Basel Capital Adequacy Reporting - Change Control Log

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Change control log

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Deposit-taking institutions

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Basel Capital Adequacy Reporting (BCAR)

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April 2024

Accompanying documents

Basel Capital Adequacy Reporting (BCAR) 2024

Amendment control log
Amendment number	Effective reporting date	Description
1	Q4 2007	NEW
2	Q1 2008	Instructions: Add: Footnotes 1, 4 and 16 Wording “if not tranched” Clarification of Undrawn commitments Note under Repo-style Transaction Note under Other off-balance sheet Wording “and Other rated” Additional instructions under Schedule 3 – Capital Elements Additional instructions under Columns for “Before CRM” Additional instructions under third paragraph Additional instructions under Section D – Early Amortization Additional instructions under Treatment of Guarantees Additional instructions under Columns for “Before CRM” Additional instructions under Columns for “After CRM” Additional instructions under Schedule 35 – Credit Risk-weighted Assets Additional instructions under Footnote 7 Additional instructions under Schedule 36 – PD/LGD Approach for IRB Equity Additional instructions under Section B – Securitization exposures subject to ratings-based or internal assessment approach Section C – Advanced Measurement Approach Additional instructions under Schedule 44 – Gross Exposures by Original Obligor and by Ultimate Guarantor Additional instructions under Credit Risk section Additional instructions under Scope of the approach Additional instructions under Timing Delete: Instructions under Exposure Classification and Credit Risk Mitigation (CRM) Wording (e.g. 1.06) Wording “using the substitution approach for guarantees” Wording “CAR” Change: SMEs (treated as Other Retail) changed to SBEs (treated as Other Retail) Reference to Guideline A-3 The level of the scaling factor will be incorporated into the guidelines changed to The level of the scaling factor is 1.06 Wording Decrease in net exposure changed to Adjustment to net exposure Modified instructions under Columns for “Adjustments for CRM” One decimal place to two decimal places under (ii) Internal Model Method
3	Q1 2009	Instructions: Add: Purpose; Statutory; Application; Publication; Contact Person; Reporting Dates; Where to Submit Instructions for BCAR Short Form Additional instructions under Schedule 4 – Allowance for Impairment Instructions for Market-based Approaches Reference to section 3.6 Additional instructions under (i) Current Exposure Method Additional instructions under (ii) Internal Model Method Change: Modified instructions for clarity under Schedule 35 – Credit Risk-weighted Assets Modified instructions under Sections A and B – Basic Indicator and Standardized Approached Annex instructions modified re implementation date and references
4	Q1 2010	Instructions: Add: Additional instructions under Residential Mortgage re Reverse Mortgages Additional “ * ” under Undrawn commitments and related instructions below table Additional instructions under Schedule 3, first paragraph Additional instructions under Risk-weighted Assets Additional instructions under Expected Loss Amount Additional instructions under Risk-weighted Assets Additional instructions under Expected Loss Amount Instructions for Unrealized gains on derivatives Additional instructions under Footnote 9 Change: Modified instructions under Undrawn commitments Modified instructions under Schedule 3, second paragraph Instructions modified under Guaranteed Exposure, by Ultimate Guarantor Delete: Last sentence from the first paragraph under Sections A and B - Basic Indicator and Standardized Approaches
5	Q1 2011	Instructions: Multiple changes were made to the instructions to accommodate IFRS. Change: Page references updated Instructions modified in regards to Banking versus Trading Book Add: Instructions to accommodate separate reporting of securitization exposures Instructions regarding introduction of Stressed Value at Risk components
6	Q1 2012	Instructions: Add: Additional instructions under BCAR Short Form Additional instructions under Schedule 2 – Summary of Risk-weighted Assets Instructions under IRB Methodology – Eligible Allowance Instructions under IRB Methodology – Expected Loss Amount Additional instructions under Credit Risk-weighted Assets under IRB Approach - General Methodology Footnote 4 Instructions under Wholesale IRB Exposures not subject to Double Default Framework Instructions under Columns for “Before CRM” Memo Item for AIRB-approved Institutions using LGD Adjustment to Reflect Guarantees Memo Item for Institutions using LGD Adjustment to Reflect Guarantees Instructions under Schedule 36 - General Methodology Instructions under Section B - General Methodology Instructions for Sections C and D Change: Instructions modified under Corporate Exposure Class Instructions modified under Past Due Loans and Defaulted Exposures Instructions modified under Banking Versus Trading Book Instructions modified under Schedule 3 – Capital Elements Instructions modified under Excess allowance Instructions modified under Schedule 14 & 37 - General Methodology FIRB and AIRB Exposures Subject to Double Default Framework changed to Wholesale IRB Exposures Subject to Double Default Framework Instructions under Columns for “Adjustments for CRM” Instructions under Schedule 29 Instructions under Unallocated accrued interest and other miscellaneous receivables Instructions under Schedule 39 Instructions under Section A References under Section A – Internal Model Requirements Instructions under Incremental Risk Charge Instructions under Modelled Comprehensive Risk Measure References under Section B – Standardized Approach Requirements Instructions for Sections B(ii)(a) to B(ii)(c) Delete: Footnote 1 ‘Pre’ Q1 2012 related instructions under Section B Reference to Schedules 15 to 21 Instructions under Section B - Securitization exposures subject to ratings-based or internal assessment approach Schedule 42 (Pre Q1 2012 instructions) Annex - Interim Approach to Reporting
7	Q1 2013	Instructions: Change: Updated all CAR guideline references Instructions under Basis of Measurement and Reporting Units Instructions under Repo-style Transaction Instructions under OTC Derivatives Instructions under Asses to Capital Multiple Instructions under Schedule 3 – Capital Elements Instructions under Schedule 4 – Allowance for Impairment: Capital Treatment and General Methodology General allowance changes to collective allowance 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 Instructions under Redistribution of exposures for guarantees and credit derivatives Instructions under Schedule 37 – General Methodology Instructions and title for Section A – Select originator securitization exposures Instructions under Section C – Unrated Exposures – non IAA Instructions under Summary Section Instructions under Unsettled non-DvP trades 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 Instructions under (ii) Internal Model Method 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 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 Instructions under Section C – Advanced Measurement Approach Instructions under Adjustment to reflect differences in balance sheet exposure amounts resulting from measurement bases used for accounting purposes Delete: One sentence under General Instructions Addback of select 50/50 securitization deductions Instructions under Schedule 36 – General Methodology Add: 1A Ratios, Capital, and Risk-weighted Assets on Transitional Basis 3A Qualifying Capital Issued Out of Subsidiaries Basis of Basel III Calculations Schedule 1A – Ratios, Capital and Risk-weighted Assets on Transitional Basis Credit or market risk-weighted assets calculated on the deducted portion of non-significant investments in financials 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 Section D – Phase-out of non-qualifying capital instruments Section E – Memo Items Schedule 3A – Qualifying Capital Issued Out of Subsidiaries Instructions under Net collective allowance allocated to standardized and IRB portfolios Instructions under IRB Methodology – Eligible Allowance Instructions under Columns for “Before CRM” Instructions under Weighted Ave. Maturity Instructions under Weighted Ave. Maturity of credit protection 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 Instructions under Schedule 40 – Derivative Contracts Instructions under (i) Current Exposure Method Deducted portion of non-significant investments in financials AOCI, CCP, CETI and CVA under Abbreviations
8	Q1 2014	Instructions: Change: Instructions under BCAR Short Form Instructions under Basis of Measurement and Reporting Units Instructions under Schedule 1A – Ratios, Capital and Risk-weighted Assets on Transitional Basis – Section B Instructions under Adjustment to IRB risk-weighted assets for scaling factor Instructions under Section D – Phase-out of non-qualifying capital instruments Instructions under footnote 13 Instructions under Section B – Counterparty Credit Risk Exposure for Default Risk Capital Requirements – (i) Current Exposure Method, and (ii) Internal Model Method Instructions under Section B(ii)(a) Non-correlation Trading Portfolios - Net position – summation of net long and absolute value of net short positions Instructions under Section B(ii)(c) Basket Credit Default Swaps Add: Instructions under Section 1 - Adjustment (to risk-weighted assets) for floor Instructions under Section 2 – Credit valuation adjustment grandfathering phase-in Footnotes 4 and 9 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 Instructions under Redistribution of exposures for guarantees and credit derivatives Instructions under Memo Item for AIRB-approved Institutions using LGD Adjustment to Reflect Guarantees Instructions for Adjustments to gross balances to reflect balance sheet assets Instructions under Section C – Credit Valuation Adjustments (CVA) on Bilateral OTC Derivatives Instructions under Multiplier Level Instructions under Section A(ii) Stressed Value at Risk Component Delete: Footnote 4 “Note:….” under Section C Paragraph under “Unrated” - Section B(ii)(a) Non-correlation Trading Portfolios - Net position – summation of net long and absolute value of net short positions Instructions for Sections B(ii)(a) to B(ii)(c) to take effect Q1 2014 (after the interim treatment period ends)
9	Q1 2015	Instructions: Add: Additional instructions under Schedule 1 - Ratio Calculations Additional instructions under Schedule 3 ‑ Capital Elements Additional instructions under Schedule 4 ‑ Allowance for Impairment: Capital Treatment Change: Instructions replaced under Schedule 1 - Assets to Capital Multiple Page number references updated Datapoint address reference updated Instructions updated under Section D – Valuation Adjustments for Less Liquid Positions Instructions under Schedule 45 - General Methodology
10	Q1 2017	Instructions: Change: Instructions under Purpose Email address regarding BCAR short form notification Instructions under Basis of Measurement and Reporting Units Instructions under Calculation versus Reporting Detail Instructions under Credit Risk and Schedule Completion Instructions under Residential Mortgage Schedule 1 – Ratio and Assets to Capital Multiple Calculations changes to Schedule 1 – Ratio Calculations Instructions under Credit valuation adjustment grandfathering phase-in Instructions under Schedule 3 – Capital Elements Instructions under Schedule 4, General Methodology Instructions under Notional Principal Amount, and Gross exposure (Exposure at Default) before CRM Instructions under Schedule 35, General Methodology Delete: All references to paragraph numbers Assets to Capital Multiple Add: Cooperative retail associations under General Instructions Memo item: Institution’s own internal capital targets Instructions under Redistribution of net exposures for guarantees & credit derivatives, and collateral Schedule 12 – Banking Book Equity under the Standardized Approach Schedules 30 to 31 – Credit Risk weighted Assets under the IRB Approach for Retail Residential Mortgage and HELOC Equity investment in funds Instructions under (ii) Internal Model Method Schedule 46 – Countercyclical Buffer Abbreviation CCyB
11	Q1 2018	Instructions: Add: Instructions under Purpose Instructions under General Instructions Instructions under Exposure Classification and Credit Risk Mitigation (CRM) Instructions under Banking Versus Trading Book Instructions for 80% Threshold calculation for IRB banks Instructions under Schedule 3 – Capital and TLAC Elements 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 Instructions under Schedules 5 to 13 – Credit Risk-weighted Assets under the Standardized Approach Instructions under Increase in Exposure for Guarantees, Credit Derivatives Instructions under Redistribution of exposures for guarantees and credit derivatives Schedules 22A, 26, 30 and 31 – Credit Risk weighted Assets under the IRB Approach for Insured Retail Residential Mortgage, HELOC Schedules 22, 26, 30, 32 and 34 – Credit Risk weighted Assets under the IRB Approach for Insured exposures subject to DLGD floor Instructions under Schedule 35 – Credit Risk-weighted Assets under the IRB Approach for Equity Instructions under Section B - (i) Current Exposure Method Schedule 40A – Derivative Contracts Footnotes 14, 15 and 16 RWA for guaranteed exposure, by Ultimate Guarantor Instructions under CCyB add-on rate (M46) Instructions under Weighted buffer add-on (M47) SA-CCR Standardized approach to counterparty credit risk Change: Instructions under Schedule 1 – Ratio Calculations Instructions under Contact Person Instructions under Calculation versus Reporting Detail Schedule 3 – Capital Elements changes to Schedule 3 – Capital and TLAC Elements Section A – Calculation of Total Capital changes to Section A – Calculation of Total Capital and TLAC Available Wording change under Schedules 14 and 37 – Securitization – Credit Risk Treatment Wording change under Schedule 14 – Standardized Approach for Securitization – Credit Risk Treatment 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 Wording change under Summary Section Wording changes under Schedule 45 – Balance Sheet Coverage by Risk Type and Reconciliation to Consolidated Balance Sheet Delete/Change: Under BCAR short form, schedule 1A has been deleted and schedule 3 is renamed to Capital and TLAC Elements Instructions under Schedule 4 – Allowance for Impairment: Capital Treatment Delete: Schedule 1A – Ratios, Capital and Risk-weighted Assets on Transitional Basis Wording under Section E – Memo items Return Template: Change: Collective allowance to Stage 1 and 2 allowances under Schedules 1, 3, 4, 5-12, 14, 37, 38, 41 and 45 Individual allowance to Stage 3 allowance under Schedules 1, 3, 4, 5-12, 14, 37, 38, 41 and 45 Add: TLAC ratios under Schedules 1 and 3 TLAC holdings/instruments (multiple DPAs added) under Schedules 1 and 3 Membership shares and Other qualifying CET1 instruments for Federal credit unions under Schedule 3 Memo items under Schedules 9, 22A, 26, 30, 31, 32 and 34 Breakdown of drawn/undrawn exposures under Schedules 35 and 45 Column “Other contracts” under Schedule 40 Schedule 40A Columns (K-N) “RWA for guaranteed exposure, by ultimate guarantor” under Schedule 44 Delete: Schedule 1A DPA 1574 under Schedule 3
12	Q1 2019	Instructions: Delete: Instructions under Basis of Basel III Calculations Instructions under Credit valuation adjustment grandfathering phase-in Section D – Early Amortization under Schedule 37 Section B – (i) Current Exposure Method under Schedule 40 Schedule 40A – Derivative Contracts Add: Instructions under 80% Threshold calculation for IRB banks (ii) Risk-weighted assets Schedule 2A – Summary of risk-weighted assets under the capital floor Instructions for Transitional arrangements Section B – SEC-IRBA Exposures under Schedule 37 Redistribution of net exposures for guarantees & credit derivatives, and collateral under Schedule 37 – Section C Adjustment to net exposure for collateral under the comprehensive approach under Schedule 37 – Section C Weighted Average Maturity under Schedule 37 – Section C Right of use asset under Schedule 38 Instructions under Schedule 38 - Section D – Exposures to Qualifying Central Counterparties Instructions under Schedule 40 - Section A – All Derivatives – Notional Principal Amount Section B - (i) Standardized Approach for counterparty credit risk under Schedule 40 Section A(iii) Risks not in VaR Component under Schedule 42 Change: Instructions under Schedule 1 – Ratio Calculations Instructions under Schedule 4 - IRB Methodology – Eligible Allowance (including partial write-offs) Instructions under Schedule 4 - Net Stage 1 and Stage 2 allowance allocated to standardized and IRB portfolios Instructions under Schedules 5 to 13 - Columns for “Before CRM” Instructions under Schedule 14 – Standardized Approach for Securitization – Credit Risk Treatment Instructions under Schedules 14 and 37 – Securitization – Credit Risk Treatment Schedule 37 – IRB Approach for Securitization – Credit Risk Treatment to Schedule 37 – Securitization exposures subject to IRB approval – Credit Risk Treatment and related instructions 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 Section C – Unrated Exposures – non IAA to Section D – Exposures subject to caps based on KIRB Instructions under Schedule 37 - Memo items Instructions under Schedule 40 - Section B – General Methodology Instructions under Schedule 41 - Securitization Exposures Return Template: Change: Wording under rows 6, 7, 8, 32, 33, 34, 37, 38, 39, 48 under Schedule 1 DPAs 1188, 1012 and 1016 moved to Schedule 2A under Schedule 1 Wording under row 74 under Schedule 2 Calculation reference updated under column (M47) under Schedule 46 Add: DPAs 1200, 1201 and 1202 under Schedule 1 Schedule 2A Line 716 under Drawn (501) under Schedule 9 Right of use asset (row 27) under Schedule 38 Footnote (v) under Schedule 38 Trade Exposure and Default Fund – Where RWA cap is binding (rows 137-140) under Schedule 38 DPA 7506 under Schedule 42 Delete: DPAs 1169, 1170, 1171, 1172, 1173, 1174, 1775, 1776, 1177, 1010, 1011, 1013, 1014 and 1016 under Schedule 1 DPAs 1473, 1474, 1475, 1476, 1477, 1478 and 1479 under Schedule 2 DPA 1730 under Schedule 3 References under DPAs 1731 and 1732 under Schedule 3 Columns (M2) and (M5) greyed out under the OTC Derivatives (504) lines under Schedules 22A, 22B, 23A, 23B, 24A, 24B, 25A, 25B, 26, 27, 28, 32 and 34 Sub-heading “Risk-Sensitive Waterfall Approach” under Section D under Schedule 38 Column “Gross Exposure” under Section D under Schedule 38 Alternative Approach (rows 142-156) under Schedule 38 Columns “Risk Weight” and “Risk-weighted Assets” greyed out under rows 126 and 127 under Schedule 38 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 under Schedule 40 DPA 4801 under Schedule 40 Schedule 40A Add/Delete: Implementation of the revised securitization framework: Breakdown into STC, non-STC and resecuritization under Schedules 14, 37 and 41 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 under Schedule 40
13	Q1 2020	Instructions: Delete: Instructions under Schedule 1 – Ratio Calculations Instructions under Schedules 14 and 37 - Transitional arrangements Section C – Advanced Measurement Approach under Schedule 43 Add: Instructions under Schedule 3 – Capital and TLAC Elements Instructions under Schedule 4 - Net Stage 1 and Stage 2 allowance allocated to standardized and IRB portfolios Instructions under Schedule 4 - IRB Methodology – Eligible Allowance (including partial write-offs) Instructions under Schedule 40 – Section B - (i) Standardized Approach for counterparty credit risk Footnote 13 Instructions under Schedule 44 - RWA for guaranteed exposure, by Ultimate Guarantor Change: Wording under footnotes 9 and 10 Instructions under Schedule 2A – Summary of risk-weighted assets under the capital floor Instructions under Schedule 43 – General Methodology Return Template: Delete: DPA 1456 under Schedule 2 DPA 3101 under Schedule 14 DPA 5613 under Schedule 37 All DPAs under “Section C – Advanced Measurement Approach” greyed out under Schedule 43 Add: DPA 1198 under Schedule 2A Memo: Capital floor credit risk-weighted assets by ultimate guarantor (16 DPAs) under Schedule 2A DPA 1501 under Schedule 3 Memo: Internal allocation of Stage 1 and Stage 2 allowance (69 DPAs) under Schedule 4 Column “Incomplete acquisitions and dispositions” under Memo Item and footnote * under Schedule 38 Column “RWA for Exposure Not Guaranteed” under Schedule 44 DPA 8929 under Schedule 45 Change:** Risk weight under row 61 under Schedule 37 Wording under rows 19, 22, 25, 50 and 53 under Schedule 41 Wording under DPA 8927 under Schedule 45
14	Q4 2020	Instructions: Add: Memo item 2: Capital ratios without Expected Credit Loss (ECL) Transitional Arrangements under Schedule 1 ECL Transitional Arrangements under Schedule 4 Section E – Summary under Schedule 14 Section F – Memo items under Schedule 14 Change: Instructions under Schedule 4 - General Methodology Instructions under Schedules 14 and 37 – Securitization – Credit Risk Treatment Instructions under Schedule 37 – General Methodology Summary Section changed to Section E – Summary under Schedule 37 and related instructions Memo items changed to Section F – Memo items under Schedule 37 and related instructions Return Template: Add: Memo item – Capital ratios without Expected Credit Loss (ECL) Transitional Arrangements under Schedule 1 DPAs 1503 and 1504 under Schedule 3 ECL Transitional Arrangements under Schedule 4 Change: Output Floor to Capital Floor under Schedule 2A Wording under DPAs 1612 and 1613 under Schedule 3 All line references updated under Schedule 3 Wording under DPA 2602 under Schedule 4 Wording under DPA 3704 under Schedule 37 Delete: DPAs 4758 and 4759 under Schedule 37
15	Q4 2021	Instructions: Change: Instructions under Schedule 42 - Section A(iii) Risks not in VaR Component Return Template: No changes made
16	Q2 2023	A comprehensive review of the BCAR instructions and return template was performed in 2021/22. Significant changes have been made to the Q2 2023 BCAR return template and instructions. All readers are encouraged to completely review the 2023 edition.
17	Q1 2024	Instructions: Add: for Residential Real Estate and Residential Real Estate Exposures under 2023 BCAR Exposure Class Crypto-asset Exposures Instructions for Section A – Calculation of Total Capital and TLAC Available under Schedule 20.010 PMI Backstops under 40 Series Schedules Junior Liens 1.25 Multiplier under 40 Series Schedules BA-CBA, DRC, IMA, PMI, RRAO and SA-CVA under Abbreviations Change: Instructions under Schedule 10.030 – Summary of Capital Floor RWAs Instructions for Schedule 80.010 – Credit Valuation Adjustments (CVA) Risk-Weighted Assets Instructions for Schedule 90.010 – Market Risk Delete: Instructions for Market Risk section under Schedule 10.070 Instructions for Memo Item for Institutions using LGD Adjustment to Reflect Guarantees under Schedules 50.160 to 50.210 VaR under Abbreviations Return Template: Add: DPAs 10525, 10526 and 10527 under Schedule 10.050 DPAs 10892 to 10908 under Schedule 10.080 DPAs 17000 to 17014 under Schedule 10.090 DPAs 12607, 12608 and 12609 under Schedule 20.030 85% Unrated (759) Risk weight under Schedules 40.100 and 70.010 DPAs 13983 and 13984 under Schedule 40.120 Drawn (501) Risk weight – 55% PMI Backstop (811), 77% PMI Backstop (812), 88% PMI Backstop (813), 154% PMI Backstop (816), 165% PMI Backstop (817), 187% PMI Backstop (818) and Junior Liens 1.25 Multiplier (820) under Schedule 40.190 Undrawn Commitments (502) Risk weight – 44% PMI Backstop (795) to 220% PMI Backstop (787), 55% PMI Backstop (811), 77% PMI Backstop (812), 88% PMI Backstop (813), 154% PMI Backstop (816), 165% PMI Backstop (817), 187% PMI Backstop (818) and Junior Liens 1.25 Multiplier (820) under Schedule 40.190 Drawn (501) Risk weight – 55% PMI Backstop (811), 77% PMI Backstop (812), 88% PMI Backstop (813), 154% PMI Backstop (816), 165% PMI Backstop (817), 187% PMI Backstop (818) and Junior Liens 1.25 Multiplier (820) under Schedule 40.200 Undrawn Commitments (502) Risk weight – 44% PMI Backstop (795) to 330% PMI Backstop (787), 55% PMI Backstop (811), 77% PMI Backstop (812), 88% PMI Backstop (813), 154% PMI Backstop (816), 165% PMI Backstop (817), 187% PMI Backstop (818) and Junior Liens 1.25 Multiplier (820) under Schedule 40.200 Drawn (501) Risk weight –77% PMI Backstop (812), 99% PMI Backstop (814), 132% PMI Backstop (815), 165% PMI Backstop (817), 231% PMI Backstop (819) and Junior Liens 1.25 Multiplier (820) under Schedules 40.210, 40.220, 40.220a and 40.220b Undrawn Commitments (502) Risk weight – 66% PMI Backstop (798) to 330% PMI Backstop (791), 77% PMI Backstop (812), 99% PMI Backstop (814), 132% PMI Backstop (815), 165% PMI Backstop (817), 231% PMI Backstop (819) and Junior Liens 1.25 Multiplier (820) under Schedules 40.210, 40.220, 40.220a and 40.220b Drawn (501) and Undrawn Commitments (502) Risk weight – Junior Liens 1.25 Multiplier (820) under Schedules 40.230 and 40.240 300% (821) Risk weight under Schedule 40.250 Change: Incremental Risk Weight Multiplier to Risk Weight 105% under Schedule 10.090 Reference for DPAs 1692 and 1634 updated under Schedule 20.010 Reference for DPA 1998 under Schedule 20.030 Unshaded the 0% Rated (801) Risk-weighted Assets (M7) under Schedules 40.010 and 40.020 Unshaded cell 0% Rated (801) National Principal Amount (M12) for Undrawn Commitments, OTC Derivatives and Other off-balance sheet under Schedule 40.030 Memo item for AIRB Institutions using PD substitution for Insured mortgages moved from Schedule 50.010 to 50.020 Memo item for AIRB Institutions using PD substitution for Insured mortgages – DLGD floor moved from Schedule 50.010 to 50.020 Existing information/DPAs on Schedules 80.010 and 90.010 deleted and replaced with all new information/DPAs Delete:** DPAs 10184 and 10185 under Schedule 10.020 DPAs 10367 and 10431 under Schedule 10.030 Drawn (501) Risk weight - 330% PMI Backstop (791) under Schedule 40.190 Drawn (501) Risk weight – 44% PMI Backstop (795) under Schedules 40.210, 40.220, 40.220a and 40.220b Drawn (501) Risk weight – 44% PMI Backstop (795), 66% PMI Backstop (798), 110% PMI Backstop (807), 220% PMI Backstop (787) and 330% PMI Backstop (791) under Schedules 40.230 and 40.240

Date modified:: 2024-04-09