Basel III/Dodd-Frank - Quarterly

FR Y-14: Basel III and Dodd-Frank Schedule Instructions
FR Y-14 Basel III and Dodd-Frank Schedule Instructions
General Guidance
The Basel III and Dodd-Frank quarterly and annual schedules collect historical and projection data,
respectively; the quarterly schedule will not be collected for the third quarter as-of date. All projections in
the Y-14A Basel III and Dodd-Frank schedule should be based on both BHC and supervisory baseline
scenarios. BHCs should provide projections of capital composition, risk-weighted assets and leverage
exposures until 2016 even though the BHC anticipates complying with the proposed 7% Tier 1 common,
8.5% Tier 1, and 3% Tier 1 international leverage target ratios plus the applicable surcharge for systemically
important financial institutions (SIFI surcharge) in advance of the Basel III compliance deadline.
In November 2011, the Basel Committee published its methodology for assessing an additional loss
absorbency requirement for global systemically important banks (SIFI surcharge) that effectively serves as
an extension of the capital conservation buffer. Each BHC should include within its CCAR Capital Plan
management’s best estimate of the likely SIFI surcharge that would be assessed under this methodology,
along with an explanation for the determination of the estimate. BHCs that need assistance on how to
estimate the SIFI surcharge can send questions to the following secure mailbox: [email protected].
For purposes of completing the Basel III and Dodd-Frank schedule, BHCs are required to report data
reflecting the Basel III framework as implemented on a fully-phased in basis (i.e., BHCs should apply 100% of
all capital deductions, not assuming the transitional arrangements for implementation of changes to the
capital composition as outlined in paragraphs 94 to 96 of the Basel III rules text). The only exception to this
is specified in the risk-weighted assets (RWA) worksheet, which includes a formula for certain market riskweighted assets to reflect treatment agreed to by the Basel Committee (Revisions to the Basel II market risk
framework issued by the Basel Committee (updated as of December 31, 2010)).
While Section 939A of Dodd‐Frank requires the removal of any reference to, or requirement of reliance on,
external credit ratings from US banking agencies’ rules (including those related to regulatory capital), for
purposes of completing the Basel III and Dodd-Frank schedules, BHCs should follow the Basel III treatment
of exposures with external credit ratings. BHCs should provide market risk-weighted asset data based on
the guidance released by the Basel Committee, rather than the US Notice of Proposed Rulemaking (NPR)
implementing the revisions to market risk framework that was released by the US banking agencies in
January 2011.

Relevant Guidance
For purposes of completing the Basel III and Dodd-Frank schedules, BHCs should consult relevant releases
by the Basel Committee on Banking Supervision (listed below in chronological order), as well as relevant
sections of the Dodd-Frank Wall Street Reform and Consumer Protection Act:


Guidelines for computing capital for incremental risk in the trading book (July 2009):
http://www.bis.org/publ/bcbs159.pdf



Enhancements to the Basel II framework (July 2009): http://www.bis.org/publ/bcbs157.pdf



Instructions for the comprehensive quantitative impact study (February 2010):
http://www.bis.org/bcbs/qis/qiscompinstr.pdf



Basel III: A global regulatory framework for more resilient banks and banking systems
(December 2010, rev. June 2011): http://www.bis.org/publ/bcbs189.pdf

1



Revisions to the Basel II market risk framework (updated as of 31 December 2010):
http://www.bis.org/publ/bcbs193.pdf



Interpretive issues with respect to the revisions to the market risk framework (July 2011):
http://www.bis.org/publ/bcbs193a.pdf



Basel III definition of capital frequently asked questions (October 2011):
http://www.bis.org/publ/bcbs204.pdf



Basel global systemically important banks: assessment methodology and the additional loss
absorbency requirement (November 2011): http://www.bis.org/publ/bcbs207.pdf

Entering Zeros
If a BHC does not have an exposure relevant to any particular line item in the worksheets (except for the
Planned Action worksheet); it should enter zero (0) in those cells.
Worksheet Instructions
Basel III Capital Composition and Basel III “Exceptions Bucket” Calculator
The “Capital Composition” worksheet and the “Exceptions Bucket Calculator ” worksheet collect the data
necessary to calculate the composition of capital under the fully phased-in Basel III rules, as set out in
paragraphs 49 to 90 of the Basel III rules text (i.e., not the transitional arrangements set out in paragraphs
94 to 96). All data should be provided in the non-shaded cells in both worksheets; gray shaded cells will be
automatically populated.
Basel III Capital Composition

Row

Basel
III
Para
Ref

Heading

Description

1

52-53

Common Stock and Related
Surplus (Net of Treasury Stock)

Common shares and the related surplus issued by BHCs
that meet the criteria of paragraphs 52 and 53 of the
Basel III rules text. This should be net of treasury stock
and other investments in own shares to the extent that
these are already not recognized on the balance sheet
under the relevant accounting standards.

2

52-53

Retained Earnings

Retained earnings reported by BHCs.

3-9

52-53

Accumulated Other
Comprehensive Income

Accumulated other comprehensive income reported by
BHCs.

10

52-53

Other Equity Capital Components
(including Unearned Employee
Stock Ownership Program Shares)

All other equity capital components which fall under the
definition of Tier 1 Common Equity, as set forth by
paragraphs 52 and 53 of the Basel III rules text.

2

FR Y-14: Basel III and Dodd-Frank Schedule Instructions
11

52-53

Total Tier 1 Common attributable
to Parent Company Common
Shareholders

Formula embedded in the schedule, no input required.

12

62

Minority Interest included in Tier
1 Common

13

5253,
62-64

Total Group Tier 1 Common Prior
to Regulatory Adjustments

Total minority interest given recognition in Tier 1
Common Equity. Common shares issued by subsidiaries
(which includes all consolidated subsidiaries of the
group, regardless of whether they are fully owned or
partially owned) of the consolidated group that are held
by third parties is accounted for here.
Formula embedded in the schedule, no input required.

14

66-79

Deductions

Formula embedded in the schedule, no input required.

15

67

Goodwill, Net of Related Deferred
Tax Liability

16

67

Intangibles Other than Mortgage
Servicing Rights, Net of Related
Deferred Tax Liabilities

17

69-70

Deferred Tax Assets (Excluding
Temporary Differences Only), Net
of Related Deferred Tax Liabilities

18

78

Investments in Own Shares
(Excluding Treasury Stock)

19

79

Reciprocal cross holdings in the
capital of banking, financial, and
insurance entities

20

73

Shortfall of the stock of provisions
to expected losses

Goodwill (including those used in the valuation of
significant investments in the capital of banking) should
be deducted from Tier 1 Common Equity.
All other intangibles (with the exception of mortgage
servicing rights) must be deducted from the calculation
of Tier 1 Common Equity. The full amount is to be
deducted net of any associated deferred tax liability
which would be extinguished if the intangible assets
become impaired and/or no longer recognized under
the applicable accounting rules.
Deferred Tax Assets (DTAs) that rely on future
profitability of the bank to be realized are to be
deducted from Tier 1 Common Equity. Where these
DTAs relate to temporary differences, the amount to be
deducted is set out in the Exception Bucket Calculator
schedule. DTAs may be netted with associated deferred
tax liabilities (DTLs) only if the DTAs and DTLs offsetting
is permitted by the relevant tax authority.
BHC’s investments in its own common shares (held
directly or indirectly), in addition to any stock the BHC is
contractually obliged to purchase in the future, must all
be deducted in the calculation of Tier 1 Common Equity.
This treatment will apply irrespective of whether the
exposure is held in the banking book or the trading
book.
Any reciprocal cross holdings of capital that are
designed to artificially inflate the capital position of
banks will be deducted using a corresponding deduction
approach.
The deduction from capital in the event of a shortfall
under the Internal Rating-Based (IRB) approach should
be accounted for in the calculation of Tier 1 Common
Equity.

3

21

71-72

Cash Flow Hedge Reserve (If Gain,
Report as Positive; If Loss, Report
as Negative)

22

75

Cumulative Gains and Losses Due
to Changes in Own Credit Risk on
Fair Valued Liabilities) If Gain,
Report as Positive; If Loss, Report
as Negative)

23

76-77

Defined Benefit Pension Fund
Assets

24

74

Securitization Gain on Sale

25

Total Tier 1 Common After
Deductions Above

The amount of the cash flow hedge reserve that relates
to the hedging of items which are not fair-valued on the
balance sheet should be deducted from Tier 1 Common
Equity. Positive amounts should be deducted and
negative amounts should be added back.
All unrealized gains and losses resulting from changes in
the fair value of liabilities due to changes in the bank’s
own credit risk must be deducted from Tier 1 Common
Equity.
For each defined benefit pension fund that is an asset
on the balance sheet, the asset should be deducted in
the calculation of Tier 1 Common Equity, net of any
associated deferred tax liability which would be
extinguished if the asset should become impaired or no
longer recognized under the applicable accounting
standards.
Securitization gain on sale (expected future margin
income) as described in paragraph 562 of the Basel II
framework. Any increase in equity capital resulting
from a securitization transaction (i.e., those associated
with expected future margin income resulting in a gainon-sale) must be deducted from Tier 1 Common Equity.
Formula embedded in the schedule, no input required.

Insignificant Investments in the
Common Share of Unconsolidated
Financial Entities That Exceed 10%
of Tier 1 Common

Investments in banking, financial, and insurance entities
that are outside the scope of regulatory consolidation
and where the bank does not own more than 10% of
the issued common share capital of the entity.

27

Total Tier 1 Common After the
Regulatory Adjustments Above

Formula embedded in the schedule, no input required.

28

Significant Investments in the
Common Stock of Financial
Entities (Amount Above 10%
Threshold)

Formula embedded in the schedule, no input required.

29

Mortgage Servicing Rights
(Amount above 10% Threshold)

Formula embedded in the schedule, no input required.

30

Deferred Tax Assets Arising from
Temporary Difference (Amount
Above 10% Threshold)

Formula embedded in the schedule, no input required.

31

Total Common Equity Tier 1
Capital After the Regulatory
Adjustments Above

Formula embedded in the schedule, no input required.

Regulatory Adjustments to be
Applied to Common Equity Tier 1
Due to Insufficient Additional Tier
1 to Cover Deductions

This is the amount deducted from the next higher tier of
capital (i.e., Tier 1 Common Equity in lieu of Additional
Tier 1 capital) should a BHC not have enough Tier 1
capital to satisfy a given deduction.

26

32

80-83

82

4

FR Y-14: Basel III and Dodd-Frank Schedule Instructions
33

Total Common Equity Tier 1
Capital After the Regulatory
Adjustments Above

Formula embedded in the schedule, no input required.

34

Amount Exceeding the 15%
Threshold

Formula embedded in the schedule, no input required.

35

Tier 1 Common

Formula embedded in the schedule, no input required.

36

55-56

Non common Tier 1 Capital
Instruments

Additional Tier 1 instruments issued by parent company
of group (and any related surplus), including any
compliant capital issued via special purpose vehicles
(SPVs) as determined by paragraph 65 of the Basel III
rules text.

37

63-64

Minority Interest Included in Tier
1 Capital

Instruments that meet the Additional Tier 1 criteria
issued by subsidiaries to third parties that are given
recognition in group Additional Tier 1 capital (sum of
relevant output of the Basel III Capital Composition
worksheet after application to every subsidiary that has
issued capital held by third parties).

Deductions

Formula embedded in the schedule, no input required.

38
39

66-90

Regulatory Adjustments to be
Deducted from Additional Tier 1
Capital

This captures all other adjustments BHCs must make to
additional Tier 1 capital (i.e., non-cumulative perpetual
preferred stock).

40

82

Tier 2 Regulatory Adjustments
Which have to be Deducted from
Additional Tier 1 Capital

If the total regulatory adjustments to be made to Tier 2
capital exceed the amount of Tier 2 capital available,
the excess amount should be deducted from Tier 1
capital.

Tier 1 Capital

Formula embedded in the schedule, no input required.

41

Basel III “Exception Bucket’ Calculator
The “Exception Bucket Calculator” worksheet collects the data necessary to calculate the items that may
receive limited recognition in Tier 1 Common Equity, (i.e., significant investments in the common shares of
unconsolidated financial institutions, mortgage servicing rights and deferred tax assets arising from
temporary difference) . Those items may be recognized in Tier 1 Common Equity up to 10% of the BHC’s

5

common equity on the individual basis and 15% on the aggregated basis after application of all regulatory
adjustments. As further clarified in Annex 2 of the Basel III rules text on the application of the 15% of Tier 1
common equity limit, the maximum amount of those items that can be recognized by each BHC in its
calculation of Tier 1 common equity is 17.65% (i.e., 15%/85%).
Row

Basel
III Para
Ref

Heading

Description

1

84-86

Gross holdings of capital stock

The aggregate holdings of capital
instruments including direct, indirect and
synthetic holdings in both the banking book
and trading book must be included.

2

84-86

Permitted offsetting short positions in
relation to the specific gross holdings
included above

Offsetting positions in the same underlying
exposure where the maturity of the short
position either matches the maturity of the
long position or has a residual maturity of at
least one year.

3

84-86

Holdings of common stock net of short
positions

Formula embedded in the schedule, no input
required.

4

84-86

Common Equity Tier 1 capital after all
regulatory adjustments except
significant investments in financial
institutions, mortgage servicing rights
(MSRs) and deferred tax assets (DTA)
temporary difference

Formula embedded in the schedule, no input
required.

5

84-86

Formula embedded in the schedule, no input
required.

6

67, 87

Amount to be deducted from Common
Equity Tier 1 capital as a result of
application of 10% cap
Total mortgage servicing rights (MSR)
classified as intangible

Mortgage servicing rights (MSR) may receive
limited recognition when calculating Tier 1
Common Equity, with recognition capped at
10% of the bank’s common equity (after the
application of all regulatory adjustments set
forth in paragraphs 67 to 85 of the Basel III
rules text).

6

FR Y-14: Basel III and Dodd-Frank Schedule Instructions

Row

Basel
III Para
Ref

Heading

Description

7

67, 87

Associated deferred tax liability which
would be extinguished if the intangible
becomes impaired or derecognized
under the relevant accounting
standards

The amount of mortgage servicing rights
(MSR) to be deducted from Tier 1 common
equity can be net of any associated deferred
tax liability when calculating Tier 1 Common
Equity, with recognition capped at 10% of
the bank’s common equity (after the
application of all regulatory adjustments set
forth in paragraphs 67 to 85 of the Basel III
rules text). If the bank chooses to net its
deferred tax liabilities associated with
mortgage servicing rights against deferred
tax assets (in Row 17 of the Capital
Composition worksheet), those deferred tax
liabilities should not be deducted again here.
Formula embedded in the schedule, no input
required.
Formula embedded in the schedule, no input
required.

8
9

10

11

12

13

14

15

87

Mortgage servicing rights net of related
tax liability
Common Equity Tier 1 after all
regulatory adjustments except
significant investments in financial
institutions, mortgage servicing rights
(MSR) s and deferred tax assets (DTA)
temporary difference
Amount to be deducted from Common
Equity Tier 1 capital as a result of
application of 10% cap
Net deferred tax assets due to
temporary differences

Common Equity Tier 1 capital after all
regulatory adjustments except
significant investments in financials,
mortgage servicing rights (MSR) and
deferred tax assets (DTA) temporary
differences
Amount to be deducted from Common
Equity Tier 1 capital as a result of
application of 10% cap
Significant investments in the common
equity of financial entities not deducted
as part of the 10% cap
Mortgage servicing rights not deducted
as part of the 10% cap

Formula embedded in the schedule, no input
required.
Net deferred tax assets due to temporary
differences may receive limited recognition
when calculating Tier 1 Common Equity, with
recognition capped at 10% of the bank’s
common equity (after the application of all
regulatory adjustments set forth in
paragraphs 67 to 85 of the Basel III rules
text).
Formula embedded in the schedule, no input
required.

Formula embedded in the schedule, no input
required.
Formula embedded in the schedule, no input
required.
Formula embedded in the schedule, no input
required.

7

Row

16

17

18

Basel
III Para
Ref

Heading

Description

Deferred tax assets due to temporary
differences not deducted as part of the
10% cap
Sum of significant investments in
financials, mortgage servicing rights
(MSR) and deferred tax assets (DTA)
temporary differences not deducted as
a result of the 10% cap
Deduction from Common Equity Tier 1
capital in respect of amounts above the
15% cap

Formula embedded in the schedule, no input
required.
Formula embedded in the schedule, no input
required.

Formula embedded in the schedule, no input
required.

Risk-Weighted Assets Worksheet
In the Risk-Weighted Assets worksheet, BHCs should provide Basel II risk‐weighted asset estimates for
portfolios not addressed in the Basel III capital framework inclusive of changes related to the capital
treatment of securitization and traded exposures issued by the Basel Committee in July 2009 through July
2010.
If a BHC’s trading activity is below $1 billion or less than 10% of its total assets at 3Q 2011, the BHC does not
need to complete the market risk-weighted asset section within the Basel III and Dodd‐Frank schedule.
However, if the BHC projects to meet the trading activity threshold during 2012, then the BHC should
complete the market risk-weighted asset section within the schedule, based on the Revisions to the Basel II
market risk framework (updated as of December 31, 2010), regardless of whether the internal models have
been approved. Additionally, the BHC should complete the market risk-weighted assets for all reporting
periods beginning in 3Q 2011.
A BHC unable to provide Basel II and III risk weighted asset estimates should send an email to
[email protected] to determine how to proceed. In doing so, BHCs should specify the affected portfolios,
current limitations that preclude the BHC from providing Basel II estimates, as well as management’s plan
for addressing those limitations.

Row

Heading

Description

Credit risk (including Counterparty Credit Risk (CCR) and non-trading credit risk)
Risk-weighted assets should reflect the 1.06 scaling factor to the Internal Rating-Based Approach
(IRB) credit risk-weighted assets where relevant, unless noted otherwise.
1

Corporate

Formula embedded in the schedule, no input required.

8

FR Y-14: Basel III and Dodd-Frank Schedule Instructions

Row

Heading

Description

2

Corporate (not including
receivables); Counterparty
credit risk exposures (not
including credit value
adjustment (CVA) charges or
charges for exposures to
central counterparties (CCPs))

Overall risk-weighted assets for corporate (not including
receivables) counterparty credit risk exposures, not
including credit value adjustment (CVA) capital charges
or exposures to central counterparties (CCPs), after
applying the 1.06 scaling factor to the Internal RatingBased Approach (IRB) credit risk-weighted assets.

3

Corporate (not including
receivables); Other exposures

Overall risk-weighted assets for other corporate
exposures (not including receivables), after applying the
1.06 scaling factor to the Internal Rating-Based
Approach (IRB) credit risk-weighted assets.

4

Sovereign

Formula embedded in the schedule, no input required.

5

Sovereign; Counterparty
credit risk exposures (not
including credit value
adjustment (CVA) charges or
charges for exposures to
central counterparties (CCPs))

Overall risk-weighted assets for sovereign counterparty
credit risk exposures, not including credit value
adjustment (CVA) capital charges or exposures to central
counterparties (CCPs), after applying the 1.06 scaling
factor to the Internal Rating-Based Approach (IRB) credit
risk-weighted assets.

6

Sovereign; Other exposures

Overall risk-weighted assets for other sovereign
exposures, after applying the 1.06 scaling factor to the
Internal Rating-Based Approach (IRB) credit riskweighted assets.

7

Bank

Formula embedded in the schedule, no input required.

8

Bank; Counterparty credit risk
exposures (not including
credit value adjustment (CVA)
charges or charges for
exposures to central
counterparties (CCPs))

Overall risk-weighted assets for bank counterparty credit
risk exposures, not including credit value adjustment
(CVA) capital charges or exposures to central
counterparties (CCPs), after applying the 1.06 scaling
factor to the Internal Rating-Based Approach (IRB) credit
risk-weighted assets.

9

Bank; Other exposures

Overall risk-weighted assets for other bank exposures,
after applying the 1.06 scaling factor to the Internal
Rating-Based Approach (IRB) credit risk-weighted assets.

10

Retail

Formula embedded in the schedule, no input required.

11

Retail; Counterparty credit
risk exposures (not including
credit value adjustment (CVA)
charges or charges for
exposures to Central
counterparties (CCPs))

Overall risk-weighted assets for retail counterparty
credit risk exposures, not including credit value
adjustment (CVA) capital charges or exposures to Central
counterparties (CCPs), after applying the 1.06 scaling
factor to IRB credit risk-weighted assets.

12

Retail; Other exposures

Overall risk-weighted assets for other retail exposures,
after applying the 1.06 scaling factor to the Internal
Rating-Based Approach (IRB) credit risk-weighted assets.

9

Row

Heading

Description

13

Equity

Overall risk-weighted assets for equity exposures, where
relevant after applying the 1.06 scaling factor to the
Internal Rating-Based Approach (IRB) credit riskweighted assets.

14

Securitization

Overall risk-weighted assets for securitizations that are
held in the held-to-maturity or available-for-sale
portfolios, where relevant after applying the 1.06 scaling
factor to the Internal Rating-Based Approach (IRB) credit
risk-weighted assets.

15

Trading Book Counterparty
Credit Risk Exposures (if not
included in above)

Overall risk-weighted assets for counterparty credit risk
exposures in the trading book if the BHC is not able to
include them in the portfolio of the counterparty as
specified above.

16

Credit value adjustment (CVA) Formula embedded in the schedule, no input required.
Capital Charge (Risk-Weighted
Asset Equivalent)

17

Advanced credit value
adjustment (CVA)

Formula embedded in the schedule, no input required.

18

Credit value adjustment (CVA)
capital charge (risk-weighted
asset equivalent); Advanced
CVA; Unstressed Value at Risk
(VaR) with multipliers

Standalone 10-day value-at-risk calculated on the set of
credit value adjustments (CVAs) (as specified in BCBS
189 Section II.A.1 paragraph 98 using expected exposure
based on current parameter calibration) for all Over-thecounter (OTC) derivatives counterparties together with
eligible credit value adjustment (CVA) hedges. The
reported value-at-risk should consist of both general and
specific credit spread risks and is restricted to changes in
the counterparties credit spreads. The bank must
multiply the reported value-at-risk by three times
consistent with the approach used in calculating market
risk capital charge (three-times multiplier). The 1.06
scaling factor does not apply.
BHC should report 0 if it does not use the advanced
credit value adjustment (CVA) approach.

10

FR Y-14: Basel III and Dodd-Frank Schedule Instructions

Row

Heading

Description

19

Credit value adjustment (CVA)
capital charge (risk-weighted
asset equivalent); Advanced
CVA; Stressed Value at Risk
(VaR) with multipliers

Standalone 10-day stressed Value-at-risk (VAR)
calculated on the set of credit value adjustments (CVAs)
(as specified in the Basel Committee on Banking
Supervision (BCBS) 189 Section II.A.1 paragraph 98 using
stressed exposure based on stress parameter
calibrations) for all Over-the-counter (OTC) derivatives
counterparties together with eligible credit value
adjustments (CVA) hedges. The reported value-at-risk
should consist of both general and specific credit spread
risks and is restricted to changes in the counterparties
credit spreads. It should reflect three-times multiplier.
The 1.06 scaling factor does not apply.
BHC should report 0 if it does not use the advanced
credit value adjustments (CVA) approach

20

Credit value adjustment (CVA)
capital charge (risk-weighted
asset equivalent);
Standardized CVA

Risk-weighted asset (RWA) equivalent of the
standardized credit value adjustment (CVA) risk capital
charge.

21

Other Credit Risk

If the BHC is unable to assign credit risk-weighted assets
to one of the above categories even on a best-efforts
basis, they should be reported in this row.

22

Total Credit right-weighted
assets (RWA)

Formula embedded in the schedule, no input required.

Market Risk
If a BHC does not have a particular portfolio or no trading book at all, risk-weighted assets should be
reported as 0.
23

Standardized Specific Risk
(excluding securitization and
correlation)

Risk-weighted asset (RWA) equivalent for specific risk
based on the standardized measurement method as
applicable. It should not include the risk-weighted assets
according to the standardized measurement method for
exposures included in the correlation trading portfolio or
the standardized approach for other non-correlation
related traded securitization exposures.

24

Value at Risk (VaR) with
Multipliers (general and
specific risk)

BHC-wide 10-day value-at-risk (VaR) inclusive of all
sources of risks that are included in the value-at-risk
calculation. The reported value-at-risk should reflect
actual multipliers as of the reporting date.

25

Stressed value-at-risk with
Multipliers (general and
specific risk)

BHC-wide 10-day stressed value-at-risk inclusive of all
sources of risk that are included in the stressed value-atrisk calculation. The reported stressed value-at-risk
should reflect actual multipliers as of the reporting date.

11

Row

Heading

Description

26

Incremental risk capital
charge

Risk-weighted asset (RWA) equivalent for incremental
risk in the trading book.

27

Correlation Trading

Formula embedded in the schedule, no input required.

28

Correlation trading portfolio;
Comprehensive risk model,
before application of the floor

Risk-weighted asset (RWA) equivalent for exposures in
the correlation trading portfolio which are subject to the
comprehensive risk model, before the application of the
8% floor based on the standardized measurement
method.

29

Correlation Trading;
Standardized Measurement
Method (100%) for exposures
subject to credit risk
management (CRM)

Formula embedded in the schedule, no input required.

30

Correlation trading portfolio;
Standardized measurement
method (100%) for exposures
subject to the credit risk
measurement (CRM); Net
long

100% of the risk-weighted asset (RWA) equivalent
according to the standardized measurement method for
net long exposures in the correlation trading portfolio
which are subject to the comprehensive risk model.

31

Correlation trading portfolio;
Standardized measurement
method (100%) for exposures
subject to the credit risk
measurement(CRM); Net
short

100% of the risk-weighted asset (RWA) equivalent
according to the standardized measurement method for
net short exposures in the correlation trading portfolio
which are subject to the comprehensive risk model.

32

Correlation trading;
Standardized Measurement
Method for exposures not
subject to credit risk
management (CRM)

Formula embedded in the schedule, no input required.

33

Correlation trading portfolio;
Standardized measurement
method (100%) for exposures
not subject to the credit risk
measurement (CRM); Net
long

Risk-weighted asset (RWA) equivalent according to the
standardized measurement method for net long
exposures in the correlation trading portfolio not subject
to the comprehensive risk model.

34

Correlation trading portfolio;
Standardized measurement
method (100%) for exposures
not subject to the credit risk
measurement (CRM); Net
short

Risk-weighted asset (RWA) equivalent according to the
standardized measurement method for net short
exposures in the correlation trading portfolio not subject
to the comprehensive risk model.

12

FR Y-14: Basel III and Dodd-Frank Schedule Instructions

Row

Heading

Description

35

Securitization non-correlation

In accordance with Revisions to the Basel II market risk
framework - updated as of 31 December 2010, during a
transitional period until December 31, 2013, the capital
charge (or risk-weighted asset equivalent) for noncorrelation related traded securitization is the larger of
the long and net short positions. Afterward, the charge
is the sum of the net long and net short positions.

36

Securitization noncorrelation; Net long

Risk-weighted asset equivalent according to the
standardized measurement method for net long other
non-correlation related securitization exposures
including nth-to-default credit derivatives.

37

Securitization noncorrelation; Net short

Risk-weighted asset equivalent according to the
standardized measurement method for net short other
non-correlation related securitization exposures
including nth-to-default credit derivatives.

38

Other Market Risk

If the BHC is unable to assign market risk-weighted
assets to one of the above categories, they should be
reported in this row.
If no such requirements exist, 0 should be entered.

39

Total Market risk-weighted
assets (RWA)

Formula embedded in the schedule, no input required.

40

Other Pillar 1 Capital
Requirements

Risk-weighted assets (RWA) for settlement risk and
other Pillar 1 capital requirements. If no such
requirements exist, 0 should be entered.

41

Operational Risk

Risk-weighted assets (RWA) for operational risk.

42

Change in Risk-Weighted
Assets (RWA) Due to Impact
of Basel III Definition of
Capital

Impact on the risk-weighted assets (RWA) due to
changes of Basel III definition of capital.

43

Total Risk-weighted Assets

Formula embedded in the schedule, no input required.

Other

13

Leverage Exposure Worksheet
BHCs should report the average as of quarter end for the relevant period by including averages of the
exposures calculated on a monthly basis. Exposure measure of the leverage ratio is defined by the Basel III
rules text. BHCs that are unable to calculate monthly data may report exposures as of the quarter end (i.e.,
not the average over the quarter of exposures calculated monthly).

Row

Heading

Description

1

On-Balance Sheet Derivatives,
Basel II Netting

Total derivatives exposure (sum of positive fair values) with
Basel II netting rules (i.e., positive net current derivatives
exposure on a netting set-by-netting set basis, where those
netting sets meet Basel II netting requirements, summed
across counterparties). Both derivatives traded over-thecounter (OTC) and on an exchange or through a central
counterparty (CCP) should be included. They do not include
initial or variation margin credits.

2

Derivatives, Potential Future
Exposure Applying Basel II
Netting

Regulatory potential future exposure (PFE) of derivatives
when applying the current exposure method and Basel II
netting rules. The PFE is calculated by multiplying the
derivative’s notional principal amount by a factor that is
based on type of derivative contract and residual maturity.
For derivatives contracts in bilateral netting sets that meet
the Basel II netting requirements, the PFE is the adjusted
sum of the PFE exposure for all over-the-counter (OTC)
derivative contracts subject to the qualifying master
netting agreement. (Reference Annex 4; paragraph 96(iv)
of the Basel II framework.)

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FR Y-14: Basel III and Dodd-Frank Schedule Instructions

Row

Heading

Description

3

On-Balance Sheet Securities
Financing Transactions, Basel II
Netting

Securities financing transactions (SFTs) as defined by the
Basel II framework (i.e., transactions such as repurchase
agreements, reverse repurchase agreements, security
lending and borrowing, and margin lending transactions,
where the value of the transactions depends on the market
valuations and the transactions are often subject to margin
agreements), when representing an asset on the
accounting balance sheet.
BHCs should report the sum of the net positive current
exposures, determined on a netting set-by-netting set
basis, where those netting sets meet Basel II netting
requirements. The net positive exposure is determined by
netting the exposure amounts and collateral (e.g., the sum
of the market value of all securities and cash lent to the
counterparty, less the sum of all securities and cash
received from the counterparty as collateral under the
bank's agreement). Include any securities financing
transactions (SFTs) that are traded over-the-counter (OTC)
or on an exchange, or through a central counterparty
(CCP).

4

Other On-Balance Sheet Items,
(Excluding Derivatives and
Securities Financing
Transactions)

All other assets that are carried on the balance sheet that
are not specifically identified in rows one and three above.
Other on-balance sheet assets may include cash, loans,
securities, trading assets, fixed assets, and failed and
unsettled transactions.

5

Off-Balance Sheet Items
(excluding derivatives)

Formula embedded in the schedule, no input required.

6

Off-Balance Sheet Items
(excluding derivatives) Unconditionally Cancellable
Commitments eligible for 10%
credit conversion factors (CCF)

All commitments that are unconditionally cancellable at
any time by the BHC without prior notice are to be
converted to credit equivalent amounts using a 10% credit
conversion factors (CCF).

7

All other Off-Balance Sheet
Items (excluding derivatives
and off-balance sheet
Securities Financing
Transactions) )

All other off-balance sheet items that are subject to riskbased capital (RBC) requirements are to be converted to
on-balance sheet credit equivalent amounts using a
uniform 100% credit conversion factors (CCF). The 100%
CCF is to be applied regardless of the CCF that would
otherwise have been applied to such exposures under the
RBC requirements. Exclude commitments that are eligible
for the 10% CCF, operational risk exposures, off-balance
sheet securities financing transactions (SFTs) and
derivatives.

15

Row

Heading

Description

8

Amounts Deducted from Tier 1
Capital (Report as Negative)

Formula embedded in the schedule, no input required.

Planed Actions Worksheet
For the purpose of completing the Planed Actions worksheet of the Basel III and Dodd-Frank schedule, BHCs
should capture all material planned actions, including, but not limited to, the roll-off or sale of an existing
portfolio, the issuance of regulatory capital instruments and other strategic corporate actions. For each
planned action, BHCs should provide a brief description.
In addition, BHCs should submit the incremental quantitative impact on Tier 1 common equity, Tier 1 riskbased capital, risk-weighted assets (RWA), and leverage exposures for each year as of year-end. The
quantitative impact of planned actions submitted by BHCs should represent the stand-alone, incremental
immediate impact of the action relevant to the time period in which it is planned to be executed. For
example, if a planned action were forecasted to reduce the BHC’s risk-weighted assets by $200 million as of
4Q 2013 and an additional $100 million as of 4Q 2014 (for a total reduction of $300 million), the BHC should
report “200” for 4Q 2013, “100” for 4Q 2014, and “0” for subsequent periods.
However, when evaluating the impact of the planned actions, BHCs should include an assessment of how
each of these actions will comprehensively impact the firm. BHCs are required to factor in the combined
impact of all planned actions on all other relevant worksheets of the Basel III submission.
BHCs should provide a more detailed description of each material action in a separate attachment(s). The
documentation should include:


How each material planned action aligns with the BHC’s long term business strategy and risk
appetite on a going concerns basis;



Assessment of each material planned action by taking into account potential capital and earnings
impact, overall risk profile, and funding need;



Assessment of market condition and capacity around planned actions including the BHC’s planned
sale size, availability, and appetite of buyers and other potential sellers;



Assessment of impediments to plan actions (e.g., contractual, accounting or structural limitation);



Whether there are recent transactions from either the BHC or other institutions that would
demonstrate the ease of sales or unwind.

Column

Heading

Description

A

Description

Brief description of the planned action the BHC
wishes to implement.

B

Action Type

A selection from a list of available actions
provided in the schedule.

C

Exposure Type

A selection from a list of available exposure types
provided in the schedule.

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FR Y-14: Basel III and Dodd-Frank Schedule Instructions

Column

Heading

Description

D-AA

Projected Impact (Q4 2011-Q42016); Tier
1 Common, Tier 1 Capital, Risk-weighted
Assets (RWA), and Leverage Exposure

This is the projected incremental impact yearover-year on the BHC’s Tier 1 common equity,
Tier 1 capital, risk-weighted assets, and leverage
exposure in $Millions as of year-end.

AB

Total Tier 1 Common Impact

Formula embedded in the schedule, no input
required.

AC

Total Tier 1 Capital Impact

Formula embedded in the schedule, no input
required.

AD

Total risk-weighted assets (RWA) Impact

Formula embedded in the schedule, no input
required.

AE

Total leverage exposure impact

Formula embedded in the schedule, no input
required.

Included below are examples of specific documentation which may be included, where relevant, to the
planned action.


Detailed information on a planned sale such as risk profile and size of the positions, indicative term
sheets and contracts; potential buyer information; current marked to market (MTM), support for
the execution price; potential associated loans, financing, or liquidity credit support arrangements;
potential buy back commitments; and impact on any offsetting positions. If similar recent
transactions have taken place, BHCs should provide information as a point of reference. BHCs
should also describe any challenges that may be encountered in executing the sale.



Detailed information on a planned unwind, such as risk profile and size of the positions, profit and
loss (P&L) impact at execution or in the future; funding implications; impact on any offsetting
positions; and trigger of consolidation or on-boarding of the underlying assets.
Detailed information on planned run-offs, such as risk profile and size of the positions, impact on
any offsetting positions; details on trades; and maturity dates.
Detailed information on planned hedging, such as indicative term sheets and contracts; P&L impact
at execution or during life of the hedges; and impact on counterparty credit RWA.
Detailed information on changed to risk-weighted-assets calculation methodologies, such as which
data or parameters would be changed, whether the firm has submitted model application to its
supervisors, remaining work to be completed and expected completion date.







Detailed information on expanded use of clearing houses, such as types of products to be cleared
and central counterparties to be used.

BHCs should also provide detailed information on any alternative Basel III and Dodd-Frank action plans in
the event the firm falls short of the targets outlined in the Capital Plan, and trigger events that would result
in a need to pursue any alternative action plans.

17