Regulatory Capital Pillar 3 Disclosures
Standardized Approach
December 31, 2020
Table of Contents
Background ……………………………………………………………………………………………………………………………………………….. 3
Overview ………………………………………………………………………………………………………………………………………………….. 3
Corporate Governance ………………………………………………………………………………………………………………………………… 3
Internal Capital Adequacy Assessment Process (ICAAP) ………………………………………………………………………………… 4
Regulatory Capital Adequacy Ratios …………………………………………………………………………………………………………….. 4
Table 1 Regulatory Capital Ratios …………………………………………………………………………………………………………….. 5
Stress Capital Buffer ……………………………………………………………………………………………………………………………….. 5
Table 2 Non-GAAP Capital Ratios ……………………………………………………………………………………………………………. 6
Table 3 Supplementary Leverage Ratio ……………………………………………………………………………………………………… 7
Standardized Approach Risk-Weighted Assets ………………………………………………………………………………………………. 8
Credit Risk Mitigation …………………………………………………………………………………………………………………………….. 8
Counterparty Credit Risk of OTC Derivative Contracts, Repo-Style Transactions and Eligible Margin Loans ……. 9
Securitization ……………………………………………………………………………………………………………………………………….. 10
Equity Securities Not Subject to Market Risk Rule ……………………………………………………………………………………. 11
Market Risk …………………………………………………………………………………………………………………………………………….. 12
Credit Risk: General Disclosures ………………………………………………………………………………………………………………… 12
Appendix A – Disclosure Matrix …………………………………………………………………………………… .A1
BACKGROUND
Basel III regulatory capital rules for large and internationally active banks established the definition of regulatory capital elements and minimum capital ratios, regulatory capital buffers above those minimums, a common equity tier 1 ratio, a supplementary leverage ratio and the rules for calculating risk-weighted assets. Basel III includes two comprehensive methodologies for calculating risk-weighted assets: a general standardized approach and more risk-sensitive advanced approaches. With the passing of the “Prudential Standards for Large Bank Holding Companies, Savings and Loan Holding Companies, and Foreign Banking Organizations” rule,…
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