Federal agencies are calling for comments on a series of proposed revisions to the Call Report that would incorporate the standardized approach for calculating risk-weighted assets under revised regulatory capital rules approved last year.
The Federal Deposit Insurance Corporation, the Federal Reserve Board and the Office of the Comptroller of the Currency, under the auspices of the Federal Financial Institutions Examination Council are requesting comment on the proposed revisions, which are consistent with the agencies’ revised regulatory capital rules.
The proposed changes would replace the existing Part II, risk-weighted assets of Schedule RC-R with a revised version of Part II that incorporates a more standardized calculation approach. In addition, the proposal also calls for a revision of the reporting of securities borrowed in Call Report Schedule RC-L, derivatives and off-balance sheet Items. If approved, all changes would take effect March 31, 2015.
Currently, institutions use Schedule RC-R, Part II, to collect data on the allocation by risk-weight category of balance sheet asset amounts and credit equivalent amounts of derivatives and off-balance sheet items, according to the FDIC. Then, risk-weighted assets are calculated and reported according to risk-weighted category, standardized market risk weighted assets and total risk-weighted assets.
In order to align Part II of Schedule RC-R with revised regulatory capital rules, the proposal calls for a greater number of risk-weight categories to which balance sheet assets, derivatives and off-balance-sheet items would be allocated. The new risk-weighted categories apply only in limited circumstances, as opposed to applying to each category of assets, derivatives and off-balance-sheet items. For example, greater detail would be collected on held-for-sale and held-for-investment loans and leases than in the current version of the schedule. Each type of loan and lease exposure would then be reported and allocated by risk-weight category.
In addition, proposed revised Part II of the schedule also includes separate items for reporting on-and off-balance sheet securitization exposures. For the section of the schedule covering derivatives and off-balance sheet items, the revisions aim to convey data on the face value or notional amount of, credit equivalent amount of; and risk-weight category allocations for all rep-style transactions; as well as all unused commitments maturing one year or less. Additionally, institutions would have to report separately the amount of unconditionally cancelable commitments; the credit equivalent amounts and risk-weight category allocations of over-the-counter and centrally cleared derivatives; as well as the remaining maturities of over-the-counter and centrally cleared derivatives, according to underlying risk exposure.
Institutions would still report risk-weighted asset totals in the same process as before using the revised version of Part II. The full summary of proposed changes to Call Report Schedule RC-R, Part II and Schedule RC-L can be read here.
Current revisions to another section of Schedule RC-R – regulatory capital components and ratios – began phasing in as of March 2014. These changes are to be completed by all institutions by March 31, 2015. The changes provide a more detailed breakdown of the components of regulatory capital, including deductions and adjustments than the previous Part I.A.
Drafts of the proposed reporting form can be found on the FFIEC’s website. Comments can be sent to any or all of the agencies. All comments must be submitted by Aug. 22, 2014.