following the quarter in which the banking organization becomes subject to the advanced approaches rule pursuant to section 100(b)(1) of the advanced approaches rule.
\11\ See section 10(c)(4)(ii) of the regulatory capital framework and 79 FR 57725 (Sept. 26, 2014) (2014 SLR rule).
In addition, the agencies proposed to clarify the disclosure requirements
applicable to advanced approaches banking organizations.\12\ The proposed rule clarified that advanced approaches banking organizations, not just top-tier banking organizations, would be required to publicly disclose the supplementary leverage ratio and the components thereof (that is, tier 1 capital and total leverage exposure) on a quarterly basis. A banking organization that qualified as an advanced approaches banking organization before January 1, 2015, would be required to provide these disclosures, beginning with the first quarter in 2015, while a banking organization that qualified as an advanced approaches banking organization on or after January 1, 2015, would be subject to the disclosures beginning with the calendar quarter immediately following the calendar quarter in which the banking organization became an advanced approaches banking organization. For example, a banking organization that becomes subject to the advanced approaches rule as of year-end 2015 would begin disclosing its supplementary leverage ratio and components thereof as of March 31, 2016.
\12\ Section 172(d) was added to the regulatory capital framework as part of the 2014 SLR rule.
In addition to the disclosure requirements above, the proposed rule clarified that all top-tier \13\ advanced approaches banking organizations, regardless of their parallel run status, would be required to publicly disclose the quantitative information described in Table 13 in section 173 of the advanced approaches rule \14\ for twelve consecutive quarters or a shorter period, as applicable, beginning on January 1, 2015. For example, a top-tier banking organization that became an advanced approaches banking organization prior to January 1, 2015 (therefore subject to the supplementary leverage ratio disclosure requirements beginning January 1, 2015), and remains the top-tier banking organization, would publicly disclose supplementary leverage ratio data for one quarter in the first quarterly disclosure of 2015, two quarters in the second quarterly disclosure of 2015, and so on, disclosing twelve quarters of supplementary leverage ratio data in the quarterly disclosures for the fourth quarter of 2017. The agencies did not receive comments on this part of the proposed rule, and are finalizing it as proposed.
\13\ Disclosure requirements in section 173 of the advanced approaches rule apply only to banking organizations that are not a consolidated subsidiary of a BHC, covered SLHC, 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.
\14\ Table 13 in section 173 of the advanced approaches rule was adopted by the agencies in the 2014 SLR rule.
Risk Weights for Cleared Transactions
Risk Weights for Certain Client Cleared Transactions
The proposed rule would have permitted clearing member banking organizations to assign a zero percent risk weight under the advanced approaches rule to the trade exposure amount of a cleared transaction that arises when a clearing member banking organization does not guarantee the performance of the CCP and has no payment obligation to the clearing member client in the event of a CCP default. The proposed treatment would align the risk-based capital requirements for client-
cleared transactions with the treatment under the agencies' 2014 SLR rule.
The agencies believe that requiring the clearing member banking organization to include in risk-weighted assets a trade exposure amount for the client-cleared transactions could overstate the clearing member's risk where the clearing member is not contractually obligated to perform on the transaction to its client in the event of a CCP failure. Furthermore, the public advocacy nonprofit commenter's concerns are partially addressed by the additional capital requirement for a clearing member banking organization's exposure to the default fund of a CCP, which considers its capitalization and risk profile, and the nature of its default fund. With respect to the financial services trade association's suggestion to make an exception from the requirements in sections 3(a)(3) and 3(a)(4) of the regulatory capital framework, it is not clear that the risks in transactions where the clearing member advanced approaches banking organization does not guarantee the performance of the CCP are negligible. Thus, the agencies are finalizing the changes to the risk weight for certain client-
cleared transactions as proposed.
The regulatory capital framework increases the margin period of risk in the IMM for large netting sets, netting sets involving illiquid collateral or over-the-counter (OTC) derivatives that cannot easily be replaced, or netting sets with more than two margin disputes with the counterparty over the previous two quarters that lasted more than the margin period of risk.\15\ In the proposed rule, the agencies proposed to clarify that a cleared transaction would be exempt from the higher margin period of risk solely due to the fact that it is part of a large netting set (i.e., a netting set that exceeds 5,000 trades at any time during the previous quarter). A cleared transaction would be subject to the higher margin period of risk if the netting set contained illiquid collateral,
derivatives that could not easily be replaced, or the banking organization had more than two margin disputes with the counterparty over the previous two quarters that lasted more than the margin period of risk.
\15\ Section 132(d)(5)(iii)(B).
Collateral Posted by a Clearing Member Client Banking Organization and a Clearing Member Banking Organization
The agencies proposed to correct a cross-reference related to the calculation of exposure for cleared transactions for clearing member banking organizations and for clearing member client banking organizations in section 133 of the regulatory capital framework. Prior to the proposed change, the provisions for measuring the risk-weighted asset amount for posted collateral cross-referenced only to section 131 of the regulatory capital framework, which contained the provisions for risk-weighting wholesale and retail exposures.\16\ Because collateral may be in the form of a securitization exposure, equity exposure, or a covered position, the proposed change would have replaced the cross-
reference to section 131 with a cross-reference to subparts E and F.
\16\ See sections 133(b)(4)(ii) and 133(c)(4)(ii) (rules applicable to clearing member client banking organizations and clearing member banking organizations, respectively).
Risk Weights for Derivatives
Fair Value of Liabilities due to Changes in the Banking Organization's Own Credit Risk
Requirements and Mechanics Applicable to Banking Organizations That Use the Advanced Approaches Rule
In February 2014 and in March 2015, the OCC and the Board granted permission to a number of advanced approaches banking organizations to begin calculating their risk-based capital requirements under the advanced approaches rule.\17\ During the parallel
run evaluation process for advanced approaches banking organizations that are calculating their risk-based capital requirements under the advanced approaches rule, the agencies concluded that several areas of the advanced approaches rule should be revised to (1) clarify the requirements and mechanics for calculating risk-weighted assets under the advanced approaches rule and (2) promote international consistency by more clearly aligning the U.S. regulations with international standards.
\17\ Board Press Releases: http://www.federalreserve.gov/newsevents/press/bcreg/20140221a.htm, http://www.federalreserve.gov/newsevents/press/bcreg/20150331a.htm; OCC Press releases: http://www.occ.gov/news-issuances/news-releases/2014/nr-ia-2014-21.html, http://www.occ.gov/news-issuances/news-releases/2015/nr-ia-2015-47.html.
Sections 122 and 131 of the regulatory capital framework set forth the qualification requirements for the internal ratings-based approach (IRB) for advanced approaches banking organizations and describe the mechanics for calculating risk-weighted assets for wholesale and retail exposures under the advanced approaches rule. When the agencies initially adopted the advanced approaches rule in 2007,\18\ they incorporated these elements into the supervisory review process rather than into the advanced approaches rule. However, the agencies believe that certain elements of sections 122 and 131 of the regulatory capital framework should be clarified to ensure that advanced approaches banking organizations appropriately: (1) Obtain and consider all relevant and material information to estimate probability of default (PD), loss given default (LGD), and EAD; (2) quantify risk parameters for wholesale and retail exposures; and (3) establish internal requirements for collateral and risk management processes.
\18\ 72 FR 69288 (December 7, 2007).
Accordingly, in the proposed rule, the agencies proposed incorporating new rule text to add specificity and enhance transparency regarding the IRB process and the mechanics used to calculate total wholesale and retail risk-weighted assets. More specifically, the proposed rule would have amended sections 122 and 131 of the regulatory capital framework to clarify requirements associated with: (1) The frequency for reviewing risk rating systems, (2) the independence of the systems' development, design, and implementation, (3) time horizons for default and loss data when estimating risk parameters, (4) changes in advanced approaches banking organizations' lending, payment processing, and account monitoring practices, (5) the use of all relevant available data for assigning risk ratings, and (6) the need for internal requirements for collateral management and risk management processes. These proposed modifications are consistent with the current overarching principles in sections 122 and 131 of the regulatory capital framework under which advanced approaches banking organizations must have an internal risk rating and segmentation system that accurately and reliably differentiates among degrees of credit risk for wholesale and retail exposures, and must have a comprehensive risk-
parameter quantification process that produces accurate, timely, and reliable risk-parameter estimates. The agencies emphasize that the revisions were intended to clarify, but not change, existing requirements. In fact, many of these clarifications in subpart E of the regulatory capital framework are included in agency supervisory guidance and examination materials. Therefore, because they demonstrated that they comply with the existing requirements, advanced approaches banking organizations that have already exited parallel run demonstrated that they met the proposed requirements upon exit. The agencies did not receive any comments on this part of the proposed rule and are adopting the changes as final, with a technical edit to the rule text in section 122(c)(2)(v)(11) to include language that was included in the regulatory capital framework but inadvertently omitted from the proposed revisions.
In Table 1 of section 132, the reference in the column heading would have been corrected to state that ``Non-sovereign issuers risk weight under this section (in percent)'' and ``Sovereign issuers risk weight under this section (in percent)'' are found in section 32.
As described in the SUPPLEMENTARY INFORMATION section of the preamble, the final rule would apply only to advanced approaches banking organizations. No OCC-supervised advanced approaches banking organization qualifies as a small
entity as defined by the SBA. Therefore, the OCC certifies that the final rule will not have a significant economic impact on a substantial number of OCC-supervised small entities.
Using the SBA's size standards, as of March 31, 2015, the FDIC supervised 3,407 small entities. As described in the SUPPLEMENTARY INFORMATION section of the preamble, however, the final rule applies only to advanced approaches banking organizations. Advanced approaches banking organization is defined to include a state nonmember bank or a state savings association that has, or is a subsidiary of, a bank holding company or savings and loan holding company that has total consolidated assets of $250 billion or more, total consolidated on-
balance sheet foreign exposure of $10 billion or more, or that has elected to use the advanced approaches framework. As of March 31, 2015, based on a $550 million threshold, zero (out of 3,119) small state nonmember banks and zero (out of 288) small state savings associations were under the advanced approaches rule. Therefore, the FDIC does not believe that the final rule results in a significant economic impact on a substantial number of small entities under its supervisory jurisdiction.
Under regulations issued by the SBA, a small entity includes a depository institution, bank holding company, or savings and loan holding company with total assets of $550 million or less (a small banking organization).\19\ As of March 31, 2015, there were approximately 631 small state member banks. As of December 31, 2014, there were approximately 3,833 small bank holding companies and 271 small savings and loan holding companies.
\19\ See 13 CFR 121.201. Effective July 14, 2014, the Small Business Administration revised the size standards for banking organizations to $550 million in assets from $500 million in assets. 79 FR 33647 (June 12, 2014).
Section 3.2 is amended by revising the definition of ``Residential mortgage exposure'' to read as follows:
Section 3.10 is amended by revising paragraph (c) introductory text to read as follows:
Sec. 3.10 Minimum capital requirements.
(c) Advanced approaches capital ratio calculations. An advanced approaches national bank or Federal savings association that has completed the parallel run process and received notification from the OCC pursuant to Sec. 3.121(d) must determine its regulatory capital ratios as described in paragraphs (c)(1) through (3) of this section. An advanced approaches national bank or Federal savings association must determine its supplementary leverage ratio in accordance with paragraph (c)(4) of this section, beginning with the calendar quarter immediately following the quarter in which the national bank or Federal savings association meets any of the criteria in Sec. 3.100(b)(1).
Section 3.22 is amended by revising paragraph (b)(1)(iii) to read as follows:
Sec. 3.22 Regulatory capital adjustments and deductions.
Section 3.100 is amended by revising paragraph (b)(1)(ii) to read as follows:
Sec. 3.100 Purpose, applicability, and principle of conservatism.
(ii) Has consolidated total on-balance sheet foreign exposure on its most recent year-end Federal Financial Institutions Examination Council (FFIEC) 009 Report equal to $10 billion or more (where total on-balance sheet foreign exposure equals total foreign countries cross-
border claims on an ultimate-risk basis, plus total foreign countries claims on local residents on an ultimate-risk basis, plus total foreign countries fair value of foreign exchange and derivative products), calculated in accordance with the FFIEC 009 Country Exposure Report;
Section 3.122 is amended by:
Revising paragraphs (a)(3) and (b)(1);
Adding paragraph (b)(2)(iii);
Revising paragraphs (b)(3) and (5) and (c)(1), (2), (5), and (6);
Redesignating paragraphs (c)(9) and (10) as paragraphs (c)(10) and (11), revising newly redesignated paragraphs (c)(10) and (11), and adding a new paragraph (c)(9); and
Revising paragraph (i)(5).
Sec. 3.122 Qualification requirements.
(3) Each national bank or Federal savings association must have an appropriate infrastructure with risk measurement and management processes that meet the qualification requirements of this section and are appropriate given the national bank's or Federal savings association's size and level of complexity. Regardless of whether the systems and models that generate the risk parameters necessary for calculating a national bank's or Federal savings association's risk-
based capital requirements are located at any affiliate of the national bank or Federal savings association, the national bank or Federal savings association itself must ensure that the risk parameters and reference data used to determine its risk-based capital requirements are representative of long run experience with respect to its own credit risk and operational risk exposures.
(i) A national bank or Federal savings association must have an internal system that groups retail exposures into the appropriate retail exposure subcategory and groups the retail exposures in each retail exposure subcategory into separate segments with homogeneous risk characteristics that provide a meaningful differentiation of risk. The national bank's or Federal
savings association's system must identify and group in separate segments by subcategories exposures identified in Sec. 3.131(c)(2)(ii) and (iii).
(v) Demonstrate that its estimation technique performs well in out-
of-sample tests whenever possible.
(9) If a national bank or Federal savings association uses internal data obtained prior to becoming subject to this subpart E or external data to arrive at PD, LGD, or EAD estimates, the national bank or Federal savings association must demonstrate to the OCC that the national bank or Federal savings association has made appropriate adjustments if necessary to be consistent with the definition of default in Sec. 3.101. Internal data obtained after the national bank or Federal savings association becomes subject to this subpart E must be consistent with the definition of default in Sec. 3.101.
(11) The national bank or Federal savings association must, at least annually, conduct a comprehensive review and analysis of reference data to determine relevance of the reference data to the national bank's or Federal savings association's exposures, quality of reference data to support PD, LGD, and EAD estimates, and consistency of reference data to the definition of default in Sec. 3.101.
Section 3.131 is amended by:
Revising paragraphs (d)(5)(ii) and (iii); and
In paragraph (e)(3)(vi), removing ``Sec. 3.22(a)(7)'' and adding ``Sec. 3.22(d)'' in its place.
Sec. 3.131 Mechanics for calculating total wholesale and retail risk-
Section 3.132 is amended by:
In Table 1 to Sec. 3.132, removing ``this section'' and adding ``Sec. 3.32'' in its place, wherever it appears;
Revising paragraphs (c)(1), (c)(2) and (d)(5)(iii)(B);
In paragraph (d)(2)(iv)(C), removing ``(d)(5)'' and adding ``(d)(6)'' in its place;
In paragraph (d)(7)(iv)(B), removing ``Sec. 3.131(b)(2)'' and adding ``Sec. 3.132(b)(2)'' in its place; and
In paragraph (d)(9)(ii), removing ``paragraph (e)(3)'' and adding ``paragraph (e)(6)'' in its place.
Sec. 3.132 Counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts.
(c) EAD for OTC derivative contracts--(1) OTC derivative contracts not subject to a qualifying master netting agreement. A national bank or Federal savings association must determine the EAD for an OTC derivative contract that is not subject to a qualifying master netting agreement using the current exposure methodology in paragraph (c)(5) of this section or using the internal models methodology described in paragraph (d) of this section. A national bank or Federal savings association may reduce the EAD calculated according to paragraph (c)(5) of this section by the credit valuation adjustment that the national bank or Federal savings association has recognized in its balance sheet valuation of any OTC derivative contracts in the netting set. For purposes of this paragraph (c)(1), the credit valuation adjustment does not include any adjustments to common equity tier 1 capital attributable to changes in the fair value of the national bank's or Federal savings association's liabilities that are due to changes in its own credit risk since the inception of the transaction with the counterparty.
(B) Twenty business days if the number of trades in a netting set exceeds 5,000 at any time during the previous quarter (except if the national bank or Federal savings association is calculating EAD for a cleared transaction under Sec. 3.133) or contains one or more trades involving illiquid collateral or any derivative contract that cannot be easily replaced. If over the two previous quarters more than two margin disputes on a netting set have occurred that lasted more than the margin period of risk, then the national bank or Federal savings association must use a margin period of risk for that netting set that is at least two times the minimum margin period of risk for that netting set. If the periodicity of the receipt of collateral is N-days, the minimum margin period of risk is the minimum margin period of risk under this paragraph (d) plus N minus 1. This period should be extended to cover any impediments to prompt re-hedging of any market risk.
Section 3.133 is amended by:
In paragraph (b)(3)(i)(B) removing ``Sec. 3.132(b)(3)(i)(A)'' and adding paragraph (b)(3)(i)(A) of this section'' in its place;
In paragraph (b)(4)(ii) removing ``Sec. 3.131'' and adding ``subparts E or F of this part, as applicable'' in its place;
Adding paragraph (c)(3)(iii); and
In paragraph (c)(4)(ii) removing ``Sec. 3.131'' and adding ``subparts E or F of this part, as applicable'' in its place.
Sec. 3.133 Cleared transactions.
(iii) Notwithstanding paragraphs (c)(3)(i) and (ii) of this section, a clearing member national bank or Federal savings association may apply a risk weight of 0 percent to the trade exposure amount for a cleared transaction with a CCP where the clearing member national bank or Federal savings association is acting as a financial intermediary on behalf of a clearing member client, the transaction offsets another transaction that satisfies the requirements set forth in Sec. 3.3(a), and the clearing member national bank or Federal savings association is not obligated to reimburse the clearing member client in the event of the CCP default.
Sec. 3.136 Amended
Section 3.136 is amended by:
In paragraph (e)(2)(i), removing ``Sec. 3.135(e)(1) and (e)(2)'' and adding ``paragraphs (e)(1) and (2) of this section'' in its place: And
In paragraph (e)(2)(ii), removing ``Sec. Sec. 3.135(e)(1) and (e)(2)'' and adding ``paragraphs (e)(1) and (2) of this section'' in its place.
Section 3.172 is amended by revising paragraph (d) to read as follows:
Sec. 3.172 Disclosure requirements.
(d)(1) A national bank or Federal savings association that meets any of the criteria in Sec. 3.100(b)(1) before January 1, 2015, must publicly disclose each quarter its supplementary leverage ratio and the components thereof (that is, tier 1 capital and total leverage exposure) as calculated under subpart B of this part, beginning with the first quarter in 2015. This disclosure requirement applies without regard to whether the national bank or Federal savings association has completed the parallel run process and received notification from the OCC pursuant to Sec. 3.121(d).
(2) A national bank or Federal savings association that meets any of the criteria
in Sec. 3.100(b)(1) on or after January 1, 2015, must publicly disclose each quarter its supplementary leverage ratio and the components thereof (that is, tier 1 capital and total leverage exposure) as calculated under subpart B of this part beginning with the calendar quarter immediately following the quarter in which the national bank or Federal savings association becomes an advanced approaches national bank or Federal savings association. This disclosure requirement applies without regard to whether the national bank or Federal savings association has completed the parallel run process and has received notification from the OCC pursuant to Sec. 3.121(d).
Section 3.173 is amended by:
Redesignating paragraph (a) introductory text as paragraph (a)(1) and revising newly redesignated paragraph (a)(1);
Adding paragraphs (a)(2) and (a)(3);
Revising the entry for (a)(1) in Table 6 to Sec. 3.173; and
Revising the entry for (i)(2) in Table 9 to Sec. 3.173.
Sec. 3.173 Disclosures by certain advanced approaches national banks or Federal savings associations.
(a)(1) An advanced approaches national bank or Federal savings association described in Sec. 3.172(b) must make the disclosures described in Tables 1 through 12 to Sec. 3.173.
(2) An advanced approaches national bank or Federal savings association that is required to publicly disclose its supplementary leverage ratio pursuant to Sec. 3.172(d) must make the disclosures required under Table 13 to Sec. 3.173, unless the national bank or Federal savings association is a consolidated subsidiary of a bank holding company, savings and loan holding company, or depository institution that is subject to these disclosures 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 Sec. 3.173 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 national bank or Federal savings association has completed the parallel run process and received notification from the OCC pursuant to Sec. 3.121(d). The disclosures described in Table 13 to Sec. 3.173 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 national bank or Federal savings association becomes subject to the disclosure of the supplementary leverage ratio pursuant to Sec. 3.172(d) and Sec. 3.173(a)(2).
Table 6 to Sec. 3.173--Credit Risk: Disclosures for Portfolios Subject
to IRB Risk-Based Capital Formula
............... (1) Structure of internal
rating systems and if the
national bank or Federal
considers external ratings,
Table 9 to Sec. 3.173--Securitization
Quantitative Disclosures....... ............... ......................
(2) Aggregate amount
by type of underlying
exposure in the pool
(i) After-tax gain-on-
sale on a
securitization that
has been deducted
from common equity
tier 1 capital: And
(ii) Credit-enhancing
that is assigned a
1,250 percent risk
Section 217.2 is amended by revising the definition of ``Residential mortgage exposure'' to read as follows:
Sec. 217.2 Definitions.
Section 217.10 is amended by revising paragraph (c) introductory text to read as follows:
Sec. 217.10 Minimum capital requirements.
(c) Advanced approaches capital ratio calculations. An advanced approaches Board-regulated institution that has completed the parallel run process and received notification from the Board pursuant to Sec. 217.121(d) must determine its regulatory capital ratios as described in paragraphs (c)(1) through (3) of this section. An advanced approaches Board-regulated institution must determine its supplementary leverage ratio in accordance with paragraph (c)(4) of this section, beginning with the calendar quarter immediately following the quarter in which the Board-regulated institution meets any of the criteria in Sec. 217.100(b)(1).
Section 217.22 is amended by revising paragraph (b)(1)(iii) to read as follows:
Sec. 217.22 Regulatory capital adjustments and deductions.
Section 217.100 is amended by revising paragraphs (b)(1)(i)(B)(2) and (b)(1)(ii)(B) to read as follows:
Sec. 217.100 Purpose, applicability, and principle of conservatism.
Section 217.122 is amended by:
Sec. 217.122 Qualification requirements.
(b) Risk rating and segmentation systems for wholesale and retail exposures. (1)(i) A Board-regulated institution must have an internal risk rating and segmentation system that accurately, reliably, and meaningfully differentiates among degrees of credit risk for the Board-
regulated institution's wholesale and retail exposures. When assigning an internal risk rating, a Board-regulated institution may consider a third-party assessment of credit risk, provided that the Board-
regulated institution's internal risk rating assignment does not rely solely on the external assessment.
(i) A Board-regulated institution must have an internal system that groups retail exposures into the appropriate retail exposure subcategory and groups the retail exposures in each retail exposure subcategory into separate segments with homogeneous risk characteristics that provide a meaningful differentiation of risk. The Board-regulated institution's system must identify and group in separate
segments by subcategories exposures identified in Sec. 217.131(c)(2)(ii) and (iii).
(iii) The Board-regulated institution must review and, if appropriate, update assignments of individual retail exposures to segments and the loss characteristics and delinquency status of each identified risk segment. These reviews must occur whenever the Board-
regulated institution receives new material information, but generally no less frequently than quarterly, and, in all cases, at least annually.
(9) If a Board-regulated institution uses internal data obtained prior to becoming subject to this subpart E or external data to arrive at PD, LGD, or EAD estimates, the Board-regulated institution must demonstrate to the Board that the Board-regulated institution has made appropriate adjustments if necessary to be consistent with the definition of default in Sec. 217.101. Internal data obtained after the Board-regulated institution becomes subject to this subpart E must be consistent with the definition of default in Sec. 217.101.
(11) The Board-regulated institution must, at least annually, conduct a comprehensive review and analysis of reference data to determine relevance of the reference data to the Board-regulated institution's exposures, quality of reference data to support PD, LGD, and EAD estimates, and consistency of reference data to the definition of default in Sec. 217.101.
Section 217.131 is amended by:
In paragraph (e)(3)(vi), removing ``Sec. 217.22(a)(7)'' and adding ``Sec. 217.22(d)'' in its place.
Sec. 217.131 Mechanics for calculating total wholesale and retail risk-weighted assets.
(iii) Except as provided in paragraph (d)(6) of this section, a Board-regulated institution may take into account the risk reducing effects of collateral in support of a wholesale exposure when quantifying the LGD of the exposure, and may take into account the risk
reducing effects of collateral in support of retail exposures when quantifying the PD and LGD of the segment. In order to do so, a Board-
regulated institution must have established internal requirements for collateral management, legal certainty, and risk management processes.
Section 217.132 is amended by:
In Table 1 to Sec. 217.132, removing ``this section'' and adding ``Sec. 217.32'' in its place, wherever it appears;
In paragraph (d)(7)(iv)(B), removing ``Sec. 217.131(b)(2)'' and adding ``Sec. 217.132(b)(2)'' in its place; and
In paragraph (d)(9)(ii), removing ``paragraph (e)(3)'' and adding ``paragraph (e)(6)'' in its place. The revisions read as follows:
Sec. 217.132 Counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts.
(c) EAD for OTC derivative contracts--(1) OTC derivative contracts not subject to a qualifying master netting agreement. A Board-regulated institution must determine the EAD for an OTC derivative contract that is not subject to a qualifying master netting agreement using the current exposure methodology in paragraph (c)(5) of this section or using the internal models methodology described in paragraph (d) of this section. A Board-regulated institution may reduce the EAD calculated according to paragraph (c)(5) of this section by the credit valuation adjustment that the Board-regulated institution has recognized in its balance sheet valuation of any OTC derivative contracts in the netting set. For purposes of this paragraph (c)(1), the credit valuation adjustment does not include any adjustments to common equity tier 1 capital attributable to changes in the fair value of the Board-regulated institution's liabilities that are due to changes in its own credit risk since the inception of the transaction with the counterparty.
(2) OTC derivative contracts subject to a qualifying master netting agreement. A Board-regulated institution must determine the EAD for multiple OTC derivative contracts that are subject to a qualifying master netting agreement using the current exposure methodology in paragraph (c)(6) of this section or using the internal models methodology described in paragraph (d) of this section. A Board-
regulated institution may reduce the EAD calculated according to paragraph (c)(6) of this section by the credit valuation adjustment that the Board-regulated institution has recognized in its balance sheet valuation of any OTC derivative contracts in the netting set. For purposes of this paragraph (c)(2), the credit valuation adjustment does not include any adjustments to common equity tier 1 capital attributable to changes in the fair value of the Board-regulated institution's liabilities that are due to changes in its own credit risk since the inception of the transaction with the counterparty.
(B) Twenty business days if the number of trades in a netting set exceeds 5,000 at any time during the previous quarter (except if the Board-regulated institution is calculating EAD for a cleared transaction under Sec. 217.133) or contains one or more trades involving illiquid collateral or any derivative contract that cannot be easily replaced. If over the two previous quarters more than two margin disputes on a netting set have occurred that lasted more than the margin period of risk, then the Board-regulated institution must use a margin period of risk for that netting set that is at least two times the minimum margin period of risk for that netting set. If the periodicity of the receipt of collateral is N-days, the minimum margin period of risk is the minimum margin period of risk under this paragraph (d) plus N minus 1. This period should be extended to cover any impediments to prompt re-hedging of any market risk.
Section 217.133 is amended by:
In paragraph (b)(3)(i)(B) removing ``Sec. 217.132(b)(3)(i)(A)'' and adding paragraph (b)(3)(i)(A) of this section'' in its place;
In paragraph (b)(4)(ii) removing ``Sec. 217.131'' and adding ``subparts E or F of this part, as applicable'' in its place;
In paragraph (c)(4)(ii) removing ``Sec. 217.131'' and adding ``subparts E or F of this part, as applicable'' in its place.
Sec. 217.133 Cleared transactions.
(iii) Notwithstanding paragraphs (c)(3)(i) and (ii) of this section, a clearing member Board-regulated institution may apply a risk weight of 0 percent to the trade exposure amount for a cleared transaction with a CCP where the clearing member Board-regulated institution is acting as a financial intermediary on behalf of a clearing member client, the transaction offsets another transaction that satisfies the requirements set forth in Sec. 217.3(a), and the clearing member Board-regulated institution is not obligated to reimburse the clearing member client in the event of the CCP default.
Sec. 217.136 Amended
Section 217.136 is amended by:
In paragraph (e)(2)(i), removing ``Sec. 217.135(e)(1) and (e)(2)'' and adding ``paragraphs (e)(1) and (2) of this section'' in its place; and
In paragraph (e)(2)(ii), removing ``Sec. Sec. 217.135(e)(1) and (e)(2)'' and adding ``paragraphs (e)(1) and (2) of this section'' in its place.
Section 217.172 is amended by revising paragraph (d) to read as follows:
Sec. 217.172 Disclosure requirements.
(d)(1) A Board-regulated institution that meets any of the criteria in Sec. 217.100(b)(1) before January 1, 2015, must publicly disclose each quarter its supplementary leverage ratio and the components thereof (that is, tier 1 capital and total leverage exposure) as calculated under subpart B of this part, beginning with the first quarter in 2015. This disclosure requirement applies without regard to whether the Board-regulated institution has completed the parallel run process and received notification from the Board pursuant to Sec. 217.121(d).
(2) A Board-regulated institution that meets any of the criteria in Sec. 217.100(b)(1) on or after January 1, 2015, must publicly disclose each quarter its supplementary leverage ratio and the components thereof (that is, tier 1 capital and total leverage exposure) as calculated under subpart B of this part beginning with the calendar quarter immediately following the quarter in which the Board-regulated institution becomes an advanced approaches Board-regulated institution. This disclosure requirement applies without regard to whether the Board-regulated institution has completed the parallel run process and has received notification from the Board pursuant to Sec. 217.121(d).
Section 217.173 is amended by:
Designating paragraph (a) introductory text as paragraph (a)(1) and revising newly redesignated paragraph (a)(1);
Adding paragraphs (a)(2) and (3);
Revising the entry for (a)(1) in Table 6 to Sec. 217.173; and
Revising the entry for (i)(2) in Table 9 to Sec. 217.173.
Sec. 217.173 Disclosures by certain advanced approaches Board-
(a)(1) An advanced approaches Board-regulated institution described in Sec. 217.172(b) must make the disclosures described in Tables 1 through 12 to Sec. 217.173.
(2) An advanced approaches Board-regulated institution that is required to publicly disclose its supplementary leverage ratio pursuant to Sec. 217.172(d) must make the disclosures required under Table 13 to Sec. 217.173, 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 disclosures 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 Sec. 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 Sec. 217.121(d). The disclosures described in Table 13 to Sec. 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 Sec. 217.172(d) and Sec. 217.173(a)(2).
Table 6 to Sec. 217.173--Credit Risk: Disclosures for Portfolios
Subject to IRB Risk-Based Capital Formula
(1) Structure of internal
Board-regulated institution
Table 9 to Sec. 217.173--Securitization
Quantitative disclosures.......
tier 1 capital; and
PART 324--CAPITAL ADEQUACY
The authority citation for part 324 continues to read as follows:
Section 324.2 is amended by revising the definition of ``Residential mortgage exposure'' to read as follows:
Sec. 324.2 Definitions.
Section 324.10 is amended by revising paragraph (c) introductory text to read as follows:
Sec. 324.10 Minimum capital requirements.
(c) Advanced approaches capital ratio calculations. An advanced approaches FDIC-supervised institution that has
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completed the parallel run process and received notification from the FDIC pursuant to Sec. 324.121(d) must determine its regulatory capital ratios as described in paragraphs (c)(1) through (3) of this section. An advanced approaches FDIC-supervised institution must determine its supplementary leverage ratio in accordance with paragraph (c)(4) of this section, beginning with the calendar quarter immediately following the quarter in which the FDIC-supervised institution meets any of the criteria in Sec. 324.100(b)(1).
Section 324.22 is amended by revising paragraph (b)(1)(iii) to read as follows:
Sec. 324.22 Regulatory capital adjustments and deductions.
Section 324.100 is amended by revising paragraph (b)(1)(ii) to read as follows:
Sec. 324.100 Purpose, applicability, and principle of conservatism.
Section 324.122 is amended by:
Revising paragraphs (b)(3) and (5), and (c)(1), (2), (5), and (6);
Redesignating paragraphs (c)(9) and (c)(10) as paragraphs (c)(10) and (c)(11), revising newly redesignated paragraphs (c)(10) and (c)(11), and adding a new paragraph (c)(9); and
Sec. 324.122 Qualification requirements.
(b) Risk rating and segmentation systems for wholesale and retail exposures. (1)(i) An FDIC-supervised institution must have an internal risk rating and segmentation system that accurately, reliably, and meaningfully differentiates among degrees of credit risk for the FDIC-
supervised institution's wholesale and retail exposures. When assigning an internal risk rating, an FDIC-supervised institution may consider a third-party assessment of credit risk, provided that the FDIC-
supervised institution's internal risk rating assignment does not rely solely on the external assessment.
(i) An FDIC-supervised institution must have an internal system that groups retail exposures into the appropriate retail exposure subcategory and groups the retail exposures in each retail exposure subcategory into separate segments with homogeneous risk characteristics that provide a meaningful differentiation of risk. The FDIC-supervised institution's system must identify and group in separate segments by subcategories exposures identified in Sec. 324.131(c)(2)(ii) and (iii).
(iii) The FDIC-supervised institution must review and, if appropriate, update assignments of individual retail exposures to segments and the loss characteristics and delinquency status of each identified risk segment. These reviews must occur whenever the FDIC-
supervised institution receives new material information, but generally no less frequently than quarterly, and, in all cases, at least annually.
(2) An FDIC-supervised institution's estimates of PD, LGD, and EAD must
incorporate all relevant, material, and available data that is reflective of the FDIC-supervised institution's actual wholesale and retail exposures and of sufficient quality to support the determination of risk-based capital requirements for the exposures. In particular, the population of exposures in the data used for estimation purposes, the lending standards in use when the data were generated, and other relevant characteristics, should closely match or be comparable to the FDIC-supervised institution's exposures and standards. In addition, an FDIC-supervised institution must:
(6) At a minimum, PD estimates for wholesale obligors and retail segments must be based on at least five years of default data. LGD estimates for wholesale exposures must be based on at least seven years of loss severity data, and LGD estimates for retail segments must be based on at least five years of loss severity data. EAD estimates for wholesale exposures must be based on at least seven years of exposure amount data, and EAD estimates for retail segments must be based on at least five years of exposure amount data. If the FDIC-supervised institution has relevant and material reference data that span a longer period of time than the minimum time periods specified above, the FDIC-
supervised institution must incorporate such data in its estimates, provided that it does not place undue weight on periods of favorable or benign economic conditions relative to periods of economic downturn conditions.
(9) If an FDIC-supervised institution uses internal data obtained prior to becoming subject to this subpart E or external data to arrive at PD, LGD, or EAD estimates, the FDIC-supervised institution must demonstrate to the FDIC that the FDIC-supervised institution has made appropriate adjustments if necessary to be consistent with the definition of default in Sec. 324.101. Internal data obtained after the FDIC-supervised institution becomes subject to this subpart E must be consistent with the definition of default in Sec. 324.101.
(11) The FDIC-supervised institution must, at least annually, conduct a comprehensive review and analysis of reference data to determine relevance of the reference data to the FDIC-supervised institution's exposures, quality of reference data to support PD, LGD, and EAD estimates, and consistency of reference data to the definition of default in Sec. 324.101.
Section 324.131 is amended by:
In paragraph (e)(3)(vi), removing ``Sec. 324.22(a)(7)'' and adding ``Sec. 324.22(d)'' in its place.
Sec. 324.131 Mechanics for calculating total wholesale and retail risk-weighted assets.
(iii) Except as provided in paragraph (d)(6) of this section, an FDIC-supervised institution may take into account the risk reducing effects of collateral in support of a wholesale exposure when quantifying the LGD of the exposure, and may take into account the risk reducing effects of collateral in support of retail exposures when quantifying the PD and LGD of the segment. In order to do so, an FDIC-
supervised institution must have established internal requirements for collateral management, legal certainty, and risk management processes.
Section 324.132 is amended by:
In Table 1 to Sec. 324.132, removing ``this section'' and adding ``Sec. 324.32'' in its place, wherever it appears;
In paragraph (d)(7)(iv)(B), removing ``Sec. 324.131(b)(2)'' and adding ``Sec. 324.132(b)(2)'' in its place; and
Sec. 324.132 Counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts.
(c) EAD for OTC derivative contracts--(1) OTC derivative contracts not subject to a qualifying master netting agreement. An FDIC-
supervised institution must determine the EAD for an OTC derivative contract that is not subject to a qualifying master netting agreement using the current exposure methodology in paragraph (c)(5) of this section or using the internal models methodology described in paragraph (d) of this section. An FDIC-supervised institution may reduce the EAD calculated according to paragraph (c)(5)
of this section by the credit valuation adjustment that the FDIC-
supervised institution has recognized in its balance sheet valuation of any OTC derivative contracts in the netting set. For purposes of this paragraph (c)(1), the credit valuation adjustment does not include any adjustments to common equity tier 1 capital attributable to changes in the fair value of the FDIC-supervised institution's liabilities that are due to changes in its own credit risk since the inception of the transaction with the counterparty.
(2) OTC derivative contracts subject to a qualifying master netting agreement. An FDIC-supervised institution must determine the EAD for multiple OTC derivative contracts that are subject to a qualifying master netting agreement using the current exposure methodology in paragraph (c)(6) of this section or using the internal models methodology described in paragraph (d) of this section. An FDIC-
supervised institution may reduce the EAD calculated according to paragraph (c)(6) of this section by the credit valuation adjustment that the FDIC-supervised institution has recognized in its balance sheet valuation of any OTC derivative contracts in the netting set. For purposes of this paragraph (c)(2), the credit valuation adjustment does not include any adjustments to common equity tier 1 capital attributable to changes in the fair value of the FDIC-supervised institution's liabilities that are due to changes in its own credit risk since the inception of the transaction with the counterparty.
(B) Twenty business days if the number of trades in a netting set exceeds 5,000 at any time during the previous quarter (except if the FDIC-supervised institution is calculating EAD for a cleared transaction under Sec. 324.133) or contains one or more trades involving illiquid collateral or any derivative contract that cannot be easily replaced. If over the two previous quarters more than two margin disputes on a netting set have occurred that lasted more than the margin period of risk, then the FDIC-supervised institution must use a margin period of risk for that netting set that is at least two times the minimum margin period of risk for that netting set. If the periodicity of the receipt of collateral is N-days, the minimum margin period of risk is the minimum margin period of risk under this paragraph (d) plus N minus 1. This period should be extended to cover any impediments to prompt re-hedging of any market risk.
Section 324.133 is amended by:
In paragraph (b)(3)(i)(B), removing ``Sec. 324.132(b)(3)(i)(A)'' and adding ``paragraph (b)(3)(i)(A) of this section'' in its place;
In paragraph (b)(4)(ii) removing ``Sec. 324.131'' and adding ``subparts E or F of this part, as applicable'' in its place;
In paragraph (c)(4)(ii) removing ``Sec. 324.131'' and adding ``subparts E or F of this part, as applicable'' in its place.
Sec. 324.133 Cleared transactions.
(iii) Notwithstanding paragraphs (c)(3)(i) and (ii) of this section, a clearing member FDIC-supervised institution may apply a risk weight of 0 percent to the trade exposure amount for a cleared transaction with a CCP where the clearing member FDIC-supervised institution is acting as a financial intermediary on behalf of a clearing member client, the transaction offsets another transaction that satisfies the requirements set forth in Sec. 324.3(a), and the clearing member FDIC-supervised institution is not obligated to reimburse the clearing member client in the event of the CCP default.
Section 324.136 is amended by,
In paragraph (e)(2)(i) removing ``Sec. 324.135(e)(1) and (e)(2)'' and adding paragraphs (e)(1) and (e)(2) of this section'' in its place; and
In paragraph (e)(2)(ii) removing ``Sec. Sec. 324.135(e)(1) and (e)(2)'' and adding paragraphs (e)(1) and (e)(2)'' of this section in its place.
Section 324.172 is amended by revising paragraph (d) to read as follows:
Sec. 324.172 Disclosure requirements.
(d)(1) An FDIC-supervised institution that meets any of the criteria in Sec. 324.100(b)(1) before January 1, 2015, must publicly disclose each quarter its supplementary leverage ratio and the components thereof (that is, tier 1 capital and total leverage exposure) as calculated under subpart B of this part, beginning with the first quarter in 2015. This disclosure requirement applies without regard to whether the FDIC-supervised institution has completed the parallel run process and received notification from the FDIC pursuant to Sec. 324.121(d).
(2) An FDIC-supervised institution that meets any of the criteria in Sec. 324.100(b)(1) on or after January 1, 2015, must publicly disclose each quarter its supplementary leverage ratio and the components thereof (that is, tier 1 capital and total leverage exposure) as calculated under subpart B of this part beginning with the calendar quarter immediately following the quarter in which the FDIC-
supervised institution becomes an advanced approaches FDIC-supervised institution. This disclosure requirement applies without regard to whether the FDIC-supervised institution has completed the parallel run process and has received notification from the FDIC pursuant to Sec. 324.121(d).
Section 324.173 is amended by:
Designating paragraph (a) as paragraph (a)(1) and revising newly redesignated paragraph (a)(1);
Revising the entry for (a)(1) in Table 6 to Sec. 324.173; and
Revising the entry for (i)(2) in Table 9 in Sec. 324.173.
Sec. 324.173 Disclosures by certain advanced approaches FDIC-
(a)(1) An advanced approaches FDIC-supervised institution described in Sec. 324.172(b) must make the disclosures described in Tables 1 through 12 to Sec. 324.173.
(2) An advanced approaches FDIC-supervised institution that is required to publicly disclose its supplementary leverage ratio pursuant to Sec. 324.172(d) must make the disclosures required under Table 13 to Sec. 324.173, unless the FDIC-supervised institution is a consolidated subsidiary of a bank holding company, savings and loan holding company, or depository institution that is subject to these disclosures 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 Sec. 324.173 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 FDIC-supervised institution has completed the parallel run process and received notification from the FDIC pursuant to Sec. 324.121(d). The disclosures described in Table 13 to Sec. 324.173 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 FDIC-supervised
Page 41426
institution becomes subject to the disclosure of the supplementary leverage ratio pursuant to Sec. 324.172(d) and Sec. 324.173(a)(2).
Table 6 to Sec. 324.173--Credit Risk: Disclosures for Portfolios
FDIC-supervised institution
Table 9 to Sec. 324.173--Securitization
Quantitative Disclosures.
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
interest-only strip that is
assigned a 1,250 percent
Section 324.403(b) is revised to read as follows:
Sec. 324.403 Capital measures and capital category definitions.
(1) ``Well capitalized'' if it:
(vi) Beginning on January 1, 2018 and thereafter, an FDIC-
supervised institution that is a subsidiary of a covered BHC will be deemed to be well capitalized if the FDIC-supervised institution satisfies paragraphs (b)(1)(i) through (v) of this section and has a supplementary leverage ratio of 6.0 percent or greater. For purposes of this paragraph, a covered BHC means a U.S. top-tier bank holding company with more than $700 billion in total assets as reported on the company's most recent Consolidated Financial Statement for Bank Holding Companies (FR Y-9C) or more than $10 trillion in assets under custody as reported on the company's most recent Banking Organization Systemic Risk Report (FR Y-15).
FR Doc. 2015-15748 Filed 7-14-15; 8:45 am