§ 1240.63 — Disclosures

(a) Except as provided in § 1240.62, an Enterprise must make the disclosures described in Tables 1 through 11 of this section publicly available for each of the last three years (that is, twelve quarters) or such shorter period until an Enterprise has made twelve quarterly disclosures pursuant to this part beginning with the disclosure for the quarter ending December 31, 2022.

(b) An Enterprise must publicly disclose each quarter the following:

(1) Regulatory capital ratios for common equity tier 1 capital, additional tier 1 capital, tier 1 capital, tier 2 capital, total capital, core capital, and adjusted total capital, including 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; and

(3) A reconciliation of regulatory capital elements as they relate to its balance sheet in any audited consolidated financial statements.

Table 1 to Paragraph (b)(3)—Capital Structure

Table 2 to Paragraph (b)(3)—Capital Adequacy

Table 3 to Paragraph (b)(3)—Capital Buffers

(c) For each separate risk area described in Tables 4 through 9, the Enterprise must, as a general qualitative disclosure requirement, 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 and/or mitigants.

Table 4 to Paragraph (c) 1—Credit Risk: General Disclosures

Table 5 to Paragraph (c)—General Disclosure for Counterparty Credit Risk-Related Exposures

Table 6 to Paragraph (c)—Credit Risk Mitigation 12

Table 7 to Paragraph (c)—CRT and Securitization

Table 8 to Paragraph (c)—Equities

Table 9 to Paragraph (c)—Interest Rate Risk for Non-Trading Activities

Table 10 to Paragraph (c)—Operational Risk

Table 11 to Paragraph (c)—Tier 1 Leverage Ratio