§ 628.63 — Disclosures

(a) Except as provided in § 628.62, a System bank must make the disclosures described in Tables 1 through 10 of this section. The System bank must make these disclosures publicly available for each of the last 3 years (that is, 12 quarters) or such shorter period beginning on January 1, 2017.

(b) A System bank must publicly disclose each quarter the following:

(1) CET1 capital, tier 1 capital, and total capital ratios, including all the regulatory capital elements and all the regulatory adjustments and deductions needed to calculate the numerator of such ratios;

(2) Total risk-weighted assets, including the different regulatory adjustments and deductions needed to calculate total risk-weighted assets;

(3) [Reserved]

(4) A reconciliation of regulatory capital elements using month-end balances as they relate to its balance sheet in any applicable audited consolidated financial statements. The reconciliation must include a statement that compliance with the regulatory capital requirements outlined in subpart B of this part is determined using average daily balances for the most recent 3 months.

Table 1 to § 628.63—Scope of Application

Table 2 to § 628.63—Capital Structure

Table 3 to § 628.63—Capital Adequacy

Table 4 to § 628.63—Capital Buffers

(c) General qualitative disclosure requirement. For each separate risk area described in tables 5 through 10 of this section, the System bank must describe its risk management objectives and policies, including: Strategies and processes; the structure and organization of the relevant risk management function; the scope and nature of risk reporting and/or measurement systems; policies for hedging and/or mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges/mitigants.

Table 5 to § 628.63 1—Credit Risk: General Disclosures

Table 6 to § 628.63—General Disclosure for Counterparty Credit Risk-Related Exposures

Table 7 to § 628.63—Credit Risk Mitigation1 2

Table 8 to § 628.63—Securitization 1

Table 9 to § 628.63—Equities

Table 10 to § 628.63—Interest Rate Risk for Non-Trading Activities