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FFIEC 101 – Regulatory Capital
Reporting for Institutions Subject to the
Advanced Capital Adequacy Framework
Proposed Revisions to the FFIEC 101
for September 30, 2016
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This document reflects the proposed revisions to the FFIEC 101 reporting form
and instructions for the collection of supplementary leverage ratio (SLR) data in
new SLR Tables 1 and 2 of FFIEC 101 Schedule A and the reporting of the Legal
Entity Identifier (LEI) on the cover page of the report as described in the federal
banking agencies’ final Paperwork Reduction Act Federal Register notice
published in the Federal Register on August 18, 2016.
Draft as of August 18, 2016
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Board of Governors of the Federal Reserve System OMB Number 7100-0319
Federal Deposit Insurance Corporation
OMB Number 3064-0159
Office of the Comptroller of the Currency
OMB Number 1557-0239
Approval expires March 31, 2017
Page 1 of 37
Federal Financial Institutions Examination Council
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Re9ulatorY Capital Reportin J for Institutions Sub'ect
to the
J
Advanced Capital Adequacy Framework—FFIEC 101
Report at the close of business March 31, 2016
(20160331)
(AAXX 9999)
commercial and savings banks), and 12 U.S.C. § 1464 (Savings
associations).
The FFIEC 101 is to be prepared in accordance with federal regulatory authority instructions. The report must be signed by a
senior officer of the reporting entity who can attest that the risk
estimates and other information submitted in this report meet the
requirements set forth in 12 CFR Part 3, Subpart E (OCC); 12 CFR
Part 217, Subpart E (Federal Reserve); 12 CFR Part 324, Subpart E
(FDIC)(the advanced approaches rule) and the FFIEC 101 reporting instructions. The senior officer may be the chief financial officer,
the chief risk officer, or the equivalent senior officer.
To fulfill the signature and attestation requirement for the FFIEC
101 for this report date, attach the bank's completed signature
page (or a photocopy or acomputer-generated version of this
page) to the hard-copy records of the data file submitted electronically that the bank must place in its files.
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This report is required by law: 12 U.S.C. § 161 (National banks), 12
U.S.C. § 324 and 12 U.S.C. § 1844(c) (State member banks and
BHCs, respectively), 12 U.S.C. § 1817 (Insured state nonmember
The appearance of the bank's hard-copy record of the submitted
data file need not match exactly the appearance of the FFIEC's
sample report forms, but should show the caption of each
reported item and the reported amount.
I, the undersigned senior officer of the named bank, bank holding
company, or savings association attest that the FFIEC 101 report
for this report date has been prepared in conformance with the
instructions issued by the federal regulatory authority and that the
reported risk estimates meet the requirements set forth in the
advanced approaches rule to the best of my knowledge and belief.
INSERT A
Legal Title of Bank(AAXX J197)
Signature of Senior Officer
Mailing Address of the Bank Street / PO Box(AAXX 9110)
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Printed Name of Senior Officer(AAXX C490)
City (AAXX 9130)
Date of Signature (MM/DDlYYYY)(AAXX J196)
State Abbreviation (AAXX 9200)
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Title of Officer(AAXX C491)
For Federal Reserve Bank Use Only
BHC RSSD ID
SUB RSSD ID
C.I.
Zip Code(AAXX 9220)
Person to whom questions about this report should be directed:
Name /Title(AAXX 8901)
Area Code /Phone Number(AAXX 8902)
Area Code /FAX Number(AAXX 9116)
E-mail Address of Contact(AAXX 4086)
The estimated average reporting burden for this information collection is 676 hours per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. A federal agency may not conduct or sponsor, and an organization (or a person) is not required to respond to a collection of information, unless it
displays a currently valid OMB control number. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden,
may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551; Assistant Executive Secretary, Federal Deposit Insurance
Corporation, Washington, DC 20429; Legislative and Regulatory Analysis Division, Office of the Comptroller of the Currency, Washington, DC 20219; and Office of Information and
Regulatory Affairs, Office of Management and Budget, Washington, DC 20503.
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INSERT A
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Legal Entity Identifier (LEI) of the Reporting Institution (Report only if
the reporting institution already has an LEI.)
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For Federal Reserve Bank Use Only
Schedule A—Advanced Approaches Regulatory Capital
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FFIEC 101
Page 5 of 37
A-4
—Continued
This schedule is to be submitted on a consolidated basis.
(Column A)
The 1st month of the
quarter
Dollar Amounts in Thousands
Supplementary leverage ratio (effective date for items
91 through 98 to be determined):
91. Carrying value of all on-balance sheet assets minus
amounts deducted from tier 1 capital .....................
92. Total potential future exposure amount for each derivative contrac ....................................................
93. Ten percent of the notional amount of unconditionally
cancellable commitments.....................................
94. Total notional amounts of all other off-balance sheet
exposures.........................................................
95. Month-end total leverage exposure for the
supplementary leverage ratio (sum of items 91
through 94).......................................................
96. Month-end tier 1 capital for the supplementary
leverage ratio calculation .....................................
Amount
(Column B)
The 2nd month of the
quarter
Amount
(Column C)
The 3rd month of the
quarter
Amount
91.
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92.
97. Monthly supplementary leverage ratio (item 96
divided by item 95)......................................
93.
94.
95.
96.
Percentage
Percentage
Percentage ;
97.
Percentage
98. Supplementary leverage ratio: mean of the three monthly
ratios reported in item 97 columns A, B, and C ............
98.
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Items 91-98 of Schedule A would be replaced by Tables 1 and 2
shown on the following pages.
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Schedule A—Advanced Approaches Regulatory Capital
—Continued
FFIEC 101
Page 5 of 38
A-4
C.I.
Top-tier advanced approaches banking organizations should complete Tables 1 and 2 on a consolidated
basis. An advanced approaches banking organization that is a consolidated subsidiary of a top-tier
Supplementary Leverage Ratio (SLR)
banking organization should not complete Tables 1 and 2.
SLR
Dollar Amounts in Thousands AAAA
Amount
2170
1.1.
FS87
1.2.
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Table 1
Summary comparison of accounting assets and total leverage exposure
1.1. Total consolidated assets as reported in published financial statements .................................
1.2. Adjustment for investments in banking, financial, insurance, and commercial entities that are
consolidated for accounting purposes but outside the scope of regulatory consolidation .........
1.3.
Adjustment for fiduciary assets recognized on-balance sheet but excluded from total
SLR
leverage exposure (not applicable)
1.4. Adjustment for derivative transactions ............................................................................
1.5. Adjustment for repo-style transactions............................................................................
1.6. Adjustment for off-balance sheet exposures ....................................................................
1.7. Other adjustments:
a. Adjustments for deductions from tier 1 capital (report as a positive amount) ......................
b. Adjustments for frequency calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.8. Total leverage exposure (sum items 1.1 through 1.6 minus items 1.7a and 1.7b) ...................
Table 2
Supplementary leverage ratio
On-balance sheet exposures
2.1. The balance sheet carrying value of all on-balance sheet assets (excluding on-balance sheet
assets for derivative transactions and repo-style transactions, but including collateral) ...........
2.2. Deductions from common equity tier 1 capital and additional tier 1 capital
(report as a positive amount) .........................................................................................
2.3. Total on-balance sheet exposures (item 2.1 minus item 2.2) ................................................
FS88
FS89
FS90
1.4.
1.5.
1.6.
FS91
FS92
H015
1.7.a.
1.7.b.
1.8.
Y830
2.1.
M349
D956
2.2.
2.3.
M337
M339
2.4.
2.5.
Y822
2.6.
Y823
2.7.
Y824
M340
2.8.
2.9.
Y825
2.10.
Y826
2.11.
M334
2.12.
Y828
N507
Y827
Y829
2.13.
2.14.
2.15.
2.16.
Off-balance sheet exposures
2.17. Off-balance sheet exposures at gross notional amounts...................................................... H012
2.18. Adjustments for conversion to credit equivalent amounts (report as a positive amount) .......... H013
2.19. Total off-balance sheet exposures (item 2.17 minus item 2.18) ........................................... Y831
2.17.
2.18.
2.19.
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Derivative transaction s
2.4. Replacement cost for all derivative transactions ................................................................
2.5. Add-on amounts for potential future exposure (PFE) for all derivative transactions ................
2.6. Gross-up for collateral posted in derivative transactions if collateral is deducted from
on-balance sheet assets ..............................................................................................
2.7. Deduction of receivable assets for qualifying cash variation margin posted in derivative
transactions (report as a positive amount).......................................................................
2.8. Exempted exposures to central counterparties (CCPs) in cleared transactions
(report as a positive amount) .........................................................................................
2.9. Adjusted effective notional principal amount of sold credit protection ...................................
2.10. Adjusted effective notional principal amount offsets and PFE deductions for sold credit
protection (report as a positive amount)..........................................................................
2.11. Total derivative exposures (sum of items 2.4, 2.5, 2.6 and 2.9, minus items 2.7, 2.8,
and 2.10) .................................................................................................................
Repo-style transactions
2.12. Gross assets for repo-style transactions, with no recognition of netting ...............................
2.13. Reduction of the gross value of receivables in reverse repurchase transactions by cash
payables in repurchase transactions (report as a positive value) ........................................
2.14. Counterparty credit risk for all repo-style transactions ......................................................
2.15. Exposure amount for repo-style transactions where an institution acts as an agent ...............
2.16. Total exposures for repo-style transactions (sum of items 2.12, 2.14, and 2.15, minus item 2.13) ..
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Schedule A—Advanced Approaches Regulatory Capital
—Continued
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FFIEC 101
Page 6 of 38
A-5
C.I.
Dollar Amounts in Thousands AAAA
Capital and total leverage exposure
2.20. Tier 1 capital (from Schedule A, item 45) ........................................................................ 8274
Amount
2.20.
AAAB
2.21. Total leverage exposure (sum of items 2.3, 2.11, 2.16, and 2.19) ........................................ H015
AAAA
2.22.
2.23.
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Supplementary leverage ratio
2.22. Supplementary leverage ratio (item 2.20 divided by item 2.21) ........................................... H036
2.23. Holding companies subject to enhanced SLR standards only: Leverage buffer...................... FS93
2.21.
Percentage1
1. Report each ratio and buffer as a percentage, rounded to four decimal places.
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FFIEC 101
GENERAL INSTRUCTIONS
GENERAL INSTRUCTIONS
Who Must Report
A. Scope and Reporting Criteria
An institution (that is a bank, savings association, bank holding company, or savings and loan holding
company) must apply the advanced approaches risk-based capital rule 1 if the institution:
(ii)
(iii)
(iv)
(v)
Has consolidated total assets (excluding assets held by an insurance underwriting subsidiary) on its
most recent year-end regulatory report equal to $250 billion or more;
Has consolidated total on-balance sheet foreign exposure on its most recent year-end regulatory
report equal to $10 billion or more (excluding exposures held by an insurance underwriting
subsidiary);
Is a subsidiary of a depository institution that uses the advanced approaches pursuant to subpart E
of 12 CFR part 3 (OCC), 12 CFR part 217 (Board), or 12 CFR part 324 (FDIC) to calculate its total
risk-weighted assets;
Is a subsidiary of a bank holding company or savings and loan holding company that uses the
advanced approaches pursuant to 12 CFR part 217 to calculate its total risk-weighted assets; or
Elects to use the advanced approaches to calculate its total risk-weighted assets.
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(i)
An institution meeting any of the above criteria (the first four of which are the threshold criteria) must
submit an FFIEC 101 report in accordance with the timing requirements discussed in Section B of these
General Instructions. For purposes of this report, the advanced approaches risk-based capital rule is
referred to as the “advanced approaches rule” throughout these instructions.2
An institution that is subject to the advanced approaches rule remains subject to the rule unless its primary
federal supervisor determines in writing that application of the rule is not appropriate in light of the
institution’s asset size, level of complexity, risk profile, or scope of operations.
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Institutions that do not calculate risk-weighted assets according to the advanced approaches rule but are
required to report the supplementary leverage ratio (SLR) Tables 1 and 2, such as certain intermediate
holding companies, must complete Schedule A, SLR Tables 1 and 2 only, as described in further detail in
the instructions for Schedule A (institutions subject to the SLR only).
B. FFIEC 101 Reporting Requirements
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The institutions specified in Section A above must begin reporting on the FFIEC 101, Schedule A, except
for a few specific line items, at the end of the quarter after the quarter in which the institution triggers one
of the threshold criteria for applying the advanced approaches rule or elects to use the advanced approaches
1
See the advanced approaches risk-based capital rule: 12 CFR part 3, subpart E (OCC); 12 CFR part 217, subpart E
(Board); and 12 CFR part 324, subpart E (FDIC).
2
See footnote 1.
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GENERAL INSTRUCTIONS
rule (an opt-in institution), 3 and must begin reporting data on the remaining schedules of the FFIEC 101 at
the end of the first quarter in which they have begun their parallel run period. (See Section K of these
General Instructions for further information on confidentiality.) All institutions specified in Section A will
continue to file the regulatory capital schedule in the Call Report or FR Y-9C, as appropriate, as well as the
FFIEC 101.
Consistent with section 100 of the advanced approaches rule, an institution identified in Section A above
remains subject to the FFIEC 101 reporting requirements until the institution is no longer subject to the rule
as described in Section A.
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Institutions subject to the SLR only must refer to the instructions for Schedule A, SLR Tables 1 and 2, to
determine the applicable reporting requirements.
What Must Be Reported
C. Reporting Schedules and Instructions
The information contained in the attached reporting schedules must be completed in accordance with the
instructions accompanying these schedules. The schedules and instructions are collectively referred to as
the FFIEC 101.
D. Organization of the Instructions
These instructions cover the FFIEC 101 report schedules. They are divided into the following sections:
(1) The General Instructions that describe overall reporting requirements.
(2) Line item instructions for each schedule of the FFIEC 101.
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The instructions and definitions in (1) and (2) are not necessarily self-contained; reference to the advanced
approaches rule or other parts of the regulatory capital framework may be needed for more detailed
definitions and regulatory capital treatments.
Where to Submit the Reports
E. Electronic Submission
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All reporting institutions must submit their completed reports electronically using the Federal Reserve’s
Reporting Central application. Reporting institutions with questions about reporting via Reporting Central
should contact their Reporting and Reserves District Contact
(https://www.frbservices.org/contacts/index.jsp). Each institution is responsible for ensuring that the data
reported each quarter reflects fully and accurately the line item reporting requirements for that report date,
3
An institution is deemed to have elected to use the advanced approaches rule on the date that its primary federal
supervisor receives from the institution a board-approved implementation plan pursuant to section 121(b)(2) of the
revised regulatory capital rules. After that date, in addition to being required to report on the FFIEC 101, Schedule A,
the institution may no longer apply the AOCI opt-out election in section 22(b)(2) of the regulatory capital rules and it
becomes subject to the supplementary leverage ratio in section 10(c)(4) of the regulatory capital rules and their
associated transition provisions.
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FFIEC 101
GENERAL INSTRUCTIONS
including any changes that may be made from time to time. This responsibility cannot be transferred or
delegated to software vendors, servicers, or others outside the reporting entity.
F. Frequency of Reporting
Each reporting institution must submit a report as of the end of each quarter on a calendar year basis. The
“as-of” date for each reporting period is March 31, June 30, September 30, and December 31 of each
calendar year.
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G. When to Submit the Reports
For report dates before a reporting institution has completed its parallel run period, the information required
to be reported in its FFIEC 101 must be submitted electronically via Reporting Central within 60 days after
the as-of date of the report. That is, the March 31 report must be submitted by May 30, the June 30 report
is due by August 29, the September 30 report is due by November 29, and the December 31 report is due by
March 1 (or February 29 if a leap year) of the subsequent year. Before the completion of a reporting
institution’s parallel run period, if the submission deadline falls on a weekend or holiday, the report must be
received on the first business day after the Saturday, Sunday, or holiday.
For report dates after a reporting institution has completed its parallel run period or for institutions subject
to the SLR only, the submission date for each FFIEC 101 report will be the same as the submission date for
the reporting institution’s Call Report or FR Y-9C, as appropriate.
The report is due by the end of the reporting day on the submission date (5:00 P.M.).
H. Preparation of the Reports
Each reporting institution must prepare and file the FFIEC 101 report in accordance with the instructions
provided. All reports must be prepared in a consistent manner.
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Questions and requests for interpretations of matters appearing in any part of the instructions should be
addressed to the reporting entity’s primary federal supervisor. Regardless of whether a reporting entity
requests an interpretation of a matter appearing in these instructions, when the reporting entity’s primary
federal supervisor’s interpretation of the instructions differs from that of the reporting entity, the federal
supervisor may require the reporting entity to prepare its FFIEC 101 report in accordance with its
interpretation and may require amended filings for previously submitted reports.
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I. Rounding
For reporting institutions with total assets of less than $10 billion, all dollar amounts must be reported in
thousands, with the figures rounded to the nearest thousand. Items less than $500 will be reported as zero.
For reporting institutions with total assets of $10 billion or more, all dollar amounts may be reported in
thousands, but each institution, at its option, may round the figures reported to the nearest million, with
zeroes reported for the thousands. For reporting institutions exercising this option, amounts less than
$500,000 will be reported as zero. When reporting numeric amounts, including dollar amounts, commas
should not be used to separate thousands, millions, and billions.
Report “weighted averages,” which may be numbers or percentages, rounded to two decimal places, except
as otherwise noted. Report capital ratios and buffers as percentages, rounded to four decimal places.
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GENERAL INSTRUCTIONS
J. Negative Entries
Except as indicated in the reporting instructions for specific reporting items, negative entries are generally
not appropriate in this report.
K. Confidentiality and Parallel Run
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For report dates before a reporting institution has completed its parallel run period, Schedule A will be
available to the public, except for items 78 (total eligible credit reserves calculated under the advanced
approaches rules); 79 (amount of eligible credit reserves includable in tier 2 capital); 86 (expected credit
loss that exceeds eligible credit reserves); 87 (advanced approaches risk-weighted assets); 88 (common
equity tier 1 capital ratio calculated using the advanced approaches); 89 (additional tier 1 capital ratio
calculated using the advanced approaches); and 90 (total capital ratio using the advanced approaches). All
of the information reported in the other schedules of the FFIEC 101 will be confidential. In addition, before
the completion of its parallel run period, an institution must report a zero in item 12 (expected credit loss
that exceeds eligible credit reserves) of Schedule A and must complete item 50 (eligible credit reserves) and
item 60 (total risk-weighted assets) of Schedule A by applying the standardized approach.
For report dates after a reporting institution has completed its parallel run period, all items reported in
Schedules A and B (except for Schedule B, items 31.a and 31.b, column D) and items 1 and 2 of
Schedule S will be available to the public. All other items reported in the FFIEC 101 will be confidential.
In addition, after the completion of its parallel run period, an institution must begin to complete item 12
(expected credit loss that exceeds eligible credit reserves), item 50 (eligible credit reserves), and item 60
(total risk-weighted assets) of Schedule A using the advanced approaches rule.
All items reported on Schedule A, SLR Tables 1 and 2, are available to the public.
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A reporting institution may request confidential treatment for some or all of the portions of the FFIEC 101
report that will be made available to the public if the institution is of the opinion that disclosure of specific
commercial or financial information in the report would likely result in substantial harm to its competitive
position, or that disclosure of the submitted information would result in an unwarranted invasion of
personal privacy. In certain limited circumstances, the reporting institution’s primary federal supervisor
may approve confidential treatment of some or all of the items for which such treatment has been requested
if the institution has clearly provided a compelling justification for the request. A request for confidential
treatment must be submitted in writing prior to the electronic submission of the report. The written request
must identify the specific items for which confidential treatment is requested, provide justification for the
confidential treatment requested for the identified items, and demonstrate the specific nature of the harm
that would result from public release of the information. Merely stating that competitive harm would result
or that information is personal is not sufficient. Information for which confidential treatment is requested
may subsequently be released by the reporting institution’s primary federal supervisors if it determines that
the disclosure of such information is in the public interest.
L. Verification and Signatures
Verification. All entries should be double-checked before reports are submitted. Totals and subtotals
should be cross-checked against the corresponding line items which they tabulate and any relevant
supporting materials.
Signatures. The report must be signed by a senior officer of the reporting entity who can attest that the risk
estimates and other information submitted in this report meet the requirements set forth in the applicable
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FFIEC 101
GENERAL INSTRUCTIONS
regulatory capital rules and the reporting instructions for this report. The senior officer may be the chief
financial officer, the chief risk officer, or equivalent senior officer. The cover page of this report form
should be used to fulfill the signature and attestation requirement and should be attached to the printout of
the completed FFIEC 101 report placed in the reporting institution’s files.
M. Amended Reports
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The agencies may require the filing of amended reports if reports as previously submitted contain
significant errors. In addition, a reporting institution must file an amended report when it discovers
significant errors or omissions subsequent to submission of a report. Failure to file amended reports on a
timely basis may subject the institution to supervisory action.
N. Retention of Reports
In general, a reporting entity should maintain in its files a signed and attested record of its completed
FFIEC 101 report, including any amended reports, and the related work papers and supporting
documentation for five years after the report date, unless there are applicable state requirements that
mandate a longer retention time.
O. Consolidation
Exposure amounts and risk weighted asset amounts should be reported on a consolidated basis using the
same consolidation rules applied to the reporting institution’s Call Report or FR Y-9C, as appropriate.
P. Legal Entity Identifier
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The Legal Entity Identifier (LEI) is a 20-digit alpha-numeric code that uniquely identifies entities that
engage in financial transactions. An institution must provide its LEI on the cover page of the FFIEC 101
report only if the institution already has an LEI. The LEI must be a currently issued, maintained, and valid
LEI, not an LEI that has lapsed. An institution that does not have an LEI is not required to obtain one for
the purposes of reporting it on the FFIEC 101 report.
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Schedule A – Advanced Approaches Regulatory Capital – Continued
Supplementary Leverage Ratio (SLR)
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SLR Tables 1 and 2 are required to be completed by an advanced approaches institution as described in
section 173(a)(2) of the advanced approaches risk-based capital rule. 1 Generally, the SLR disclosures
apply to an advanced approaches institution, unless it is a consolidated subsidiary of a bank holding
company (BHC), savings and loan holding company, or a depository institution that is subject to these
disclosure requirements or a subsidiary of a non-U.S. banking organization that is subject to comparable
public disclosure requirements in its home jurisdiction.
These SLR tables are also required to be completed by intermediate holding companies (IHCs) formed or
designated for purposes of compliance with the Board’s Regulation YY (12 CFR 252.153) that meet the
threshold for application of the advanced approaches rule effective with the March 31, 2018, reporting
date. 2 In addition, any subsidiary BHC that is controlled by a foreign banking organization (FBO) prior
to the establishment or designation of the IHC and that is subject to the SLR must complete the SLR
tables through the December 31, 2017, reporting date.
SLR Tables 1 and 2 are to be completed on a consolidated basis.
An advanced approaches institution must calculate its SLR as the ratio of tier 1 capital to total leverage
3
exposure, as defined in the regulatory capital rule.
For purposes of calculating the SLR, qualifying cash variation margin means cash variation margin that
satisfies the following requirements, consistent with section 10(c)(4)(ii)(C) of the regulatory capital rule:
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1. For derivative contracts that are not cleared through a qualifying central counterparty (QCCP),
the cash collateral received by the recipient counterparty is not segregated (by law, regulation or
an agreement with the counterparty);
2. Variation margin is calculated and transferred on a daily basis based on the mark-to-fair value of
the derivative contract;
3. The variation margin transferred under the derivative contract or the governing rules for a cleared
transaction is the full amount that is necessary to fully extinguish the net current credit exposure
to the counterparty of the derivative contract, subject to the threshold and minimum transfer
amounts applicable to the counterparty under the terms of the derivative contract or the governing
rules for a cleared transaction; 4
4. The variation margin is in the form of cash in the same currency as the currency of settlement set
forth in the derivative contract, provided that for the purposes of this paragraph, currency of
settlement means any currency for settlement specified in the governing qualifying master netting
1
See 12 CFR part 3, subpart E (OCC); 12 CFR part 217, subpart E (Board); and 12 CFR part 324, subpart E (FDIC).
Regardless of parallel run status, a top-tier advanced approaches banking organization is required to complete SLR
Tables 1 and 2 of FFIEC 101 Schedule A. Any advanced approaches banking organization that is a consolidated
subsidiary of a top-tier advanced approaches bank holding company, savings and loan holding company, or insured
depository institution should not complete SLR Tables 1 and 2; instead, these institutions report SLR data on
Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, as appropriate.
2
See 12 CFR 252.153 (Board).
3
See 12 CFR 3.10(c)(4) (OCC); 12 CFR 217.10(c)(4) (Board); 12 CFR 324.10(c)(4) (FDIC).
4
If a dispute over the correct amount of variation margin arises between a banking organization and a counterparty,
the banking organization may recognize the amount of variation margin that has been transferred as long as the
parties are acting in accordance with agreed-upon practices to settle a disputed trade and all other conditions for
qualifying cash variation margin are met.
agreement and the credit support annex to the qualifying master netting agreement, or in the
governing rules for a cleared transaction; and
5. The derivative contract and the variation margin are governed by a qualifying master netting
agreement between the legal entities that are the counterparties to the derivative contract or by the
governing rules for a cleared transaction, and the qualifying master netting agreement or the
governing rules for a cleared transaction must explicitly stipulate that the counterparties agree to
settle any payment obligations on a net basis, taking into account any variation margin received
or provided under the contract if a credit event involving either counterparty occurs.
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Financial subsidiaries (applicable to national banks and insured state banks):
Any exposures arising from financial subsidiaries must be excluded from the amounts reported
in SLR Table 1, items 1.4, 1.5, 1.6, and 1.7; and SLR Table 2, items 2.1 (except as noted) and 2.4
through 2.19.
SLR Table 1: Summary comparison of accounting assets and total leverage exposure
An institution must report the following items for purposes of reconciling its balance sheet assets reported
in the published financial statements and total leverage exposure.
1.1
Total consolidated assets as reported in published financial statements. Report the amount of
total consolidated assets at quarter end as reported on the institution’s published financial
statements.
1.2
Adjustment for investments in banking, financial, insurance, and commercial entities that
are consolidated for accounting purposes but outside the scope of regulatory consolidation.
This item generally applies to institutions that have financial subsidiaries. The aggregate
adjustment may be either a positive or a negative amount.
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If a financial subsidiary is not consolidated into the institution for purposes of the institution’s
balance sheet, include in this item as a deduction (i.e., as a negative value) the quarterly average
for the institution's ownership interest in the financial subsidiary accounted for under the equity
method of accounting that is included in the institution’s balance sheet carrying value of all onbalance sheet assets in SLR Table 1, item 1.1.
D
If a financial subsidiary is consolidated into the institution for purposes of the institution’s
balance sheet, include in this item as a deduction (i.e., as a negative value) the quarterly average
of the assets of the subsidiary that is included in the institution’s total consolidated assets as
reported in published financial statements in SLR Table 1, item 1.1. Include in this item the
quarterly average of institution assets representing claims on the financial subsidiary, other than
the institution’s ownership interest in the subsidiary, that were eliminated in consolidation.
Because the institution’s claims on the subsidiary were eliminated in consolidation, these assets
would not otherwise be included.
Non-includable subsidiaries:
A savings association with a non-includable subsidiary should make similar exclusions from
SLR Table 1, item 1.1, determined in the same manner as described above for financial
subsidiaries, except that for a non-includable subsidiary accounted for under the equity method of
accounting, the exclusion should be the quarterly average for the savings association’s
outstanding investments (both equity and debt) in, and extensions of credit to, the subsidiary.
2
Adjustment for fiduciary assets recognized on-balance sheet but excluded from total
leverage exposure. Not applicable.
1.4
Adjustment for derivative transactions. The amount reported in this item includes the
accounting and regulatory adjustments required to reconcile what an institution reports on its
published financial statements with the amount an institution includes for exposures to
derivatives transactions in total leverage exposure (calculated on a quarter end basis), in addition
to any off-balance sheet and related regulatory adjustments (calculated using the mean of the
amount calculated as of the last day of each of the three months of the reporting quarter).
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1.3
The amount reported in this item is calculated as follows:
From the amount reported in SLR Table 2, item 2.11;
The amount reported in SLR Table 2, item 2.4;
Add
The amount reported in SLR Table 2, item 2.4, that is not already included in
SLR Table 1, item 1.1, as of the last day of the reporting quarter;
Subtract
The amount reported in SLR Table 2, item 2.6;
Add
The amount reported in SLR Table 2, item 2.6, as of the last day of the
reporting quarter;
Add
The amount reported in SLR Table 2, item 2.7;
Subtract
The amount reported in SLR Table 2, item 2.7, as of the last day of the
reporting quarter;
Add
Only the replacement cost included in SLR Table 2, item 2.8; and
Subtract
Only the replacement cost included in SLR Table 2, item 2.8, as of the last
day of the reporting quarter.
R
Subtract
D
An institution must not include in this item any amount related to adjustments to account for any
difference in the frequency of calculations of total consolidated assets from quarter-end (as
reported in SLR Table 1, item 1.1) and the mean of the amount calculated as of each day of the
reporting quarter (as reported in certain subcomponents of SLR Table 2, item 2.11). Any amount
related to such adjustments for the difference (if any) in the frequency of calculations must be
reported in SLR Table 1, item 1.7b.
1.5
Adjustment for repo-style transactions. The amount reported in this item includes the
accounting and regulatory adjustments required to reconcile what an institution reports on its
published financial statements with the amount an institution includes for exposures to repo-style
transactions in its total leverage exposure (calculated on a quarter end basis), in addition to any
off-balance sheet and related regulatory adjustments (calculated using the mean of the amount
calculated as of the last day of each of the three months of the reporting quarter).
The amount reported in this item is calculated as follows:
From the amount reported in SLR Table 2, item 2.16;
3
Subtract
The amount reported in SLR Table 2, item 2.12;
Add
The amount reported in SLR Table 2, item 2.12, that is not already included in
SLR Table 1, item 1.1, as of the last day of the reporting quarter;
Add
The amount reported in SLR Table 2, item 2.13; and
Subtract
The amount reported in SLR Table 2, item 2.13, as of the last day of the
reporting quarter.
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An institution must not include in this item any amount related to adjustments to account for any
difference in the frequency of calculations of total consolidated assets from quarter-end (as
reported in SLR Table 1, item 1.1) and the mean of the amount calculated as of each day of the
reporting quarter (as reported in certain subcomponents of SLR Table 2, item 2.16). Any amount
related to adjustments for differences (if any) in the frequency of calculations must be reported in
SLR Table 1, item 1.7b.
Adjustment for off-balance sheet exposures. Report the credit equivalent amount of offbalance sheet exposures, which is the same as the amount reported in SLR Table 2, item 2.19.
1.7
Other adjustments.
1.7a
Adjustments for deductions from tier 1 capital. Report (as a positive amount) deductions from
common equity tier 1 capital and additional tier 1 capital as reported in SLR Table 2, item 2.2.
1.7b
Adjustments for frequency of calculations. The amount reported in this item adjusts for the
difference between the frequency of calculations of total consolidated assets in SLR Table 1,
item 1.1, as well as the accounting and regulatory adjustments reported for exposures to
derivatives transactions in SLR Table 1, item 1.4, and repo-style transactions in SLR Table 1,
item 1.5, that are reported on a quarter end basis and the mean of the amount calculated for these
components as of each day of the reporting quarter.
R
1.6
D
This amount may be positive, negative, or zero. The value will be zero for this item if there is no
difference between the quarter end value reported in SLR Table 1, item 1.1 and the mean of the
amount of total consolidated assets calculated as of each day of the reporting quarter. Report this
amount as a negative value if the mean of the amount of total consolidated assets calculated as of
each day of the reporting quarter is greater than the quarter end value reported in SLR Table 1,
item 1.1. Report this amount as a positive value if the mean of the amount of total consolidated
assets calculated as of each day of the reporting quarter is less than the quarter end value reported
in SLR Table 1, item 1.1.
1.8
Total leverage exposure. Report the sum of SLR Table 1, items 1.1 through 1.6, minus
items 1.7a and 1.7b. This item must equal SLR Table 2, item 2.21.
4
SLR Table 2: Supplementary leverage ratio
On-balance sheet exposures
An institution must report the following amounts with respect to its on-balance sheet exposures.
The balance sheet carrying value of all on‐balance sheet assets (excluding on‐balance sheet
assets for derivative transactions and repo‐style transactions, but including collateral).
Report the balance sheet carrying value, of all on‐balance sheet assets (excluding on‐balance
sheet carrying value for derivative transactions and repo‐style transactions), net of allowance for
loan and lease losses (ALLL) as defined in the regulatory capital rule. Specifically, do not
include in this item the value of receivables in reverse repurchase transactions. However, include
in this item securities provided in a repurchase agreement, securities pledged in a securities
borrowing transaction, securities lent in a securities lending transaction, and cash and other
collateral received under any such repo-style transaction. Also include in this item the amount of
on-balance sheet cash and collateral received from a counterparty in derivative transactions and
the amount of on-balance sheet receivable (or other) assets resulting from the posting of cash to
counterparties in derivative transactions.
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2.1
Report this item as the mean of the amount calculated as of each day of the reporting quarter.
Financial subsidiaries:
If a financial subsidiary is not consolidated into the institution for purposes of the institution’s
balance sheet, exclude from this item the quarterly average for the institution's ownership interest
in the financial subsidiary accounted for under the equity method of accounting that is included in
the institution’s balance sheet carrying value of all on-balance sheet assets in this item 2.1.
R
If a financial subsidiary is consolidated into the institution for purposes of the institution’s
balance sheet, exclude from this item the quarterly average of the assets of the subsidiary that is
included in the institution’s balance sheet carrying value of all on-balance sheet assets in this
item 2.1, minus any deductions from common equity tier 1 capital and additional tier 1 capital
attributable to the financial subsidiary that have been included in SLR Table 2, item 2.2. Include
in this item the quarterly average of institution assets representing claims on the financial
subsidiary, other than the institution’s ownership interest in the subsidiary, that were eliminated
in consolidation. Because the institution’s claims on the subsidiary were eliminated in
consolidation, these assets would not otherwise be included.
D
Non-includable subsidiaries:
A savings association with a non-includable subsidiary should make similar exclusions from
SLR Table 2, item 2.1, determined in the same manner as described above for financial
subsidiaries, except that for a non-includable subsidiary accounted for under the equity method
of accounting, the exclusion should be the quarterly average for the savings association’s
outstanding investments (both equity and debt) in, and extensions of credit to, the subsidiary.
2.2
Deductions from common equity tier 1 capital and additional tier 1 capital. Report (as a
positive amount) the sum of Schedule A, items 28 and 43, net of Schedule A, items 11, 14, and
the amount reported in item 27 that is due to insufficient amounts of additional tier 1 capital, and
which is included in the amount reported in item 43 (to avoid double counting), as calculated as
of the end of the reporting quarter.
5
An institution that does not complete Schedule A, except for the SLR disclosures, must use the
corresponding items as reported on the institution’s Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, as applicable.
2.3
Total on‐balance sheet exposures. Report Table 2, item 2.1, minus Table 2, item 2.2.
Derivative transactions
An institution must report the following amounts with respect to its derivative transactions.
Replacement cost for all derivative transactions. Report the replacement cost for all derivative
transactions, cleared and non-cleared. This amount may be calculated net of qualifying cash
variation margin. An institution may not reduce the replacement cost of its derivative
transactions by any other collateral, except for qualifying cash variation margin. For derivative
transactions that are subject to a qualifying master netting agreement, an institution may calculate
the replacement cost on a net basis. The replacement cost with respect to a netting set is the
greater of zero and the sum of the fair value of all derivative transactions within the netting set.
For derivative transactions not covered by a qualifying master netting agreement, the replacement
cost must be calculated separately for each single derivative transaction and is the greater of zero
and the fair value of the derivative.
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2.4
For client cleared derivative transactions under the agency model, include the replacement cost of
derivative transactions with clearing member clients when a clearing member banking
organization guarantees the performance of a clearing member client to a central counterparty
(CCP). This amount may be calculated net of qualifying cash variation margin.
For client cleared derivative transactions under the principal model, include the replacement cost
of derivative transactions with the CCP and the clearing member client. This amount may be
calculated net of qualifying cash variation margin.
R
If the clearing member client and the clearing member banking organization are affiliates and
consolidated on the reporting institution’s balance sheet, the institution is not required to include
the exposure to the clearing member client in the reported amount.
Report this item as the mean of the amount calculated as of each day of the reporting quarter.
Add‐on amounts for potential future exposure (PFE) for all derivative transactions.
Report the potential future exposure (PFE) amount for each derivative transaction included in
SLR Table 2, item 2.4 (include each transaction regardless of whether the transaction or the
transaction’s netting set has a positive or negative mark-to-fair value), including the PFE amount
for each credit derivative transaction, or other similar instrument, through which the institution
provides credit protection.
D
2.5
The PFE amount must be calculated according to section 34 of the regulatory capital rule, but
without regard to section 34(b). For derivative transactions that are subject to a qualifying master
netting agreement, an institution may calculate the PFE using the adjusted sum of the PFE
amounts or Anet according to section 34(a)(2)(ii); however, cash variation margin may not be used
to reduce the net current credit exposure or the gross current credit exposure in the net‐to‐gross
ratio. For derivative transactions that are not subject to a qualifying master netting agreement, the
PFE amount must be calculated separately for each single derivative transaction.
6
Report this item as the mean of the amount calculated as of the last day of each of the most recent
three months.
Gross‐up for collateral posted in derivative transactions if collateral is deducted from on‐
balance sheet assets.
Report the sum of the following amounts:
1. The amount of non-cash collateral that the institution has posted to a counterparty in a
derivative transaction that has reduced the institution’s on-balance sheet assets as reported in
SLR Table 2, item 2.1; and,
2. The amount of cash collateral posted that does not meet the criteria for qualifying cash
variation margin and that has reduced the institution’s on-balance sheet assets as reported in
SLR Table 2, item 2.1. 5 No gross-up amount is necessary with respect to cash collateral if
either the posted cash collateral meets the criteria for the qualifying cash variation margin, or
the institution does not exercise the GAAP offset option.
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2.6
Report this item as the mean of the amount calculated as of each day of the reporting quarter.
2.7
Deduction of receivable assets for qualifying cash variation margin posted in derivative
transactions (report as a positive amount). An institution may report the amount of receivable
(or other) assets that are included in on-balance sheet assets in SLR Table 2, item 2.1, and are
related to qualifying cash variation margin that the institution posts to counterparties under
derivative transactions.
For example, if an institution has not exercised the GAAP offset option, then it would have
a receivable/other asset on its balance sheet as a result of posting cash collateral to its counterparty.
Consistent with the regulatory capital rule, an institution may exclude this resulting receivable (or
other asset) from total leverage exposure in the amount of the qualifying cash variation margin that
the institution has posted to a counterparty. An institution may exclude this amount from total
leverage exposure by reporting in this item the value of such qualifying cash variation margin that
has been included in SLR Table 2, item 2.1, as a receivable.
R
Report this item as the mean of the amount calculated as of each day of the reporting quarter.
2.8
Exempted exposures to central counterparties (CCPs) in cleared transactions (report
as a positive amount). For the CCP leg of client cleared derivative transactions under the
principal model, report the replacement cost included in Table 2, item 2.4, and the PFE amount
included in SLR Table 2, item 2.5, in which the clearing member institution does not guarantee the
performance of a CCP with respect to a transaction cleared on behalf of a clearing member client.
D
Report the replacement cost as the mean of the amount calculated as of each day of the reporting
quarter, and the PFE amount as the mean of the amount calculated as of the last day of each of the
three months of the reporting quarter.
2.9
Adjusted effective notional principal amount of sold credit protection. Report the effective
notional principal amount (that is, the apparent or stated notional principal amount multiplied by any
multiplier in the derivative contract) of a credit derivative, or other similar instrument (sold credit
protection), through which an institution provides credit protection (for example, credit default swaps
5
Under U.S. generally accepted accounting principles (GAAP), an institution has the option to offset the negative
fair value of a derivative asset with a counterparty by the amount of cash collateral posted to the counterparty and
reduce its balance sheet assets by the amount of cash collateral posted (GAAP offset option).
7
or total return swaps that reference instruments with credit risk, such as a bond). A clearing member
institution is not required to include the effective notional principal amount of sold credit protection
that the institution clears on behalf of a clearing member client through a CCP.
An institution may reduce the effective notional principal amount of the sold credit protection by
the amount of any reduction in the fair value of the sold credit protection if the reduction is
recognized in common equity tier 1 capital.
2.10
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Report this item as the mean of the amount calculated as of the last day of each of the three months
of the reporting quarter.
Adjusted effective notional principal amount offsets and PFE deductions for sold credit
protection (report as a positive amount). Report the sum of the following amounts:
1. The amount of purchased credit protection used to reduce the effective notional principal
amount of sold credit protection in accordance with section 10(c)(4)(ii)(D)(2) of the
regulatory capital rule. For example, purchased credit protection may only be used to reduce
the effective notional principal amount of sold credit protection if the remaining maturity of
the purchased credit derivative is equal to or greater than the remaining maturity of the credit
derivative through which the institution provides credit protection; and,
2. An institution may include in this item the PFE associated with credit derivative transactions
in which the institution has sold credit protection, in accordance with section
10(c)(4)(ii)(B)(1) and (2) of the regulatory capital rule.
Report this item as the mean of the amount calculated as of the last day of each of the three months
of the reporting quarter.
2.11
Total derivative exposures. Report the sum of SLR Table 2, items 2.4, 2.5, 2.6, and 2.9, minus
items 2.7, 2.8, and 2.10.
R
Repo‐style transactions
An institution must report the following amounts with respect to its repo-style transactions.
Gross assets for repo‐style transactions, with no recognition of netting. Report:
1. The gross value of receivables for reverse repurchase transactions;
2. Less, the value of securities received in security‐for‐security repo‐style transactions (which
are included in on-balance sheet assets in SLR Table 2, item 2.1), in which the institution acts
as a securities lender (transferor) and has not sold or re-hypothecated the securities received;
3. Plus, the value of securities sold under a repurchase transaction or transferred in a securities
lending transaction that qualify for sales treatment under GAAP, but must be included in total
leverage exposure for purposes of calculating the SLR.
D
2.12
Report this item as the mean of the amount calculated as of each day of the reporting quarter.
2.13
Reduction of the gross value of receivables in reverse repurchase transactions by cash
payables in repurchase transactions (report as a positive value). Where an institution acts as
a principal and has repurchase and reverse repurchase transactions with the same counterparty,
report the lesser of (i) the gross value of payables for the repurchase transactions or (ii) the gross
8
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value of receivables for the reverse repurchase transactions that the reporting institution has with
the same counterparty, provided the following criteria are met:
1. The offsetting transactions have the same explicit final settlement date under their governing
agreements;
2. The right to offset the amount owed to the counterparty with the amount owed by the
counterparty is legally enforceable in the normal course of business and in the event of
receivership, insolvency, liquidation, or similar proceeding; and
3. Under the governing agreements, the counterparties intend to settle net, settle simultaneously,
or settle according to a process that is the functional equivalent of net settlement (that is, the
cash flows of the transactions are equivalent, in effect, to a single net amount on the
settlement date), where both transactions are settled through the same settlement system, the
settlement arrangements are supported by cash or intraday credit facilities intended to ensure
that settlement of both transactions will occur by the end of the business day, and the
settlement of the underlying securities does not interfere with the net cash settlement.
Report this item as the mean of the amount calculated as of each day of the reporting quarter.
2.14
Counterparty credit risk for all repo‐style transactions. Report the aggregate amount of
counterparty credit risk for all repo‐style transactions in which the institution acts as principal. Do
not include repo-style transactions in which the institution acts as an agent.
For repo-style transactions subject to a qualifying master netting agreement, the counterparty
credit risk must be calculated as the greater of zero and the total fair value of the instruments,
gold, or cash that the institution has lent, sold subject to repurchase, or provided as collateral to a
counterparty, less the total fair value of the instruments, gold, or cash that the institution
borrowed, purchased subject to resale, or received as collateral from its counterparty for those
transactions. If the repo-style transaction is not subject to a qualifying master netting agreement,
the counterparty credit risk must be calculated on a transaction-by-transaction basis.
R
Report this item as the mean of the amount calculated as of the last day of each of the three months
of the reporting quarter.
Exposure amount for repo‐style transactions where an institution acts as an agent. Report
the aggregate exposure amount for repo-style transactions where an institution acts as an agent
and provides a guarantee (indemnity) to a customer with regard to the performance of the
customer’s counterparty.
If the guarantee is limited to the difference between the fair value of the security or cash the
customer has lent and the fair value of the collateral that the borrower has provided, report the
difference between the fair value of the instruments, gold, and cash received from a counterparty
from the fair value of any instruments, gold and cash lent to the counterparty, or zero, whichever
is greater.
D
2.15
If the guarantee is greater than the difference between the fair value of the security or cash the
customer has lent and the fair value of the security or cash the borrower has provided, the
institution must include the amount of the guarantee that is greater than such difference.
For repo-style transactions where a qualifying master netting agreement is in place, or the
transactions are cleared, the institution would be able to net the total fair value of instruments,
gold, and cash lent to a counterparty against the cash received from the same counterparty across
all transactions.
9
For repo‐style transactions that are not subject to a qualifying master netting agreement, an
institution must calculate counterparty credit risk on a transaction‐by‐transaction basis.
Report this item as the mean of the amount calculated as of the last day of each of the three months
of the reporting quarter.
2.16
Total exposures for repo‐style transactions. Report the sum of SLR Table 2, items 2.12, 2.14,
and 2.15, minus item 2.13.
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Off‐balance sheet exposures
An institution must report the following amounts with respect to its off-balance sheet exposures. All offbalance sheet exposures must be reported as the mean of the amount calculated as of the last day of each
of the three months of the reporting quarter.
Off‐balance sheet exposures at gross notional amounts. The notional amount of all off‐balance
sheet exposures (excluding off‐balance sheet exposures associated with repo-style transactions,
repurchase or reverse repurchase or securities borrowing or lending transactions that qualify for
sales treatment under GAAP, and derivative transactions).
2.18
Adjustments for conversion to credit equivalent amounts (report as a positive amount).
Report the aggregate adjustments for conversion of off-balance sheet exposures in SLR Table 2,
item 2.17, to credit equivalent amounts as follows:
1. For unconditionally cancellable commitments that receive a credit conversion factor (CCF) of
10 percent for purposes of calculating the SLR, multiply the notional amount of these
commitments by 90 percent.
2. For commitments that receive a CCF of 20 percent under section 33(b) of the regulatory
capital rule, multiply the notional amount of these commitments by 80 percent.
3. For commitments that receive a CCF of 50 percent under section 33(b) of the regulatory
capital rule, multiply the notional amount of these commitments by 50 percent.
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2.17
Add the amounts in steps 1-3 and report the sum in this item 2.18. Note that no adjustment is
made to off-balance sheet exposures that receive a CCF of 100 percent under section 33(b) of the
regulatory capital rule.
2.19
Total off‐balance sheet exposures. Report SLR Table 2, item 2.17, minus item 2.18.
D
Capital and total leverage exposure
2.20
Tier 1 capital. Report the tier 1 capital amount as reported in Schedule A, item 45.
An institutions that does not complete Schedule A, except for the SLR disclosures, must use the
corresponding item as reported on the institution’s Schedule RC-R of the Call Report or Schedule
HC-R of the FR Y-9C, as applicable.
2.21
Total leverage exposure. Report the sum of SLR Table 2, items 2.3, 2.11, 2.16, and 2.19.
10
Supplementary leverage ratio
Supplementary leverage ratio. Report the ratio of SLR Table 2, item 2.20, divided by item 2.21,
as a percentage, rounded to four decimal places.
2.23
Holding companies subject to enhanced SLR standards only: Leverage buffer. Report
SLR Table 2, item 2.22, minus the SLR minimum in section 10(a)(5) of the regulatory capital
rule (3 percent) as a percentage, rounded to four decimal places. If the holding company’s
supplementary leverage ratio is less than or equal to the minimum requirement of 3 percent,
the holding company’s leverage buffer is zero.
D
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2.22
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| File Type | application/pdf |
| File Modified | 2016-08-18 |
| File Created | 2016-08-18 |