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
2009 Q1
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
2010 Q1
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
2011 Q1
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
2012 Q1
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
2013 Q1
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
8
2014 Q1
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
2015 Q1
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
2017 Q1
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
11
2018 Q1
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
2019 Q1
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 - 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
2020 Q1
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 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
2020 Q4
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
2021 Q4
Instructions
Change
Instructions under Schedule 42 - Section A(iii) Risks not in VaR Component
Return Template
No changes made
16
2023 Q2
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
2024 Q2
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
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
Instructions under Schedule 10.010, Ratio Calculations
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
