Change Control Log (BCAR) (BA)

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

Add:

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

Change:

• Instructions under Schedule 4 - General Methodology

Add:

• ECL Transitional Arrangements

Change:

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

Add:

• Section E – Summary

Add:

• Section F – Memo items

Change:

• Instructions under Schedule 37 – General Methodology

Change:

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

Change:

• Memo items changed to Section F – Memo items
• Instructions under Section F – Memo items

Add:

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

Add:

• DPAs 1503 and 1504

Change:

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

Change:

• Wording under DPA 2602

Add:

• ECL Transitional Arrangements

Change:

• Wording under DPA 3704

Delete:

• DPAs 4758 and 4759

• Instructions under Section A(iii) Risks not in VaR Component

No changes