Change Control Log (BCAR) (BA)

CHANGE CONTROL LOG

Amendment NumberEffective Reporting DatePage NumberDescription

1

Q4 2007

 

NEW

2

Q1 2008

1

Add:

  • Footnote 1

5

Add:

  • Wording "if not tranched"

6

Delete:

  • Instructions under Exposure Classification and Credit Risk Mitigation (CRM)

6, 8, 20, 22, 24, 37, 40

Change:

SMEs (treated as Other Retail) changed to SBEs (treated as Other Retail)

7

Add:

  • Clarification of Undrawn commitments
  • Note under Repo-style Transaction
  • Note under Other off-balance sheet

9

Change:

  • Reference to Guideline A-3

10

Add:

  • Wording "and Other rated"

Delete:

  • Wording (e.g. 1.06)

Change:

  • The level of the scaling factor will be incorporated into the guidelines changed to The level of the scaling factor is 1.06

10, 11

Add:

  • Additional instructions under Schedule 3 – Capital Elements

12

Add:

  • Additional instructions under Columns for "Before CRM"

13

Add:

  • Additional instructions under third paragraph

Change:

  • Wording Decrease in net exposure changed to Adjustment to net exposure

14

Change:

  • Wording Decrease in net exposure changed to Adjustment to net exposure

15

Add:

  • Additional instructions under Section D – Early Amortization

16

Add:

  • Additional instructions under Treatment of Guarantees
  • Additional instructions under Columns for "Before CRM"
  • Footnote 4

17

Change:

  • Modified instructions under Columns for "Adjustments for CRM"

18, 19

Add:

  • Additional instructions under Columns for "After CRM"

21

Delete:

  • Wording "using the substitution approach for guarantees"

22

Change:

  • Modified instructions under Columns for "Adjustments for CRM"

23

Add:

  • Additional instructions under Columns for "After CRM"

24

Add:

  • Additional instructions under Schedule 35 – Credit Risk-weighted Assets
  • Additional instructions under Footnote 7

25

Add:

  • Additional instructions under Schedule 36 – PD/LGD Approach for IRB Equity

26

Add:

  • Additional instructions under Section B – Securitization exposures subject to ratings-based or internal assessment approach
  • Additional instructions under Section D – Early Amortization

30

Change:

  • One decimal place to two decimal places under (ii) Internal Model Method

34, 35

Delete:

  • Wording "CAR"

Add:

  • Section C – Advanced Measurement Approach
  • Additional instructions under Schedule 44 – Gross Exposures by Original Obligor and by Ultimate Guarantor

36

Add:

  • Additional instructions under Credit Risk section

38

Add:

  • Additional instructions under Scope of the approach
  • Additional instructions under Timing
  • Footnote 16

3

Q1 2009

1

Add:

  • Purpose; Statutory; Application; Publication; Contact Person; Reporting Dates; Where to Submit

2

Add:

  • Instructions for BCAR Short Form

11, 12

Add:

  • Additional instructions under Schedule 4 – Allowance for Impairment

24, 25

Change:

  • Modified instructions for clarity under Schedule 35 – Credit Risk-weighted Assets

Add:

  • Instructions for Market-based Approaches

28

Add:

  • Reference to section 3.6

29

Add:

  • Additional instructions under (i) Current Exposure Method

30

Add:

  • Additional instructions under (ii) Internal Model Method

34

Change:

  • Modified instructions under Sections A and B – Basic Indicator and Standardized Approached

38-40

Change:

  • Annex instructions modified re implementation date and references

4

Q1 2010

5

Add:

  • Additional instructions under Residential Mortgage re Reverse Mortgages

7

Add:

  • Additional " * " under Undrawn commitments and related instructions below table

Change:

  • Modified instructions under Undrawn commitments

10

Add:

  • Additional instructions under Schedule 3, first paragraph

Change:

  • Modified instructions under Schedule 3, second paragraph

20

Add:

  • Additional instructions under Risk-weighted Assets
  • Additional instructions under Expected Loss Amount

23

Add:

  • Additional instructions under Risk-weighted Assets

24

Add:

  • Additional instructions under Expected Loss Amount

28

Add:

  • Instructions for Unrealized gains on derivatives
  • Additional instructions under Footnote 9

35

Delete:

  • Last sentence from the first paragraph under Sections A and B - Basic Indicator and Standardized Approaches

36

Change:

  • Instructions modified under Guaranteed Exposure, by Ultimate Guarantor

5

Q1 2011

3, 11, 12, 43, 45, 46, 47

Multiple changes were made to the instructions to accommodate IFRS.

4, 28

Change:

  • Page reference updated

10, 32

Change:

  • Instructions modified in regards to Banking versus Trading Book

15, 16, 29

Add:

  • Instructions to accommodate separate reporting of securitization exposures

37 to 42

Add:

  • Instructions regarding introduction of Stressed Value at Risk components

6

Q1 2012

2

Add:

  • Additional instructions under BCAR Short Form

5

Change:

  • Instructions modified under Corporate Exposure Class

9

Delete:

  • Footnote †

Change:

  • Instructions modified under Past Due Loans and Defaulted Exposures

10

Change:

  • Instructions modified under Banking Versus Trading Book

11

Add:

  • Additional instructions under Schedule 2 – Summary of Risk-weighted Assets

12

Change:

  • Instructions modified under Schedule 3 – Capital Elements

13

Add:

  • Instructions under IRB Methodology – Eligible Allowance
  • Instructions under IRB Methodology – Expected Loss Amount

Change:

  • Instructions modified under Excess allowance

15

Change:

  • Instructions modified under Schedule 14 & 37 - General Methodology

16

Delete:

  • 'Pre' Q1 2012 related instructions under Section B

17

Delete:

  • Reference to Schedules 15 to 21

Add:

  • Additional instructions under Credit Risk-weighted Assets under IRB Approach - General Methodology
  • Footnote 4

18

Change:

  • FIRB and AIRB Exposures Subject to Double Default Framework changed to Wholesale IRB Exposures Subject to Double Default Framework

Add:

  • Instructions under Wholesale IRB Exposures not subject to Double Default Framework
  • Instructions under Columns for "Before CRM"

19

Change:

  • Instructions under Columns for "Adjustments for CRM"

22

  • Add:
  • Memo Item for AIRB-approved Institutions using LGD Adjustment to Reflect Guarantees

23

Change:

  • FIRB and AIRB Exposures Subject to Double Default Framework changed to Wholesale IRB Exposures Subject to Double Default Framework

Delete:

  • Reference to Schedules 15 to 21

24

Change:

  • Instructions under Schedule 29

27

Add:

  • Memo Item for Institutions using LGD Adjustment to Reflect Guarantees

28

Add:

  • Instructions under Schedule 36 - General Methodology

29

Delete:

  • Instructions under Section B - Securitization exposures subject to ratings - based or internal assessment approach

31

Change:

  • Instructions under Unallocated accrued interest and other miscellaneous receivables

32

Change:

  • Instructions under Schedule 39

33

Change:

  • Instructions under Section A

Add:

  • Instructions under Section B - General Methodology

35 to 37

Delete:

  • Schedule 42 (Pre Q1 2012 instructions)

36

Change:

  • References under Section A – Internal Model Requirements

38

Change:

  • Instructions under Incremental Risk Charge
  • Instructions under Modelled Comprehensive Risk Measure
  • References under Section B – Standardized Approach Requirements

39 to 42

Add/Change:

  • Instructions for Sections B(ii)(a) to B(ii)(c)

42

Add:

  • Instructions for Sections C and D

49 to 52

Delete:

  • Annex - Interim Approach to Reporting

7

Q1 2013

All pages

Change:

  • Updated all CAR guideline references

2

Delete:

  • One sentence under General Instructions

Add:

  • 1A Ratios, Capital, and Risk-weighted Assets on Transitional Basis
  • 3A Qualifying Capital Issued Out of Subsidiaries

3

Change:

  • Instructions under Basis of Measurement and Reporting Units

8

Change:

  • Instructions under Repo-style Transaction
  • Instructions under OTC Derivatives

10

Add:

  • Basis of Basel III Calculations

Change:

  • Instructions under Asses to Capital Multiple

11

Delete:

  • Addback of select 50/50 securitization deductions

Add:

  • Schedule 1A – Ratios, Capital and Risk-weighted Assets on Transitional Basis

12

Add:

  • Credit or market risk-weighted assets calculated on the deducted portion of non-significant investments in financials

13

Change:

  • Instructions under Schedule 3 – Capital Elements

Add:

  • Section A – Calculation of Total Capital
  • Section B – Calculation of Basel III deduction for investments in the capital of banking; financial and insurance entities where the reporting FI does not have a significant investment in the entity
  • Section C – Calculation of Basel III deduction for significant investments in common equity; deferred tax assets arising from temporary differences; and mortgage servicing rights

14

Add:

  • Section D – Phase-out of non-qualifying capital instruments
  • Section E – Memo Items
  • Schedule 3A – Qualifying Capital Issued Out of Subsidiaries

Change:

  • Instructions under Schedule 4 – Allowance for Impairment: Capital Treatment and General Methodology

15

Add:

  • Instructions under Net collective allowance allocated to standardized and IRB portfolios
  • Instructions under IRB Methodology – Eligible Allowance

Change:

  • General allowance changes to collective allowance

16

Change:

  • Specific allowances changes to individual allowances

Add:

  • Instructions under Columns for "Before CRM"

18, 19

Change:

  • Specific allowances changes to individual allowances
  • Instructions under Schedule 14 – General Methodology
  • Instructions and title for Section A – Select originator securitization exposures
  • Instructions under Section C

22

Change:

  • Instructions under Redistribution of exposures for guarantees and credit derivatives

23

Add:

  • Instructions under Weighted Ave. Maturity

26

Change:

  • Instructions under Weighted Ave. Maturity of credit protection

31

Delete:

  • Instructions under Schedule 36 – General Methodology

Change:

  • Instructions under Schedule 37 – General Methodology
  • Instructions and title for Section A – Select originator securitization exposures

32

Change:

  • Instructions under Section C – Unrated Exposures – non IAA
  • Instructions under Summary Section

33

Change:

  • Instructions under Unsettled non-DvP trades

34

Add:

  • Section C – Credit Valuation Adjustments (CVA) on Bilateral OTC Derivatives
  • Section D – Exposures to Qualifying Central Counterparties
  • Section E – Default Fund Contributions to Non-Qualifying Central Counterparties

35

Add:

  • Instructions under Schedule 40 – Derivative Contracts

Change:

  • Instructions under Section A – All Derivatives – Notional Principal Amount
  • Section B – OTC Derivatives changes to Section B – Counterparty Credit Risk Exposure for Default Risk Capital Requirements
  • Instructions under Section B – General Methodology

37

Add:

  • Instructions under (i) Current Exposure Method

Change:

  • Instructions under (ii) Internal Model Method

42, 43

Change:

  • Instructions under Section B(ii) Interest Rate Position Specific Risk – Tranched products & hedges
  • Instructions under Instructions for Sections B(ii)(a) to B(ii)(c) during the interim treatment period from Q1 2012 to Q4 2013

44, 45

Change:

  • Instructions under Instructions for Sections B(ii)(a) to B(ii)(c) to take effect Q1 2014 (after the interim treatment period ends)
  • Instructions under Section C – Total Minimum Capital Charge for Market Risk (not including deductions)
  • Instructions under Section D – Valuation Adjustments for Less Liquid Positions

47

Change:

  • Instructions under Section C – Advanced Measurement Approach

48

Change:

  • General allowances changes to collective allowances

49

Add:

  • Deducted portion of non-significant investments in financials

50

Change:

  • Instructions under Adjustment to reflect differences in balance sheet exposure amounts resulting from measurement bases used for accounting purposes

51

Add:

  • AOCI
  • CCP
  • CETI
  • CVA

8

Q3 2014

3

Change:

  • Instructions under Basis of Measurement and Reporting Units

11, 12

Change/Delete:

  • Instructions under Schedule 1A – Ratios, Capital and Risk-weighted Assets on Transitional Basis – Section B

Delete:

  • Footnote 4

12

Change:

  • Instructions under Adjustment to IRB risk-weighted assets for scaling factor

Add:

  • Footnote 4

13

Add:

  • Instructions under Section B – Calculation of Basel III deduction for investments in the capital of banking, financial and insurance entities where the reporting FI does not have a significant investment in the entity

14

Change:

  • Instructions under Section D – Phase-out of non-qualifying capital instruments

22

Add:

  • Instructions under Redistribution of exposures for guarantees and credit derivatives

26

Add:

  • Instructions under Memo Item for AIRB-approved Institutions using LGD Adjustment to Reflect Guarantees
  • Footnote 9

34

Change:

  • Instructions under footnote 13

35

Add:

  • Instructions for Adjustments to gross balances to reflect balance sheet assets

Delete:

  • "Note:…." under Section C

38

Add/Change/Delete:

  • Instructions under Section B – Counterparty Credit Risk Exposure for Default Risk Capital Requirements – (i) Current Exposure Method
  • Instructions under Section B – Counterparty Credit Risk Exposure for Default Risk Capital Requirements – (ii) Internal Model Method

41

Add:

  • Instructions under Multiplier Level

42

Add:

  • Instructions under Section A(ii) Stressed Value at Risk Component

43

Change/Add:

  • Instructions under Section B(ii)(a) Non-correlation Trading Portfolios - Net position – summation of net long and absolute value of net short positions

44

Delete:

  • Paragraph under "Unrated" - Section B(ii)(a) Non-correlation Trading Portfolios - Net position – summation of net long and absolute value of net short positions

Change:

  • Instructions under Section B(ii)(c) Basket Credit Default Swaps

45, 46

Delete:

  • Instructions for Sections B(ii)(a) to B(ii)(c) to take effect Q1 2014 (after the interim treatment period ends)

9

Q1 2015

10

Add:

  • Additional instructions under Schedule 1 - Ratio Calculations

10-11

Change:

  • Instructions replaced under Schedule 1 - Assets to Capital Multiple

12, 13

Add:

  • Additional instructions under Schedule 3 - Capital Elements

14

Change:

  • Page numbers updated

14-15

Add:

  • Additional instructions under Schedule 4 - Allowance for Impairment: Capital Treatment

22

Change:

  • Page numbers updated

38

Change:

  • Datapoint address updated

45

Change:

  • Instructions updated under Section D – Valuation Adjustments for Less Liquid Positions

48, 49

Delete/Change:

  • Instructions deleted or changed under Schedule 45 - General Methodology

10

Q1 2017

1

Change:

  • Instructions under Purpose

All

Delete:

  • All references to paragraph numbers

2

Add:

  • Cooperative retail associations under General Instructions

3

Change:

  • Email address regarding BCAR short form notification
  • Instructions under Basis of Measurement and Reporting Units

4

Change:

  • Instructions under Calculation versus Reporting Detail
  • Instructions under Credit Risk and Schedule Completion

6

Change:

  • Instructions under Residential Mortgage

10, 11

Change:

  • Schedule 1 – Ratio and Assets to Capital Multiple Calculations changes to Schedule 1 – Ratio Calculations

Add:

  • Memo item: Institution's own internal capital targets

Delete:

  • Assets to Capital Multiple

12

Change:

  • Instructions under Credit valuation adjustment grandfathering phase-in

13

Change:

  • Instructions under Schedule 3 – Capital Elements

15

Change:

  • Instructions under Schedule 4, General Methodology

17

Add:

  • Instructions under Redistribution of net exposures for guarantees & credit derivatives, and collateral
  • Schedule 12 – Banking Book Equity under the Standardized Approach

22

Change:

  • Instructions under Notional Principal Amount, and Gross exposure (Exposure at Default) before CRM

31

Add:

  • Instructions deleted or changed under Schedule 45 - General Methodology

31, 32

Change/Add:

  • Instructions under Schedule 35, General Methodology

Add:

  • Equity investment in funds

39

Add:

  • Instructions under (ii) Internal Model Method

49, 50

Add:

  • Schedule 46 – Countercyclical Buffer

51

Add:

  • Abbreviation CCyB

11

Q1 2018

Instructions:

1

Add:

  • Instructions under Purpose

Change:

  • Instructions under Contact Person

2

Add:

  • Instructions under General Instructions

Delete/Change:

  • Under BCAR short form, schedule 1A has been deleted and schedule 3 is renamed to Capital and TLAC Elements

4

Change:

  • Instructions under Calculation versus Reporting Detail

7

Add:

  • Instructions under Exposure Classification and Credit Risk Mitigation (CRM)

10

Add:

  • Instructions under Banking Versus Trading Book
  • Instructions for 80% Threshold calculation for IRB banks

11

Add/Change:

  • Instructions under Schedule 1 – Ratio Calculations

Delete:

  • Schedule 1A – Ratios, Capital and Risk-weighted Assets on Transitional Basis

12

Change:

  • Schedule 3 – Capital Elements changes to Schedule 3 – Capital and TLAC Elements

Add:

  • Instructions under Schedule 3 – Capital and TLAC Elements

13

Change:

  • Section A – Calculation of Total Capital changes to Section A – Calculation of Total Capital and TLAC Available

Add:

  • Instructions under Section A – Calculation of Total Capital and TLAC Available
  • Instructions under Section B – Calculation of Basel III deduction for investments in the capital of banking, financial and insurance entities where the reporting FI does not have a significant investment in the entity

14, 15, 16

Delete:

  • Wording under Section E – Memo items

Add/Change/Delete:

  • Instructions under Schedule 4 – Allowance for Impairment: Capital Treatment

16, 17

Add:

  • Instructions under Schedules 5 to 13 – Credit Risk-weighted Assets under the Standardized Approach

18

Change:

  • Wording change under Schedules 14 and 37 – Securitization – Credit Risk Treatment

19

Change:

  • Wording change under Schedule 14 – Standardized Approach for Securitization – Credit Risk Treatment

22

Add:

  • Instructions under Increase in Exposure for Guarantees, Credit Derivatives
  • Instructions under Redistribution of exposures for guarantees and credit derivatives

26

Add:

  • Schedules 22A, 26, 30 and 31 – Credit Risk weighted Assets under the IRB Approach for Insured Retail Residential Mortgage, HELOC

27

Add:

  • Schedules 22, 26, 30, 32 and 34 – Credit Risk weighted Assets under the IRB Approach for Insured exposures subject to DLGD floor

31

Change:

  • Schedules 30 to 31 – Credit Risk weighted Assets under the IRB Approach for Retail Residential Mortgage and HELOC changes to Schedules 30, 31, 32 and 34 – Credit Risk weighted Assets under the IRB Approach for Retail Residential Mortgage, HELOC, Other Retail and SBE treated as Other Retail

32

Add:

  • Instructions under Schedule 35 – Credit Risk-weighted Assets under the IRB Approach for Equity

34

Change:

  • Wording change under Summary Section

38

Add:

  • Instructions under (i) Current Exposure Method

40, 41

Add:

  • Schedule 40A – Derivative Contracts
  • Footnotes 14, 15 and 16

49

Add:

  • RWA for guaranteed exposure, by Ultimate Guarantor

Change:

  • Wording changes under Schedule 45 – Balance Sheet Coverage by Risk Type and Reconciliation to Consolidated Balance Sheet

51

Add:

  • Instructions under CCyB add-on rate (M46)
  • Instructions under Weighted buffer add-on (M47)

52

Add:

  • SA-CCR Standardized approach to counterparty credit risk

Return Template:

1, 3, 4, 5-12, 14, 37, 38, 41 and 45

Change:

  • Collective allowance to Stage 1 and 2 allowances
  • Individual allowance to Stage 3 allowance

1, 3

Add:

  • TLAC ratios
  • TLAC holdings/instruments (multiple DPAs added)

1A

Schedule deleted

3

Add:

  • Membership shares and Other qualifying CET1 instruments for Federal credit unions

Delete:

  • DPA 1574

9, 22A, 26, 30, 31, 32, 34

Add:

  • Memo items

35, 45

Add:

  • Breakdown of drawn/undrawn exposures

40

Add:

  • Column "Other contracts"

40A

New schedule

44

Add:

  • Columns (K-N) "RWA for guaranteed exposure, by ultimate guarantor"

12

Q1 2019

Instructions:

10

Delete:

  • Instructions under Basis of Basel III Calculations

11

Add:

  • Instructions under 80% Threshold calculation for IRB banks (ii) Risk-weighted assets

Change/Delete:

  • Instructions under Schedule 1 – Ratio Calculations

12-13

Delete:

  • Instructions under Credit valuation adjustment grandfathering phase-in

Add:

  • Schedule 2A – Summary of risk-weighted assets under the capital floor

16

Change:

  • Instructions under IRB Methodology – Eligible Allowance (including partial write-offs)
  • Instructions under Net Stage 1 and Stage 2 allowance allocated to standardized and IRB portfolios

17

Change:

  • Instructions under Columns for "Before CRM"

18-20

Change:

  • Instructions under Schedules 14 and 37 – Securitization – Credit Risk Treatment

Add:

  • Instructions for Transitional arrangements

20-21

Change/Add:

  • Instructions under Schedule 14 – Standardized Approach for Securitization – Credit Risk Treatment

35

Change:

  • Schedule 37 – IRB Approach for Securitization – Credit Risk Treatment to Schedule 37 – Securitization exposures subject to IRB approval – Credit Risk Treatment and related instructions

36

Add:

  • Section B – SEC-IRBA Exposures

Change:

  • Section B – Securitization exposures subject to ratings-based or internal assessment approach to Section C – Securitization exposures subject to the internal assessment approach (IAA) and related instructions
  • Add:
  • Redistribution of net exposures for guarantees & credit derivatives, and collateral
  • Adjustment to net exposure for collateral under the comprehensive approach
  • Weighted Average Maturity

36-37

Change:

  • Section C – Unrated Exposures – non IAA to Section D – Exposures subject to caps based on KIRB
  • Instructions under Memo items

Delete:

  • Section D – Early Amortization

38

Add:

  • Right of use asset

39

Add:

  • Instructions under Sectio D – Exposures to Qualifying Central Counterparties

40

Add:

  • Instructions under Sectio A – All Derivatives – Notional Principal Amount
  • Section B - (i) Standardized Approach for counterparty credit risk

Change:

  • Instructions under Section B – General Methodology

Delete:

  • Section B – (i) Current Exposure Method

41

Add:

  • Section B - (i) Standardized Approach for counterparty credit risk

42

Delete:

  • Schedule 40A – Derivative Contracts

Change:

  • Instructions under Schedule 41 - Securitization Exposures

45

Add:

  • Section A(iii) Risks not in VaR Component

Return Template:

1

Change:

  • Wording under rows 6, 7, 8, 32, 33, 34, 37, 38, 39, 48
  • DPAs 1188, 1012 and 1016 moved to Schedule 2A

Add:

  • DPAs 1200, 1201 and 1202

Delete:

  • DPAs 1169, 1170, 1171, 1172, 1173, 1174, 1775, 1776, 1177, 1010, 1011, 1013, 1014 and 1016

2

Change:

  • Wording under row 74

Delete:

  • DPAs 1473, 1474, 1475, 1476, 1477, 1478 and 1479

2A

New schedule

3

Delete:

  • DPA 1730
  • References under DPAs 1731 and 1732

9

Add:

  • Line 716 under Drawn (501)

14, 37 and 41

Add/Delete:

  • Implementation of the revised securitization framework: Breakdown into STC, non-STC and resecuritization

22A, 22B, 23A, 23B, 24A, 24B, 25A, 25B, 26, 27, 28, 32 and 34

Delete:

  • Columns (M2) and (M5) greyed out under the OTC Derivatives (504) lines

38

Add:

  • Right of use asset (row 27)
  • Footnote (v)
  • Trade Exposure and Default Fund – Where RWA cap is binding (rows 137-140)

Delete:

  • Sub-heading "Risk-Sensitive Waterfall Approach" under Section D
  • Column "Gross Exposure" under Section D
  • Alternative Approach (rows 142-156)
  • Columns "Risk Weight" and "Risk-weighted Assets" greyed out under rows 126 and 127

40

Add/Delete:

  • As a result of the implementation of SA-CCR, removal of current DPAs for precious metal and other commodities and addition of new DPAs for commodities in the section A
  • Removal of each of the sections under IMM for "collateral is not reflected in EAD" as this was for the Shortcut method which is no longer permitted
  • Removal of DPA 4801

40A

Schedule deleted

42

Add:

  • DPA 7506

46

Change:

  • Calculation reference updated under column (M47)

13

Q1 2020

Instructions:

11

Delete:

  • Instructions under Schedule 1 – Ratio Calculations

12

Add/Delete:

  • Instructions under Schedule 2A – Summary of risk-weighted assets under the capital floor

13

Add:

  • Instructions under Schedule 3 – Capital and TLAC Elements

16

Add:

  • Instructions under Net Stage 1 and Stage 2 allowance allocated to standardized and IRB portfolios
  • Instructions under IRB Methodology – Eligible Allowance (including partial write-offs)

20

Delete:

  • Instructions under Transitional arrangements

35

Change:

Wording under footnotes 9 and 10

42, 43

Add:

  • Instructions under (i)  Standardized Approach for counterparty credit risk
  • Footnote 13

50

Add/Delete:

  • Instructions under Schedule 43 – General Methodology

51

Delete:

  • Section C – Advanced Measurement Approach

Add:

  • Instructions under RWA for guaranteed exposure, by Ultimate Guarantor

Return Template:

2

Delete:

  • DPA 1456

2A

Add:

  • DPA 1198
  • Memo: Capital floor credit risk-weighted assets by ultimate guarantor (16 DPAs)

Change:

  • Output Floor to Capital Floor

3

Add:

  • DPA 1501

4

Add:

  • Memo: Internal allocation of Stage 1 and Stage 2 allowance (69 DPAs)

14

Delete:

  • DPA 3101

37

Change:

  • Risk weight under row 61

Delete:

  • DPA 5613

38

Add:

  • Column "Incomplete acquisitions and dispositions" under Memo Item and footnote ***

41

Change:

  • Wording under rows 19, 22, 25, 50 and 53

43

Delete:

  • All DPAs under "Section C – Advanced Measurement Approach" greyed out

44

Add:

  • Column "RWA for Exposure Not Guaranteed"

45

Add:

  • DPA 8929

Change:

  • Wording under DPA 8927
14Q4 2020Instructions:
11

Add:

  • Memo item 2: Capital ratios without Expected Credit Loss (ECL) Transitional Arrangements
16

Change:

  • Instructions under Schedule 4 - General Methodology
17

Add:

  • ECL Transitional Arrangements
19-20

Change:

  • Instructions under Schedules 14 and 37 – Securitization – Credit Risk Treatment
22

Add:

  • Section E – Summary
23

Add:

  • Section F – Memo items
37

Change:

  • Instructions under Schedule 37 – General Methodology
38

Change:

  • Summary Section changed to Section E – Summary
  • Instructions under Section E - Summary
39

Change:

  • Memo items changed to Section F – Memo items
  • Instructions under Section F – Memo items
Return Template:
1

Add:

  • Memo item – Capital ratios without Expected Credit Loss (ECL) Transitional Arrangements
3

Add:

  • DPAs 1503 and 1504

Change:

  • Wording under DPAs 1612 and 1613
  • All line references updated
4

Change:

  • Wording under DPA 2602

Add:

  • ECL Transitional Arrangements
37

Change:

  • Wording under DPA 3704

Delete:

  • DPAs 4758 and 4759