Form FR Y-14Q FR Y-14Q Quarterly Regulatory Capital Transitions Schedule

Capital Assessment and Stress Testing

FR_Y-14Q_Regulatory_Capital_Transitions_form

Regulatory Capital Transitions - Quarterly

OMB: 7100-0341

Document [pdf]
Download: pdf | pdf
FR Y-14Q Schedule D - Regulatory Capital Transitions

Institution Name:
RSSD ID:
Submission Date (MM/DD/YY):
As of Date (MM/DD/YY):

FR Y-14Q Schedule D - Regulatory Capital Transitions

Instructions
1. The FR Y-14Q Regulatory Capital Transitions schedule is intended to be used for the monitoring of historical progress against the
forecasts provided in the FR Y-14A version of the schedule. Please complete the FR Y-14Q schedule with actual data as of the most recent
quarter end subsequent to the close of each quarter, on a fully phased-in basis. Do not use this schedule to update projections for future
quarters.

2. Complete non-shaded cells only, using data as of the balance sheet date under baseline assumptions, consistent with the annual CCAR
exercise.
3. For the purpose of completing this schedule, BHCs and IHCs should refer to the "FR Y-14Q Regulatory Capital Transitions Instructions."

4. In each worksheet there is a "Comments" column. Please provide explanation in this column for any significant deviations from the
projections that were provided as part of the most recent CCAR submission, as well as from previous quarter if applicable. Also, please
provide any other comments if necessary.
5. On the Planned Actions worksheet, please complete the fields for "Description," "Action Type," "Exposure Type" and "RWA Type"
(columns B through E) with information on the planned actions your BHC included in its most recently submitted FR Y-14A Regulatory
Capital Transitions schedule. In columns F through K, for each planned action please input the actual dollar amount impact on tier 1
common, tier 1 capital, risk-weighted assets, average total assets, leverage exposures, and the firm's balance sheet based on progress
made on the action in the past quarter. In a separate attachment, please provide additional information to describe the progress made on
each planned action during the reporting quarter.

FR Y-14Q Schedule D.1 - Capital Composition
FR Y-14Q - Regulatory Capital Transitions Schedule:
Actual in $Millions
Capital Composition

as of date

Comments

1 AOCI opt-out election? (enter "1" for Yes; enter "0" for No)
Common equity tier 1 capital
2 Common stock and related surplus (net of treasury stock and unearned employee stock ownership plan [ESOP] shares)
3 Retained earnings
4 Accumulated other comprehensive income (AOCI)
5 Common equity tier 1 minority interest includable in common equity tier 1 capital
6 Common equity tier 1 before adjustments and deductions (sum of items 2 through 5)

-

Common equity tier 1 capital: adjustments and deductions
7 Goodwill, net of associated deferred tax liabilities (DTLs)
8 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs
9 Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs
If Item 1 is “1” for “Yes”, complete items 10 through 14 only for AOCI related adjustments.
10 AOCI related adjustments: Net unrealized gains (losses) on available-for-sale securities (if a gain, report as a positive value; if a loss, report as a negative value)
11 AOCI related adjustments: Net unrealized loss on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity
exposures (report loss as a positive value)
12 AOCI related adjustments: Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
13 AOCI related adjustments: Amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application of the
relevant GAAP standards that pertain to such plans (if a gain, report as a positive value; if a loss, report as a negative value)
14 AOCI related adjustments: Net unrealized gains (losses) on held-to-maturity securities that are included in AOCI (if a gain, report as a positive value; if a loss, report
as a negative value)
If Item 1 is “0” for “No”, complete item 15 only for AOCI related adjustments.
15 AOCI related adjustments: Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, that relate to the hedging of items that
are not recognized at fair value on the balance sheet (if a gain, report as a positive value; if a loss, report as a negative value)
16 Other deductions from (additions to) common equity tier capital 1 before threshold-based deductions: Unrealized net gain (loss) related to changes in the fair value
of liabilities that are due to changes in own credit risk (if a gain, report as a positive value; if a loss, report as a negative value)
17 Other deductions from (additions to) common equity tier capital 1 before threshold-based deductions: All other deductions from (additions to) common equity tier
1 capital before threshold-based deductions
18 Non-significant investments in the capital of unconsolidated financial institutions in the form of common stock that exceed the 10 percent threshold for nonsignificant investments
19 Subtotal (item 6 minus items 7 through 18)

-

FR Y-14Q Schedule D.1 - Capital Composition
FR Y-14Q - Regulatory Capital Transitions Schedule:
Actual in $Millions
Capital Composition
20 Significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated DTLs, that exceed the 10 percent
common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)
21 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)

as of date

Comments
-

22 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs, that
exceed the 10 percent common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)
23 Amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs
arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs; that
exceeds the 15 percent common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)

-

24 Deductions applied to common equity tier 1 capital due to insufficient amount of additional tier 1 capital and tier 2 capital to cover deductions
25 Total adjustments and deductions for common equity tier 1 capital (sum of items 20 through 24)
26 Common equity tier 1 capital (item 19 minus item 25)
Additional tier 1 capital
27 Additional tier 1 capital instruments plus related surplus
28 Tier 1 minority interest not included in common equity tier 1 capital
29 Additional tier 1 capital before deductions (sum of items 27 through 28)
30 Additional tier 1 capital deductions
31 Additional tier 1 capital (greater of item 29 minus item 30 or zero)
Tier 1 capital
32 Tier 1 capital (sum of items 26 and 31)
Other Quarterly Changes
33 Issuance of common stock (including conversion to common stock)
34 Repurchases of common stock
35 Net income (loss) attributable to bank holding company
36 Cash dividends declared on preferred stock
37 Cash dividends declared on common stock
38 Previously issued tier 1 capital instruments (excluding minority interest) that would no longer qualify (please report 100% value)
39 Previously issued tier 1 minority interest that would no longer qualify (please report 100% value)

-

-

-

FR Y-14Q Schedule D.2 - Exceptions Bucket Calculator

"Exceptions Bucket" Calculator

Actual in
$Millions
as of date

Significant investments in the capital of unconsolidated financial institutions in the form of common stock
1 Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
2 Permitted offsetting short positions in relation to the specific gross holdings included above
3 Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions
4 10 percent common equity tier 1 deduction threshold (10 percent of item 19 in the Capital Composition tab)
5 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 3 minus 10 percent of

-

Mortgage servicing assets
6 Total mortgage servicing assets classified as intangible
7 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the
8 Mortgage servicing assets net of related deferred tax liabilities (item 6 minus item 7)
9 10 percent common equity tier 1 deduction threshold (10 percent of item 19 in the Capital Composition tab)
10 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 8 minus 10 percent of

-

Deferred tax assets due to temporary differences
11 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation
12 10 percent common equity tier 1 deduction threshold (10 percent of item 19 in the Capital Composition tab)
13 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 11 minus 10 percent of

-

Aggregate of items subject To the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
14 Sum of items 3, 8, and 11
15 15 percent common equity tier 1 deduction threshold (item 19 in the Capital Composition tab minus item 14, multiplied by 17.65
16 Sum of items 5, 10, and 13
17 Item 14 minus item 16
Amount
to
be
deducted
from
common
equity
tier
1
due
to
15
percent
deduction
threshold
(greater
of
item
17
minus
item
15
or
18

Comments

FR Y-14Q Schedule D.3 - Risk-Weighted Assets - Advanced RWA

Risk-weighted Assets-Advanced1, 2
Advanced Approaches Credit Risk (Including CCR and non-trading credit risk), with 1.06 scaling factor where applicable
1 Credit RWA
2
Wholesale Exposures
3
Corporate
4
Bank
5
Sovereign
6
IPRE
7
HVCRE
8
Counterparty Credit Risk
9
Eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—EAD adjustment method
10
Eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—collateral reflected in LGD
11
Eligible margin loans, repostyle transactions—no cross-product netting—EAD adjustment method
12
Eligible margin loans, repostyle transactions—no cross-product netting—collateral reflected in LGD
13
OTC derivatives—no cross-product netting—EAD adjustment method
14
OTC derivatives—no crossproduct netting—collateral reflected in LGD
15
Retail Exposures
16
Residential mortgage— closed-end first lien exposures
17
Residential mortgage— closed-end junior lien exposures
18
Residential mortgage—revolving exposures
19
Qualifying revolving exposures
20
Other retail exposures
21
Securitization Exposures
Subject to supervisory formula approach (SFA)
22
Subject to simplified supervisory formula approach (SSFA)
23
24
Subject to 1,250% risk-weight
25
Cleared Transactions
26
Derivative contracts and netting sets to derivatives
Repo-style transactions
27
28
Default fund contributions
29
Equity Exposures
30
Other Assets
31
CVA Capital Charge (risk-weighted asset equivalent)
32
Advanced CVA Approach
33
Unstressed VaR with Multipliers
34
Stressed VaR with Multipliers
35
Simple CVA Approach

Actual in
$Millions
as of date

-

-

-

-

-

-

Comments

FR Y-14Q Schedule D.3 - Risk-Weighted Assets - Advanced RWA

Risk-weighted Assets-Advanced1, 2

Actual in
$Millions
as of date

Advanced Approaches Operational Risk
36 Operational RWA
Market Risk
37 Market RWA
Value-at-risk (VAR)-based capital requirement
38
Stressed VAR-based capital requirement
39
Incremental Risk Charge (IRC)
40
Correlation Trading
41
Comprehensive Risk Measurement (CRM), Before Application of Surcharge
42
8% of Advanced Measurement Method for Exposures Subject to CRM
43
CRM Floor Based on 100% of Advanced - Net Long
44
CRM Floor Based on 100% of Advanced - Net Short
45
Non-modeled Securitization
46
Specific risk add-on (excluding securitization and correlation)
47
Debt
48
Equity
49
Other market risk
50
51
52
53

Assets subject to the general risk-based capital requirements
Other RWA
Excess eligible credit reserves not included in tier 2 capital

54

Total RWA

-

-

-

-

Comments

FR Y-14Q Schedule D.4 - Risk-Weighted Assets - Standardized RWA

Risk-weighted Assets-Standardized1, 2

Actual in
$Millions
as of date

Standardized Approach Credit Risk
Cash and balances due from depository institutions
1
Securities (excluding securitizations): Held-to-maturity
2a
Securities (excluding securitizations): Available-for-sale
2b
Federal funds sold
3

4a
4b
4c
4d

Loans and leases on held for sale
Residential Mortgage exposures
High Volatility Commercial Real Estate (HVCRE) exposures
Exposures past due 90 days or more or on nonaccrual
All other exposures

5a
5b
5c
5d

Loans and leases, net of unearned income
Residential mortgage exposures
High Volatility Commercial Real Estate (HVCRE) exposures
Exposures past due 90 days or more or on nonaccrual
All other exposures

6
7a
7b
7c

Trading assets (excluding securitizations that receive standardized charges)
All other assets
Separate account bank-owned life insurance
Default fund contributions to central counterparties

8a
8b
8c
8d

On-balance sheet securitization exposures
Held-to-maturity
Available-for-sale
Trading assets that are securitization exposures that receive standardized charges
All other on-balance sheet securitization exposures

9
10

Off-balance sheet securitization exposures
RWA for Balance Sheet Asset Categories (sum of items 1 through 8d)

-

Comments

FR Y-14Q Schedule D.4 - Risk-Weighted Assets - Standardized RWA

Risk-weighted Assets-Standardized1, 2

11
12
13
14
15
16
17a
17b
17c
18
19
20
21

Actual in
$Millions
as of date

Derivatives and Off-Balance-Sheet Asset Categories (Excluding Securitization Exposures)
Financial standby letters of credit
Performance standby letters of credit and transaction related contingent items
Commercial and similar letters of credit with an original maturity of one year or less
Retained recourse on small business obligations sold with recourse
Repo-style transactions
All other off-balance sheet liabilities
Unused commitments: Original maturity of one year or less, excluding ABCP conduits
Unused commitments: Original maturity of one year or less to ABCP conduits
Unused commitments: Original maturity exceeding one year
Unconditionally cancelable commitments
Over-the-counter derivatives
Centrally cleared derivatives
Unsettled transactions (failed trades)

22 RWA for Assets, Derivatives and Off-Balance-Sheet Asset Categories (sum of items 9 through 21)

-

23 RWA for purposes of calculating the allowance for loan and lease losses 1.25 percent threshold
Market Risk
24 Market RWA
25 Value-at-risk (VAR) based capital requirement
26 Stressed VAR-based capital requirement
27 Incremental Risk Charge (IRC)
28 Correlation Trading
Comprehensive Risk Measurement (CRM), Before Application of Surcharge
29
8% of Standardized Measurement Method (100%) for Exposures Subject to CRM
30
CRM Floor Based on 100% of Standardized - Net Long
31
CRM Floor Based on 100% of Standardized - Net Short
32

-

-

Comments

FR Y-14Q Schedule D.4 - Risk-Weighted Assets - Standardized RWA

Risk-weighted Assets-Standardized1, 2
33
34
35
36
37

Actual in
$Millions
as of date

Non-modeled Securitization
Specific risk add-on (excluding securitization and correlation)
Debt
Equity
Other market risk

-

38 Excess allowance for loan and lease losses
39 Allocated transfer risk reserve
40 Total RWA
Footnotes:
1

Amounts calculated as capital requirements should be converted to risk-weighted assets by multiplying by 12.5.

2

Any assets deducted from capital should not be included in risk-weighted assets.

-

Comments

FR Y-14Q Schedule D.5 - Leverage Exposure

Leverage Exposure (quarterly averages)

Leverage Exposure for Tier 1 Leverage Ratio (Applicable to All BHCs/IHCs)
1
2
3

Average total consolidated assets
LESS: Deductions from common equity tier 1 capital and additional tier 1 capital (report as a positive value)
LESS: Other Deductions from (Additions to) Assets for Leverage Ratio Purposes (report as a positive value)

4

Total assets for the leverage ratio (item 1 less the sum of items 2 and items 3)

Leverage Exposure for Supplementary Leverage Ratio (Applicable to Advanced Approaches BHCs/IHCs Only)
On-balance sheet exposures
On-balance sheet assets (excluding on-balance sheet assets for repo-style transactions and derivative exposures, but including cash
5
6
LESS: Deductions from common equity tier 1 capital and additional tier 1 capital (report as a positive value)
Total on-balance sheet exposures (excluding on-balance sheet assets for repo-style transactions and
7

8
9
10
11
12
13
14
15

Derivative exposures
Replacement cost for derivative exposures (net of cash variation margin)
Add-on amounts for potential future exposure (PFE) for derivatives exposures
Gross-up for cash collateral posted if deducted from the on-balance sheet assets, except for cash variation margin
LESS: Deductions of receivable assets for cash variation margin posted in derivatives transactions,
LESS: Exempted CCP leg of client-cleared transactions (report as a positive value)
Effective notional principal amount of sold credit protection
LESS: Effective notional principal amount offsets and PFE adjustments for sold credit protection (report as a positive value)
Total derivative exposures (sum of items 8, 9, 10 and 13, minus items 11, 12, and 14)

16
17
18
19
20

Repo-style transactions
On-balance sheet assets for repo-style transactions
LESS: Reduction of the gross value of receivables in reverse repurchase transactions by cash payables in repurchase transactions under
Counterparty credit risk for all repo-style transactions
Exposure for repo-style transactions where a banking organization acts as an agent
Total exposures for repo-style transactions (sum of items 16, 18, and 19 minus item 17)

21
22
23

Other off-balance sheet exposures
Off-balance sheet exposures at gross notional amounts
LESS: Adjustments for conversion to credit equivalent amounts (report as a positive value)
Off-balance sheet exposures (item 21 less items 22)

24

Capital and total leverage exposures
Total leverage exposure (sum of items 7, 15, 20 and 23)

Actual in
$Millions
as of date

Comments

FR Y-14Q Schedule D.6 - Planned Actions
Projected in $ Millions
Actual Impact ($ Millions)

Planned Actions

Action #
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38

Description

Action Type

Exposure Type

RWA Type

Common Equity
Tier 1

Tier 1

Standardized
RWA

Advanced RWA

Total Assets for
Leverage Ratio

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Confirm detailed description of action
provided in separate attachment

Comments

FR Y-14Q Schedule D.6 - Planned Actions
Projected in $ Millions
Actual Impact ($ Millions)

Planned Actions

Action #
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79

Description

Action Type

Exposure Type

RWA Type

Common Equity
Tier 1

Tier 1

Standardized
RWA

Advanced RWA

Total Assets for
Leverage Ratio

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Confirm detailed description of action
provided in separate attachment

Comments

FR Y-14Q Schedule D.6 - Planned Actions
Projected in $ Millions
Actual Impact ($ Millions)

Planned Actions

Action #

Description

Action Type

Exposure Type

RWA Type

Common Equity
Tier 1

Standardized
RWA

Tier 1

Advanced RWA

Total Assets for
Leverage Ratio

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
Total impact of planned actions
Reported changes from prior period

-

-

-

-

-

-

-

Confirm detailed description of action
provided in separate attachment

Comments


File Typeapplication/pdf
File Modified0000-00-00
File Created0000-00-00

© 2024 OMB.report | Privacy Policy