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pdfFR 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 FR Y-14Q quarterly and FR Y-14A annual schedules collect historical and
projection data, respectively. All projections in the FR Y-14A Basel III and Dodd-Frank schedule should be
based on both BHC and Supervisory Baseline scenarios through the end of 2017. For years beyond 2015,
BHCs should adopt assumptions necessary to make reasonable projections of capital ratios, including
forecasts of macroeconomic factors and potential earnings through 2017. All forecasts must be welldeveloped and well-documented, consistent with the relevant baseline scenario, and internally consistent
with the BHC’s planned capital actions. BHCs are required to provide an additional schedule for the baseline
scenario only using capital assumptions that are required under any final stress testing rules that the
Federal Reserve may issue.
BHCs should provide projections of capital composition, exceptions bucket calculation, risk-weighted assets,
and leverage exposures through 2017 even if the BHC anticipates complying with the proposed fully phasedin 7% Common Equity Tier 1, 8.5% Tier 1 capital, 4% Tier 1 leverage, and 3% supplementary leverage target
ratios (inclusive the capital conservation buffer, where applicable) plus any applicable surcharge for
systemically important financial institutions (SIFI surcharge) by an earlier date.
In November 2011, the Basel Committee on Banking Supervision (BCBS) 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. In the process
of assessing a BHC’s transition path toward Basel III compliance, supervisors will evaluate the methodology
and assumptions used by BHCs in determining the SIFI surcharge, and may adjust such estimates as
necessary when evaluating the transition path. Any BHC not currently designated as a global systemically
important financial institution (G-SIFI) should include a SIFI surcharge assessment as part of its capital plan if
management expects changes to its business model that would potentially lead to the BHC’s designation as
a G-SIFI. BHCs that need assistance on how to estimate the SIFI surcharge can send questions to the
following secure mailbox: [email protected].
In June 2012, the U.S. banking agencies finalized the market risk capital rule and released the three notices
of proposed rulemaking (NPRs) to propose revisions to risk-based and leverage capital requirements
consistent with agreements reached by the BCBS. For purposes of completing the Basel III and Dodd-Frank
schedule, BHCs are required to complete the schedule based on the methodologies outlined in the Basel III
NPR, Advanced Approaches NPR, and final market risk capital rule. However, for exposures to central
counterparties, BHCs should complete the Basel III and Dodd-Frank schedule based on the methodologies
outlined in the document “Capitalization of bank exposures to central counterparties” that was released by
BCBS in July 2012. BHCs should reflect the Basel III framework on a fully phased-in basis (e.g., BHCs should
apply 100% of all capital deductions, not assuming the transitional arrangements for implementation of
changes to the capital composition as proposed in the Basel III NPR).
Advanced approaches BHCs, including the BHCs that are considered mandatory Basel II institutions or that
have opted-in voluntarily as a Basel II institution, are required to complete the “RWA_Advanced”
worksheet. All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must
complete the “RWA_General” worksheet. For the purpose of completing the “RWA_General” worksheet,
BHCs are required to report credit risk-weighted assets using the methodologies in the current general riskbased capital rules (Basel I). For CCAR 2013, BHCs are not required to complete “RWA_General” worksheet
using the methodologies in the proposed Standardized Approach NPR.
1
Relevant Reference
For purposes of completing the Basel III and Dodd-Frank schedules, BHCs should consult the relevant NPRs
(Basel III NPR and Advanced Approaches NPR) and the final market risk capital rule released by the U.S.
banking agencies, as well as relevant guidance by BCBS for areas where the U.S. banking agencies have not
yet released proposals:
•
Basel global systemically important banks: assessment methodology and the additional loss
absorbency requirement (November
2011):
http://www.bis.org/publ/bcbs207.pdf
•
Capitalization of bank exposures to central counterparties (July 2012):
http://www.bis.org/publ/bcbs227.pdf
•
Basel III NPR:
https://www.federalregister.gov/articles/2012/08/30/2012-16757/regulatory-capital-rulesregulatory-capital-implementation-of-basel-iii-minimum-regulatory-capital
•
Advanced Approaches Risk-Based Capital Rule; Market Risk Capital Rule:
https://www.federalregister.gov/articles/2012/08/30/2012-16761/regulatory-capital-rulesadvanced-approaches-risk-based-capital-rule-market-risk-capital-rule
•
Final Market Risk Rule:
https://www.federalregister.gov/articles/2012/08/30/2012-16759/risk-based-capitalguidelines-market-risk
Completing the Schedule
All data should be provided in the non-shaded cells in all worksheets; grey shaded cells include embedded
formulas and will be automatically populated. Where appropriate, BHCs should also document differences
in reporting from the FR Y-14A Summary Schedule under the Explanations Memorandum Boxes at the
bottom of the Capital Composition worksheet.
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. In order for the embedded formulas to
automatically populate the shaded cells in the schedule with calculated numbers, BHCs must complete all
unshaded cells in the schedule with a value. In addition, BHCs should ensure that the version of Microsoft
Excel they use to complete the schedule is set to automatically calculate formulas. This is achieved by
setting “Calculation Options” (under the Formulas function) to “Automatic” within Microsoft Excel.
Capital Composition Worksheet Instructions
The “Capital Composition” worksheet and the “Exceptions Bucket Calculator” worksheet collect the data
necessary to calculate the composition of capital under the guidelines set forth by the recently released
Basel III NPR. Please provide all data on a fully phased-in basis (i.e., not assuming any transitional or phaseout arrangements included in the Basel III NPR).
With regard to regulatory adjustments, please note that line 20, “Excess Expected Credit Loss (ECL),” applies
to advanced approaches BHCs only.
2
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
Basel III Common Equity Tier 1
1
Common Stock and Related
Surplus (Net of Treasury Stock)
Common shares and the related surplus issued by BHCs
that meet the criteria of the Basel III NPR. 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. This line item should reflect the
impact of share repurchases or issuances projected in
the CCAR forecast horizon.
2
Retained Earnings
Retained earnings reported by BHCs. This should reflect
the impact of dividend pay-outs projected in the CCAR
forecast horizon.
3-11
Accumulated Other
Comprehensive Income
Accumulated other comprehensive income reported by
BHCs. In the non-shaded cells, please fill out the
amount of unrealized gains and losses on a fully phasedin basis (i.e., without the transitional arrangements
included in the Basel III NPR). If gain, please report as
positive, and if loss, please report as negative.
12
Other Equity Capital Components
(Including Unearned Employee
Stock Ownership Program Shares)
All other equity capital components which fall under the
definition of Common Equity Tier 1.
13
Total Common Equity Tier 1
Attributable to Parent Company
Common Shareholders
Formula embedded in the schedule; no input required.
14
Minority Interest Included in
Common Equity Tier 1
15
Total Group Common Equity Tier
1 Prior to Regulatory Adjustments
Total minority interest given recognition in Common
Equity Tier 1 per the Basel III NPR. Includes 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.
Formula embedded in the schedule; no input required.
16
Deductions
17
Goodwill, Net of Related Deferred
Tax Liability
Formula embedded in the schedule; no input required.
Guidelines for regulatory deductions from Common
Equity Tier 1 can be found in the Basel III NPR. For each
subcomponent, reflect the full amount without the
transitional arrangements included in the Basel III NPR.
Goodwill (including goodwill used in the valuation of
significant investments in the capital of banking) to be
deducted from Common Equity Tier 1.
3
Line
Heading
Description
18
Intangibles Other than Mortgage
Servicing Assets, Net of Related
Deferred Tax Liabilities
19
Deferred Tax Assets (Excluding
Temporary Differences Only), Net
of Related Deferred Tax Liabilities
20
Excess Expected Credit Loss (ECL)
21
Cash Flow Hedge (If Gain, Report
as Positive; If Loss, Report as
Negative)
22
Cumulative G/L Due to Changes in
Own Credit Risk on Fair Valued
Liabilities (If Gain, Report as
Positive; If Loss, Report as
Negative)
All other intangibles (with the exception of mortgage
servicing assets) to be deducted from the calculation of
Common Equity Tier 1. The full amount is to be
deducted net of any associated deferred tax liabilities
which would be extinguished if the intangible assets
become impaired and/or no longer recognized under
the applicable accounting rules. Please reflect the full
amount without the transitional arrangements included
in the Basel III NPR.
Deferred Tax Assets (DTA) that rely on future
profitability of the bank to be realized to be deducted
from Common Equity Tier 1. 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 only if offsetting is permitted by the relevant
tax authority. Please reflect the full amount without the
transitional arrangements included in the Basel III NPR.
The amount of expected credit loss that exceeds a
BHC’s eligible credit reserves. This deduction applies to
advanced approaches BHCs only. Please reflect the full
amount without the transitional arrangements.
The amount of the cash flow hedges that relates to the
hedging of items which are not fair-valued on the
balance sheet should be deducted from Common Equity
Tier 1. Positive amounts should be deducted and
negative amounts should be added back. Please reflect
the full amount without the transitional arrangements
included in the NPR.
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 Common Equity
Tier 1.
23
Defined Benefit Pension Fund
Assets
24
Securitization Gain on Sale
For each defined benefit pension fund that is an asset
on the balance sheet, the asset should be deducted in
the calculation of Common Equity Tier 1, net of any
associated deferred tax liabilities which would be
extinguished if the asset should become impaired or no
longer recognized under the applicable accounting
standards. Please reflect the full amount without the
transitional arrangements included in the Basel III NPR.
Any gain-on-sale associated with a securitization
transaction must be deducted from Common Equity
Tier 1. Please reflect the full amount without the
transitional arrangements included in the Basel III NPR.
4
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
25
Investments in Own Shares
26
Reciprocal Cross Holdings in
Common Equity
27
Regulatory Deductions Due to
Insufficient Additional Tier 1
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, to be
deducted from Common Equity Tier 1. This treatment
will apply irrespective of whether the exposure is held
in the banking book or the trading book. Please reflect
the full amount without the transitional arrangements
included in the Basel III NPR.
Crossholdings of common stock that are part of a
reciprocal cross holding arrangement of financial
institutions. The Basel III NPR requires BHCs to deduct
investments in the capital of other financial institutions
it holds reciprocally. Please reflect the full amount
without the transitional arrangements included in the
Basel III NPR.
Formula embedded in the schedule; no input required.
28
Total Common Equity Tier 1 After
Deductions Above
Formula embedded in the schedule; no input required.
29
Non-significant Investments in the
Common Share of Unconsolidated
Financial Entities That Exceed 10%
of Common Equity Tier 1
Investments in financial entities that are outside the
scope of regulatory consolidation and where the bank
does not own more than 10% of the financial entity’s
Common Equity Tier 1 (using Line 28 as reference).
30
Total Common Equity Tier 1 After
the Regulatory Adjustments
Above
Formula embedded in the schedule; no input required.
31
Significant Investments in the
Common Stock of Unconsolidated
Financial Entities (Amount Above
10% Threshold)
Formula embedded in the schedule; no input required.
32
Mortgage Servicing Assets
(Amount Above 10% Threshold)
Formula embedded in the schedule; no input required.
33
Deferred Tax Assets Arising from
Temporary Differences (Amount
Above 10% Threshold)
Formula embedded in the schedule; no input required.
34
Total Common Equity Tier 1
Capital After the Regulatory
Adjustments Above
Formula embedded in the schedule; no input required.
35
Deduction of Outstanding Items
Subject to 15% Threshold Due to
15% Limit
Formula embedded in the schedule; no input required.
36
Additional Mortgage Servicing
Assets Deduction Due to Fair
Value Limit
Formula embedded in the schedule, no input required.
5
Line
Heading
Description
37
Common Equity Tier 1
Formula embedded in the schedule, no input required.
Basel III Tier 1 Capital
38
Non-common Equity Tier 1 Capital
Instruments (Qualifying
Instruments Only)
39
Minority Interest Included in Tier
1 Capital
40
Deduction
Additional Tier 1 instruments issued by parent company
of group (and any related surplus) permitted per the
Basel III NPR including regulatory capital instruments
eligible for grandfathering treatment. BHCs should
report all previously issued, non-qualifying capital
instruments subject to phase-out (including perpetual
preferred stock and trust preferred securities)
instruments in Line 54.
Instruments that meet the Additional Tier 1 criteria
issued by subsidiaries to third parties that are given
recognition in group Additional Tier 1 capital. BHCs
should report all previously issued, non-qualifying tier
1 minority interest in Line 55.
Formula embedded in the schedule; no input required.
41
Regulatory Adjustments to be
Deducted from Additional Tier 1
Capital
Formula embedded in the schedule; no input required.
This captures all other adjustments BHCs must make to
additional Tier 1 capital.
42
Reciprocal Cross Holdings in the
Form of Additional Tier 1 Capital
43
Non-significant Investments in the
Form of Additional Tier 1 Capital
44
Investments in Own Additional
Tier 1 Capital Instruments
45
Significant Investments in the
Form of Additional Tier 1 Capital
46
Regulatory Deductions Due to
Insufficient Tier 2 Capital
47
Tier 1 Capital
Cross holdings of Additional Tier 1 capital that are part
of a reciprocal cross holding arrangement of financial
institutions. The Basel III NPR requires BHCs to deduct
investments in the capital of other financial institutions
it holds reciprocally. Please reflect the full amount
without the transitional arrangements included in the
Basel III NPR.
BHCs must deduct all non-significant investments, in the
form of Additional Tier 1 capital, in the capital of
unconsolidated financial institutions which exceeds 10%
of the BHC’s Common Equity Tier 1 minus applicable
deductions.
BHC’s investments in its own shares, in the form of
Additional Tier 1 capital (held directly or indirectly), in
addition to any stock the BHC is contractually obliged to
purchase in the future, must be deducted.
Significant investments in the capital of an
unconsolidated financial institution, in the form of
Additional Tier 1 capital, must be deducted in full.
If the total regulatory adjustments to be made to Tier 2
capital exceed the amount of Tier 2 capital available,
the excess amount should is to be deducted from Tier 1
capital.
Formula embedded in the schedule; no input required.
Periodic Changes in Common Stock
48
Common Stock and Related
Surplus (Net of Treasury Stock)
Formula embedded in the schedule; no input required.
6
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
49
Issuance of Common Stock
(Including Conversion of Common
Stock)
50
Repurchases of Common Stock
Captures the total issuance of common stock and
related surplus in the reporting period. This figure
should equal the “Total issuance of common stock”
reported in the FR Y-14A Summary Schedule for
reporting periods through 2014.
Captures the total repurchases of common stock in the
reporting period. This figure should equal the “Total
share repurchases” outlined reported in the FR Y-14A
Summary Schedule for reporting periods through 2014.
Periodic Changes in Retained Earnings
51
Net Income (Loss) Attributable to
Bank Holding Company
Refer to FR Y-9C instructions and FR Y-14A Summary
Schedule for MDRM No. Bhct4340. Report losses as a
negative value.
52
Cash Dividends Declared on
Preferred Stock
Refer to FR Y-9C instructions and FR Y-14A Summary
Schedule for MDRM No. Bhck4598.
53
Cash Dividends Declared on
Common Stock
Refer to FR Y-9C instructions and FR Y-14A Summary
Schedule for MDRM No. Bhck4460.
54
Previously Issued Tier 1 Capital
Instruments (Excluding Minority
Interest) that Would No Longer
Qualify (Please Report 100%
value)
55
Previously Issued Tier 1 Minority
Interest that Would No Longer
Qualify (Please Report 100%
Value)
Report 100% of the value of previously issued Tier 1
capital instruments that will no longer qualify as Tier 1
capital as per the Basel III NPR (including perpetual
preferred stock and trust preferred securities subject to
phase-out arrangements). Please report balances in
full, without reflecting any phase-out arrangements
included in the NPR.
Report 100% of the value of previously issued tier 1
minority interest that will no longer qualify as Tier 1
capital as per the Basel III NPR. Please report balances
in full, without reflecting any phase-out arrangements
included in the NPR.
Data Validation Check
56
Does Line 48, “Common Stock and
Related Surplus” 2 = Line 1 for
“Common Stock and Related
Surplus”?
Validation check to ensure Line 48 equals the value in
Line 1 within this worksheet. Formula embedded in the
schedule; no input required. Please ensure that “Yes”
appears across all cells.
Baseline Scenario Validation Check (FR Y-14A only)
7
Line
Heading
Description
57
Are the sums of Line 1, "Common
Stock and Related Surplus" and
Line 12, "Other Equity
Components" equal under both
Baseline Scenarios (BHC and
Supervisory)?
This validation check compares the two both baseline
scenarios (BHC and Supervisory). Please make sure that
the sum of Common Equity and Other Capital
Components is the same under both scenarios. Input
“Yes” if the values are identical. If the values differ,
please provide an explanation for the difference.
Differences in Reporting from the Y-14A Summary Schedule (FR Y-14A only)
58
Does Line 1, "Common Stock and
Related Surplus" = "Common
Stock (Par Value)" (MDRM No.
bhck3230) + "Surplus (Exclude All
Surplus Related to Preferred
Stock)" (MDRM No. bhck3240) of
Balance Sheet Worksheet (FR Y14A Summary Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
59
Does Line 2, "Retained Earnings" =
"Retained Earnings" (MDRM No.
bhck3247) of Balance Sheet
Worksheet (FR Y-14A Summary
Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
60
Does Line 12, “Other Equity
Capital Components” = “Other
Equity Capital Components”
(MDRM No. bhcka130) of Balance
Sheet Worksheet (FR Y-14A
Summary Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
61
Does Line 50, "Issuance of
common stock" = "Total issuance
of common stock" of Capital
Worksheet (FR Y-14A Summary
Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
62
Does Line 51, "Repurchases of
common stock" = "Total share
repurchases" of Capital
Worksheet (FR Y-14A Summary
Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
63
Does Line 52, "Net income (loss)
attributable to bank holding
company" = "Net income (loss)
attributable to bank holding
company" (MDRM No. bhct4340)
of Capital Worksheet (FR Y-14A
Summary Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
8
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
64
Does Line 53, "Cash dividends
declared on preferred stock" =
"Cash dividends declared on
preferred stock" (MDRM No.
bhck4598) of Capital Worksheet
(FR Y-14A Summary Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
65
Does Line 54, "Cash dividends
declared on common stock" =
"Cash dividends declared on
common stock" (MDRM No.
bhck4460) of Capital Worksheet
(FR Y-14A Summary Schedule)?
Validation check to ensure that the logic applies. If the
values are identical, input “Yes”. If the values differ,
please provide an explanation for the difference.
Data Completeness Check
66
If "No", please complete all non-shaded cells until all cells to the right say "Yes." Do not leave
cells blank; enter "0" if not applicable. (Note: Data Completenes Check is on Line 57 on Basel
III and Dodd-Frank FR Y-14Q)
Exception Bucket Calculator Worksheet Instructions
The “Exception Bucket Calculator” worksheet collects the data necessary to calculate the items that may
receive limited recognition in Common Equity Tier 1 (i.e., significant investments in the common shares of
unconsolidated financial institutions, mortgage servicing assets and deferred tax assets arising from
temporary difference). These items may be recognized in Common Equity Tier 1 up to 10% of the BHC’s
common equity on an individual basis and 15% on an aggregated basis after application of all regulatory
adjustments.
Line
Heading
Description
1
Gross Holdings of Common Stock
Aggregate holdings of capital instruments
relevant to significant investments in the
capital of unconsolidated financial entities,
including direct, indirect and synthetic
holdings in both the banking book and
trading book.
2
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
Holdings of Common Stock Net of Short
Positions
Formula embedded in the schedule; no input
required.
9
Line
Heading
Description
4
Common Equity Tier 1 After All
Regulatory Adjustments Except
Significant Investments in Financial
Institutions, Mortgage Servicing Assets
and Deferred Tax Assets Arising from
Temporary Differences
Formula embedded in the schedule; no input
required.
5
Amount to be Deducted from Common
Equity Tier 1 due to 10% Limit
Total Mortgage Servicing Assets
Classified as Intangible
Formula embedded in the schedule; no input
required.
Mortgage servicing assets may receive
limited recognition when calculating
Common Equity Tier 1, with recognition
capped at 10% of the bank’s common equity
(after the application of all regulatory
adjustments).
The amount of mortgage servicing assets to
be deducted from Common Equity Tier 1 is
to be offset by any associated deferred tax
liabilities, with recognition capped at 10% of
the bank’s Common Equity Tier 1(after the
application of all regulatory adjustments). If
the bank chooses to net its deferred tax
liabilities associated with mortgage servicing
assets against deferred tax assets (in Line 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.
6
7
Associated Deferred Tax Liabilities
Which Would be Extinguished if the
Intangible Becomes Impaired or
Derecognized Under the Relevant
Accounting Standards
8
Mortgage Servicing Assets Net of
Related Tax Liabilities
Common Equity Tier 1 after All
Regulatory Adjustments Except
Significant Investments in Financial
Institutions, Mortgage Servicing Assets
and Deferred Tax Assets Arising from
Temporary Differences
Amount to be Deducted from Common
Equity Tier 1 due to 10% Limit
9
10
11
Deferred Tax Assets Due to Temporary
Differences, Net of Related Deferred
Tax Liabilities
Formula embedded in the schedule; no input
required.
Net deferred tax assets arising from
temporary differences may receive limited
recognition in Common Equity Tier 1, with
recognition capped at 10% of the bank’s
common equity (after the application of all
regulatory adjustments).
10
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
12
Common Equity Tier 1 after All
Regulatory Adjustments Except
Significant Investments in Financial
Institutions, Mortgage Servicing Assets
and Deferred Tax Assets Arising from
Temporary Differences
Formula embedded in the schedule; no input
required.
13
Amount to be deducted from Common
Equity Tier 1 Due to 10% Limit
Formula embedded in the schedule; no input
required.
14
Outstanding Significant Investments in
the Common Stock of Financial Entities
Not Deducted Due to 10% Limit
Outstanding Mortgage Servicing Assets
Not Deducted Due to 10% Limit
Formula embedded in the schedule; no input
required.
Outstanding Deferred Tax Assets Due to
Temporary Differences Not Deducted
Due to 10% Limit
Sum of Outstanding Significant
Investments in Financials, Mortgage
Servicing Assets and Deferred Tax
Assets Arising from Temporary
Differences Not Deducted Due to 10%
Limit
15% Common Equity Tier 1 Limit (For
Items Subject to 15% Threshold)
Formula embedded in the schedule; no input
required.
19
Deduction of Outstanding Items Subject
to 15% Threshold Due to 15% Limit
Formula embedded in the schedule; no input
required.
20
Amount of 15% Limit Deduction
Attributable to Mortgage Servicing
Assets
Formula embedded in the schedule; no input
required.
21
Estimated Fair Value of Mortgage
Servicing Rights
Under section 475 of the Federal Deposit
Insurance Corporation Improvement Act of
1991 (12 U.S.C. 1828 note), the amount of
readily marketable mortgage servicing assets
recognized by a BHC cannot be more than
90% of their fair market value. Please
include the fair market value of all mortgage
servicing assets classified as intangibles.
15
16
17
18
Formula embedded in the schedule; no input
required.
Formula embedded in the schedule; no input
required.
Formula embedded in the schedule; no input
required.
11
Line
Heading
Description
22
Additional Deduction from Common
Equity Tier 1 Due to Statutory 10% Fair
Value Limit of Mortgage Servicing
Assets
Formula embedded in the schedule; no input
required.
23
Data Completeness Check
If "No", please complete all non-shaded cells
until all cells to the right say "Yes." Do not
leave cells blank; enter “0” if not applicable.
Risk-Weighted Assets – Advanced Worksheet Instructions
Advanced approaches BHCs, including the BHCs that are considered as mandatory Basel II institutions or
that have opted-in voluntarily as a Basel II institution, are required to complete the “RWA_Advanced”
worksheet. All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must
complete the “RWA_General” worksheet.
In the “RWA_Advanced” worksheet, BHCs should provide risk‐weighted asset estimates reflecting the final
market risk capital rule released by the U.S. banking agencies (12 CFR Parts 208, 217, and 225 Regulations H,
Q, and Y Subpart F – Risk-weighted Assets – Market Risk) and the Advanced Approaches NPR. However, for
exposures to central counterparties, BHCs should complete the “RWA_Advanced” worksheet based on the
methodologies outlined in the document “Capitalization of bank exposures to central counterparties” that
was released by BCBS in July 2012.
If a BHC’s trading activity is below $1 billion or less than 10% of its total assets at 3Q 2012, the BHC does not
need to complete the market risk-weighted asset section within the Risk-Weighted Assets worksheets.
However, if the BHC projects to meet the trading activity threshold during the forecast period, then the BHC
should complete the market risk-weighted asset section within the schedule, based on the final market risk
capital rule released by the U.S. banking agencies (12 CFR Parts 208, 217, and 225 Regulations H, Q, and Y
Subpart F – Risk-weighted Assets – Market Risk).
Advanced approaches BHC unable to provide advanced approaches risk weighted asset estimates should
send a formal written notification to the Federal Reserve and specify the affected portfolios, current
limitations that preclude the BHC from providing advanced approaches RWA estimates as well as
management's plan for addressing those limitations. The notification should be sent to [email protected].
Line
Heading
Description
Credit Risk (including Counterparty Credit Risk (CCR) and non-trading credit risk) – Applicable to
Advanced Approaches Banking Organizations
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.
12
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
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.
13
Line
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 Valuation Adjustment
(CVA) Capital Charge (RiskWeighted Asset Equivalent)
Formula embedded in the schedule; no input required.
17
Advanced Credit Valuation
Adjustment (CVA) Approach
Formula embedded in the schedule; no input required.
18
Credit Valuation Adjustment
(CVA) capital charge (RiskWeighted Asset Equivalent);
Advanced CVA Approach;
Unstressed Value at Risk
(VaR) with Multipliers
Standalone 10-day value-at-risk calculated on the set of
credit valuation adjustments (CVAs) for all Over-thecounter (OTC) derivatives counterparties together with
eligible credit valuation 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-time 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.
19
Credit Valuation Adjustment
(CVA) Capital Charge (RiskWeighted Asset Equivalent);
Advanced CVA Approach;
Stressed Value at Risk (VaR)
with multipliers
Standalone 10-day stressed Value-at-risk (VAR)
calculated on the set of credit valuation adjustments
(CVAs) for all over-the-counter (OTC) derivatives
counterparties together with eligible credit valuation
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 valuation adjustments (CVA) approach
14
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
20
Credit Valuation Adjustment
(CVA) Capital Charge (RiskWeighted Asset Equivalent);
Simple CVA Approach
Risk-weighted asset (RWA) equivalent using the simple
credit valuation adjustment (CVA) approach.
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 line.
22
Total Credit Risk-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. This 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 noncorrelation 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 (VaR)
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.
26
Incremental Risk Capital
Charge (IRC)
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;
Comprehensive Risk
Measurement, Before
Application of the Surcharge
Risk-weighted asset (RWA) equivalent for exposures in
the correlation trading portfolio which are subject to the
comprehensive risk measurement, before the
application of the 8% surcharge based on the
standardized measurement method.
29
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Subject to Comprehensive
Risk Measurement (CRM)
Formula embedded in the schedule; no input required.
15
Line
Heading
Description
30
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Subject to the Comprehensive
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
measurement.
31
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Subject to the
Comprehensive 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
measurement.
32
Correlation Trading;
Standardized Measurement
Method for Exposures Not
Subject to Comprehensive
Risk Measurement (CRM)
Formula embedded in the schedule; no input required.
33
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Not Subject to the
Comprehensive 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 measurement.
34
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Not Subject to the
Comprehensive 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 measurement.
35
Securitization NonCorrelation
Formula embedded in the schedule; no input required.
The capital charge (or risk-weighted asset equivalent) for
non-correlation related traded securitization is the larger
of the long and net short positions.
For purposes of CCAR 2013 submission, traded
securitization exposures subject to a 1250% risk weight
or the equivalent of a deduction should be captured
here by including values in lines 36 and 37.
16
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
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.
For purposes of CCAR submission, traded securitization
exposures subject to a 1250% risk weight or the
equivalent of a deduction should be included here.
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.
For purposes of CCAR submission, traded securitization
exposures subject to a 1250% risk weight or the
equivalent of a deduction should be included here.
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 line.
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 Capital Requirements
Risk-weighted assets (RWA) for settlement risk and other
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.
For purposes of CCAR submission, other exposures
(excluding traded securitization exposures) subject to a
1250% risk weight, including securitization exposures
held in the banking book should be included here.
43
Total Risk-Weighted Assets
Formula embedded in the schedule, no input required.
Other
Data Completeness Check
44
If "No", please complete all
non-shaded cells until all cells
to the right say "Yes." Do not
leave cells blank; enter "0" if
not applicable.
Check to ensure worksheet is complete. Formula
embedded in the schedule, no input required. Please
ensure that “Yes” appears across all cells.
Risk-Weighted Assets – General Worksheet Instructions
17
All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must complete
“RWA_General” worksheet. In addition to completing the "RWA_Advanced" worksheet, the advanced
approaches BHCs are required to complete “RWA_General" worksheet due to the floor requirement per
the Collins Amendment under Section 171 of the DFA.
For the purpose of completing the “RWA_General” worksheet, BHCs are required to report credit riskweighted assets using the methodologies in the current general risk-based capital rules (Basel I). For CCAR
2013, BHCs are not required to complete “RWA_General” worksheet using the methodologies in the
proposed Standardized Approach NPR. If a BHC’s trading activity is below $1 billion or less than 10% of its
total assets at 3Q 2012, the BHC does not need to complete the market risk-weighted asset section within
the schedule. However, if the BHC projects to meet the trading activity threshold during the forecast
period, then the BHC should complete the market risk-weighted asset section within the schedule, based on
the final market risk capital rule released by the U.S. banking agencies (12 CFR Parts 208, 217, and 225
Regulations H, Q, and Y Subpart F – Risk-weighted Assets – Market Risk).
Line
Heading
Description
Basel I Credit Risk (including Counterparty Credit Risk (CCR) and non-trading credit risk) –
Applicable to All BHCs
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
Counterparty Credit RWA
Overall risk-weighted assets for counterparty credit
exposures (not including receivables) including
exposures to central counterparties (CCPs).
2
Credit RWAs excluding
Counterparty Credit RWAs
If the BHC is unable to assign credit risk-weighted assets
to the above category even on a best-efforts basis, they
should be reported in this line.
3
Total Credit (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.
4
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 noncorrelation related traded securitization exposures.
5
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.
18
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
6
Stressed Value-at-Risk
(VaR)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.
7
Incremental Risk Capital
Charge (IRC)
Risk-weighted asset (RWA) equivalent for incremental
risk in the trading book.
8
Correlation Trading
Formula embedded in the schedule; no input required.
9
Correlation Trading;
Comprehensive Risk
Measurement (CRM), Before
Application of the Surcharge
Risk-weighted asset (RWA) equivalent for exposures in
the correlation trading portfolio which are subject to the
comprehensive risk measurement, before the
application of the 8% surcharge based on the
standardized measurement method.
10
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Subject to Comprehensive
Risk Measurement (CRM)
Formula embedded in the schedule; no input required.
11
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Subject to the Comprehensive
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
measurement.
12
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Subject to the
Comprehensive 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
measurement.
13
Correlation Trading;
Standardized Measurement
Method for Exposures Not
Subject to Comprehensive
Risk Measurement (CRM)
Formula embedded in the schedule; no input required.
14
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Not Subject to the
Comprehensive 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 measurement.
19
Line
Heading
Description
15
Correlation Trading;
Standardized Measurement
Method (100%) for Exposures
Not Subject to the
Comprehensive 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 measurement.
16
Securitization NonCorrelation
Formula embedded in the schedule; no input required.
The capital charge (or risk-weighted asset equivalent) for
non-correlation related traded securitization is the larger
of the long and net short positions. For purposes of
CCAR 2013 submission, traded securitization exposures
subject to a 1250% risk weight or the equivalent of a
deduction should be captured here by including in lines
17 and 18.
17
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.
For purposes of CCAR 2013 submission, traded
securitization exposures subject to a 1250% risk weight
or the equivalent of a deduction should be included
here.
18
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.
For purposes of CCAR 2013 submission, traded
securitization exposures subject to a 1250% risk weight
or the equivalent of a deduction should be included
here.
19
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 line.
If no such requirements exist, 0 should be entered.
20
Total Market RWA
Formula embedded in the schedule, no input required.
Other Capital Requirements
Risk-weighted assets (RWA) for other capital
requirements. If no such requirements exist, 0 should be
entered.
Other
21
20
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Line
Heading
Description
22
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.
For purposes of CCAR 2013 submission, other exposures
(excluding traded securitization exposures) subject to a
1250% risk weight, including securitization exposures
held in the banking book should be included here.
23
Total Risk-Weighted Assets
Formula embedded in the schedule; no input required.
Data Completeness Check
24
If "No", please complete all
non-shaded cells until all cells
to the right say "Yes." Do not
leave cells blank; enter "0" if
not applicable.
Check to ensure worksheet is complete. Formula
embedded in the schedule, no input required. Please
ensure that “Yes” appears across all cells.
Leverage Exposure Worksheet Instructions
All BHCs must complete the portion of the worksheet relevant to “Leverage Exposure for Tier 1 Leverage
Ratio” (lines 1 - 3). Advanced approaches BHCs must also complete the portion of the worksheet relevant
to “Leverage Exposure for Supplementary Leverage Ratio” (lines 4 - 12).
The exposure measures for both leverage ratios are based upon guidance provided in the Basel III NPR.
BHCs should report leverage ratio components as calculated using the average as of quarter end for the
relevant period based upon the simple arithmetic mean of exposures calculated on a monthly basis. BHCs
that are unable to calculate monthly data may report exposures as of the quarter end.
Leverage Exposure for Tier 1 Leverage Ratio (applicable to all BHCs)
Line
Heading
Description
1
Average Total Assets
Average total on-balance sheet assets as reported on the
BHC’s FR Y-9C.
2
Amounts Deducted from Tier 1
Capital (Report as Negative)
Regulatory deductions from Tier 1 capital. Deductions
from Tier 1 capital should be calculated as per the
proposed methodologies in the Basel III NPR. Input value
as a negative number.
3
Average Total Assets for
Leverage Capital Purposes
Formula embedded in the schedule; no input required.
21
Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced approaches banking
organizations)
Line
Heading
Description
4
On-Balance Sheet Derivatives
Total carrying value of derivatives reported on-balance
sheet.
5
Derivatives, Potential Future
Exposure
Potential future exposure amount for each derivative
contract to which the BHC is a counterparty (or each singleproduct netting set for such transactions).
6
On-Balance Sheet Repo-Style
Transactions
Total carrying value of repo-style transactions (including
repurchase agreements, securities lending and borrowing
transactions, and reverse repos) reported on-balance
sheet.
7
Other On-Balance Sheet Items,
(Excluding Derivatives and
Repo-Style Transactions)
Carrying value of all other on-balance sheet assets.
8
Off-Balance Sheet Items
(Excluding Derivatives and
Repo-Style Transactions)
Formula embedded in the schedule. No input required.
9
Off-Balance Sheet Items Unconditionally Cancellable
Commitments eligible for 10%
Credit Conversion Factor
Notional amount of unconditionally cancellable
commitments made by the BHC.
10
Off-Balance Sheet Items – All
Other
Notional amount of all other off-balance sheet exposures
of the BHC (excluding derivatives and repo-style
transactions including securities lending, securities
borrowing and reverse repurchase transactions)
11
Amounts Deducted from Tier 1
Capital (Report as Negative)
Regulatory deductions from Tier 1 capital. Deductions
from Tier 1 capital should be calculated as per the
proposed rules in the Basel III NPR. Input value as a
negative number.
22
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced approaches banking
organizations)
Line
Heading
Description
12
Total Leverage Exposure for
Supplementary Leverage Ratio
Formula embedded in the schedule. No input required.
Data Completeness Check
13
Check to ensure worksheet is complete. Please ensure that
Leverage Exposure for Tier 1
Leverage Ratio (applicable to all “Yes” appears across all cells.
BHCs)
14
Leverage Exposure for
Supplementary Leverage Ratio
(applicable to advanced
approaches institutions only)
Check to ensure worksheet is complete. Please ensure that
“Yes” appears across all cells.
Planned Actions Worksheet Instructions
For the purpose of completing the Planned Actions worksheets of the Basel III and Dodd-Frank schedule,
BHCs should capture all material planned actions that management intends to pursue to address the
reforms of Basel III and the Dodd-Frank Act. Such actions might include, but are not limited to, the roll-off
or sale of an existing portfolio; development/implementation of risk-weighting models; data remediation to
facilitate the use of lower risk weights for existing exposures; the issuance of regulatory capital instruments;
or other strategic corporate actions. Planned actions should be attributable to a specific strategy or
portfolio; BHCs are not expected to cite period-over-period changes in the balances of exposures as a
planned action unless those changes are attributable to a specific and identifiable strategy (e.g., citing
“reduction in credit risk-weighted assets” would not be considered a valid planned action, but citing sale or
runoff of a particular portfolio (which would have the effect of reducing credit risk-weighted assets) would
be a valid planned action).
For each planned action, BHCs should provide a brief description of the action in the relevant field of the
schedule (Column B) and a more detailed description of the action in a separate attachment. In addition,
for each reporting period, BHCs should report the incremental quantitative impact of each action on:
•
•
•
•
•
•
Common equity tier 1 capital
Tier 1 capital
Risk-weighted assets (RWA)
Average Total Assets for Leverage Capital Purposes (relevant to the tier 1 leverage ratio; to be
completed by all BHCs)
Total Leverage Exposure for the Supplementary Leverage Ratio (to be completed by advanced
approaches BHCs only); and
The BHC’s balance sheet.
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
23
million), the BHC should report “(200)” for 4Q 2013, “(100)” for 4Q 2014, and “0” for subsequent periods.
BHCs are required to factor the combined quantitative impact of all planned actions into the projections
reported on all other relevant worksheets of the Basel III submission.
BHCs are required to provide a detailed description of each planned action in a separate attachment(s). The
description of each planned action should include:
•
•
•
•
•
Discussion of how each planned action aligns with the BHC’s long term business strategy and risk
appetite on a going concerns basis;
Assessment of each planned action’s impact on the BHC’s capital and funding needs, earnings, and
overall risk profile;
Assessment of market conditions and market capacity around each planned action (e.g., planned
sale size and the availability and appetite of buyers and other potential sellers);
Assessment of any potential execution risks to each planned action (e.g., contractual, accounting
or structural limitations);
Discussion of any recent transactions conducted either by the BHC or by other institutions that
would demonstrate or support the BHC’s ability to execute each planned action at the level of
impact projected.
Included below are examples of other supporting documentation which should be included along with the
description of each planned action:
•
•
•
•
•
•
Detailed information on planned sales 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 planned unwinds, 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 changes 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, and 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.
FR Y-14A
The FR Y-14A Planned Action worksheet collects information on all material planned actions that
management intends to pursue to address the reforms of Basel III and the Dodd-Frank Act. BHCs are
required to factor the combined quantitative impact of all planned actions into the projections reported on
all other relevant worksheets of the Basel III submission.
24
FR Y-14: Basel III and Dodd-Frank Schedule Instructions
Column
Heading
Description
B
Description
Brief description of the planned action.
C
Action Type
Selection from a list of available actions provided
in the schedule. BHCs should select the type of
action that best describes the planned action.
D
Exposure Type
Selection from a list of available exposure types
provided in the schedule. BHCs should select the
type of exposure that is most impacted by the
planned action.
E
RWA Type
Selection from a list of available RWA exposure
types provided in the schedule. For planned
actions that have an impact on RWAs, the BHC
should report the type of RWA (i.e., Counterparty
Credit, Other Credit, Market, or Operational) that
is most impacted by the planned action.
F-BA
Projected impact (for periods Q4 20122017Q42017) on: Common Equity Tier 1,
Tier 1, Risk-Weighted Assets (RWA),
Average Total Assets for Leverage Capital
Purposes, Total Leverage Exposure for
Supplementary Leverage Ratio, and
Balance Sheet
Projected incremental impact year-over-year on
the BHC’s common equity tier 1 capital, Tier 1
capital, risk-weighted assets, leverage exposures
and balance sheet in $Millions as of year-end.
For Q4 2012 only, report the incremental impact
projected quarter-over-quarter between Q3 and
Q4 2012.
BB
Total Impact: Common Equity Tier 1
Formula embedded in the schedule; no input
required.
BC
Total Impact: Tier 1
Formula embedded in the schedule; no input
required.
BD
Total Impact: Risk-Weighted Assets (RWA)
Formula embedded in the schedule; no input
required.
BE
Total Impact: Average Total Assets for
Leverage Capital Purposes
Formula embedded in the schedule; no input
required.
BF
Total Impact: Total Leverage Exposure for
Supplementary Leverage Ratio
Formula embedded in the schedule; no input
required.
BG
Total Impact: Balance Sheet
Formula embedded in the schedule; no input
required.
BH
Confirm detailed description of action
provided in separate attachment
Select “Yes” to confirm that your BHC has
provided supporting documentation to describe
the nature of the planned action and key
assumptions factored into the action’s projected
impact.
FR Y-14Q
25
The FR Y-14Q schedule Planned Action worksheet collects information on the status of the planned actions
reported by the BHC in its most recently submitted FR Y-14A Basel III and Dodd-Frank schedule. That is, the
rows of the Planned Action worksheet of the FR Y-14Q should be completed with information that
corresponds to each of the planned actions identified in the BHC’s most recently submitted FR Y-14A Basel
III and Dodd-Frank schedule.
Column
Heading
Description
B
Description
Brief description of the planned action.
C
Action Type
Selection from a list of available actions provided
in the schedule. BHCs should select the type of
action that best describes the planned action.
D
Exposure Type
Selection from a list of available exposure types
provided in the schedule. BHCs should select the
type of exposure that is most impacted by the
planned action.
E
RWA Type
Selection from a list of available RWA exposure
types provided in the schedule. For planned
actions that have an impact on RWAs, the BHC
should report the type of RWA (i.e., Counterparty
Credit, Other Credit, Market, or Operational) that
is most impacted by the planned action.
F-AI
Actual Impact (for periods Q3 2012Q32013) on: Common Equity Tier 1, Tier 1,
Risk-Weighted Assets (RWA), Average
Total Assets for Leverage Capital Purposes,
Total Leverage Exposure for
Supplementary Leverage Ratio, and
Balance Sheet
Projected incremental impact year-over-year on
the BHC’s common equity tier 1 capital, Tier 1
capital, risk-weighted assets, leverage exposures
and balance sheet in $Millions as of year-end.
For Q4 2012 only, report the incremental impact
projected quarter-over-quarter between Q3 and
Q4 2012.
AJ
Confirm detailed description of action
status provided in separate attachment
Select “Yes” to confirm that your BHC has
provided supporting documentation to describe
the status of the planned action.
26
| File Type | application/pdf |
| File Title | Publication |
| Subject | Basel III Schedule |
| File Modified | 2012-09-30 |
| File Created | 2012-09-30 |