Basel Capital Adequacy Reporting - Change Control Log

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

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

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

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

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

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 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

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)

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

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 Redistribution of exposures for guarantees and credit derivatives
  • 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

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

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 K_IRB
  • 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

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

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

Instructions:

• Change:
  • Instructions under Schedule 42 - Section A(iii) Risks not in VaR Component

Return Template:

• No changes made

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.

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

Instructions:

• Change:
  • Instructions under Contact Person
  • Exposure calculations under General Instructions
  • Instructions under Schedule 10.010, Ratio Calculations
  • Instructions under Schedule 10.030, Summary of Capital Floor RWAs
• Delete:
  • Last paragraph under Schedule 90.010, Section D

Return Template:

• Add:
  • Countries Armenia, Chile, Czech Republic, Denmark and Philippines under Schedules 10.040 and 10.041
  • New DPA 16462 under Schedule 20.010
  • 50% Base Unrated (822) for Drawn (501), Undrawn Commitments (502), Repo-style Transactions (503), OTC Derivatives (504) and Other off-balance sheet (505) under Schedules 40.040 and 40.060
  • 44% PMI Backstop (795), 66% PMI Backstop (798), 110% PMI Backstop (807), 220% PMI Backstop (787) and 330% PMI Backstop (791) under Undrawn Commitments (502) under Schedule 40.060
  • 20% Short-term rated (766), 50% Short-term rated (767). 100% Short-term rated (824) and 150% Short-term rated (768) under Schedules 40.070, 40.080, 40.090 and 40.100
  • OTC Derivatives (504) under Schedule 40.180
  • Total (500) under Memo Item for IRB Institutions Using LGD Adjustment to Reflect Guarantees under Schedule 50.020
  • New DPA 16128 under Schedule 80.010
  • New sections High Correlation Scenario, Medium Correlation Scenario and Low Correlation Scenario under Schedule 90.010
• Delete:
  • Country Russia under Schedules 10.040 and 10.041
  • DPAs 15620 to 15659 under Schedule 10.060
• Change:
  • Label for DPA 1586 under Schedule 20.010
  • Formula for DPA 13212 under Schedule 30.010
  • Sub-title Capital requirements for netting sets carved out that use reduced BA-CBA changes to Capital requirements for netting sets carved out that use full BA-CBA under Schedule 80.010
  • Formula for DPA 16124 under Schedule 80.010
  • Labels General interest rate risk (GIRR) changes to General interest rate risk (GIRR): non-IRT under Sections B and C under Schedule 90.010
  • Formula for DPAs 16320 and 16420 under Schedule 90.010

Instructions:

• Add:
  • A breakdown of corporate exposures by size was added
  • Clarification on how to distinguish and report Board-approved versus management-level capital targets was added under Schedule 10.010 – Ratio Calculations
  • Guidance was added on aligning blank, zero, and non-zero values between schedules 30.010 to 90.010 and the corresponding DPAs in summary schedules 10.020 or 10.030
  • Descriptions on Schedule 10.100 – Summary of Crypto-asset Exposures was added
  • An obsolete paragraph regarding the interim approach to cryptoassets was removed
  • Clarification on breakdowns of securitization exposures into synthetic and traditional was added under Schedule 60.010 and Schedule 60.020
  • Crypto risk(Group 2a) was added under Section B(i) – Sensitivities-based method under Schedule 90.010
  • Clarification on the requirement to report additional SA capital charges for FVA hedges not exempt from the market risk framework was added under Schedule 90.010
• Change:
  • Statement was added confirming the capital floor will remain at 67.5% until further notice, with at least two years’ advance notice before any future increase
  • Detailed list of line items from schedule 10.020 to be excluded from the calculation of private sector credit exposures was added, replacing the previous general exclusions.
  • A reference paragraph 274, CAR Chapter 4 was updated
  • Clarification was added that the IRB threshold in section 6.5.2.3 applies when 95% or more of underlying exposures are IRB, rather than strictly 95%
  • A reference to CAR, Chapter 6, section 6.2.1.12 was updated to section 6.2.1.13
  • Paragraph references to CAR, Chapter 9 were updated
• Delete:
  • Reference to DPA 1532 on Schedule 20.00 was deleted under Schdeule 10.070

Return Template:

• Add:
  • Breakdown of insititution's own internal capital and TLAC targets into its board and management targets under Schedule 10.010
  • A new schedule was added - Summary of Crypto-asset Exposures under Schedule 10.010
  • Placeholders were added under Schedule 20.010
  • Adjusted Common Equity Tier 1 Capital after Allocated, Individual, and Basket Threshold Deductions was added under Schedule 20.010
  • Breakdowns of Subtotal - Senior and Non-senior non-STC transactions were added under Schedule 60.010
  • A breakdown of the Total rated exposures was added under Schedule 60.010
  • Breakdowns of Subtotal- non-STC transactions and Subtotal-Resecuritization transactions were added (Panel C(i)) under Schedule 60.010
  • Originator synthetic transaction for other unrated exposures was added under Schedule 60.010
  • A breakdown of Total unrated exposures was added under Schedule 60.010
  • Originator synthetic transactions for Senior exposures measured under the look-through approach was added under Schedule 60.010
  • Originator synthetic transactions for Exposures measured under the overall cap was added under Schedule 60.010
  • A breakdown of the Total exposures subject to risk weight caps was added under Schedule 60.010
  • A table for originator senior synthetic transactions was added under Schedule 60.020
  • A table for originator non-senior synthetic transactions was added under Schedule 60.020
  • A line for originator synthetic transactions under model risk add-on RWA was added under Schedule 60.020
  • A breakdown of subtotal-SEC-IRBA exposures was added under Schedule 60.020
  • A breakdown of subtotal-IAA exposures under non-senior Non-STC transactions was added under Schedule 60.020
  • Lines for originator synthetic transactions and investor synthetic transactions were added under Schedule 60.020
  • RWAs for securitized assets - measured under SEC-IRBA/SEC-IAA were added under Schedule 60.020
  • A new column for Crypto contracts was added under Schedule 70.030
  • Lines for crypto-asset risk were added under Schedule 90.010
  • A line for 'SA capital charge for Funding Valuation Adjustments hedges of the funding spread that are not exempt' was added under Schedule 90.010
• Change:
  • Description for DPA 8381 was revised under Schedule 30.010
  • Footnote - description was revised under Schedule 30.010
  • Footnote - description was revised under Schedule 90.010