Quarter Ended September 30, 2020
PILLAR 3 REGULATORY CAPITAL DISCLOSURES For the quarterly period ended September 30, 2020 Table of Contents Disclosure map 1 Introduction 2 Report overview 2 Basel III overview 2 Firmwide risk management 3 Governance and oversight 3 Regulatory capital 4 Components of capital 4 Risk-weighted assets 5 Capital adequacy 6 Supplementary leverage ratio 8 Total Loss-Absorbing Capacity 8 Credit risk 9 Retail credit risk 11 Wholesale credit risk 13 Counterparty credit risk 14 Securitization 15 Equity risk in the banking book 19 Market risk 20 Material portfolio of covered positions 20 Value-at-risk 20 Regulatory market risk capital models 21 Independent review 24 Stress testing 24 Operational risk 25 Interest rate risk in the banking book 26 Supplementary leverage ratio 27 Appendix 28 Valuation process 28 References 28 DISCLOSURE MAP Pillar 3 Report page 3Q20 Form 10-Q 2019 Form 10-K Pillar 3 Requirement Description reference page reference page reference Capital structure Terms and conditions of capital instruments 5 1, 259, 261 Capital components 4 95 148, 259, 261 Capital adequacy Capital adequacy assessment process 6 52 86 Risk-weighted assets by risk stripe 5 Regulatory capital metrics 7 178 271 Credit risk: general Policies and practices 9 60 100, 178, 208, 219, disclosures 217, 272 Credit risk exposures 9 60, 85 100, 127 Retail Distribution of exposure 11 62, 149, 150, 180 103, 222, 232, 273 Allowance for Credit Losses 10 151, 159 223, 240 Wholesale Distribution of exposure 13 67, 136, 156, 180 108, 208, 234, 273 Allowance for Credit Losses
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