diff --git "a/query/finance/en/prescriptive.json" "b/query/finance/en/prescriptive.json" deleted file mode 100644--- "a/query/finance/en/prescriptive.json" +++ /dev/null @@ -1,10466 +0,0 @@ -[ - { - "id": "finance_en_prescriptive_1", - "type": "RegBench", - "query": "Midwest Community Bancshares is a state member bank supervised by the Federal Reserve. At the end of its most recent quarter, the bank reported total assets of $18.4 billion on its Call Report. Its trading assets stood at $1.6 billion and trading liabilities at $0.3 billion, for a combined trading book of $1.9 billion. The bank's chief risk officer is evaluating whether the institution must comply with the market risk capital framework applicable to Board-regulated institutions with significant trading activity. Separately, the Board has informally indicated that it is considering whether to apply the market risk framework to a peer institution, Lakefront Savings Bank, which has trading assets and liabilities totaling only $420 million and representing 4.2 percent of its quarter-end total assets, but whose derivatives portfolio has recently drawn supervisory concern. Determine: (1) whether Midwest Community Bancshares is subject to the market risk capital requirements based on its reported figures, identifying which threshold(s) it meets or exceeds; and (2) whether the Board has any authority to subject Lakefront Savings Bank to the same market risk capital framework despite Lakefront not meeting either standard numeric threshold, and if so, under what circumstances.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.201-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: No numeric threshold must be met for the Board to exercise its discretionary authority to extend applicability\nRequired findings:\n1. Midwest's aggregate trading assets and trading liabilities total $1.9 billion ($1.6B + $0.3B)\n2. Midwest meets the dollar threshold: $1.9 billion is equal to or greater than $1 billion\n3. Midwest meets the percentage threshold: $1.9B / $18.4B ≈ 10.33%, which equals or exceeds 10% of quarter-end total assets\n4. Midwest is subject to the market risk capital framework because it satisfies both numeric prongs independently\n5. Lakefront fails both numeric thresholds: $420M is below $1B and 4.2% is below 10%\n6. The Board retains discretionary authority to apply the market risk framework to Lakefront if it deems it necessary or appropriate due to the institution's level of market risk or to ensure safe and sound banking practices\n7. No numeric threshold must be met for the Board to exercise its discretionary authority to extend applicability" - }, - { - "id": "finance_en_prescriptive_2", - "type": "RegBench", - "query": "A large U.S. insurance holding company that is also a depository institution holding company is preparing its Building Block Analysis (BBA) ratio calculation. The holding company's indicated capital framework is NAIC Risk-Based Capital (RBC). One of its downstream subsidiaries is a federally regulated bank whose indicated capital framework is the U.S. Federal banking capital rules. The bank subsidiary has a recalculated building block capital requirement of $800 million. When the holding company consolidates this bank subsidiary into its BBA ratio calculation, what available capital scaling modifier must it apply to the bank subsidiary's figures, and what is the resulting scaled available capital contribution from that subsidiary?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.606-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-2-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: A holding company whose indicated capital framework is NAIC RBC does not scale its own building block available capital or capital requirement for BBA ratio purposes, but does apply the Table 2 modifier when consolidating a downstream entity under U.S. Federal banking capital rules\nRequired findings:\n1. The upstream building block parent's indicated capital framework is NAIC RBC\n2. The downstream building block parent's indicated capital framework is U.S. Federal banking capital rules\n3. The available capital scaling modifier from Table 2 for this upstream/downstream combination is: recalculated building block capital requirement multiplied by 0.063\n4. Scaled available capital = $800 million × 0.063 = $50.4 million\n5. A holding company whose indicated capital framework is NAIC RBC does not scale its own building block available capital or capital requirement for BBA ratio purposes, but does apply the Table 2 modifier when consolidating a downstream entity under U.S. Federal banking capital rules" - }, - { - "id": "finance_en_prescriptive_3", - "type": "RegBench", - "query": "Heartland Mutual Insurance Holding Company is a savings and loan holding company whose primary business is underwriting insurance. As of January 1, 2023, Heartland was not subject to the Board's regulatory capital requirements. It is now February 15, 2025. Heartland's board of directors is considering declaring a discretionary cash bonus for senior executives and a common stock dividend to shareholders. A compliance officer raises the question of whether the capital conservation buffer rules impose any restrictions on these payments given Heartland's capital position. Determine whether Heartland is subject to any restrictions on distributions or discretionary bonus payments under the capital conservation buffer framework, and identify the date on which any applicable exemption or transitional relief expires.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.306-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.306-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Both the proposed common stock dividend and the discretionary executive bonus payments are covered by the exemption and may proceed without capital conservation buffer-based restriction as of the question date\nRequired findings:\n1. Heartland qualifies as an insurance savings and loan holding company that was not subject to Part 217 capital requirements on January 1, 2023\n2. As of February 15, 2025, Heartland is not subject to any restrictions on distributions or discretionary bonus payments under the capital conservation buffer framework\n3. The transitional exemption from capital conservation buffer distribution restrictions applies notwithstanding any other provision of the capital rules\n4. The transitional relief expires after March 31, 2026, at which point Heartland would become subject to standard capital conservation buffer distribution restriction rules\n5. Both the proposed common stock dividend and the discretionary executive bonus payments are covered by the exemption and may proceed without capital conservation buffer-based restriction as of the question date" - }, - { - "id": "finance_en_prescriptive_4", - "type": "RegBench", - "query": "A Board-regulated institution holds a credit exposure to an asset-backed commercial paper (ABCP) program. The exposure is structured as a program-level credit enhancement that sits in a second loss position; the first loss position is a cash collateral account funded by the program sponsor equal to 8% of the total pool, which the institution's credit analysts have determined provides substantial credit protection to the second loss position. The institution does not hold or provide any support to that first loss position. The exposure carries an external rating equivalent to BBB+ (investment grade). The underlying assets in the ABCP program consist entirely of trade receivables, each individually risk-weighted at 75%. The institution has not applied the Simplified Supervisory Formula Approach or the gross-up approach to this exposure. The notional exposure amount is $50 million. What risk-weighted asset amount must the institution assign to this exposure, and what is the applicable risk weight?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.44-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-2-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 1,250% default risk weight does not apply because the exposure qualifies for the second-loss-position exception.\nRequired findings:\n1. The default risk weight for a securitization exposure where neither the SSFA nor the gross-up approach is applied is 1,250%.\n2. The second-loss-position exception requires four conditions: (1) not an eligible ABCP liquidity facility, (2) economically in second loss or better with significant first-loss credit protection, (3) investment-grade rating, and (4) the institution does not hold or protect the first loss position — all four are satisfied here.\n3. The applicable risk weight under the second-loss exception is the higher of 100% and the highest individual underlying exposure risk weight (75%), which equals 100%.\n4. The risk-weighted asset amount is $50 million × 100% = $50 million.\n5. The 1,250% default risk weight does not apply because the exposure qualifies for the second-loss-position exception." - }, - { - "id": "finance_en_prescriptive_5", - "type": "RegBench", - "query": "A bank holding company that was established solely to hold employer securities on behalf of employees through a qualified retirement arrangement has been notified by its primary federal regulator that it may be subject to consolidated regulatory capital requirements. The holding company has no banking subsidiaries other than its sponsoring depository institution, and it has never filed a capital adequacy report. The holding company's legal counsel argues that the entity is categorically exempt from consolidated capital requirements and that no minimum capital ratios, buffer requirements, or deduction rules apply to it at this time. Is legal counsel's position correct, and if so, what is the basis and scope of that exemption?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-c-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.502-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The exemption covers all requirements under Part 217, including minimum capital ratios, buffer requirements, and deduction rules — no partial compliance is required.\nRequired findings:\n1. The holding company qualifies as an employee stock ownership plan that is a bank holding company.\n2. A bank holding company that is an employee stock ownership plan is exempt from the entirety of Part 217 (the Board's regulatory capital framework).\n3. The exemption applies notwithstanding the general applicability provision that would otherwise subject bank holding companies to Part 217.\n4. The exemption remains in effect until the Board adopts regulations that directly relate to the application of capital regulations to employee stock ownership plans.\n5. Because no such Board regulations have been adopted, the exemption is currently operative and legal counsel's position is correct.\n6. The exemption covers all requirements under Part 217, including minimum capital ratios, buffer requirements, and deduction rules — no partial compliance is required." - }, - { - "id": "finance_en_prescriptive_6", - "type": "RegBench", - "query": "A Board-regulated institution operates a trading book that includes a portfolio of investment-grade corporate bond positions. The institution's value-at-risk (VaR) model has been validated and captures all material aspects of specific risk for this corporate bond portfolio, including event risk, idiosyncratic risk, and sensitivity to changes in portfolio composition and concentrations. The institution also maintains a separate portfolio of securitization positions (non-correlation-trading) that are not captured by any internal model approved for specific risk measurement. For the corporate bond portfolio, the institution's risk managers argue that no additional specific-risk capital charge is needed beyond what the VaR model already produces. For the securitization portfolio, the institution proposes to also rely on the VaR model to avoid a separate add-on charge. Assess whether each of these two positions is correct under applicable capital rules, and identify what specific-risk measurement obligation, if any, applies to each portfolio.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.204-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-b-2-vi-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The two portfolios are subject to different specific-risk measurement regimes: the debt portfolio may qualify for no add-on via full VaR modeling, while the securitization portfolio requires a mandatory standardized add-on.\nRequired findings:\n1. For the corporate bond portfolio, because the VaR-based measure captures all material aspects of specific risk (including event risk, idiosyncratic risk, and concentration sensitivity), no specific-risk add-on is required for that portfolio.\n2. The elimination of the specific-risk add-on for the corporate bond portfolio applies only when the VaR model fully captures all material aspects of specific risk for that portfolio.\n3. For securitization positions that are not modeled under the correlation trading / internal models framework, a specific-risk add-on under the standardized measurement method is mandatory regardless of VaR model coverage.\n4. The institution's proposal to rely on its VaR model to avoid a specific-risk add-on for the non-modeled securitization portfolio is incorrect — the standardized measurement method add-on cannot be waived for such positions.\n5. The two portfolios are subject to different specific-risk measurement regimes: the debt portfolio may qualify for no add-on via full VaR modeling, while the securitization portfolio requires a mandatory standardized add-on." - }, - { - "id": "finance_en_prescriptive_7", - "type": "RegBench", - "query": "A Board-regulated institution subject to market risk capital requirements maintains an internal models-based framework for its covered positions. The institution's compliance team is preparing its quarterly public disclosures and annual qualitative disclosures. The institution holds a material portfolio of covered positions that includes correlation trading positions and securitization exposures. During the current quarter, the institution experienced several VaR backtesting outliers that it believes are material. The institution's management has determined that certain details about its proprietary correlation trading valuation methodology would, if disclosed publicly, seriously prejudice its competitive position. The institution is a wholly-owned consolidated subsidiary of a large U.S. bank holding company that is itself subject to the same market risk disclosure requirements under the applicable federal capital rules. Determine: (1) whether this institution is required to independently comply with the public market risk disclosure requirements, and (2) if it were required to comply, which specific quantitative items must be disclosed at least quarterly versus which qualitative items may be disclosed annually, and (3) what obligations, if any, apply when the institution believes that disclosing specific proprietary information would seriously prejudice its competitive position.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.212-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.212-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.212-c-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.212-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.212-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: For proprietary or confidential information whose disclosure would seriously prejudice the institution's competitive position, the institution may withhold the specific items but must disclose more general information about the subject matter and must explicitly state that specific items have not been disclosed and explain why.\nRequired findings:\n1. The institution is exempt from independently complying with the market risk disclosure requirements because it is a consolidated subsidiary of a U.S. bank holding company that is itself subject to those same requirements.\n2. If compliance were required, quantitative disclosures under §217.212(c) — including VaR measures, stressed VaR measures, incremental risk capital requirements, comprehensive risk capital requirements, risk-category-specific VaR components, VaR back-testing comparisons, securitization position aggregates, and correlation trading position aggregates — must be made at least quarterly.\n3. Qualitative disclosures under §217.212(d) — including portfolio composition, valuation policies, internal model characteristics, validation approaches, stress test descriptions, back-testing sample results, soundness standard descriptions, securitization monitoring processes, and credit risk mitigation policies — may be disclosed annually (after the fourth calendar quarter), with more frequent disclosure required only if material changes occur.\n4. The VaR backtesting outliers that management considers material must be analyzed and disclosed as part of the quarterly quantitative comparison of VaR-based estimates with actual gains or losses.\n5. For proprietary or confidential information whose disclosure would seriously prejudice the institution's competitive position, the institution may withhold the specific items but must disclose more general information about the subject matter and must explicitly state that specific items have not been disclosed and explain why." - }, - { - "id": "finance_en_prescriptive_8", - "type": "RegBench", - "query": "A large depository institution holding company with total consolidated assets exceeding $15 billion as of December 31, 2009 (and which was not a mutual holding company prior to May 19, 2010) entered into a bilateral repurchase agreement with a corporate counterparty in early 2020. The institution's legal team is reviewing whether the underlying agreement qualifies for favorable risk-weighted asset treatment under the standardized approach. The agreement provides for daily mark-to-market margining, allows either party to terminate and close out all transactions upon counterparty default, and contains a netting clause covering all outstanding repo-style transactions between the two parties. The institution's compliance officer notes that the legal team must affirmatively conclude — with a well-founded basis and written documentation — that the agreement meets specific definitional criteria and is legally enforceable in all relevant jurisdictions.\n\nSeparately, the institution's capital planning team is preparing its Q1 2020 regulatory capital filing. The institution has elected to delay adoption of the advanced approaches deduction and risk-weighting requirements that became applicable to advanced approaches institutions on January 1, 2020. Its common equity tier 1 (CET1) capital before any transitional adjustments is $18.4 billion, and its standardized total risk-weighted assets are $210 billion. The institution has $1.2 billion of mortgage servicing assets (MSAs) net of deferred tax liabilities, $900 million of deferred tax assets (DTAs) arising from temporary differences net of deferred tax liabilities, and $600 million of significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of deferred tax liabilities. The applicable CET1 threshold for each of these three categories is 10 percent of CET1 capital elements (before the deductions in question), and the combined threshold is 15 percent of those same CET1 capital elements. The institution's CET1 capital elements before these deductions total $19.8 billion. No countercyclical capital buffer or GSIB surcharge applies.\n\nDetermine: (1) what legal review and documentation obligations the institution must satisfy for the repurchase agreement to qualify for the favorable treatment it is seeking, and (2) whether the institution's CET1 ratio after applying the correct transitional deduction treatment for the three threshold items meets the minimum CET1 ratio requirement, and what maximum payout ratio (as a percentage of eligible retained income) applies to the institution during the calendar quarter beginning January 1, 2020 given its capital conservation buffer position.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-031", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-166", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-b-2-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-c-2-iii-b-5-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-d-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-c-1-iv-b-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-c-1-iv-b-4-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-g", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: CET1 ratio = $18.4B / $210B ≈ 8.76%, which exceeds the 4.5% minimum CET1 requirement.\nRequired findings:\n1. To qualify the repurchase agreement as a repo-style transaction, the institution must conduct sufficient legal review — with a well-founded basis and written documentation — confirming the agreement meets the definitional requirements for a repo-style transaction (including daily mark-to-market, right to terminate and net upon default) and is legally valid and enforceable in all relevant jurisdictions.\n2. CET1 capital elements before threshold deductions = $19.8 billion; the 10% individual threshold per item = $1.98 billion; all three items (MSAs $1.2B, DTAs $0.9B, significant investments $0.6B) fall below their individual thresholds.\n3. Under the Q1 2020 transitional election, the institution deducts 80% of the amount otherwise required under the advanced approaches deduction rule; because no threshold excess exists, the transitional deduction is $0 and CET1 after deductions remains $18.4 billion.\n4. CET1 ratio = $18.4B / $210B ≈ 8.76%, which exceeds the 4.5% minimum CET1 requirement." - }, - { - "id": "finance_en_prescriptive_9", - "type": "RegBench", - "query": "A large Board-regulated institution operating as an advanced approaches institution holds a portfolio of OTC interest rate derivative contracts with a single corporate counterparty. The institution has entered into a qualifying master netting agreement covering these contracts and has elected to use the internal models methodology to calculate exposure at default (EAD) for this netting set. The resulting EAD under the internal models methodology is $480 million. The institution also holds a securitization exposure in the form of an off-balance-sheet liquidity facility extended to an asset-backed commercial paper (ABCP) program sponsored by a third party. The notional amount of the liquidity facility is $200 million, but given the ABCP program's current underlying assets, the maximum potential funding obligation is $140 million. The institution has purchased an OTC credit derivative from a non-securitization-SPE counterparty to hedge a portion of its exposure to the ABCP program's underlying assets. The credit derivative has a notional of $60 million and does not qualify for recognition as a credit risk mitigant under the applicable credit risk mitigation rules. The institution's risk management team must determine: (1) how the $480 million EAD from the internal models methodology feeds into the institution's total wholesale and retail risk-weighted assets calculation; (2) what exposure amount to assign to the ABCP liquidity facility for risk-weighting purposes; and (3) how to treat the purchased OTC credit derivative that cannot be recognized as a credit risk mitigant, including which risk-weighting framework applies given the counterparty is not a securitization SPE. Provide a complete analysis of each of the three determinations.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.101-b-1-12", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-b-2-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-b-3-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-intro-041", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-7", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-7-iv-b-9-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-b-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The ABCP liquidity facility reduction to maximum potential funding is calculated without regard to the current credit quality of the underlying assets.\nRequired findings:\n1. The definition of 'total wholesale and retail risk-weighted assets' in § 217.101 item (5) directs that risk-weighted assets for IMM exposures are determined under § 217.132(d), so the $480 million EAD from the internal models methodology feeds into total wholesale and retail RWA via that cross-reference.\n2. The exposure amount of the ABCP liquidity facility may be reduced from the $200 million notional to $140 million, which is the maximum potential amount the institution could be required to fund given the program's current underlying assets.\n3. State that § 217.142(m)(2)(ii) sends the exposure amount to § 217.132(c), and under § 217.132(c)(1) the institution uses its elected derivative methodology; given the scenario's IMM election, a mandatory SA-CCR conclusion is not supported.\n4. Because the credit protection was purchased from a counterparty that is not a securitization SPE, the risk weight for the resulting exposure is determined under the wholesale counterparty credit risk framework (§ 217.131), not the securitization hierarchy.\n5. The institution's election of the internal models methodology under § 217.132(d) is permissible for OTC derivative netting sets subject to a qualifying master netting agreement, and requires prior written Board approval for cross-product master netting agreements.\n6. The ABCP liquidity facility reduction to maximum potential funding is calculated without regard to the current credit quality of the underlying assets." - }, - { - "id": "finance_en_prescriptive_10", - "type": "RegBench", - "query": "A large Board-regulated institution has a formal disclosure policy that was approved by its risk committee rather than its full board of directors. The policy addresses the institution's approach for determining public disclosures, including internal controls and disclosure controls and procedures. Two senior vice presidents have jointly attested that the quarterly disclosures meet all applicable requirements. The institution publishes its quarterly capital adequacy disclosures across three separate documents: its quarterly earnings release, its 10-Q filing, and a standalone regulatory capital report on its website. It does not publish any document that consolidates or cross-references the locations of all three disclosure sources. For qualitative disclosures that do not change quarter-to-quarter — such as its risk management objectives and definitions — the institution discloses these only in its annual report filed after the fourth calendar quarter. During the third calendar quarter, the institution completed a significant acquisition that materially altered its risk profile, but it did not update any public disclosures until its next scheduled quarterly filing six weeks later. Identify all the ways in which this institution's disclosure practices are non-compliant with the applicable requirements, and explain what corrective actions are needed for each deficiency.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.62-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Attestation by one or more senior officers is required and is satisfied by the two SVPs jointly attesting; this element is compliant.\nRequired findings:\n1. The disclosure policy must be approved by the board of directors, not a sub-committee such as the risk committee; risk committee approval alone is non-compliant.\n2. When disclosures are spread across multiple public reports, the institution must publish a summary table specifically indicating the location of each disclosure; the absence of such a table is a deficiency.\n3. A significant change — such as a material acquisition that alters the institution's risk profile — must be disclosed as soon as practicable, not deferred to the next scheduled quarterly filing.\n4. Qualitative disclosures may be made annually only if no significant changes occur in the interim; a significant mid-year acquisition triggers an obligation to disclose the change and its likely impact promptly.\n5. Attestation by one or more senior officers is required and is satisfied by the two SVPs jointly attesting; this element is compliant." - }, - { - "id": "finance_en_prescriptive_11", - "type": "RegBench", - "query": "A Board-regulated institution acts as an originating bank for a synthetic securitization it sponsors. The securitization satisfies all operational criteria required for such structures. To hedge its retained exposure in the synthetic securitization, the institution has purchased an eligible credit derivative from a highly rated protection seller. The credit derivative covers three reference tranches within the same synthetic securitization structure. The three hedged tranches have residual maturities of 2 years, 4 years, and 7 years, respectively. The notional protection amount of the credit derivative is $150 million, and the maturity of the credit derivative itself is 5 years. Determine how the institution must treat the residual maturity of the hedged exposures when applying the required maturity mismatch adjustments to the protection amount, and identify the effective residual maturity figure the institution must use across all three hedged tranches for purposes of computing any maturity mismatch adjustment.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.36-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: A maturity mismatch exists, but under §217.36(d)(5) the 7-year hedged exposure and 5-year credit derivative produce T=5 and t=5, so the maturity-mismatch formula does not reduce the $150 million protection amount.\nRequired findings:\n1. The institution must apply the maturity mismatch adjustment rules of § 217.36(d), (e), and (f) to the hedged securitization exposure.\n2. Because a single eligible credit derivative covers multiple hedged exposures with different residual maturities within a synthetic securitization, the institution must use the longest residual maturity of any hedged exposure as the residual maturity for all hedged exposures.\n3. The longest residual maturity among the three tranches is 7 years (the tranche with the 7-year maturity).\n4. The effective residual maturity the institution must use for all three hedged tranches is 7 years.\n5. A maturity mismatch exists, but under §217.36(d)(5) the 7-year hedged exposure and 5-year credit derivative produce T=5 and t=5, so the maturity-mismatch formula does not reduce the $150 million protection amount." - }, - { - "id": "finance_en_prescriptive_12", - "type": "RegBench", - "query": "A state member bank is preparing to issue a new class of perpetual equity instruments to raise regulatory capital. The instruments are structured as follows: they are paid-in and issued directly by the bank; they represent the most subordinated claim in any liquidation or insolvency proceeding; holders are entitled to a residual claim proportional to their share of issued capital after all senior claims are satisfied; the instruments have no maturity date and can only be redeemed through discretionary repurchases with prior regulatory approval; the bank made no communication at issuance creating any expectation of buyback or redemption; cash dividends are paid solely from the bank's net income and retained earnings, with no contractual cap on dividend amounts; the bank retains full discretion at all times to skip dividends without triggering any default or payment-in-kind obligation; dividend payments may only occur after all legal and contractual obligations, including payments on more senior claims, are satisfied; holders bear losses equally, proportionately, and simultaneously with all other holders of the same instrument class before any more senior claimholder absorbs losses; the paid-in amount is classified as equity under GAAP; and the instruments are reported separately from other capital instruments on the bank's regulatory financial statements. However, the bank's employee stock ownership plan (ESOP) purchased 8% of the total issuance using a loan provided directly by the bank, and the instruments are not publicly traded. The bank's compliance team argues that the ESOP-held portion qualifies for inclusion in the bank's highest-quality regulatory capital component because a specific carve-out applies. A second tranche of the same instrument class — representing the remaining 92% not held by the ESOP — was purchased entirely by third-party investors with no funding from the bank or any affiliate. Assess whether each tranche qualifies for inclusion in the bank's highest-quality regulatory capital component, identifying any criterion that is satisfied, waived, or violated for each tranche.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.20-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1-x", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-5", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 8% ESOP tranche qualifies for CET1 inclusion because the applicable carve-out waives the criterion (x) violation, and the non-publicly-traded condition is met for the remaining ERISA-related carve-outs.\nRequired findings:\n1. The highest-quality regulatory capital component is common equity tier 1 (CET1) capital, and the instruments must satisfy all criteria in §217.20(b)(1)(i)–(xiii) to qualify.\n2. The 92% third-party tranche satisfies all 13 CET1 eligibility criteria on the stated facts and qualifies for CET1 inclusion without any carve-out.\n3. The 8% ESOP tranche facially violates criterion (b)(1)(x) because the bank directly funded the ESOP's purchase of the instruments.\n4. A specific carve-out provides that an instrument issued by a Board-regulated institution to its ESOP does not violate criterion (b)(1)(x), regardless of whether the institution is publicly traded.\n5. The carve-outs for criteria (b)(1)(iii), (b)(1)(iv), and (b)(1)(xi) also apply to the ESOP tranche because the instruments are not publicly traded and any repurchase would be required solely by virtue of ERISA.\n6. The 8% ESOP tranche qualifies for CET1 inclusion because the applicable carve-out waives the criterion (x) violation, and the non-publicly-traded condition is met for the remaining ERISA-related carve-outs." - }, - { - "id": "finance_en_prescriptive_13", - "type": "RegBench", - "query": "A large U.S. bank holding company with $320 billion in total consolidated assets and $12 billion in on-balance-sheet foreign exposures is evaluating whether it must hold a countercyclical capital buffer (CCyB) as part of its regulatory capital requirements. The institution has completed its parallel run process and received notification from its primary Federal supervisor. Its private-sector credit exposures are distributed as follows: 75% located in the United States and 25% located in foreign jurisdictions. The Board has announced a CCyB amount of 1.5% for U.S.-based private-sector credit exposures, while the weighted average CCyB for the institution's foreign credit exposures works out to 0.8%. The institution's risk-weighted assets under the standardized approach total $280 billion. Determine (1) whether this institution is subject to the CCyB requirement at all, (2) what the institution's effective CCyB amount is as a percentage of risk-weighted assets, and (3) what the maximum potential CCyB amount for U.S.-based credit exposures is under the regulatory framework.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-appendix-a-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The current U.S. CCyB of 1.5% is below the 2.5% maximum, so no cap constraint is binding.\nRequired findings:\n1. The institution qualifies as an advanced approaches institution because its total consolidated assets of $320 billion exceed the $250 billion threshold (and separately, its $12 billion in foreign exposures exceed the $10 billion threshold).\n2. The institution is subject to the CCyB regardless of whether it has completed the parallel run process and received supervisor notification.\n3. The effective blended CCyB = (0.75 × 1.5%) + (0.25 × 0.8%) = 1.325% of risk-weighted assets.\n4. The maximum potential CCyB amount for U.S.-based private-sector credit exposures is 2.5% of risk-weighted assets.\n5. The current U.S. CCyB of 1.5% is below the 2.5% maximum, so no cap constraint is binding." - }, - { - "id": "finance_en_prescriptive_14", - "type": "RegBench", - "query": "Maple Ridge Mutual Holdings is a supervised insurance organization that is currently conducting its annual building block determination. During the inventory process, the compliance team identifies a special purpose entity called Cedarwood Re Ltd. Cedarwood Re enters into reinsurance transactions exclusively with Maple Ridge's inventory companies that were identified through FR Y-6 and FR Y-10 reporting requirements. The actuarial team estimates that Maple Ridge's inventory companies are expected to absorb approximately 62 percent of Cedarwood Re's expected losses. Cedarwood Re has not previously been classified as an affiliate under NAIC SSAP No. 25 and Schedule Y, and it does not appear on any FR Y-6 or FR Y-10 report. The compliance team must determine whether Cedarwood Re must be included in the inventory of companies for purposes of the building block determination. Separately, Maple Ridge also identifies a small holding company, Birchwood Capital LLC, that engages solely in transferring risk from Maple Ridge affiliates to third-party reinsurers. Birchwood Capital would otherwise qualify as a material financial entity. Maple Ridge's CFO asks whether Birchwood Capital can be excluded from material financial entity treatment, and if so, what procedural step is required to make that election effective. Analyze both questions and state your conclusions.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.605-b-1-i-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-1-ii-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-1-ii-04", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-1-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-4-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The election must be included with the first financial statements submitted to the Board after Birchwood Capital is included in the supervised insurance organization's inventory; failure to make the election at that time forfeits it.\nRequired findings:\n1. Cedarwood Re must be included as an inventory company because it satisfies all four conditions of the special-entity inclusion test: it transacts with FR Y-6/FR Y-10 inventory companies, the 62% expected-loss absorption exceeds the 50% threshold, and it is not otherwise identified as an inventory company (subject to a materiality confirmation).\n2. The 62% expected-loss absorption figure exceeds the regulatory threshold of more than 50%, satisfying that specific prong of the four-part test.\n3. Birchwood Capital may qualify for the material financial entity election because it engages solely in transactions that transfer risk from affiliates to third parties, which is one of the enumerated permissible transaction types.\n4. The election is also conditioned on Maple Ridge's ability to calculate the adjustment required under the relevant building block adjustment provision; if that calculation cannot be performed, the election is unavailable.\n5. The election must be included with the first financial statements submitted to the Board after Birchwood Capital is included in the supervised insurance organization's inventory; failure to make the election at that time forfeits it." - }, - { - "id": "finance_en_prescriptive_15", - "type": "RegBench", - "query": "A Board-regulated institution uses the Internal Models Approach (IMA) for market risk capital purposes and has entered into a portfolio of equity derivative contracts with a single corporate counterparty. The institution has computed its market risk capital charge for these contracts under its approved internal models. The risk management team is now reviewing whether any additional capital must be held against these same contracts, and if so, how that additional capital requirement should be calculated. Separately, another Board-regulated institution at the same firm uses the Standardized Risk-Weighted Assets (SRWA) approach and holds a mixed book of equity derivative contracts with various counterparties, some of which are covered by a qualified master netting agreement and some of which are not. The SRWA institution's compliance officer proposes to exclude only the contracts under the qualified master netting agreement from the counterparty credit risk exposure measure, while retaining the uncovered contracts in the measure. Is the IMA institution required to hold additional capital beyond its market risk charge for these equity derivative contracts, and what methodology governs that additional requirement? Is the SRWA compliance officer's proposed selective exclusion permissible?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-2-iii-h-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: State that the proposal is impermissible because the SRWA opt-out must apply to all equity derivative contracts; do not say the source separately makes this a QMNA all-or-nothing violation.\nRequired findings:\n1. Under the IMA, the institution must hold risk-based capital against counterparty credit risk in equity derivative contracts in addition to the market risk capital charge — the market risk charge alone does not satisfy the full capital requirement.\n2. The supplemental counterparty credit risk capital for IMA equity derivatives is computed by treating the contract as a wholesale exposure and calculating a supplemental risk-weighted asset amount under the wholesale exposure framework (§ 217.132).\n3. Under the SRWA, a Board-regulated institution may elect to hold no capital against counterparty credit risk for equity derivative contracts, but only if that election applies to all such contracts — selective exclusion of a subset is not permitted.\n4. For equity derivative contracts subject to a qualified master netting agreement under the SRWA, the institution must either include all or exclude all of those contracts from the counterparty credit risk exposure measure — partial inclusion or exclusion within the netting set is prohibited.\n5. State that the proposal is impermissible because the SRWA opt-out must apply to all equity derivative contracts; do not say the source separately makes this a QMNA all-or-nothing violation." - }, - { - "id": "finance_en_prescriptive_16", - "type": "RegBench", - "query": "Apex Financial Group is a large U.S. bank holding company that completed its annual systemic risk scoring exercise on November 15. Its method 1 score, computed using the five equally-weighted indicator categories, came out to 128 basis points. The compliance team is debating whether Apex must be treated as a global systemically important bank holding company for the upcoming capital planning cycle. Determine whether Apex qualifies as a global systemically important BHC based on its score, and identify the deadline by which a bank holding company in Apex's position must complete its annual score calculation.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.402-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Apex's November 15 calculation date satisfies the December 31 annual deadline\nRequired findings:\n1. A bank holding company is identified as a GSIB only if its method 1 score equals or exceeds 130 basis points\n2. Apex's method 1 score of 128 basis points is below the 130 basis point threshold\n3. Apex does not qualify as a global systemically important BHC based on its current score\n4. A bank holding company must calculate its method 1 score on an annual basis by December 31 of each year\n5. Apex's November 15 calculation date satisfies the December 31 annual deadline" - }, - { - "id": "finance_en_prescriptive_17", - "type": "RegBench", - "query": "A Board-regulated institution uses an internal model to calculate its market risk capital requirements. The institution's risk management team is reviewing its stressed VaR program. As of the current reporting date, the institution's VaR-based measure (99th percentile, 10-business-day holding period) is $85 million. The institution last calculated its stressed VaR-based measure six days ago, producing a result of $78 million. The stressed VaR model uses a 12-month historical window ending in Q2 2008 (covering the lead-up to the financial crisis), calibrated to the institution's portfolio composition from that period rather than its current portfolio. The institution's current portfolio has shifted significantly toward investment-grade corporate credit exposures, which behaved differently during the 2008 stress period than the legacy mixed-asset portfolio used for calibration. The institution's policies and procedures for selecting the stress period were last updated two years ago and have not been reviewed since the portfolio shift. These policies were implemented without prior Board approval. Identify all compliance deficiencies in this institution's stressed VaR program.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.206-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-3-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The stressed VaR-based measure must be calculated at least weekly\nRequired findings:\n1. The stressed VaR-based measure ($78 million) is less than the VaR-based measure ($85 million), violating the requirement that stressed VaR be no less than the VaR-based measure\n2. Model inputs must be calibrated to a stress period appropriate to the institution's current portfolio, not a legacy portfolio composition\n3. The institution must obtain prior Board approval for its policies and procedures governing stress period selection before implementing them\n4. Policies and procedures must address how the stress period is linked to the composition and directional bias of the current portfolio\n5. Policies and procedures must address the process for reviewing, updating, and monitoring the appropriateness of the selected stress period to the current portfolio\n6. The stressed VaR-based measure must be calculated at least weekly" - }, - { - "id": "finance_en_prescriptive_18", - "type": "RegBench", - "query": "A Board-regulated institution has been operating under the advanced approaches framework and completed a satisfactory parallel run. During a routine supervisory review, the Board determines that the institution's advanced approaches total risk-weighted assets are materially understated relative to the institution's actual credit, market, and operational risk profile — specifically, the institution's internal models for wholesale credit exposures have been calibrated using a narrow historical window that excludes a significant stress period, resulting in probability of default estimates that the Board considers inconsistent with the institution's true risk. The institution has not yet notified the Board of any changes to its advanced systems. The Board issues a written notice of non-compliance with the ongoing qualification requirements. Describe the institution's obligations following receipt of that written notice, and explain what additional authority the Board may exercise given its finding about the relationship between the institution's advanced approaches total risk-weighted assets and its actual risk profile.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.123-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-b-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Both obligations — the remediation plan and the potential modified RWA calculation — apply because the institution has conducted a satisfactory parallel run and is subject to the advanced approaches framework\nRequired findings:\n1. Upon receipt of the Board's written notice of non-compliance, the institution must establish and submit a remediation plan satisfactory to the Board to return to compliance with the qualification requirements\n2. The remediation plan must be submitted to the Board, not merely developed internally\n3. The Board's finding that advanced approaches total risk-weighted assets are not commensurate with the institution's credit, market, operational, or other risks triggers a separate, additional Board authority\n4. Under that additional authority, the Board may require the institution to calculate its advanced approaches total risk-weighted assets using any modifications specified by the Board\n5. The Board's authority to impose modified RWA calculations is discretionary ('may require') and is conditioned on the commensurateness finding, not solely on the non-compliance finding\n6. Both obligations — the remediation plan and the potential modified RWA calculation — apply because the institution has conducted a satisfactory parallel run and is subject to the advanced approaches framework" - }, - { - "id": "finance_en_prescriptive_19", - "type": "RegBench", - "query": "A Board-regulated institution has a wholesale loan to a mid-market corporate obligor with an exposure at default (EAD) of $80 million. The institution has purchased an eligible credit derivative from a highly rated protection provider to hedge this exposure. The credit derivative's notional amount is $50 million, and the derivative's reference obligation is a subordinated bond issued by the same corporate obligor. The hedged exposure (the loan) is a senior secured obligation of the same obligor. The institution wishes to recognize the credit risk mitigation benefit of this credit derivative under the PD substitution approach. Determine whether the institution may recognize the credit risk mitigation benefit of this credit derivative, and if so, describe how it must calculate the risk-based capital requirement for this exposure, including the treatment of the protected and unprotected portions.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-ii-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Separate risk-based capital requirements must be calculated for the protected and unprotected portions under the applicable wholesale risk-based capital formula\nRequired findings:\n1. The credit derivative may be recognized because the reference obligation (subordinated bond) is junior to the hedged exposure (senior secured loan), satisfying the pari passu or junior ranking condition, provided cross-default or cross-acceleration clauses are legally enforceable\n2. Because the protection amount ($50 million) is less than the EAD ($80 million), this is partial coverage and the institution must split the hedged exposure into two separate exposures\n3. The protected exposure has EAD equal to $50 million (the protection amount P) and uses the protection provider's PD\n4. The unprotected exposure has EAD equal to $30 million ($80M minus $50M) and uses the obligor's own PD and the unadjusted LGD of the hedged exposure\n5. Separate risk-based capital requirements must be calculated for the protected and unprotected portions under the applicable wholesale risk-based capital formula" - }, - { - "id": "finance_en_prescriptive_20", - "type": "RegBench", - "query": "A large U.S. bank holding company supervised by the Federal Reserve has crossed the threshold that subjects it to the advanced approaches capital framework. The institution's risk management team is preparing its annual report and wants to confirm which public disclosure obligations apply to it under the capital adequacy rules. Specifically, the team asks: does this institution have any public disclosure requirements related to its capital requirements arising from its status as an advanced approaches institution, and if so, what is the general scope of those requirements?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.171-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The scope of the disclosure requirements covers the institution's capital requirements (not all regulatory requirements generally).\nRequired findings:\n1. The institution is a Board-regulated institution supervised by the Federal Reserve.\n2. The institution qualifies as an advanced approaches Board-regulated institution.\n3. Public disclosure requirements related to capital requirements apply to advanced approaches Board-regulated institutions.\n4. The disclosure requirements are established by the rules spanning §§ 217.171 through 217.173.\n5. The scope of the disclosure requirements covers the institution's capital requirements (not all regulatory requirements generally)." - }, - { - "id": "finance_en_prescriptive_21", - "type": "RegBench", - "query": "A Board-regulated institution participated in the Money Market Mutual Fund Liquidity Facility announced in March 2020. Under the facility, the institution received a non-recourse loan advance of $500 million and used those funds to purchase eligible assets at a purchase price of $480 million. The institution is now preparing its regulatory capital and leverage calculations. Specifically, it wants to know: (1) whether the $500 million exposure acquired through this facility may be excluded from its total leverage exposure and risk-weighted asset calculations, and (2) how the institution's liability under the facility should be measured for purposes of any such exclusion. Explain the regulatory treatment that applies to these exposures and compute the net liability amount the institution must recognize under the applicable rule.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.302-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Net liability = $500 million (advance) minus $480 million (purchase price) = $20 million\nRequired findings:\n1. The exposure acquired via the MMLF non-recourse loan may be excluded from total leverage exposure\n2. The exposure may also be excluded from average total consolidated assets, advanced approaches total risk-weighted assets, and standardized total risk-weighted assets\n3. The exclusion applies only because the loan is non-recourse and was provided as part of the MMLF announced March 18, 2020\n4. The institution's liability under the facility must be reduced by the purchase price of the assets acquired with the advanced funds\n5. Net liability = $500 million (advance) minus $480 million (purchase price) = $20 million" - }, - { - "id": "finance_en_prescriptive_22", - "type": "RegBench", - "query": "First National Bancorp is a Board-regulated institution that falls within the category of institutions required to make public disclosures under the Basel III framework. The bank's compliance officer is preparing the quarterly public disclosure package and needs to determine the minimum required frequency and the specific capital-related data elements that must be disclosed each quarter. The officer notes that the bank's balance sheet shows common equity tier 1 capital of $8.2 billion, additional tier 1 capital of $1.1 billion, and tier 2 capital of $2.4 billion. Total risk-weighted assets under the standardized approach are $94 billion. The bank is not in a transition period and has no audited consolidated financial statements pending restatement. Identify all four specific capital-related items that the bank is required to disclose publicly on a quarterly basis, and confirm whether the bank's current capital figures would need to be included in each of those disclosure items.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.61-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: There are exactly four items enumerated for mandatory quarterly public disclosure under this provision\nRequired findings:\n1. The bank must publicly disclose quarterly: CET1 capital, additional tier 1 capital, tier 2 capital, tier 1 and total capital ratios, including all regulatory capital elements and adjustments/deductions used to calculate the numerator of those ratios\n2. The bank must publicly disclose quarterly: total risk-weighted assets ($94 billion), including all regulatory adjustments and deductions needed to calculate total RWA\n3. The bank must publicly disclose quarterly: regulatory capital ratios during any transition periods, including descriptions of all capital elements and adjustments for numerator and denominator of each ratio during any transition period\n4. The bank must publicly disclose quarterly: a reconciliation of regulatory capital elements as they relate to its balance sheet in any audited consolidated financial statements\n5. The CET1 capital of $8.2B, AT1 capital of $1.1B, and tier 2 capital of $2.4B are required disclosure inputs under the first quarterly disclosure item\n6. Total RWA of $94B is a required disclosure input under the second quarterly disclosure item\n7. There are exactly four items enumerated for mandatory quarterly public disclosure under this provision" - }, - { - "id": "finance_en_prescriptive_23", - "type": "RegBench", - "query": "Northgate Financial Group is a bank holding company headquartered in the United States. It is not a subsidiary of any other bank holding company or foreign banking organization. Northgate has total consolidated assets of $310 billion and has been subject to the advanced approaches capital framework for the past three years. Its parent company is a publicly traded non-bank financial holding company that does not itself qualify as a bank holding company. Northgate's board of directors has received a letter from its chief compliance officer stating that the company may be subject to a risk-based capital surcharge related to its systemic importance. The CCO's memo notes that Northgate became subject to the advanced approaches framework on January 15 of Year 1. Determine: (1) whether Northgate is subject to the rules governing the global systemically important bank holding company capital surcharge framework, (2) by what date Northgate must first determine whether it qualifies as a global systemically important BHC, and (3) if Northgate is identified as a global systemically important BHC on December 15 of Year 2, by what date must it calculate its surcharge and when does that surcharge first affect its maximum payout ratio?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.400-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.400-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.400-b-2-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The GSIB surcharge first affects Northgate's maximum payout ratio beginning January 1 of Year 4\nRequired findings:\n1. Northgate satisfies all three prongs of the applicability test and is subject to the GSIB surcharge framework\n2. Northgate became an advanced approaches Board-regulated institution in Year 1\n3. Northgate must determine whether it qualifies as a global systemically important BHC by December 31 of Year 2\n4. If identified as a GSIB on December 15 of Year 2, Northgate must calculate its GSIB surcharge by December 31 of Year 2\n5. The GSIB surcharge first affects Northgate's maximum payout ratio beginning January 1 of Year 4" - }, - { - "id": "finance_en_prescriptive_24", - "type": "RegBench", - "query": "A bank holding company compliance officer is reviewing the firm's systemic risk profile for the current reporting period. The firm reports the following figures on its most recent FR Y-15 submission: total foreign claims on an ultimate risk basis of $180 billion, total cross-jurisdictional liabilities of $95 billion, assets held as a custodian on behalf of customers of $2.1 trillion, total intra-financial system assets of $310 billion, total intra-financial system liabilities of $275 billion, total notional amount of OTC derivatives of $8.4 trillion, total adjusted trading and available-for-sale securities of $420 billion, assets valued using Level 3 measurement inputs of $22 billion, total payments activity of $14 trillion, total underwriting activity of $190 billion, and total securities outstanding of $640 billion. The compliance officer needs to confirm which of these reported figures qualify as systemic indicators under the applicable capital framework, and separately identify the precise regulatory term for the firm's foreign claims figure. Identify all systemic indicators from the list above and state the defined regulatory term that corresponds to the firm's foreign claims on an ultimate risk basis.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.401-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-intro-003", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-j", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-k", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-l", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-m", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-q", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-r", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-t", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-w", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-y", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-z", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Underwritten transactions in debt and equity markets corresponds to total underwriting activity as reported on the FR Y-15, and qualifies as a systemic indicator\nRequired findings:\n1. All 11 reported figures qualify as systemic indicators under the applicable definitions\n2. The defined term for foreign claims on an ultimate risk basis as reported on the FR Y-15 is 'cross-jurisdictional claims'\n3. Systemic indicators are enumerated in the definitions section and include exactly 12 named indicators, of which total exposures is the one not represented in the scenario's reported figures\n4. Assets under custody is defined as assets held as a custodian on behalf of customers as reported on the FR Y-15, and qualifies as a systemic indicator\n5. Level 3 assets are defined as assets valued using Level 3 measurement inputs as reported on the FR Y-15, and qualify as a systemic indicator\n6. Underwritten transactions in debt and equity markets corresponds to total underwriting activity as reported on the FR Y-15, and qualifies as a systemic indicator" - }, - { - "id": "finance_en_prescriptive_25", - "type": "RegBench", - "query": "A Board-regulated institution holds a portfolio of securitization exposures acquired over the past 18 months. For one particular mezzanine tranche (carrying value $28 million on its balance sheet), the institution's risk management team has not maintained any documented analysis of the structural features, underlying credit performance data, or market characteristics of the exposure since it was acquired. The institution's compliance officer argues that because the tranche is backed by a pool of revolving consumer credit lines and the institution has applied a 1,250 percent risk weight to the position, no further due diligence documentation is required. A second exposure in the same securitization vehicle is a credit-linked note with a notional amount of $15 million; the institution purchased this as protection from a counterparty that is itself a securitization special purpose entity, and the institution has chosen not to recognize it as a credit risk mitigant. Determine: (1) whether the compliance officer's argument regarding the due diligence exemption for the mezzanine tranche is correct, and (2) how the institution must determine the risk weight for the credit-linked note exposure given the nature of the counterparty.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-k-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-k-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-k-1-iii-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-c-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: If the credit-linked note has a first-priority claim on cash flows from the underlying exposures of the securitization SPE, the institution may apply the special treatment under § 217.142(a)(5) rather than the standard hierarchy.\nRequired findings:\n1. Replace \"§ 217.142(k) (nth-to-default credit derivatives)\" with \"§ 217.142(k) (small-business loans and leases on personal property transferred with recourse)\"; if referring to nth-to-default credit derivatives, cite § 217.142(l) instead.\n2. The mezzanine tranche assigned 1,250 percent under the standard hierarchy of approaches is not 'subject to § 217.142(k)' and therefore does not qualify for the due diligence documentation exemption; the compliance officer's argument is incorrect.\n3. The institution remains obligated to conduct and document a comprehensive analysis of the mezzanine tranche's structural features, underlying credit performance, and market data under § 217.141(c)(2).\n4. For the credit-linked note where the institution chooses not to recognize it as a credit risk mitigant, the exposure amount must be determined under the OTC derivative / § 217.132(c) framework.\n5. Because the counterparty on the credit-linked note is a securitization SPE, the risk weight must be determined under the securitization risk-weighting rules of § 217.142 (not the standard counterparty risk-weight rules that would apply to a non-SPE counterparty).\n6. If the credit-linked note has a first-priority claim on cash flows from the underlying exposures of the securitization SPE, the institution may apply the special treatment under § 217.142(a)(5) rather than the standard hierarchy." - }, - { - "id": "finance_en_prescriptive_26", - "type": "RegBench", - "query": "A Board-regulated institution that is not subject to the advanced approaches framework holds a mezzanine tranche in a residential mortgage-backed securitization. The institution is evaluating the risk weight for this tranche using the simplified supervisory formula approach. In the course of that calculation, it needs to determine the attachment point (parameter A) for the tranche. The securitization pool has $500 million in outstanding principal across all underlying exposures. The tranche immediately subordinate to the institution's position has a current balance of $60 million, and there is a reserve account funded entirely by accumulated cash flows from the underlying exposures with $8 million currently on deposit; this reserve account is contractually subordinated to the institution's tranche. The institution's tranche has a current par value of $75 million and is pari passu with no other tranches. Separately, the institution also holds, as a securitization exposure, an OTC interest rate swap with the securitization vehicle in which the swap has a remaining maturity of three years, a notional principal of $200 million, a current positive fair value of $1.2 million, and no qualifying master netting agreement applies. The institution uses the current exposure methodology for its OTC derivative contracts. Compute (1) the attachment point (parameter A) for the mezzanine tranche, (2) the detachment point (parameter D) for the mezzanine tranche, and (3) the exposure amount of the interest rate swap securitization exposure that would be used as an input to the gross-up approach calculation.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.34-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-b-1-ii-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-c-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-c-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-b-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-e-2-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total exposure amount of the swap = $1.2M + $1.0M = $2.2M\nRequired findings:\n1. Parameter A = ($60M subordinate tranche + $8M subordinated reserve account) / $500M = $68M / $500M = 0.136\n2. The reserve account funded by accumulated cash flows and contractually subordinated to the institution's exposure is includable in the numerator of parameter A\n3. Parameter D = 0.136 + ($75M institution tranche / $500M) = 0.136 + 0.150 = 0.286\n4. The exposure amount of the interest rate swap securitization exposure is calculated using the current exposure methodology (CEM)\n5. Current credit exposure of the swap = max($1.2M fair value, 0) = $1.2M\n6. PFE of the swap = $200M notional × 0.005 conversion factor (interest rate, 1–5 year remaining maturity) = $1.0M\n7. Total exposure amount of the swap = $1.2M + $1.0M = $2.2M" - }, - { - "id": "finance_en_prescriptive_27", - "type": "RegBench", - "query": "Midwest Community Bancshares is a state member bank supervised by the Federal Reserve. At the end of its most recent quarter, the bank reported total assets of $18.4 billion on its Call Report. Its trading assets stood at $1.6 billion and trading liabilities at $0.3 billion, for combined aggregate trading assets and liabilities of $1.9 billion. The bank's chief risk officer is evaluating whether the institution must comply with the market risk capital framework applicable to Board-regulated institutions with significant market risk exposure. Separately, the bank's primary federal regulator has informally indicated that, despite the bank meeting any applicable numeric threshold, it may consider exempting the bank from the framework given the relatively low complexity of its trading book. Determine: (1) whether Midwest Community Bancshares meets the numeric criteria that would ordinarily subject it to the market risk capital framework, showing your calculation; and (2) whether the regulator has authority to exempt the bank even if it meets those numeric criteria, and under what standard.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.201-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Exclusion requires the Board to determine both that exclusion is appropriate based on the institution's level of market risk and that exclusion is consistent with safe and sound banking practices\nRequired findings:\n1. Aggregate trading assets and liabilities = $1.9 billion; ratio to total assets = 1.9/18.4 ≈ 10.33%, which exceeds the 10% threshold\n2. Aggregate trading assets and liabilities of $1.9 billion also independently meets the $1 billion or more dollar threshold\n3. Midwest Community Bancshares meets both numeric prongs of the applicability criteria and would ordinarily be subject to the market risk capital framework\n4. The Board retains authority to exclude a Board-regulated institution that meets the numeric criteria from application of the market risk framework\n5. Exclusion requires the Board to determine both that exclusion is appropriate based on the institution's level of market risk and that exclusion is consistent with safe and sound banking practices" - }, - { - "id": "finance_en_prescriptive_28", - "type": "RegBench", - "query": "Heartland Mutual Bancorp is a bank holding company organized as a limited liability company (LLC) under state law. It is subject to the Board's regulatory capital requirements. Heartland has issued two classes of membership interests: Class A and Class B. Under the LLC agreement, both Class A and Class B holders participate equally in operating distributions and have equal voting rights. However, upon liquidation, Class B holders are entitled to receive the full return of their contributed capital before any liquidation proceeds are distributed to Class A holders. Class B holders contributed $80 million and Class A holders contributed $120 million. The LLC has total assets of $500 million and total risk-weighted assets of $350 million. No other capital instruments have been issued. Determine which class or classes of membership interests, if any, qualify as common equity tier 1 (CET1) capital, and identify the capital tier(s) under which the non-qualifying class may alternatively be recognized.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.20-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1-viii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii-b-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The LLC structure (non-stock company) triggers the Board's special framework for non-stock holding companies, which maps the CET1 criteria to LLC membership interest features rather than corporate stock characteristics.\nRequired findings:\n1. Class B membership interests do not qualify as CET1 capital because they carry a liquidation preference over Class A interests, violating the requirement that CET1 instruments be the most subordinated claim and share losses proportionately.\n2. Class A membership interests qualify as CET1 capital (assuming all other § 217.20(b) criteria are satisfied) because they bear the first-loss position in liquidation and share losses proportionately.\n3. The equal participation in operating distributions and equal voting rights between Class A and Class B do not affect the CET1 disqualification of Class B, which is driven solely by the liquidation preference.\n4. Class B interests may alternatively qualify as additional tier 1 (AT1) capital or tier 2 capital if they satisfy the applicable eligibility criteria for those tiers.\n5. The LLC structure (non-stock company) triggers the Board's special framework for non-stock holding companies, which maps the CET1 criteria to LLC membership interest features rather than corporate stock characteristics." - }, - { - "id": "finance_en_prescriptive_29", - "type": "RegBench", - "query": "A Board-regulated institution holds a securitization exposure that takes the form of an OTC interest rate swap referencing the cash flows from a pool of commercial mortgage loans. The swap is not a credit derivative and is not a cleared transaction. The institution has entered into a qualifying master netting agreement with the swap counterparty, and the exposure is collateralized by investment-grade corporate bonds with a current market value of $18 million. The institution uses the standardized approach for counterparty credit risk to calculate exposure at default for this OTC derivative contract. Under that approach, the current replacement cost of the swap is $4.2 million and the potential future exposure add-on is $1.8 million. The institution has determined that this securitization exposure does not require a deduction from common equity tier 1 capital and does not qualify for the supervisory formula approach. The institution elects not to apply the simplified supervisory formula approach. The institution also holds a purchased credit derivative from a non-securitization-SPE counterparty that it cannot recognize as a credit risk mitigant, and separately holds an eligible guarantee from an eligible double default guarantor covering a wholesale corporate exposure with an EAD of $25 million; the protection amount is $20 million, the PD of the obligor is 0.8%, the PD of the guarantor is 0.3%, and the LGD of the hedged exposure (unadjusted) is 45% while the LGD of the guarantee is 40%. The guarantee provides the institution with the option to receive immediate payout upon triggering. Determine: (1) the exposure amount of the OTC swap securitization exposure to be used in the risk-weighting calculation, and the applicable risk weight; (2) the exposure amount of the purchased credit derivative that cannot be recognized as a credit risk mitigant; and (3) whether the double default treatment is available for the wholesale exposure, and if so, identify the protected and unprotected EAD amounts and the value of LGDg to be used in the double default capital formula.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-e-5-i-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: LGDg = 40% (the lower of the unadjusted hedged-exposure LGD of 45% and the guarantee LGD of 40%), because the guarantee provides the option for immediate payout on triggering\nRequired findings:\n1. State that the SA-CCR exposure amount/EAD is 1.4 × ($4.2M + $1.8M) = $8.4M, unless a specific special exception is shown to apply.\n2. The applicable risk weight for the OTC swap securitization exposure is 1,250%, because the exposure does not qualify for deduction, the supervisory formula approach, or the simplified supervisory formula approach\n3. The exposure amount of the unrecognized purchased credit derivative is determined under the § 217.132(c) standardized approach for OTC derivatives, not under the securitization hierarchy directly\n4. Double default treatment is available for the wholesale exposure provided the Board-approved excessive-correlation detection process is in place and all § 217.135(a) criteria are satisfied\n5. Because protection amount ($20M) is less than EAD ($25M), the exposure is split: protected EAD = $20M and unprotected EAD = $5M\n6. LGDg = 40% (the lower of the unadjusted hedged-exposure LGD of 45% and the guarantee LGD of 40%), because the guarantee provides the option for immediate payout on triggering" - }, - { - "id": "finance_en_prescriptive_30", - "type": "RegBench", - "query": "Heartland Bancorp is a Board-regulated institution that qualifies as an advanced approaches institution. It completed its parallel run process eighteen months ago and subsequently received the required notification from its primary federal regulator confirming satisfactory completion. Heartland is organized as a standalone bank holding company — it is not a consolidated subsidiary of another bank holding company, savings and loan holding company, or depository institution, and it is not a subsidiary of a non-U.S. banking organization. Heartland's compliance team is preparing its quarterly public disclosures. The team has identified three items of concern: (1) a set of qualitative disclosures describing the bank's risk management objectives and reporting systems, which have not changed since last quarter; (2) a material deterioration in the bank's credit risk profile that occurred mid-quarter, after the most recent quarterly report was filed, causing the previously reported capital adequacy figures to no longer be reflective of the institution's current risk position; and (3) certain proprietary pricing models whose disclosure the bank believes would seriously prejudice its competitive position. For each of the three items, describe what the applicable public disclosure obligations are, including timing, format, and any permissible exceptions or substitutions.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.172-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: When withholding proprietary or confidential items, Heartland must also publicly disclose the fact that specific items have not been disclosed and the reason why\nRequired findings:\n1. Heartland meets the §217.172(b) applicability conditions (advanced approaches, post-parallel-run, standalone BHC) and is therefore subject to the full §217.172(c) disclosure regime\n2. Static qualitative disclosures that do not change quarter-to-quarter (e.g., risk management objectives, reporting systems) may be made annually after Q4 rather than each quarter, provided significant changes are disclosed in the interim\n3. The mid-quarter material deterioration in credit risk profile constitutes a 'significant change' requiring a brief discussion of the change and its likely impact to be disclosed as soon as practicable after it occurs, not deferred to the next quarterly filing\n4. Heartland may withhold the specific proprietary pricing model details if disclosure would seriously prejudice its competitive position, but must substitute more general information about the subject matter of the requirement\n5. When withholding proprietary or confidential items, Heartland must also publicly disclose the fact that specific items have not been disclosed and the reason why" - }, - { - "id": "finance_en_prescriptive_31", - "type": "RegBench", - "query": "A Board-regulated institution holds a securitization exposure in the form of an OTC interest rate swap that references the cash flows from a pool of residential mortgage loans held in a special purpose entity. The swap is not a credit derivative and is not cleared through a central counterparty. The institution has determined that the exposure does not constitute a gain-on-sale or a credit-enhancing interest-only strip, and the exposure does not qualify for the supervisory formula approach. The institution has chosen not to apply the simplified supervisory formula approach. To determine the exposure amount for risk-weighting purposes, the institution must calculate the exposure at default (EAD) for this OTC derivative contract. The institution and its counterparty have executed a qualifying master netting agreement covering this swap. The current replacement cost of the swap is $4.2 million in the institution's favor. The potential future exposure add-on, calculated using the standardized approach for counterparty credit risk, is $1.1 million. No eligible financial collateral has been posted by the counterparty. What is the exposure amount of this securitization exposure that the institution must use as the basis for its risk-based capital requirement, and what risk weight must be applied to it given the hierarchy of approaches available to the institution?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-c-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-c-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The risk-weighted asset amount for this exposure = $7.42M × 12.5 = $92.75 million\nRequired findings:\n1. The exposure amount of an OTC derivative securitization exposure (other than a credit derivative) equals the EAD calculated under the counterparty credit risk rules, not the notional or carrying value\n2. Because a qualifying master netting agreement is in place, the standardized approach for counterparty credit risk (SA-CCR) must be used to calculate EAD under § 217.132(c)\n3. EAD = 1.4 × (RC + PFE) = 1.4 × ($4.2M + $1.1M) = $7.42 million\n4. The institution has exhausted the higher-priority approaches in the hierarchy (gain-on-sale/CEIO deduction does not apply; supervisory formula approach does not qualify; simplified supervisory formula approach not elected)\n5. The applicable risk weight under the residual step of the hierarchy is 1,250 percent\n6. The risk-weighted asset amount for this exposure = $7.42M × 12.5 = $92.75 million" - }, - { - "id": "finance_en_prescriptive_32", - "type": "RegBench", - "query": "Meridian Bank Holdings is an advanced approaches Board-regulated institution. As of Q3 2021, it has a portfolio of over-the-counter interest rate swap contracts with a single corporate counterparty. The gross fair value of these swaps is currently positive (i.e., the bank is owed money), and the contracts are not subject to a qualifying master netting agreement. Meridian has not yet made any election to change its methodology for measuring counterparty credit risk exposure, and the Board has not required it to do so. The corporate counterparty has no external credit rating, but Meridian holds an eligible guarantee from a sovereign protection provider whose risk weight under the standardized approach is 0%. The guarantee fully covers the notional exposure to the counterparty, and there is no maturity mismatch or currency mismatch between the guarantee and the hedged exposure. Meridian's compliance team is preparing its standardized total risk-weighted assets calculation for the quarter ending September 30, 2021. Determine: (1) which methodology Meridian must use to calculate the exposure amount for these OTC derivative contracts for purposes of standardized total risk-weighted assets as of that date, and (2) what risk weight Meridian may apply to the fully guaranteed portion of the exposure when computing risk-weighted assets under the standardized approach.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-h", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The resulting risk-weighted asset amount for the fully guaranteed exposure is 0% × exposure amount = $0 risk-weighted assets for that portion.\nRequired findings:\n1. As of September 30, 2021, the SA-CCR transition window under § 217.300(h) has not yet closed (it closes January 1, 2022), so CEM remains available as an election for advanced approaches institutions.\n2. Under §217.300(h), before January 1, 2022 an advanced approaches institution could continue using CEM unless it decided to begin using SA-CCR early and gave prior notice.\n3. Under § 217.34(a)(2), an advanced approaches Board-regulated institution must use SA-CCR under § 217.132(c) to calculate exposure amounts for all derivative contracts for purposes of standardized total risk-weighted assets.\n4. The eligible guarantee from the sovereign protection provider fully covers the exposure (P ≥ exposure amount), with no maturity mismatch or currency mismatch.\n5. Under § 217.36(c)(1), Meridian may substitute the sovereign guarantor's 0% risk weight for the corporate counterparty's risk weight for the fully covered hedged exposure.\n6. The resulting risk-weighted asset amount for the fully guaranteed exposure is 0% × exposure amount = $0 risk-weighted assets for that portion." - }, - { - "id": "finance_en_prescriptive_33", - "type": "RegBench", - "query": "A mid-sized Board-regulated institution holds a portfolio of equity derivative contracts on publicly traded common stock. The institution's aggregate trading assets and trading liabilities equal $1.2 billion, representing 8 percent of its quarter-end total assets. The institution does not qualify as an advanced approaches Board-regulated institution. For a subset of these equity derivative contracts, the institution has elected to treat them as covered positions subject to the market risk capital framework rather than as equity exposures under the general credit risk rules. For the remaining equity derivative contracts not designated as covered positions, the institution applies the Simple Risk-Weight Approach. The institution asks its compliance team to determine: (1) whether the market risk capital framework applies to this institution at all, and if so, on what basis; (2) what counterparty credit risk capital treatment applies to the equity derivative contracts that are designated as covered positions; and (3) whether the institution may omit a counterparty credit risk capital charge for the equity derivative contracts that are not designated as covered positions and are subject to the Simple Risk-Weight Approach, assuming it applies that election consistently across all such contracts.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.201-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-e-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-a-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The cross-reference to 'covered position under subpart F' in the equity derivative counterparty credit risk rule requires first confirming that subpart F is applicable to the institution before the covered-position designation is permissible.\nRequired findings:\n1. Subpart F (market risk framework) applies to this institution because its aggregate trading assets and trading liabilities equal $1.2 billion, meeting the $1 billion or more threshold, even though the 10-percent-of-total-assets threshold is not met (8% < 10%).\n2. For equity derivative contracts designated as covered positions under subpart F, the institution must calculate a counterparty credit risk capital requirement under the derivative contracts section in addition to the market risk capital charge.\n3. For equity derivative contracts not designated as covered positions that are risk-weighted under the Simple Risk-Weight Approach, the institution may elect to hold no risk-based capital against counterparty credit risk, provided the election is applied consistently to all such contracts.\n4. The institution is not an advanced approaches Board-regulated institution, which is relevant to the methodology available for calculating exposure amounts under the derivative contracts rules.\n5. The cross-reference to 'covered position under subpart F' in the equity derivative counterparty credit risk rule requires first confirming that subpart F is applicable to the institution before the covered-position designation is permissible." - }, - { - "id": "finance_en_prescriptive_34", - "type": "RegBench", - "query": "A Board-regulated institution is reviewing its capital treatment for two categories of transactions. First, it has a portfolio of repo-style transactions and eligible margin loans for which it uses the collateral haircut approach to determine exposure at default (EAD). During Phase 1 categorization of its wholesale exposures, the institution's risk team is determining which transactions must be separately identified and tracked before risk parameters are assigned. The institution has the following open positions: (1) a $200 million repo-style transaction where the counterparty has not yet delivered securities five business days after the contractual settlement date; (2) a $150 million eligible margin loan secured by investment-grade corporate bonds with a residual maturity of three years; and (3) a $75 million foreign exchange spot transaction (delivery-versus-payment structure) where the counterparty failed to deliver currency and the transaction is now 20 business days past its contractual settlement date. The institution uses the advanced internal ratings-based approach. For the failed DvP transaction, the institution's current positive exposure is $4.2 million. Determine: (a) which of these three transactions falls outside the scope of the repo-style and eligible margin loan EAD framework and must instead be treated under the unsettled transactions rules, (b) the applicable risk weight for the failed DvP transaction given the number of business days elapsed since the contractual settlement date, and (c) the resulting risk-weighted asset amount for that failed DvP transaction.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-d-7", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-b-2-ii-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.136-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.136-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The $200 million repo-style transaction and $150 million eligible margin loan remain within the collateral haircut approach framework under the counterparty credit risk rules for repo-style transactions and eligible margin loans\nRequired findings:\n1. The $75 million failed DvP foreign exchange transaction is not governed by the repo-style/eligible margin loan EAD framework and must be treated under the unsettled transactions rules because it is neither a repo-style transaction nor an eligible margin loan\n2. During Phase 1 categorization, the institution must separately identify unsettled transactions subject to the unsettled transactions rules, distinct from repo-style transactions and eligible margin loans\n3. The failed DvP transaction is 20 business days past the contractual settlement date, which falls in the 16-to-30 business day band\n4. The applicable risk weight for a DvP transaction that is 16 to 30 business days past the contractual settlement date is 625 percent\n5. RWA for the failed DvP transaction = $4.2 million × 625% = $26.25 million\n6. The $200 million repo-style transaction and $150 million eligible margin loan remain within the collateral haircut approach framework under the counterparty credit risk rules for repo-style transactions and eligible margin loans" - }, - { - "id": "finance_en_prescriptive_35", - "type": "RegBench", - "query": "Heartland Bancorp is a large U.S. bank holding company that is not a subsidiary of any other bank holding company or foreign banking organization. It qualifies as an advanced approaches Board-regulated institution and became subject to that designation on March 15, 2022. By December 31, 2023, Heartland was formally identified as a global systemically important bank holding company. In its annual GSIB surcharge calculation completed on December 15, 2024, Heartland's method 1 score came in at 285 basis points and its method 2 score came in at 410 basis points. Determine: (1) which surcharge method governs and what the applicable GSIB surcharge percentage is, and (2) on what date that surcharge first becomes operative for purposes of constraining Heartland's capital distributions — specifically, when it gets incorporated into the maximum payout ratio calculation.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.400-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.400-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.400-b-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.403-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.403-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.403-d-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Because Heartland was first identified as a GSIB in 2023, the surcharge must be incorporated into the maximum payout ratio beginning January 1, 2025 (January 1 of the year immediately following the full calendar year after identification).\nRequired findings:\n1. Heartland satisfies all three applicability conditions under the GSIB surcharge framework: it is an advanced approaches Board-regulated institution, is not a consolidated subsidiary of a bank holding company, and is not a consolidated subsidiary of a foreign banking organization.\n2. Method 1 score of 285 basis points falls in the 230–329 range, yielding a method 1 surcharge of 1.5%.\n3. Method 2 score of 410 basis points falls in the 330–429 range, yielding a method 2 surcharge of 2.0%.\n4. The GSIB surcharge equals the greater of the two method surcharges, so the applicable surcharge is 2.0% (method 2 governs).\n5. Because Heartland was first identified as a GSIB in 2023, the surcharge must be incorporated into the maximum payout ratio beginning January 1, 2025 (January 1 of the year immediately following the full calendar year after identification)." - }, - { - "id": "finance_en_prescriptive_36", - "type": "RegBench", - "query": "Heartland Mutual Insurance Holding Company is a mid-sized insurance holding company that owns a federally chartered savings bank. As of January 1, 2023, Heartland was not subject to federal bank holding company capital requirements because it qualified as an insurance savings and loan holding company under applicable definitions. In early 2025, Heartland's compliance team is reviewing whether the company faces any restrictions on paying discretionary bonuses to senior executives or making capital distributions to shareholders. The company's capital ratios are below the levels that would ordinarily trigger distribution restrictions for a Board-regulated institution. Determine whether Heartland is currently subject to restrictions on distributions or discretionary bonus payments, and identify the date on which any applicable exemption from such restrictions expires.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-c-1-v-a-3-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.306-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.306-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: After March 31, 2026, Heartland would become subject to the standard distribution and bonus restriction framework applicable to Board-regulated institutions\nRequired findings:\n1. Heartland qualifies as an insurance savings and loan holding company that was not subject to Part 217 capital requirements on January 1, 2023\n2. As of early 2025, Heartland is NOT subject to restrictions on distributions or discretionary bonus payments, notwithstanding its below-threshold capital ratios\n3. The exemption from distribution and bonus restrictions applies specifically because Heartland meets the insurance SLHC condition and the January 1, 2023 non-applicability condition\n4. The exemption covers both capital distributions and discretionary bonus payments to senior executive officers\n5. The exemption ceases to be effective after March 31, 2026\n6. After March 31, 2026, Heartland would become subject to the standard distribution and bonus restriction framework applicable to Board-regulated institutions" - }, - { - "id": "finance_en_prescriptive_37", - "type": "RegBench", - "query": "A Board-regulated institution enters into a foreign exchange forward contract with a corporate counterparty. The contract has a contractual settlement period of 12 business days, which exceeds the market standard of 2 business days for such instruments. The institution has delivered USD 50 million to the counterparty but has not yet received the agreed EUR equivalent. It is now 8 business days after the counterparty's delivery was due, and the current fair value of the EUR deliverables owed to the institution is USD 51.2 million. The institution's aggregate trading assets and trading liabilities equal USD 1.3 billion, and its quarter-end total assets are USD 18 billion. Determine: (1) whether the unsettled-transactions framework applies to this contract and, if not, how it should be treated instead; (2) the correct risk-weighted asset amount for this position; and (3) whether the institution is subject to any additional market risk capital requirements beyond the standard credit-risk framework, and on what basis.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.201-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-b-1-ii-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-e-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution is therefore subject to both Subpart D credit-risk capital requirements (for the derivative exposure) and Subpart F market risk capital requirements (due to trading book size).\nRequired findings:\n1. The contractual settlement period of 12 business days exceeds the market standard of 2 business days, so the transaction does not have a 'normal settlement period' as defined in the unsettled-transactions rule.\n2. Because the contractual settlement period is longer than the normal settlement period, the transaction is excluded from the unsettled-transactions framework and must be treated as an OTC derivative contract under the derivative contracts rule.\n3. The risk-weighted asset amount is calculated using the OTC derivative contract exposure methodology (CEM or SA-CCR), not the 1,250 percent risk weight or the non-DvP/non-PvP escalation table.\n4. The institution's aggregate trading assets and trading liabilities of USD 1.3 billion meet or exceed the $1 billion threshold, triggering applicability of the Subpart F market risk capital framework.\n5. The institution is therefore subject to both Subpart D credit-risk capital requirements (for the derivative exposure) and Subpart F market risk capital requirements (due to trading book size)." - }, - { - "id": "finance_en_prescriptive_38", - "type": "RegBench", - "query": "A holding company organized as an employee stock ownership plan (ESOP) has recently been determined to qualify as a bank holding company under the Bank Holding Company Act. The company holds no depository institution subsidiaries other than through its ESOP structure, and the Board has not yet issued any regulations specifically addressing how capital requirements apply to entities organized as employee stock ownership plans. The company's legal counsel is advising the board of directors on whether the firm must currently comply with the Board's regulatory capital framework, including minimum capital ratios and buffer requirements. Separately, a different entity — a covered savings and loan holding company organized as a personal family trust (not a business trust) — is asking the same question about its own capital compliance obligations, given that the Board has similarly not yet finalized capital regulations applicable to such trusts. For each entity, determine whether it is currently required to comply with the Board's regulatory capital framework, and identify the legal basis for your conclusion.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.502-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.502-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The personal or family trust exemption applies only to covered savings and loan holding companies, not to bank holding companies, and only when the trust is not a business trust.\nRequired findings:\n1. The ESOP bank holding company is exempt from the Board's regulatory capital framework because it is organized as an employee stock ownership plan and the Board has not yet adopted capital regulations specifically applicable to ESOPs.\n2. The personal family trust covered SLHC is exempt from the Board's regulatory capital framework because it is a personal or family trust (not a business trust) and the Board has not yet adopted capital regulations applicable to such entities.\n3. Both exemptions are conditioned on the Board's non-adoption of applicable regulations — if the Board were to finalize such rules, the exemptions would no longer apply.\n4. The ESOP exemption applies to entities qualifying as either bank holding companies or covered savings and loan holding companies organized as ESOPs.\n5. The personal or family trust exemption applies only to covered savings and loan holding companies, not to bank holding companies, and only when the trust is not a business trust." - }, - { - "id": "finance_en_prescriptive_39", - "type": "RegBench", - "query": "A Board-regulated institution uses the Internal Models Approach (IMA) for market risk capital purposes and has entered into a portfolio of equity derivative contracts with a single corporate counterparty. The institution has already computed its market risk capital charge for these contracts under its approved internal models. A compliance officer is now reviewing whether any additional capital must be held against these same equity derivative contracts, and if so, how that additional capital requirement should be calculated. Separately, another Board-regulated institution at the same firm uses the Standardized Risk-Weight Approach (SRWA) for market risk and holds a mix of equity derivative contracts — some subject to a qualified master netting agreement and some that are not. The SRWA institution's risk manager proposes to exclude only the contracts under the qualified master netting agreement from the counterparty credit risk exposure measure, while retaining the standalone contracts in the measure. Assess (1) what additional capital obligation, if any, applies to the IMA institution's equity derivative contracts beyond the market risk charge already computed, and (2) whether the SRWA institution's proposed selective exclusion approach is permissible.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-2-iii-h-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The SRWA institution's proposal to exclude only the netting-agreement contracts while retaining standalone contracts in the exposure measure is impermissible under the all-or-nothing rule.\nRequired findings:\n1. Under the IMA, the market risk capital charge alone is insufficient — the institution must also hold risk-based capital against counterparty credit risk in the equity derivative contracts.\n2. The IMA institution must treat each equity derivative contract as a wholesale exposure and compute a supplemental risk-weighted asset amount under the wholesale exposure framework (§ 217.132).\n3. Both the market risk capital charge and the supplemental counterparty credit risk charge must be held concurrently by the IMA institution.\n4. Under the SRWA, a Board-regulated institution may elect to hold no counterparty credit risk capital against equity derivative contracts, but only if that election applies to all such contracts without exception.\n5. For equity derivative contracts subject to a qualified master netting agreement under the SRWA, the institution must either include all contracts under that agreement or exclude all of them from the counterparty credit risk exposure measure — partial exclusion is not permitted.\n6. The SRWA institution's proposal to exclude only the netting-agreement contracts while retaining standalone contracts in the exposure measure is impermissible under the all-or-nothing rule." - }, - { - "id": "finance_en_prescriptive_40", - "type": "RegBench", - "query": "A bank holding company is preparing its annual systemic risk assessment and needs to determine which of its reported metrics qualify as 'systemic indicators' for purposes of the surcharge framework. The institution reports the following figures on its FR Y-15: total exposures of $2.1 trillion, intra-financial system assets of $180 billion, intra-financial system liabilities of $210 billion, securities outstanding of $95 billion, payments activity of $1.4 trillion, assets under custody of $3.8 trillion, underwriting activity in debt and equity markets of $42 billion, notional amount of OTC derivatives of $8.7 trillion, trading and available-for-sale securities of $310 billion, Level 3 assets of $28 billion, cross-jurisdictional claims of $420 billion, and cross-jurisdictional liabilities of $390 billion. The institution also reports brokered deposits of $55 billion and unsecured wholesale funding of $130 billion. How many distinct systemic indicators does this institution have, and which of the reported figures do NOT qualify as systemic indicators under the applicable definitions?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.401-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-intro-003", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-y", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.401-y-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution therefore has 12 distinct systemic indicators, not 13 or 14.\nRequired findings:\n1. There are exactly 12 systemic indicators enumerated in the applicable definition, corresponding to the 12 FR Y-15 line items listed.\n2. All 12 FR Y-15 figures reported by the institution (total exposures, intra-financial system assets, intra-financial system liabilities, securities outstanding, payments activity, assets under custody, underwriting activity, OTC derivatives notional, trading and AFS securities, Level 3 assets, cross-jurisdictional claims, cross-jurisdictional liabilities) qualify as systemic indicators.\n3. Brokered deposits ($55 billion) do NOT qualify as a systemic indicator — the term is defined elsewhere but is not included in the enumerated list of systemic indicators.\n4. Unsecured wholesale funding ($130 billion) does NOT qualify as a systemic indicator — similarly defined elsewhere but absent from the enumerated list.\n5. The institution therefore has 12 distinct systemic indicators, not 13 or 14." - }, - { - "id": "finance_en_prescriptive_41", - "type": "RegBench", - "query": "A Board-regulated institution originated a portfolio of revolving home equity lines of credit (HELOCs) and transferred them to a newly formed special purpose entity (SPE) as part of a traditional securitization. The HELOCs allow borrowers to draw, repay, and redraw amounts up to an agreed credit limit at any time during the draw period. The SPE issued asset-backed securities to third-party investors, and the transferred exposures are no longer reported on the institution's consolidated balance sheet under GAAP. The institution transferred all credit risk associated with the underlying exposures to the third-party investors, and the only call option retained is a clean-up call that qualifies as an eligible clean-up call. The institution holds no residual interest or other securitization exposure in connection with this transaction. May the institution exclude the transferred HELOC exposures from its risk-weighted asset calculation, and what capital treatment applies to the transferred exposures?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.141-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-a-4-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Because the institution retains no securitization exposures in connection with the transaction, it is not required to hold additional risk-based capital against any retained interest\nRequired findings:\n1. The four conditions of §217.141(a) must all be satisfied for the institution to exclude transferred exposures from risk-weighted assets\n2. Condition (4) requires that the securitization not include line-of-credit exposures under (4)(i) and not contain an early amortization provision under (4)(ii).\n3. HELOCs satisfy the revolving-exposure prong of condition (4)(i) because borrowers may vary the drawn amount within an agreed credit limit\n4. Because the securitization includes HELOCs covered by §217.141(a)(4)(i), condition (4) is not satisfied even if there is no early amortization provision.\n5. The institution may not exclude the transferred HELOC exposures from risk-weighted assets and must hold capital against them as if they had not been securitized.\n6. Because the institution retains no securitization exposures in connection with the transaction, it is not required to hold additional risk-based capital against any retained interest" - }, - { - "id": "finance_en_prescriptive_42", - "type": "RegBench", - "query": "A Board-regulated institution acts as a clearing member client and has entered into a derivatives transaction that it wishes to treat as a cleared transaction for risk-weighting purposes. The transaction is booked through a clearing member, and the institution's collateral is held in an omnibus account established under 17 CFR parts 190 and 300. The institution has conducted a legal review and prepared written documentation concluding that, in the event of the clearing member's insolvency, the collateral arrangement would be found legal, valid, binding, and enforceable by the relevant courts. However, the transaction documents do not contain any provision allowing the offsetting transaction to be transferred to another clearing member if the current clearing member defaults or enters receivership. The institution's compliance team is evaluating whether all operational requirements have been satisfied to recognize this exposure as a cleared transaction. Identify which operational requirements are met and which, if any, are not satisfied, and state whether the institution may recognize the exposure as a cleared transaction for risk-weighting purposes.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.3-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-4", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Because § 217.3(a)(4) is not satisfied, the institution may NOT recognize the exposure as a cleared transaction for risk-weighting purposes\nRequired findings:\n1. The omnibus account under 17 CFR parts 190 and 300 satisfies the collateral-segregation requirement of § 217.3(a)(2)\n2. The institution's legal review with written documentation satisfies the enforceability requirement of § 217.3(a)(3)\n3. The absence of a transferability provision in the transaction documents means the requirement of § 217.3(a)(4) is not met\n4. All four sub-requirements of § 217.3(a) must be satisfied to recognize an exposure as a cleared transaction\n5. Because § 217.3(a)(4) is not satisfied, the institution may NOT recognize the exposure as a cleared transaction for risk-weighting purposes" - }, - { - "id": "finance_en_prescriptive_43", - "type": "RegBench", - "query": "A Board-regulated institution uses internal models to measure the specific risk of its debt trading portfolio and calculates an incremental risk measure. Over the past 12 weeks, the institution's weekly incremental risk measures (in millions of dollars) were as follows: Week 1: $210M, Week 2: $195M, Week 3: $220M, Week 4: $230M, Week 5: $215M, Week 6: $205M, Week 7: $225M, Week 8: $240M, Week 9: $218M, Week 10: $212M, Week 11: $228M, Week 12: $235M. The most recent (Week 12) incremental risk measure is $235M. The institution's incremental risk model operates under a constant level of risk assumption, with liquidity horizons assigned to positions ranging from six weeks to four months. The institution does not have a comprehensive risk model. Determine the institution's incremental risk capital requirement and identify which of the two candidate values drives the requirement.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.208-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.208-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.208-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.208-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.208-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.208-c-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The most recent incremental risk measure, not the 12-week average, drives the capital requirement in this scenario\nRequired findings:\n1. The incremental risk capital requirement is the greater of the 12-week average incremental risk measure or the most recent incremental risk measure\n2. The 12-week average incremental risk measure equals $2,633M / 12 ≈ $219.4M\n3. The most recent (Week 12) incremental risk measure is $235M\n4. $235M > $219.4M, so the most recent measure is the binding value\n5. The incremental risk capital requirement is $235M\n6. The most recent incremental risk measure, not the 12-week average, drives the capital requirement in this scenario" - }, - { - "id": "finance_en_prescriptive_44", - "type": "RegBench", - "query": "A large depository institution holding company is evaluating whether a newly acquired entity qualifies as a 'capital-regulated company' under the building block approach used for insurance organization capital assessment. The acquired entity is a state-chartered trust company that functions solely in a trust or fiduciary capacity. It holds a state banking license and is directly subject to the state banking regulator's capital adequacy framework, which requires it to maintain minimum capital ratios. The holding company's compliance team is also reviewing a second entity: a foreign bank organized under the laws of Germany that engages directly in the business of banking outside the United States and is subject to the European Central Bank's supervisory capital requirements. For each entity, determine: (1) whether it meets the definition of a 'financial entity,' and (2) whether it qualifies as a 'capital-regulated company.' Additionally, the holding company wants to confirm whether the overall enterprise — a top-tier depository institution holding company that, as of June 30 of the prior calendar year, held 31 percent of its total consolidated assets (calculated under GAAP) in insurance underwriting companies (excluding assets associated with insurance underwriting for credit risk) — constitutes a 'supervised insurance organization' subject to the building block capital framework.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.602-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.602-iii-a-i-b-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 25 percent asset threshold for supervised insurance organization status excludes assets associated with insurance underwriting for credit risk, and the 31 percent figure must be calculated under GAAP (or estimated subject to Board review if GAAP is not used for any regulatory purpose).\nRequired findings:\n1. The state-chartered trust company functioning solely in a trust or fiduciary capacity qualifies as a 'financial entity' because that category is explicitly enumerated in the financial entity definition.\n2. The trust company qualifies as a 'capital-regulated company' because it is a depository institution (satisfying the first prong) and is directly subject to a state banking regulator's capital adequacy framework (satisfying the second prong).\n3. The German foreign bank qualifies as a 'financial entity' because an organization organized under the laws of a foreign country that engages directly in the business of banking outside the United States is explicitly included in the financial entity definition.\n4. The German foreign bank qualifies as a 'capital-regulated company' because it is a foreign bank subject to ECB supervisory capital requirements, satisfying both prongs of the capital-regulated company definition.\n5. The holding company qualifies as a 'supervised insurance organization' because it is a top-tier depository institution holding company that held 31 percent of its total consolidated GAAP assets in insurance underwriting companies as of June 30 of the prior year, exceeding the 25 percent threshold.\n6. The 25 percent asset threshold for supervised insurance organization status excludes assets associated with insurance underwriting for credit risk, and the 31 percent figure must be calculated under GAAP (or estimated subject to Board review if GAAP is not used for any regulatory purpose)." - }, - { - "id": "finance_en_prescriptive_45", - "type": "RegBench", - "query": "Heartland Mutual Holdings is a supervised insurance organization that is being evaluated for its building block structure under the Board's insurance capital framework. The organization's corporate structure includes the following entities: (1) Heartland Mutual Holdings, Inc. (the top-tier holding company, not a depository institution holding company); (2) Heartland Life Insurance Co. (a life insurer subject to NAIC RBC, which is scalar compatible); (3) Heartland Bank, N.A. (a national bank regulated by the OCC, subject to OCC capital rules under Part 3); (4) Heartland Bank Holding Corp. (a depository institution holding company that directly owns Heartland Bank, N.A. and is itself owned by Heartland Mutual Holdings, Inc.); (5) Heartland Reinsurance Ltd. (a Cayman Islands reinsurer not subject to any regulatory capital framework); and (6) SPE Funding LLC (a special purpose entity that entered into a reinsurance transaction with Heartland Life Insurance Co., is material, and Heartland Life Insurance Co. is expected to absorb 55% of SPE Funding LLC's expected losses — SPE Funding LLC is not otherwise listed on FR Y-6 or FR Y-10 and is not classified as an affiliate under NAIC SSAP No. 25 / Schedule Y). Heartland Mutual Holdings, Inc. directly owns 100% of Heartland Bank Holding Corp. and 80% of Heartland Life Insurance Co. Heartland Bank Holding Corp. owns the remaining 20% of Heartland Life Insurance Co. Heartland Reinsurance Ltd. is wholly owned by Heartland Life Insurance Co. and engages solely in reinsurance underwriting but has no scalar-compatible regulatory capital framework applied to it. For purposes of this analysis, assume the Board has determined scalars for NAIC RBC (life) and for the OCC's Part 3 framework, but has not determined a scalar (nor a provisional scalar based on materiality) for any framework applicable to Heartland Reinsurance Ltd. Identify which entities qualify as inventory companies, determine the indicated capital framework for each inventory company, identify which entities are building block parents, and calculate Heartland Bank Holding Corp.'s allocation share of Heartland Life Insurance Co. as a downstream building block parent.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.605-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-1-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-1-i-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-1-ii-04", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-d-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Heartland Bank Holding Corp.'s allocation share of Heartland Life Insurance Co. is 20%, reflecting its direct equity ownership stake\nRequired findings:\n1. SPE Funding LLC qualifies as an inventory company because it entered into a reinsurance transaction with an inventory company, is material, and Heartland Life Insurance Co. is expected to absorb more than 50% (specifically 55%) of its expected losses\n2. Heartland Bank, N.A.'s indicated capital framework is OCC Part 3 (not subparts A–F of Part 217) because it is a depository institution whose appropriate primary Federal regulator is the OCC\n3. Heartland Reinsurance Ltd.'s indicated capital framework is NAIC RBC (life) because it is engaged in reinsurance underwriting and is not subject to a scalar-compatible regulatory capital framework\n4. Heartland Reinsurance Ltd. is NOT a building block parent because the Board has not determined a scalar or provisional scalar for its indicated capital framework, failing the requirement in the building block parent identification step\n5. Heartland Bank Holding Corp. is a building block parent as the top-tier depository institution holding company in the supervised insurance organization\n6. Heartland Life Insurance Co. is a building block parent because its indicated capital framework (NAIC RBC life) differs from that of its next upstream building block parent candidate and the Board has determined a scalar for NAIC RBC (life)\n7. Heartland Bank Holding Corp.'s allocation share of Heartland Life Insurance Co. is 20%, reflecting its direct equity ownership stake" - }, - { - "id": "finance_en_prescriptive_46", - "type": "RegBench", - "query": "Midwest Community Bank, a Board-regulated institution, originated a portfolio of revolving home equity lines of credit (HELOCs) totaling $500 million in outstanding drawn balances. The bank structured a traditional securitization, transferring these exposures to a newly formed special purpose entity (SPE). The SPE issued asset-backed securities to third-party investors. Under GAAP, the transferred exposures were removed from the bank's consolidated balance sheet. The bank transferred credit risk associated with the underlying exposures to the third-party investors. The securitization structure includes a standard clean-up call that allows the bank to repurchase the remaining pool when the outstanding balance falls below 10% of the original pool balance. The securitization also contains an early amortization provision triggered if the portfolio's excess spread falls below 1.5% for two consecutive months. The bank's compliance team is evaluating whether the transferred exposures may be excluded from the bank's risk-weighted asset calculation. Determine whether the bank satisfies all operational requirements to exclude these exposures from its risk-weighted assets, identify which specific condition or conditions are not met, and describe the regulatory capital consequences that follow from any failure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-003", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a-4-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The bank must deduct from CET1 capital any after-tax gain-on-sale resulting from the securitization transaction.\nRequired findings:\n1. Conditions (a)(1), (a)(2), and (a)(3) are satisfied: exposures are off-balance-sheet under GAAP, credit risk was transferred to third parties, and the 10% clean-up call is an eligible clean-up call.\n2. Condition (a)(4) is NOT satisfied because the securitization includes both revolving HELOC exposures (where borrowers may vary drawn amounts within an agreed limit) AND an early amortization provision.\n3. Because at least one operational condition is not met, the bank cannot exclude the $500 million in transferred exposures from its risk-weighted asset calculation.\n4. The bank must hold risk-based capital against the transferred exposures as if they had not been securitized.\n5. The bank must deduct from CET1 capital any after-tax gain-on-sale resulting from the securitization transaction." - }, - { - "id": "finance_en_prescriptive_47", - "type": "RegBench", - "query": "A large U.S. insurance holding company that is a Board-regulated depository institution holding company has an indicated capital framework of NAIC RBC. One of its downstream building block parents is a foreign insurance subsidiary domiciled in a jurisdiction whose supervisory authority may intervene — by restricting distributions and discretionary bonus payments — when a company's capital falls below 120% of its risk-based capital requirement. That jurisdiction has been assigned an OECD country risk classification of 2. The upstream building block parent's jurisdictional intervention point is 200% of its risk-based capital requirement. The downstream subsidiary's indicated capital framework is scalar compatible, and the Board has not specified a capital requirement scaling modifier for that framework. Calculate the capital requirement scaling modifier that the upstream building block parent must use when computing the downstream subsidiary's contribution to the building block capital requirement.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.606-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-b-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Because the upstream holding company's indicated capital framework is NAIC RBC, it does not scale its own building block available capital or capital requirement for BBA ratio purposes.\nRequired findings:\n1. The applicable formula is the scalar-compatible capital requirement scaling formula because the downstream building block parent's framework is scalar compatible and the Board has not specified a modifier for it.\n2. The jurisdictional adjustment (Adjustment_scaling_from) for OECD country risk classification 2 is 20% (0.20), per the jurisdictional adjustment table.\n3. Requirement_scaling_from (downstream jurisdictional intervention point) = 120% = 1.20.\n4. Requirement_scaling_to (upstream jurisdictional intervention point) = 200% = 2.00.\n5. Capital requirement scaling modifier = 2.00 / (1.20 × 1.20) = 2.00 / 1.44 ≈ 1.3889.\n6. Because the upstream holding company's indicated capital framework is NAIC RBC, it does not scale its own building block available capital or capital requirement for BBA ratio purposes." - }, - { - "id": "finance_en_prescriptive_48", - "type": "RegBench", - "query": "A Board-regulated institution is applying the supervisory formula approach to determine the risk-weighted asset amount for a securitization exposure it holds. The underlying exposure pool has a total EAD of $200 million (all wholesale exposures). The institution holds a mezzanine tranche with a face amount of $30 million, and the institution's share of that tranche is 40%. All securitization exposures subordinated to this tranche total $20 million; there are no gain-on-sale amounts or CEIOs associated with the securitization, and no unfunded reserve accounts. The capital requirement on the underlying exposures (inclusive of expected credit losses), calculated as if the institution held them directly, is $18 million. Using the supervisory formula approach, determine: (1) the values of KIRB, L, T, UE, and TP; (2) which SFA risk-based capital requirement case applies; (3) the SFA risk-based capital requirement for the exposure (assuming S[L+T] − S[L] = 0.0095 and F·T = 0.0024); and (4) the resulting risk-weighted asset amount for this securitization exposure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.143-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-c-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e-5", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Risk-weighted asset amount = $0.76M × 12.5 = $9.5 million\nRequired findings:\n1. UE = $200 million; TP = 0.40; KIRB = 0.09; L = 0.10; T = 0.15\n2. KIRB (0.09) is less than or equal to L (0.10), so the case where KIRB ≤ L applies\n3. The SFA risk-based capital requirement equals UE × TP × max(F·T, S[L+T] − S[L])\n4. max(F·T, S[L+T] − S[L]) = max(0.0024, 0.0095) = 0.0095\n5. SFA risk-based capital requirement = $200M × 0.40 × 0.0095 = $0.76 million\n6. Risk-weighted asset amount = $0.76M × 12.5 = $9.5 million" - }, - { - "id": "finance_en_prescriptive_49", - "type": "RegBench", - "query": "A Board-regulated institution operates a large trading book and uses an internal value-at-risk (VaR) model approved for market risk capital purposes. The institution's risk management team has structured its trading portfolios into three distinct buckets: (1) a portfolio of investment-grade corporate bonds and sovereign debt instruments, (2) a portfolio of listed equity positions in large-cap domestic companies, and (3) a portfolio of asset-backed securities (ABS) tranches that are not included in any correlation trading desk and are not modeled under the institution's comprehensive risk measure framework. For the corporate bond and equity portfolios, the institution's VaR model has been validated to capture all material aspects of specific risk, including event risk, idiosyncratic risk, and sensitivity to concentration changes. For the ABS tranche portfolio, the institution has not extended its VaR model to cover those positions. The institution's chief risk officer is preparing the quarterly regulatory capital report and needs to determine: (a) which portfolios, if any, require a specific risk add-on to be calculated using the standardized measurement method, and (b) which portfolios are exempt from that add-on requirement. Identify the correct treatment for each of the three portfolios and explain the regulatory basis for each determination.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.204-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b-1-i-d-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The mandatory standardized-method add-on for securitization positions not covered by the comprehensive risk model applies regardless of whether the institution's VaR model is otherwise approved for market risk capital.\nRequired findings:\n1. The corporate bond portfolio (debt positions) requires no specific risk add-on because the institution's VaR-based measure captures all material aspects of specific risk for that portfolio.\n2. The listed equity portfolio requires no specific risk add-on because the institution's VaR-based measure captures all material aspects of specific risk for that portfolio.\n3. The ABS tranche portfolio consists of securitization positions that are not modeled under the institution's comprehensive risk measure framework.\n4. Because the ABS tranches are securitization positions not modeled under the applicable comprehensive risk measure provision, the institution must calculate a specific risk add-on for that portfolio using the standardized measurement method.\n5. The exemption from the specific risk add-on for the debt and equity portfolios applies only when the VaR model captures all material aspects of specific risk, including event risk, idiosyncratic risk, and sensitivity to portfolio composition and concentration changes.\n6. The mandatory standardized-method add-on for securitization positions not covered by the comprehensive risk model applies regardless of whether the institution's VaR model is otherwise approved for market risk capital." - }, - { - "id": "finance_en_prescriptive_50", - "type": "RegBench", - "query": "A Board-regulated institution acting as an advanced approaches bank has entered into an nth-to-default credit derivative as protection provider, where the reference pool consists of five wholesale obligors. The institution has internally classified this instrument as a securitization exposure. The notional amount of the derivative is $50 million, and the instrument is off-balance sheet. The institution is evaluating whether it must hold risk-based capital against this position and, if so, how to determine the exposure amount and applicable risk weight. Separately, a trading desk at the same institution purchased an OTC credit derivative (not an nth-to-default instrument) referencing a single securitization tranche from a counterparty that is not a securitization special purpose entity. The purchased protection has a notional of $30 million and has been recognized as a credit risk mitigant under the institution's internal credit risk mitigation framework. The institution's compliance team is asking: (1) for the nth-to-default credit derivative where the institution is the protection provider, what is the correct exposure amount to use for capital purposes, and does the institution need to compute a separate counterparty credit risk capital charge against the protection purchaser; and (2) for the purchased OTC credit derivative that has been recognized as a credit risk mitigant, is the institution required to compute a separate counterparty credit risk capital requirement against the dealer from whom it purchased the protection, and what rule governs that determination?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-2-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-intro-009", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-4-ii-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-c-3-ii-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: § 217.135 double default treatment is available for nth-to-default credit derivatives subject to the requirements of § 217.142(m), establishing the cross-reference linkage between the double default framework and the securitization exposure capital rules.\nRequired findings:\n1. State that the protection provider's exposure in the nth-to-default credit derivative is the largest notional amount of the underlying exposures under § 217.142(l)(1), not automatically the $50 million derivative notional.\n2. Limit the § 217.132 counterparty-credit-risk requirement to the protection-purchaser branch in § 217.142(l)(4); for a protection provider, cite § 217.142(l)(1).\n3. For the purchased OTC credit derivative (non-nth-to-default) that has been recognized as a credit risk mitigant under § 217.145, the institution is NOT required to compute a separate counterparty credit risk capital requirement against the dealer under § 217.131 in accordance with § 217.132(c)(3).\n4. The exemption from a separate counterparty credit risk charge for the purchased credit derivative is conditioned on the instrument being recognized as a credit risk mitigant under § 217.145; if recognition is not applied, the institution must determine exposure amount under § 217.132(c) and risk weight under § 217.131 because the counterparty is not a securitization SPE.\n5. § 217.135 double default treatment is available for nth-to-default credit derivatives subject to the requirements of § 217.142(m), establishing the cross-reference linkage between the double default framework and the securitization exposure capital rules." - }, - { - "id": "finance_en_prescriptive_51", - "type": "RegBench", - "query": "A Board-regulated institution is applying the Supervisory Formula Approach (SFA) to determine risk-weighted asset amounts for a securitization exposure. The securitization pool contains three types of underlying exposures: (1) wholesale loans with a total EAD of $180 million, (2) retail loans with a total EAD of $95 million, and (3) equity positions held by the institution in several portfolio companies. For the equity positions, the institution holds the following: an on-balance sheet equity stake in a publicly traded technology firm with a carrying value of $12 million; an off-balance sheet equity derivative on the same firm's stock, where the effective notional principal amount (sized to replicate the dollar sensitivity of a hypothetical on-balance sheet position) is $8 million; and an unfunded, unconditional equity commitment to a private equity fund with a notional amount of $5 million. The institution has confirmed that none of these equity positions are equity exposures to investment funds requiring look-through treatment. Compute the adjusted carrying value of the equity exposures that must be included in the UE (amount of underlying exposures) parameter for the SFA calculation, and explain how each equity component contributes to that figure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.143-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-c-2-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The SRWA framework governs the risk-weighting of the equity exposures once their adjusted carrying values are established, with the publicly traded equity exposure subject to a 300 percent risk weight under the SRWA.\nRequired findings:\n1. The UE parameter under the SFA must include the adjusted carrying value of equity exposures as defined in § 217.151(b), not simply their carrying value or notional amounts.\n2. The on-balance sheet component of the adjusted carrying value for the publicly traded equity stake is $12 million (the institution's carrying value).\n3. Treat the derivative as a separate off-balance-sheet equity exposure contributing $8 million, because the $12 million direct stock stake is not the derivative's on-balance-sheet component.\n4. The unfunded unconditional equity commitment's adjusted carrying value equals its notional amount of $5 million.\n5. Total adjusted carrying value of equity exposures included in UE should be $25 million = $12 million + $8 million + $5 million.\n6. Total UE should be $300 million = $180 million + $95 million + $25 million.\n7. The SRWA framework governs the risk-weighting of the equity exposures once their adjusted carrying values are established, with the publicly traded equity exposure subject to a 300 percent risk weight under the SRWA." - }, - { - "id": "finance_en_prescriptive_52", - "type": "RegBench", - "query": "First National Bancorp is a Board-regulated institution that originated a pool of commercial mortgage loans and transferred them to a securitization special purpose entity. The transfer removed the loans from First National's consolidated balance sheet under GAAP, and the bank transferred credit risk associated with the underlying exposures to third-party investors. The securitization does not include any revolving credit facilities or early amortization provisions, and the only call option retained is a clean-up call that meets all standard eligibility requirements. To hedge its retained subordinate interest in the securitization, First National purchased an eligible credit derivative from a highly rated third-party protection seller (not a securitization SPE). The credit derivative covers the full principal and interest on the retained exposure. The residual maturity of the retained subordinate tranche is 4.5 years, while the credit derivative's contractual maturity is 3.5 years, creating a one-year maturity mismatch. The notional protection amount of the credit derivative is $50 million, and the retained exposure has a carrying value of $50 million. First National wishes to recognize the credit derivative as a credit risk mitigant when computing risk-weighted assets for the securitization exposure. Determine whether First National may recognize the credit derivative as a credit risk mitigant for the retained securitization exposure, and if so, calculate the adjusted protection amount that must be used when computing risk-weighted assets, given the maturity mismatch. Assume the credit derivative otherwise satisfies all eligibility criteria, and that the residual maturity of the hedged exposure for mismatch adjustment purposes is determined by the longest residual maturity among all hedged exposures covered by the instrument.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.36-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-h-1-iii-b-4-i-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: In a synthetic securitization context with multiple hedged exposures, the longest residual maturity among all hedged exposures must be used as the residual maturity for the mismatch calculation; here only one exposure is hedged so 4.5 years applies directly.\nRequired findings:\n1. All four operational criteria under the traditional securitization rules are satisfied (off-balance-sheet under GAAP, credit risk transferred, eligible clean-up call, no revolving/early-amortization features), so First National may recognize the credit derivative as a credit risk mitigant.\n2. Recognition of the credit risk mitigant is conditioned on the securitization meeting the operational criteria for traditional securitizations.\n3. A maturity mismatch exists because the hedged exposure has a residual maturity of 4.5 years while the credit derivative matures in 3.5 years.\n4. The maturity mismatch adjustment formula yields an adjusted protection amount Pa = $50M × (3.5 − 0.25) / (4.5 − 0.25) = $50M × 3.25 / 4.25 ≈ $38.24 million.\n5. The unhedged portion of the exposure is approximately $11.76 million ($50M − $38.24M), which remains subject to the applicable securitization risk weight.\n6. In a synthetic securitization context with multiple hedged exposures, the longest residual maturity among all hedged exposures must be used as the residual maturity for the mismatch calculation; here only one exposure is hedged so 4.5 years applies directly." - }, - { - "id": "finance_en_prescriptive_53", - "type": "RegBench", - "query": "Meridian Bank, a Board-regulated institution with a large and complex trading book, uses internal models for market risk capital purposes. Its risk management team is reviewing the institution's market risk capital requirements for the current quarter. The following facts are known:\n\n1. Over the preceding 60 business days, Meridian's daily VaR-based measures (calculated at a one-tail, 99.0 percent confidence level with a 10-business-day holding period) averaged $185 million. Yesterday's VaR-based measure was $210 million.\n\n2. Meridian calculates its stressed VaR-based measure at least weekly using the same internal model and the same confidence level and holding period as its VaR-based measure, but calibrated to a continuous 12-month stress period. The most recent stressed VaR-based measure was $520 million. The average stressed VaR-based measure over the preceding 12 weeks was $480 million.\n\n3. During the most recent quarterly backtesting review covering the preceding 250 business days, Meridian identified 7 exceptions — days on which the actual daily net trading loss exceeded the corresponding daily VaR-based measure.\n\n4. Meridian's VaR-based measure fully captures all material aspects of specific risk for its equity portfolio (fair value $2.4 billion), meaning no specific risk add-on is required for that portfolio. However, for its corporate debt portfolio (fair value $3.1 billion), the VaR-based measure does not capture all material aspects of specific risk, and a standardized-method specific risk add-on of $62 million has been separately calculated for that portfolio.\n\n5. Meridian has no incremental risk capital requirement, no comprehensive risk capital requirement, and no capital requirement for de minimis exposures.\n\nBased on these facts, calculate Meridian's total standardized measure for market risk, showing each component. Specifically: (a) determine the applicable multiplication factor given the backtesting results and use it to derive the VaR-based capital requirement; (b) derive the stressed VaR-based capital requirement using the same multiplication factor; (c) determine whether a specific risk add-on applies to the equity portfolio and confirm the add-on for the corporate debt portfolio; and (d) sum all components to arrive at the total standardized measure for market risk.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.204-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b-1-i-d-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total standardized measure for market risk = $675.25M + $1,752M + $62M = $2,489.25M\nRequired findings:\n1. 7 backtesting exceptions over the preceding 250 business days maps to a multiplication factor of 3.65 per Table 1 to the market risk measure section\n2. VaR-based capital requirement = $185M × 3.65 = $675.25M (the 60-day average times the multiplication factor exceeds the prior day's measure of $210M)\n3. Stressed VaR-based capital requirement = $480M × 3.65 = $1,752M (the 12-week average times the multiplication factor exceeds the most recent stressed VaR-based measure of $520M), and the stressed VaR-based measure must use the same confidence level and holding period as the VaR-based measure\n4. No specific risk add-on applies to the equity portfolio because the VaR-based measure fully captures all material aspects of specific risk for that portfolio\n5. A specific risk add-on of $62M applies to the corporate debt portfolio because the VaR-based measure does not capture all material aspects of specific risk for that portfolio\n6. Total standardized measure for market risk = $675.25M + $1,752M + $62M = $2,489.25M" - }, - { - "id": "finance_en_prescriptive_54", - "type": "RegBench", - "query": "Northgate Community Bank, a Board-regulated institution subject to the advanced approaches risk-based capital rules, originates a $50 million commercial real estate loan portfolio and transfers it to a newly formed special purpose entity. The SPE issues two tranches of notes: a senior tranche of $40 million and a subordinated tranche of $10 million. Northgate retains the subordinated tranche and sells the senior tranche to third-party investors. Northgate does not consolidate the SPE on its balance sheet under GAAP, has transferred credit risk associated with the underlying loans to third parties, and the transaction contains no clean-up calls other than eligible clean-up calls. However, the underlying loans are revolving credit facilities that permit borrowers to vary drawn amounts within agreed limits, and the securitization structure includes an early amortization provision triggered if portfolio delinquencies exceed 5 percent.\n\nNorthgate's risk management team argues that because the subordinated tranche it retains is covered by a credit derivative purchased from an investment-grade bank counterparty — which fully covers the $10 million principal and interest on the subordinated position on a pro rata basis — the institution should be able to apply the standard credit risk mitigation treatment applicable to wholesale exposures with eligible credit derivatives, rather than treating the retained position as a securitization exposure.\n\nDetermine: (1) whether Northgate may exclude the transferred loans from its risk-weighted asset calculation; (2) whether the retained subordinated tranche qualifies for treatment as a wholesale exposure with credit risk mitigation rather than as a securitization exposure; and (3) what risk-based capital framework applies to the retained subordinated tranche and the purchased credit derivative covering it.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-a-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-c-3-ii-b-4", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The purchased credit derivative covering the retained securitization exposure is governed by the securitization guarantees and credit derivatives rules, not the wholesale CRM rules: if recognized as a credit risk mitigant under the applicable securitization credit risk mitigation section, no separate counterparty credit risk capital requirement is required; if not recognized, the exposure amount is determined under the OTC derivative counterparty credit risk rules and risk-weighted under the wholesale exposure framework because the protection seller is not a securitization SPE.\nRequired findings:\n1. The two-tranche structure (senior $40M / subordinated $10M) constitutes a tranching of credit risk reflecting at least two different levels of seniority, making the retained subordinated position a securitization exposure rather than a wholesale exposure eligible for standard credit risk mitigation treatment under the guarantees and credit derivatives rules.\n2. Northgate may NOT exclude the transferred loans from its risk-weighted asset calculation because the securitization fails the operational criteria for traditional securitizations: the underlying revolving credit facilities permit borrowers to vary drawn amounts within agreed limits AND the structure contains an early amortization provision, both of which are disqualifying conditions.\n3. Because Northgate fails the operational criteria, it must hold risk-based capital against the transferred exposures as if they had not been securitized and must deduct any after-tax gain-on-sale from common equity tier 1 capital.\n4. The retained subordinated tranche is subject to the securitization risk-based capital hierarchy (supervisory formula approach, simplified supervisory formula approach, or 1,250 percent risk weight) rather than the wholesale exposure capital formula.\n5. The purchased credit derivative covering the retained securitization exposure is governed by the securitization guarantees and credit derivatives rules, not the wholesale CRM rules: if recognized as a credit risk mitigant under the applicable securitization credit risk mitigation section, no separate counterparty credit risk capital requirement is required; if not recognized, the exposure amount is determined under the OTC derivative counterparty credit risk rules and risk-weighted under the wholesale exposure framework because the protection seller is not a securitization SPE." - }, - { - "id": "finance_en_prescriptive_55", - "type": "RegBench", - "query": "A Board-regulated institution (not subject to the advanced approaches framework) holds a position in a mezzanine tranche of a residential mortgage-backed securitization. The tranche has a par value of $25 million. The institution's position represents 40% of the par value of that tranche. Senior tranches above the mezzanine tranche have a combined par value of $180 million. The weighted-average risk weight of the underlying mortgage exposures, calculated under the standardized approach, is 75%. The institution has elected to apply the gross-up approach consistently across all of its securitization exposures rather than the simplified supervisory formula approach.\n\nBefore applying any risk-weighting methodology, the institution's compliance team must confirm that the securitization meets all operational criteria: the transferred mortgage loans are not reported on the institution's consolidated balance sheet under GAAP, credit risk associated with the underlying exposures has been transferred to third parties, any clean-up calls are eligible, and the securitization does not combine a revolving credit feature with an early amortization provision.\n\nAssuming all operational criteria are satisfied and the institution's data does not support use of the simplified supervisory formula approach for this exposure, calculate the risk-weighted asset amount for this securitization exposure under the gross-up approach. Additionally, identify the minimum risk weight floor that applies to this securitization exposure regardless of the calculated result.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.31-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-1-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-c-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-e-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-e-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-f", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: A minimum risk weight floor of 20% applies to all securitization exposures regardless of the calculated result; the calculated effective risk weight of 615% exceeds this floor\nRequired findings:\n1. The securitization exposure is excluded from general credit risk RWA under §217.31 and must be treated under the securitization framework (§§217.41–217.45)\n2. All four operational criteria under §217.41(a) must be satisfied before the gross-up approach may be applied; the scenario confirms they are met\n3. The institution's exposure amount equals $10 million (40% of the $25 million tranche par value)\n4. Pro rata share = 40%; enhanced amount = $180 million; credit equivalent amount = $10M + (0.40 × $180M) = $82 million\n5. Risk-weighted assets under the gross-up approach = $82 million × 75% = $61.5 million\n6. A minimum risk weight floor of 20% applies to all securitization exposures regardless of the calculated result; the calculated effective risk weight of 615% exceeds this floor" - }, - { - "id": "finance_en_prescriptive_56", - "type": "RegBench", - "query": "Heartland Mutual Holdings is a supervised insurance organization with a single depository institution holding company subsidiary, Heartland Bank Holding Corp. (HBHC). HBHC's indicated capital framework is the U.S. Federal banking capital rules, and its primary downstream building block parent operates under NAIC RBC. As of December 31 of the prior calendar year, HBHC reported building block available capital (excluding tier 2 and additional tier 1 capital instruments) of $4.2 billion and a building block capital requirement of $1.5 billion, both expressed in the common capital framework after applying the appropriate scaling modifiers. During the current calendar year, HBHC's eligible retained income is $180 million (positive). HBHC is considering declaring a discretionary dividend of $130 million on its tier 1 capital instruments in the current calendar year, with no other distributions or discretionary bonus payments planned. Determine whether HBHC's capital conservation buffer as of the end of the prior year is sufficient to permit this dividend payment without restriction, and calculate the maximum permissible payout amount for the current calendar year.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.603-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-iii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-d-1-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The capital conservation buffer is composed solely of building block available capital excluding tier 2 and additional tier 1 capital instruments\nRequired findings:\n1. BBA ratio = $4.2B / $1.5B = 280%\n2. Minimum capital requirement under the BBA framework is 250%\n3. Capital conservation buffer = 280% − 250% = 30%\n4. A capital conservation buffer of 30% falls in the 'less than or equal to 38 percent' band, yielding a maximum payout ratio of 0%\n5. Maximum payout amount = $180M × 0% = $0, so no distributions are permitted without Board approval\n6. The proposed $130 million dividend exceeds the $0 maximum payout amount and is therefore impermissible absent Board approval\n7. The capital conservation buffer is composed solely of building block available capital excluding tier 2 and additional tier 1 capital instruments" - }, - { - "id": "finance_en_prescriptive_57", - "type": "RegBench", - "query": "A Board-regulated institution that is not an advanced approaches institution holds a portfolio of equity derivative contracts referencing publicly traded common stock of non-financial corporations. The institution has not elected to treat any of these contracts as covered positions under the market risk capital rules. For one representative contract, the institution has an on-balance sheet component with a carrying value of $4.2 million and an off-balance sheet component. The off-balance sheet component is structured such that a $1 increase in the price of the underlying equity instrument produces a $0.85 increase in the fair value of the derivative position. The institution also has a separate equity commitment — an unconditional commitment to acquire an equity exposure with an effective notional principal amount of $10 million. The institution uses the current exposure methodology (CEM) to calculate exposure amounts for its OTC derivative contracts and has not elected to switch to SA-CCR. Describe how the institution must treat the equity derivative contract for risk-based capital purposes, identify the applicable risk-weighting framework it must use, and compute the adjusted carrying value of the equity exposure for both the representative derivative contract and the unconditional equity commitment.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.34-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-e-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-a-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-b-4-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-3-iii-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The adjusted carrying value of the unconditional equity commitment is $10 million × 100% conversion factor = $10 million.\nRequired findings:\n1. The institution must treat the equity derivative contract as an equity exposure and compute risk-weighted assets under the equity exposure framework (§§ 217.51–217.53), not solely under the derivative counterparty credit risk rules.\n2. Because the institution is not treating the contracts as covered positions under the market risk rules, it must apply the equity exposure risk-weighting framework rather than the counterparty credit risk framework for the equity derivative.\n3. The institution must use the Simple Risk-Weight Approach (SRWA) to calculate risk-weighted asset amounts for these equity exposures, since they are not equity exposures to an investment fund.\n4. The institution may elect not to hold risk-based capital against the counterparty credit risk of the equity derivative contracts if it uses SRWA, provided it does so consistently for all such contracts.\n5. The adjusted carrying value of the on-balance sheet component of the representative equity derivative is $4.2 million (the institution's carrying value).\n6. The adjusted carrying value of the off-balance sheet component equals the effective notional principal amount (the hypothetical on-balance sheet position size producing the same dollar fair-value change, reflecting the $0.85 delta) minus the $4.2 million on-balance sheet adjusted carrying value.\n7. The adjusted carrying value of the unconditional equity commitment is $10 million × 100% conversion factor = $10 million." - }, - { - "id": "finance_en_prescriptive_58", - "type": "RegBench", - "query": "A supervised insurance organization subject to the Building Block Approach is evaluating the capital requirement for one of its building block parents, InsureCo A. InsureCo A's building block contains two downstream building block parents: DownstreamCo B and DownstreamCo C. The organization provides the following data:\n\n- InsureCo A's standalone company capital requirement (before any adjustments): $180 million\n- InsureCo A holds $12 million in internal receivables from DownstreamCo B, representing potential default exposure within the supervised insurance organization\n- InsureCo A's company capital requirement, recalculated excluding all intra-group default risk charges, is $165 million\n- InsureCo A applies a permitted accounting practice that, if reversed, would increase its required capital by $8 million\n- DownstreamCo B's building block capital requirement (recalculated assuming no upstream investment in InsureCo A): $90 million; capital requirement scaling modifier: 1.0; InsureCo A's allocation share of DownstreamCo B: 60%\n- DownstreamCo C's building block capital requirement (recalculated assuming no upstream investment in InsureCo A): $50 million; capital requirement scaling modifier: 0.85; InsureCo A's allocation share of DownstreamCo C: 100%\n- InsureCo A holds $5 million in its own capital instruments (net long position)\n- InsureCo A's company capital requirement, recalculated after removing the $5 million self-investment, is $174 million (after prior adjustments)\n- InsureCo A has no title insurance reserves and no intermediary entity elections\n\nCalculate InsureCo A's total building block capital requirement, applying all required adjustments in the correct sequence and aggregating contributions from all downstream building block parents.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.602-intro-005", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.602-intro-038", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-4-i-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: InsureCo A's total building block capital requirement = $174M + $54M + $42.5M = $270.5 million\nRequired findings:\n1. The definition of 'building block capital requirement' in § 217.602 directs the reader to § 217.607 for the operative formula and adjustment rules\n2. InsureCo A's company capital requirement after the internal credit risk charge deduction (§ 217.607(b)(1)) is $165 million ($180M − $15M)\n3. After the permitted accounting practice adjustment (§ 217.607(b)(2)), InsureCo A's adjusted company capital requirement increases by $8 million to $173 million\n4. After the own-capital-instrument investment adjustment (§ 217.607(b)(4)), InsureCo A's adjusted company capital requirement is $174 million\n5. BBCRADJ for DownstreamCo B = $90M × 1.0 × 0.60 = $54 million\n6. BBCRADJ for DownstreamCo C = $50M × 0.85 × 1.00 = $42.5 million\n7. InsureCo A's total building block capital requirement = $174M + $54M + $42.5M = $270.5 million" - }, - { - "id": "finance_en_prescriptive_59", - "type": "RegBench", - "query": "A Board-regulated institution holds a portfolio of securitization positions in its trading book. The institution's value-at-risk (VaR) model has been reviewed and determined not to capture all material aspects of specific risk for these securitization positions, and none of these positions have been approved for modeling under the correlation trading framework. The portfolio includes a mezzanine tranche of a non-resecuritization collateralized loan obligation (CLO). The underlying loan pool has the following characteristics: weighted-average capital requirement of the underlying exposures (calculated under the standardized credit risk framework) of 9.6%, with 12% of the underlying exposures (by dollar balance) meeting one or more stress criteria — including loans 90 or more days past due, loans in foreclosure, or loans in default. The tranche has a current attachment point of 8% and a detachment point of 14% of the current dollar amount of underlying exposures. The underlying loan contracts require quarterly payments. The institution last refreshed its exposure-level data 85 calendar days ago. The institution's compliance team must determine: (1) which measurement method applies to these securitization positions given the VaR model's limitations; (2) whether the institution's data is sufficiently current to use the preferred risk-weighting calculation for the tranche; and (3) what specific risk-weighting factor to assign to the mezzanine tranche, showing all intermediate calculations.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.203-c-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.203-c-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.203-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-b-2-vi-d-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.211-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.211-b-2-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.211-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.211-c-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The final specific risk-weighting factor is 100% under §217.211(c)(1), because D = 0.14 <= KA = 0.14448.\nRequired findings:\n1. Because the institution's VaR-based measure does not capture all material aspects of specific risk for the securitization positions and those positions are not modeled under the correlation trading framework, the standardized measurement method for specific risk applies to these positions\n2. The institution's data, refreshed 85 calendar days ago, satisfies the 91-calendar-day currency requirement for underlying exposures with quarterly payment contracts, making the SSFA available\n3. KG = 0.096 (reflecting a weighted-average risk weight of 120% on underlying exposures, since KG equals the weighted-average capital requirement expressed as a decimal)\n4. W = 0.12 (the fraction of underlying exposures meeting stress criteria such as 90+ days past due, in foreclosure, or in default)\n5. KA should be calculated as (1 - 0.12) x 0.096 + (0.5 x 0.12) = 0.14448; since D = 0.14 <= KA, the position receives a 100% specific risk-weighting factor under §217.211(c)(1).\n6. The supervisory calibration parameter p = 0.5 because the position is a securitization position that is not a resecuritization position\n7. The final specific risk-weighting factor is 100% under §217.211(c)(1), because D = 0.14 <= KA = 0.14448." - }, - { - "id": "finance_en_prescriptive_60", - "type": "RegBench", - "query": "A Board-regulated institution that is not an advanced approaches institution acts as a clearing member client for a portfolio of interest rate swap contracts cleared through a qualifying central counterparty (QCCP). The institution has not made any election to use an alternative exposure methodology for its OTC derivative contracts. The institution also holds a $12 million equity stake in a diversified investment fund. The fund's prospectus permits investments in corporate equities (up to 60% of assets), investment-grade corporate bonds (up to 30% of assets), and speculative-grade sovereign debt (up to 20% of assets). The institution cannot obtain the fund's underlying holdings on a position-by-position basis, but it can verify the fund's investment limits from the prospectus. The institution's legal team has confirmed that the collateral it posts to the QCCP through its clearing member is subject to an arrangement that fully protects it from losses arising from the joint default or concurrent insolvency of the clearing member and other clearing member clients, and the institution has documented this conclusion with a well-founded legal review. For the cleared interest rate swaps, the current credit exposure across the netting set is $4.2 million and the potential future credit exposure add-on is $1.8 million. No collateral posted by the institution is held in a non-bankruptcy-remote manner. Determine: (1) the risk weight applicable to the cleared swap transactions with the QCCP, (2) the trade exposure amount for the cleared derivative netting set, and (3) the risk-weighted asset amount for the institution's equity exposure to the investment fund, identifying which look-through method applies and the resulting risk weight used.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.34-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-a-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-b-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Risk-weighted asset amount for the $12 million fund equity exposure = $12M × 100% = $12 million\nRequired findings:\n1. The institution uses CEM (not SA-CCR) to calculate the exposure amount for the cleared derivative netting set because it is not an advanced approaches institution and has not elected SA-CCR under the relevant provision of § 217.34(a)(1)\n2. Trade exposure amount for the cleared interest rate swap netting set = $4.2M + $1.8M + $0 (no non-bankruptcy-remote collateral) = $6.0 million\n3. The applicable risk weight for the cleared transactions with the QCCP is 2%, because the legal protection arrangement and documented legal review satisfy the conditions for the lower risk weight tier\n4. Risk-weighted assets for the cleared swap netting set = $6.0M × 2% = $120,000\n5. The institution must use a look-through approach under § 217.53 for its equity exposure to the investment fund, as directed by § 217.51\n6. Because position-by-position holdings are unavailable, the full look-through approach cannot be used; the simple modified look-through approach applies, using the highest risk weight of any permitted exposure type (speculative-grade sovereign debt at 100%)\n7. Risk-weighted asset amount for the $12 million fund equity exposure = $12M × 100% = $12 million" - }, - { - "id": "finance_en_prescriptive_61", - "type": "RegBench", - "query": "A Board-regulated institution holds a wholesale corporate loan to Obligor X with an exposure at default (EAD) of $80 million. The institution has purchased an nth-to-default credit derivative referencing a basket of five obligors (Obligor X is one of them) from Protection Provider Y, a highly-rated insurance company that qualifies as an eligible double default guarantor. The protection amount of the credit derivative is $60 million. The institution wishes to apply double default treatment to the protected portion of this exposure. After confirming eligibility, the institution must determine the appropriate risk weight for the unprotected portion of the exposure. The unprotected portion does not qualify for the supervisory formula approach. The institution has elected not to apply the simplified supervisory formula approach to the unprotected portion. Separately, for a different securitization exposure held by the same institution — a mezzanine tranche with an attachment point of 8% and a detachment point of 12%, where the augmented capital requirement (KA) is calculated to be 10% — the institution must determine the correct risk-weighting methodology. The institution does not qualify for the supervisory formula approach for this tranche. Identify: (1) the capital treatment for the $20 million unprotected portion of the wholesale loan, and (2) the risk-weighting approach and resulting risk weight range applicable to the mezzanine securitization tranche, given that KA falls between the attachment and detachment points.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: If the institution does not apply the SSFA to the securitization tranche and the SFA is unavailable, the fallback is a 1,250% risk weight under the hierarchy of approaches in § 217.142(a)(4).\nRequired findings:\n1. The nth-to-default credit derivative is eligible for double default treatment only if it satisfies the conditions of § 217.142(m), as cross-referenced by § 217.135(a)(2)(ii).\n2. Because the protection amount ($60M) is less than the EAD ($80M), the exposure must be split: protected portion EAD = $60M (double default treatment) and unprotected portion EAD = $20M (standard wholesale RWA under § 217.131).\n3. The unprotected $20M portion is risk-weighted under the standard wholesale capital framework, not the securitization hierarchy.\n4. For the mezzanine securitization tranche, because KA (10%) falls between attachment point A (8%) and detachment point D (12%), the applicable SSFA rule requires a weighted-average risk weight blending 1,250% and 1,250% × KSSFA.\n5. The minimum risk weight applicable to any securitization exposure under the SSFA is 20%, and the blended risk weight must be no less than this floor.\n6. If the institution does not apply the SSFA to the securitization tranche and the SFA is unavailable, the fallback is a 1,250% risk weight under the hierarchy of approaches in § 217.142(a)(4)." - }, - { - "id": "finance_en_prescriptive_62", - "type": "RegBench", - "query": "First National Bancorp, a Board-regulated institution, has purchased an over-the-counter credit derivative from a counterparty that is not a securitization special purpose entity. The credit derivative provides protection on a pool of commercial mortgage loans that were securitized by a third party. First National cannot satisfy the conditions required to recognize the purchased credit derivative as a credit risk mitigant under the applicable credit risk mitigation rules, and therefore does not treat it as such. The notional amount of the credit derivative is $50 million, and the exposure at default (EAD) calculated under the applicable OTC derivative counterparty credit risk rules is $4.2 million. First National's internal ratings-based system assigns the counterparty an obligor rating grade corresponding to a probability of default (PD) of 0.45% and a loss given default (LGD) of 40%. The institution uses the advanced internal ratings-based approach for wholesale exposures. Determine the risk weight that First National must apply to this purchased credit derivative exposure for purposes of computing its risk-weighted asset amount, and describe the four-phase process the institution must follow to arrive at that risk weight.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-e-3-vii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-c-3-ii-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The risk weight is derived from the advanced IRB wholesale formula and is not 1,250% — the 1,250% treatment applies only under the securitization hierarchy (§ 217.142(a)), which is displaced here by the cross-reference to § 217.131 for non-SPE counterparties.\nRequired findings:\n1. Because the purchased credit derivative cannot be recognized as a credit risk mitigant under the credit risk mitigation rules, First National must determine the exposure amount using the OTC derivative counterparty credit risk EAD rules, yielding an exposure amount of $4.2 million (not the $50 million notional).\n2. Because the counterparty is not a securitization SPE, the risk weight for the exposure is determined according to the wholesale and retail risk-weighted asset mechanics section (§ 217.131), not the securitization hierarchy.\n3. The exposure is categorized as a wholesale exposure (specifically an OTC derivative contract) in Phase 1 of the four-phase process under § 217.131.\n4. In Phase 2, the counterparty obligor is assigned to a rating grade with PD = 0.45% and the exposure is assigned to a loss severity rating grade with LGD = 40%.\n5. In Phase 3, risk parameters PD = 0.45%, LGD = 40%, and EAD = $4.2 million are assigned to the wholesale exposure, and effective maturity M must also be determined.\n6. In Phase 4, the risk-weighted asset amount is computed using the IRB wholesale exposure formula (Table 1 of § 217.131) applied to the assigned risk parameters.\n7. The risk weight is derived from the advanced IRB wholesale formula and is not 1,250% — the 1,250% treatment applies only under the securitization hierarchy (§ 217.142(a)), which is displaced here by the cross-reference to § 217.131 for non-SPE counterparties." - }, - { - "id": "finance_en_prescriptive_63", - "type": "RegBench", - "query": "A Board-regulated institution holds a mezzanine tranche in a commercial mortgage-backed securitization. The securitization pool consists entirely of wholesale commercial real estate loans with no retail or equity exposures. The institution's risk management team has calculated all of the following for the underlying pool: the exposure at default of each individual loan, the loss given default for each obligor, the probability of default for each obligor, and the expected credit losses for the pool as a whole. The institution can maintain and update these calculations on an ongoing basis. The tranche the institution holds has a current face amount of $25 million. The total securitization pool has an unpaid principal balance of $500 million. Subordinated tranches below the institution's tranche total $75 million. The institution has determined that KIRB for the pool equals 0.09 (9%), the credit enhancement level L equals 0.15 (15%), and the tranche thickness T equals 0.05 (5%). The institution's tranche percentage (TP) is 100% (it holds the entire tranche). One of the underlying exposures in the pool is itself a securitization exposure — specifically, a $10 million B-piece interest in a separate CMBS transaction. For purposes of computing the amount of underlying exposures (UE) in the SFA calculation, the institution must determine how to classify and measure this embedded securitization exposure. Separately, the institution's compliance team is evaluating whether the simplified supervisory formula approach would be available as a fallback if the primary approach cannot be applied. Explain: (1) how the $10 million embedded securitization exposure should be measured and included in the UE parameter, citing the definitional standard that governs what qualifies as a 'securitization exposure' for this purpose; (2) whether the institution qualifies to use the primary risk-weighting approach for this tranche, and if so, compute the SFA risk-based capital requirement and the resulting risk-weighted asset amount; and (3) under what conditions the simplified supervisory formula approach would be available as a fallback, and what data currency requirement applies to the underlying exposure data.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.142-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: If SSFA were applicable, § 217.144(a) requires that underlying exposure data be no more than 91 calendar days old when the contracts require monthly or quarterly payments; otherwise a 1,250 percent risk weight must be assigned.\nRequired findings:\n1. The $10 million embedded B-piece is included in UE as a 'securitization exposure' (not as a wholesale EAD), with its classification governed by the definition in § 217.142(e), as cross-referenced by § 217.143(e)(1).\n2. UE = $500 million (= $490M wholesale EAD + $10M securitization exposure amount).\n3. The institution qualifies for the SFA because it can calculate all § 217.143(e) parameters on an ongoing basis, satisfying § 217.143(a).\n4. Because KIRB (0.09) is less than or equal to L (0.15), the applicable SFA branch is § 217.143(c)(2), and the capital requirement equals UE × TP × max(F·T, S[L+T] − S[L]).\n5. Risk-weighted assets for the tranche = SFA risk-based capital requirement × 12.5.\n6. SSFA is available as a fallback only if the institution does not qualify for SFA; since SFA applies here, SSFA is not available for this exposure.\n7. If SSFA were applicable, § 217.144(a) requires that underlying exposure data be no more than 91 calendar days old when the contracts require monthly or quarterly payments; otherwise a 1,250 percent risk weight must be assigned." - }, - { - "id": "finance_en_prescriptive_64", - "type": "RegBench", - "query": "Maple Re Holdings, a supervised insurance organization subject to the Building Block Approach, has identified an inventory company called Maple Conduit LLC. Maple Conduit LLC was established solely to transfer catastrophe risk from three affiliated insurers within the supervised insurance organization to unaffiliated reinsurers in the capital markets — it enters into no other transactions. Maple Conduit LLC is not a depository institution and is not subject to any regulatory capital framework. The supervised insurance organization's compliance team is considering whether to elect not to treat Maple Conduit LLC as a material financial entity. If that election is made, describe the specific adjustment that must be added to the company capital requirement of any building block parent whose building block contains a member that transacts with Maple Conduit LLC, and identify the conditions under which that adjustment is required.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.605-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-4-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The total allocation of Maple Conduit LLC's risks across all building block parents must capture all material risks and avoid double counting.\nRequired findings:\n1. Maple Conduit LLC qualifies for the material financial entity election under § 217.605(c)(2) because it engages solely in transactions that transfer risk from affiliated insurers to unaffiliated third parties.\n2. The election must be included with the first financial statements submitted to the Board after Maple Conduit LLC is included in the supervised insurance organization's inventory.\n3. A second condition for the election is that the supervised insurance organization must be able to calculate the adjustment for investments in own capital instruments (the § 217.607(b)(4) adjustment).\n4. Once the election is made, § 217.607(b)(3) requires an additive adjustment to the company capital requirement of each building block parent whose building block contains a member that transacts with Maple Conduit LLC.\n5. The adjustment equals the difference between the building block parent's company capital requirement and that requirement recalculated to include the risks of Maple Conduit LLC (excluding internal credit risks) allocated to the building block parent based on its transactions with members of that building block.\n6. The total allocation of Maple Conduit LLC's risks across all building block parents must capture all material risks and avoid double counting." - }, - { - "id": "finance_en_prescriptive_65", - "type": "RegBench", - "query": "A Board-regulated institution operates a trading book that includes a portfolio of investment-grade and high-yield corporate bond positions. The institution uses internal models to measure the specific risk of this debt portfolio, and its VaR-based measure captures all material aspects of specific risk for that portfolio. The institution also runs an incremental risk model for the same portfolio, calculating the measure at least weekly. Over the most recent 12-week period, the weekly incremental risk measures (in millions) were: 310, 295, 320, 305, 315, 300, 325, 310, 295, 330, 305, 315. The most recent week's measure was 315 million. Separately, the institution's stressed VaR-based measure for the most recent week was 480 million, and the average stressed VaR-based measure over the preceding 12 weeks was 450 million. Backtesting over the preceding 250 business days revealed 7 exceptions. Determine: (1) the institution's incremental risk capital requirement for this portfolio; (2) whether the institution is required to carry a specific risk add-on for this debt portfolio in its overall market risk capital measure; and (3) the institution's stressed VaR-based capital requirement, including the applicable multiplication factor.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.204-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b-1-i-d-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.208-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.208-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The incremental risk measure must be calculated at least weekly and the capital requirement is the greater of the 12-week average or the most recent weekly measure\nRequired findings:\n1. Incremental risk capital requirement = $315 million (greater of 12-week average of ~$310.42 million and most recent measure of $315 million)\n2. No specific risk add-on is required for the debt portfolio because the VaR-based measure captures all material aspects of specific risk for that portfolio\n3. 7 backtesting exceptions correspond to a multiplication factor of 3.65 per the applicable backtesting table\n4. Stressed VaR-based capital requirement = $1,642.5 million (average of $450 million × 3.65 = $1,642.5 million, which exceeds the most recent measure of $480 million)\n5. The incremental risk measure must be calculated at least weekly and the capital requirement is the greater of the 12-week average or the most recent weekly measure" - }, - { - "id": "finance_en_prescriptive_66", - "type": "RegBench", - "query": "A Board-regulated institution uses the advanced internal ratings-based approach for credit risk and is evaluating its capital treatment for two equity positions. First, it holds a direct equity stake in a government-sponsored entity whose credit exposures are entirely exempt from the minimum 0.03 percent probability-of-default floor applicable to wholesale obligors. The adjusted carrying value of this equity position is $18 million. Second, the institution has a wholesale loan exposure of $50 million to a mid-sized corporate obligor (PD = 0.40%, LGD = 45%, effective maturity = 2.5 years). This loan is partially covered by an eligible guarantee issued by a highly rated bank that qualifies as an eligible double default guarantor; the guarantee covers $30 million of the exposure. The protection provider has a PD of 0.10%. The institution has received prior written Board approval for its excessive-correlation detection process, has confirmed no excessive correlation exists between the obligor and the guarantor, and meets all other eligibility criteria for the specialized double-default capital treatment. The guarantee provides the institution with the option to receive immediate payout upon triggering the protection. For the equity position, determine the applicable risk weight and resulting risk-weighted asset amount. For the loan exposure, determine how the institution must split the exposure and compute the dollar risk-based capital requirement for the protected portion using the double-default formula, identifying the asset value correlation (R) and maturity adjustment coefficient (b) inputs required from the wholesale risk-weight table.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-d-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-7", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The unprotected portion ($20 million EAD) is risk-weighted under the standard wholesale AIRB mechanics, not under the double-default formula.\nRequired findings:\n1. The equity exposure to the government-sponsored entity qualifies for a zero percent risk weight because the entity's credit exposures are exempt from the 0.03% PD floor applicable to wholesale obligors, resulting in a risk-weighted asset amount of $0 on the $18 million position.\n2. Under the SRWA, the zero percent risk weight for this equity exposure is triggered by the cross-reference to the PD floor exemption in the wholesale risk-weight mechanics section, not by a standalone equity rule.\n3. Because the guarantee protection amount ($30 million) is less than the full EAD ($50 million), the institution must split the loan into a protected exposure (EAD = $30 million) and an unprotected exposure (EAD = $20 million).\n4. The dollar risk-based capital requirement for the protected portion equals KDD × $30 million, where KDD = Ko × (0.15 + 160 × PDg) and PDg = 0.10%.\n5. The asset value correlation (R) input for KDD is derived from the wholesale obligor's PD (PDo = 0.40%) using the corporate formula in the wholesale risk-weight table.\n6. The maturity adjustment coefficient (b) for KDD uses PD equal to the lesser of PDo (0.40%) and PDg (0.10%), i.e., 0.10%, per the double-default formula requirements.\n7. The unprotected portion ($20 million EAD) is risk-weighted under the standard wholesale AIRB mechanics, not under the double-default formula." - }, - { - "id": "finance_en_prescriptive_67", - "type": "RegBench", - "query": "A Board-regulated institution operates a trading book that includes a portfolio of investment-grade corporate bond positions for which its internal VaR model does not fully capture specific risk. The institution also holds, on its balance sheet, a portfolio of equity securities classified as available-for-sale (AFS). The institution has elected to opt out of recognizing accumulated other comprehensive income (AOCI) in its regulatory capital components. For the most recent quarter, the institution's backtesting results show 7 exceptions over the preceding 250 business days. The institution's VaR-based measure for the prior business day was $18 million, and the average daily VaR-based measure over the preceding 60 business days was $14 million. The specific risk add-on for the corporate bond portfolio, calculated using the standardized measurement method, is $9 million. The AFS equity portfolio has a carrying value of $50 million, which includes $4 million of net unrealized gains that are excluded from the institution's regulatory capital components due to the AOCI opt-out election. The institution seeks to determine: (1) its total standardized measure for market risk, incorporating the correct multiplication factor given its backtesting exceptions; and (2) the adjusted carrying value it must use when computing risk-weighted asset amounts for the AFS equity portfolio under the equity exposures framework.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.204-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-b-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Adjusted carrying value of the AFS equity portfolio = $50M carrying value − $4M net unrealized gains excluded from regulatory capital = $46M\nRequired findings:\n1. 7 backtesting exceptions correspond to a multiplication factor of 3.65 per Table 1 to § 217.204\n2. VaR-based capital requirement = max($18M, $14M × 3.65) = max($18M, $51.1M) = $51.1M\n3. Specific risk add-ons for the corporate bond portfolio must be calculated in accordance with the standardized measurement method under § 217.210 because the VaR model does not capture all material aspects of specific risk\n4. Total standardized measure for market risk = $51.1M (VaR-based) + $9M (specific risk add-on) = $60.1M (assuming no other components)\n5. The AOCI opt-out election triggers the adjusted carrying value rule for AFS equity exposures under the equity exposures framework\n6. Adjusted carrying value of the AFS equity portfolio = $50M carrying value − $4M net unrealized gains excluded from regulatory capital = $46M" - }, - { - "id": "finance_en_prescriptive_68", - "type": "RegBench", - "query": "A Board-regulated institution has entered into a synthetic securitization in which it uses a credit derivative to hedge a pool of corporate loan exposures. The credit derivative references an eligible guarantee from a third-party guarantor. The institution's legal counsel has confirmed enforceability of the credit risk mitigant in all relevant jurisdictions, and the securitization contains no provisions that would allow termination of credit protection due to credit quality deterioration of the underlying exposures. However, the guarantee does not satisfy the requirement that the guarantor must make payment to the institution within a specified period after a credit event is declared — a condition that appears in the definition of the relevant instrument type used in the synthetic securitization. Separately, the institution holds a $45 million equity exposure to a registered investment fund. The fund's prospectus permits investments in corporate equities (300 percent risk weight), sovereign debt (0 percent risk weight), and residential mortgage-backed securities (50 percent risk weight), with investment limits of 60 percent, 30 percent, and 40 percent respectively (totaling 130 percent). The institution does not use the full look-through approach for this fund exposure, and the exposure does not qualify as a community development equity exposure. The institution's adjusted carrying value for the fund exposure is $45 million. Using the alternative modified look-through approach, determine: (1) whether the synthetic securitization credit risk mitigant qualifies for recognition under the applicable operational criteria, and (2) the risk-weighted asset amount for the $45 million equity exposure to the investment fund.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-003", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-066", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-b-4-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-3-iii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total risk-weighted asset amount for the $45 million investment fund equity exposure = $90 million.\nRequired findings:\n1. State that 217.41(b)(1)(iii) waives only eligible-guarantee paragraph (3), not the timely-payment requirement in paragraph (7).\n2. State that the mitigant does not qualify because the unwaived timely-payment requirement remains applicable.\n3. Equity exposures to investment funds are risk-weighted under § 217.53, as directed by § 217.52(a).\n4. Under the alternative modified look-through approach in § 217.53(d), because the fund's investment limits sum to 130 percent (exceeding 100 percent), the institution must allocate to the highest risk-weight exposure type first: 60 percent to corporate equities (300% risk weight) and 40 percent to RMBS (50% risk weight), exhausting the 100 percent total.\n5. RWA for the corporate equity allocation: $45M × 60% × 300% = $81 million.\n6. RWA for the RMBS allocation: $45M × 40% × 50% = $9 million.\n7. Total risk-weighted asset amount for the $45 million investment fund equity exposure = $90 million." - }, - { - "id": "finance_en_prescriptive_69", - "type": "RegBench", - "query": "First National Bancorp is an advanced approaches Board-regulated institution that holds a portfolio of wholesale exposures partially hedged with eligible credit derivatives. One of those exposures is a $50 million term loan to a corporate obligor denominated in euros, while the credit derivative protecting it is denominated in US dollars. The bank's risk management team has determined that the institution qualifies to use its own internal estimates of foreign exchange volatility (based on a ten-business-day holding period and daily marking-to-market) rather than the flat 8% haircut prescribed for currency mismatches. The team is now preparing the quarterly capital adequacy report and needs to confirm the minimum capital ratios the institution must satisfy. Specifically: (1) Does the institution's qualification to use internal FX volatility estimates depend on its eligibility for any particular collateral or counterparty credit risk methodology under the repo-style and OTC derivatives framework, and if so, which one(s)? (2) What are the minimum common equity tier 1 capital ratio, tier 1 capital ratio, total capital ratio, and supplementary leverage ratio that this advanced approaches institution must maintain? (3) If the institution's tier 1 capital is $9.6 billion and its total leverage exposure (calculated as the sum of on-balance sheet assets and off-balance sheet exposures net of applicable deductions) is $240 billion, does it satisfy the supplementary leverage ratio requirement?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-3-ix", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-7", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-f-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: 4.0% exceeds the 3% minimum supplementary leverage ratio requirement, so the institution satisfies that requirement\nRequired findings:\n1. A Board-regulated institution may use internal FX volatility estimates (instead of the 8% flat haircut) for currency mismatches under the credit derivative hedging framework if it qualifies for the own-estimates haircuts in the collateral haircut approach, the simple VaR methodology, or the internal models methodology for repo-style transactions and OTC derivatives\n2. The own-estimates haircut qualification referenced for this purpose is found in the counterparty credit risk framework governing repo-style transactions, eligible margin loans, and OTC derivative contracts\n3. As an advanced approaches Board-regulated institution, the minimum CET1 capital ratio is 4.5%, the minimum tier 1 capital ratio is 6%, the minimum total capital ratio is 8%, and the minimum leverage ratio is 4%\n4. An advanced approaches Board-regulated institution must also maintain a supplementary leverage ratio of at least 3%\n5. The supplementary leverage ratio equals tier 1 capital divided by total leverage exposure: $9.6B / $240B = 4.0%\n6. 4.0% exceeds the 3% minimum supplementary leverage ratio requirement, so the institution satisfies that requirement" - }, - { - "id": "finance_en_prescriptive_70", - "type": "RegBench", - "query": "Heartland Mutual Holdings is a state-regulated insurer organized as an insurance bank holding company. It is not subject to the community bank leverage ratio framework. Heartland has a wholly owned subsidiary, Midland Bancorp, which qualifies as an insurance mid-tier holding company under applicable definitions. Midland Bancorp's assets and liabilities are not consolidated with those of any other depository institution holding company that controls Midland for purposes of determining that parent's capital requirements and ratios. Midland Bancorp itself is an advanced approaches Board-regulated institution and has entered into a portfolio of equity derivative contracts with various counterparties. For each of these equity derivative contracts, Midland uses the internal models approach (IMA) to calculate market risk capital. Midland has not made any election to exclude counterparty credit risk capital charges for these contracts. Determine: (1) whether Heartland Mutual Holdings is required to meet the standard minimum risk-based capital ratio requirements (common equity tier 1, tier 1, and total capital ratios), (2) whether Midland Bancorp is subject to the minimum capital requirements of this part at all, and (3) what specific additional capital calculation obligation applies to Midland Bancorp with respect to the counterparty credit risk embedded in its equity derivative contracts, including which exposure type and which methodology must be used for that supplemental risk-weighted asset computation.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-c-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-g-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-f-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-intro-002", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-2-iv-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Midland Bancorp cannot simply omit the counterparty credit risk charge for these contracts because it has not elected to exclude all such contracts from counterparty credit risk measurement (the exclusion election under the SRWA is unavailable when using the IMA).\nRequired findings:\n1. Heartland Mutual Holdings, as a state-regulated insurer insurance bank holding company subject to subpart J, is exempt from the minimum CET1, tier 1, and total capital ratio requirements (4.5%, 6%, and 8% respectively) under the insurance holding company carve-out.\n2. Because Heartland does not calculate minimum risk-based capital requirements by operation of the insurance holding company exemption, Part 217 applies directly to Midland Bancorp as an insurance mid-tier holding company subsidiary whose assets are not consolidated with a controlling depository institution holding company for capital purposes.\n3. Midland Bancorp is therefore subject to the minimum capital requirements and overall capital adequacy standards of Part 217 in its own right.\n4. Under the IMA, Midland Bancorp must hold risk-based capital against the counterparty credit risk of each equity derivative contract in addition to the market risk capital charge.\n5. The counterparty credit risk capital obligation is satisfied by treating each equity derivative contract as a wholesale exposure and computing a supplemental risk-weighted asset amount using the counterparty credit risk methodology in the advanced approaches counterparty credit risk rules (§ 217.132).\n6. Midland Bancorp cannot simply omit the counterparty credit risk charge for these contracts because it has not elected to exclude all such contracts from counterparty credit risk measurement (the exclusion election under the SRWA is unavailable when using the IMA)." - }, - { - "id": "finance_en_prescriptive_71", - "type": "RegBench", - "query": "A Board-regulated institution is an advanced approaches institution that has entered into a cross-product master netting agreement with a corporate counterparty. The agreement covers both OTC derivative contracts and repo-style transactions across multiple asset classes. The institution's legal team has obtained a written legal opinion confirming the agreement is valid and enforceable under applicable law if the counterparty fails to perform upon an event of default, including upon insolvency proceedings. The institution intends to use this agreement to net exposures when calculating risk-weighted assets under the advanced approaches framework.\n\nSeparately, the institution has also entered into a bilateral repo-style transaction with the same counterparty. The institution's legal team has conducted a legal review and concluded with a well-founded basis — supported by written documentation — that the underlying agreement meets the definitional requirements for that transaction type and is legal, valid, binding, and enforceable under applicable law.\n\nFor the cross-product master netting agreement, the institution's compliance officer asks: what specific legal documentation standard must be satisfied to recognize this agreement for netting purposes under the advanced approaches framework, and how does that standard differ from the documentation standard applicable to the repo-style transaction? Additionally, the compliance officer wants to confirm which subpart's definitions govern the terms used in the advanced approaches subpart itself.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.101-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-intro-034", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-005", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-031", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-131", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-c-1-09", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-e", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Both enforceability conclusions must cover events of default including receivership, insolvency, liquidation, or similar proceedings\nRequired findings:\n1. Recognizing a qualifying cross-product master netting agreement requires a written legal opinion (not merely a legal review) verifying validity and enforceability upon counterparty default or insolvency, per the operational requirement referencing the definition in § 217.101\n2. Recognizing a repo-style transaction requires sufficient legal review with written documentation concluding the agreement meets the repo-style transaction definition in § 217.2 and is legal, valid, binding, and enforceable\n3. The documentation standard for a cross-product master netting agreement (written legal opinion) is more prescriptive than the standard for a repo-style transaction (sufficient legal review with written documentation)\n4. The definition of 'qualifying cross-product master netting agreement' is located in § 217.101 (Subpart E), while the definition of 'repo-style transaction' is located in § 217.2 (Subpart A)\n5. § 217.101(a) provides that terms defined in § 217.2 and used in Subpart E carry the definitions assigned in § 217.2, meaning Subpart E's advanced approaches framework is governed by Subpart A definitions\n6. Both enforceability conclusions must cover events of default including receivership, insolvency, liquidation, or similar proceedings" - }, - { - "id": "finance_en_prescriptive_72", - "type": "RegBench", - "query": "Maple Ridge Financial Group is a bank holding company organized as a limited liability company (LLC) under state law. It has never issued any stock and operates entirely through membership interests. Maple Ridge has two classes of membership interests outstanding: Class A interests and Class B interests. Under the LLC agreement, both Class A and Class B holders participate equally in operating distributions and bear losses proportionate to their capital contributions. However, upon liquidation, Class B holders are entitled to receive the full return of their contributed capital before any distributions are made to Class A holders. Maple Ridge is subject to federal regulatory capital requirements as a depository institution holding company.\n\nMaple Ridge's balance sheet shows the following: Class A membership interests with a contributed capital of $180 million; Class B membership interests with a contributed capital of $120 million; retained earnings of $40 million; and total risk-weighted assets (standardized approach) of $2.8 billion. The LLC agreement contains no mandatory distribution provisions triggered by specific dates or asset-sale events.\n\nMaple Ridge's compliance team is preparing its regulatory capital filing and must determine: (1) which class or classes of membership interests, if any, qualify as common equity tier 1 (CET1) capital; (2) whether Class B interests could instead qualify under a different tier of regulatory capital; and (3) what the institution's CET1 ratio would be under the correct classification, and whether that ratio satisfies the minimum CET1 requirement applicable to a non-advanced-approaches Board-regulated institution.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-003", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-039", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-17", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii-b-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii-b-6-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The minimum CET1 ratio for a non-advanced-approaches Board-regulated institution is 4.5%, and Maple Ridge's 7.86% CET1 ratio satisfies this minimum requirement\nRequired findings:\n1. Class B membership interests do not qualify as CET1 capital because they hold a liquidation preference over Class A interests, meaning they are not the most subordinated claim and do not share losses proportionately — failing CET1 criteria (i) and (viii) under § 217.20(b)(1)\n2. Class A membership interests qualify as CET1 capital because they are the most subordinated claim in liquidation, bear losses proportionately, and the LLC agreement contains no mandatory distribution provisions that would impair full discretion over distributions\n3. Class B interests may qualify as additional tier 1 capital or tier 2 capital if they satisfy the applicable criteria under § 217.20(c) or (d), respectively\n4. CET1 capital = Class A contributed capital ($180M) + retained earnings ($40M) = $220 million\n5. CET1 ratio = $220M / $2,800M = 7.86%\n6. The minimum CET1 ratio for a non-advanced-approaches Board-regulated institution is 4.5%, and Maple Ridge's 7.86% CET1 ratio satisfies this minimum requirement" - }, - { - "id": "finance_en_prescriptive_73", - "type": "RegBench", - "query": "Midwest Clearing Bank (MCB) is a Board-regulated institution acting as a clearing member client with respect to a portfolio of centrally cleared interest rate swap contracts. MCB has posted $180 million in initial margin to its clearing member, which in turn holds the collateral at the qualifying central counterparty (QCCP). The collateral arrangement does not include any provision that would protect MCB from loss in the event of a joint default or concurrent insolvency of the clearing member and other clearing member clients, and MCB has not completed a legal review establishing that such protections exist. The cleared swaps have a current exposure of $95 million and potential future exposure of $40 million calculated under the standardized approach for counterparty credit risk. MCB's total regulatory capital structure is as follows: common equity tier 1 (CET1) capital of $2.1 billion, additional tier 1 (AT1) capital of $310 million, and tier 2 capital of $420 million. Its standardized total risk-weighted assets (before adding the cleared transaction RWA) are $18.4 billion. MCB is not an advanced approaches institution and is not designated as a Category III institution. Determine: (1) the trade exposure amount for the cleared swap portfolio, (2) the risk-weighted asset amount attributable to the cleared transactions, (3) MCB's CET1 capital ratio after incorporating the cleared transaction RWA, and (4) whether MCB satisfies the minimum CET1 capital ratio requirement.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-2-04", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-2-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-intro-002", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-d-6-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1-v", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The supplementary leverage ratio framework under §217.10(c)(2)(ii) does not apply because MCB is neither an advanced approaches institution nor a Category III institution\nRequired findings:\n1. Trade exposure amount should be $369 million, based on SA-CCR EAD of $189 million plus $180 million collateral.\n2. The 2% QCCP risk weight is unavailable because MCB lacks both the loss-protection arrangement and the requisite legal review; the applicable risk weight is 4%\n3. Cleared transaction RWA should be $14.76 million.\n4. Total standardized RWA should be $18,414.76 million.\n5. CET1 ratio should be calculated as $2,100M / $18,414.76M, which is approximately 11.40%.\n6. Minimum CET1 capital ratio requirement is 4.5%; MCB's ratio of approximately 11.40% satisfies this requirement\n7. The supplementary leverage ratio framework under §217.10(c)(2)(ii) does not apply because MCB is neither an advanced approaches institution nor a Category III institution" - }, - { - "id": "finance_en_prescriptive_74", - "type": "RegBench", - "query": "Meridian State Bank is a state member bank that is a subsidiary of a global systemically important bank holding company (GSIB). As of the last day of the previous calendar quarter, Meridian's common equity tier 1 (CET1) capital ratio stands at 8.40%, its tier 1 capital ratio at 9.80%, and its total capital ratio at 11.60%, measured against standardized risk-weighted assets of $180 billion. The GSIB parent's most recent method 1 surcharge is 2.0%. Meridian's supplementary leverage ratio is 4.2%, and its tier 1 capital for supplementary leverage ratio purposes is $17.6 billion, against a total leverage exposure of $419 billion.\n\nMeridian also holds a retained interest in a securitization it originated. The securitization pool consists entirely of wholesale and retail exposures with a total EAD of $2.4 billion. Meridian's retained tranche has a face amount of $120 million and sits above a subordinated layer of $240 million. The bank's internal models group has calculated, on an ongoing basis, the following parameters for the pool: the ratio of the sum of risk-based capital requirements plus expected credit losses on the underlying exposures to total EAD is 6.5%; the effective number of exposures (N) is 85; and the exposure-weighted average loss given default (EWALGD) is 42%. The bank's market risk VaR model does not capture specific risk for this securitization position, and the position is not a correlation trading position.\n\nFor the current calendar quarter, Meridian's net income for the four preceding quarters totals $1.05 billion, and the average net income over those same four quarters is $980 million. No distributions or associated tax effects outside of net income have occurred.\n\nDetermine: (1) whether Meridian faces any restriction on capital distributions and discretionary bonus payments this quarter, and if so, compute the maximum payout amount; and (2) what specific risk capital treatment applies to Meridian's retained securitization tranche under the standardized measurement method, including the risk-weighted asset amount for that position.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-f-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-c-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-b-2-vi-d-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-a-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Because KIRB (6.5%) is less than L (10%), the SFA risk-based capital requirement equals UE × TP × max(F·T, S[L+T] − S[L]) with F = 0.016, and the risk-weighted asset amount equals that requirement multiplied by 12.5\nRequired findings:\n1. Meridian is a state member bank subsidiary of a GSIB, so the maximum payout ratio is governed by the leverage buffer framework under § 217.11(f), not the standard capital conservation buffer table\n2. Meridian's supplementary leverage ratio is 4.20% (= $17.6B / $419B), yielding a leverage buffer of 1.20% (= 4.20% − 3.00%)\n3. The leverage buffer requirement equals 50% of the GSIB parent's method 1 surcharge of 2.0%, i.e., 1.0%\n4. The retained securitization tranche requires a specific risk add-on under the standardized measurement method because the VaR model does not capture specific risk for this position\n5. The applicable method for computing the specific risk add-on is the Supervisory Formula Approach (SFA), with KIRB = 6.5%, L = 10%, T = 5%, UE = $2.4 billion, TP = 1.0, N = 85, EWALGD = 42%\n6. Because KIRB (6.5%) is less than L (10%), the SFA risk-based capital requirement equals UE × TP × max(F·T, S[L+T] − S[L]) with F = 0.016, and the risk-weighted asset amount equals that requirement multiplied by 12.5" - }, - { - "id": "finance_en_prescriptive_75", - "type": "RegBench", - "query": "A Board-regulated institution holds a $50 million equity exposure to a registered investment fund. The fund's prospectus permits investments in corporate bonds, equity securities, and cleared interest rate swap contracts (used solely for duration hedging, not speculation, and representing less than 5% of the fund's total exposures). The institution does not have sufficient transparency into the fund's individual holdings to calculate risk-weighted asset amounts for each underlying exposure on a proportional basis. The institution's compliance team is evaluating whether the fund qualifies for a preferential 100% risk weight treatment based on the nature of the investment, or whether it must apply a look-through methodology. The fund was established under a state charter and its primary stated purpose is to provide financing to low- and moderate-income communities in the institution's assessment area; the institution is a state member bank. Under the applicable look-through methodology the institution intends to use, the highest risk weight that applies to any permissible non-hedging exposure in the fund is 100%. Determine: (1) whether the $50 million exposure qualifies for the preferential treatment that would assign a risk-weighted asset amount equal to its adjusted carrying value without applying a look-through multiplier, and (2) if it does not qualify, what is the risk-weighted asset amount under the appropriate simplified look-through approach, assuming the adjusted carrying value equals the $50 million book value.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.152-b-3-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-3-iii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-061", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-d-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Risk-weighted asset amount under the simple modified look-through approach = $50 million × 100% = $50 million.\nRequired findings:\n1. The community development equity exposure exemption under § 217.152(b)(3)(i) applies to state member banks only if the exposure qualifies as a community development investment under 12 U.S.C. 24 (Eleventh); a registered investment fund structure may not satisfy this requirement, making the look-through approach mandatory.\n2. If the community development exemption applies, the risk-weighted asset amount equals the adjusted carrying value of $50 million with no look-through multiplier.\n3. If look-through is required and the institution cannot use the full look-through approach, it may use the simple modified look-through approach or the alternative modified look-through approach.\n4. Under the simple modified look-through approach, the RWA equals the adjusted carrying value multiplied by the highest subpart D risk weight applicable to any permissible non-excluded exposure in the fund.\n5. Cleared interest rate swap contracts used solely for hedging (not speculation) that constitute less than 5% of fund exposures are explicitly excluded from the highest-risk-weight determination under the simple modified look-through approach.\n6. With the hedging swaps excluded, the highest applicable subpart D risk weight for the remaining permissible exposures (corporate bonds and equity securities) is 100%.\n7. Risk-weighted asset amount under the simple modified look-through approach = $50 million × 100% = $50 million." - }, - { - "id": "finance_en_prescriptive_76", - "type": "RegBench", - "query": "Apex State Bank is a state member bank and a wholly-owned subsidiary of a global systemically important bank holding company (GSIB). The GSIB parent's most recently calculated Method 1 surcharge is 2.5 percent. Apex State Bank reports the following capital figures as of the last day of the previous calendar quarter: tier 1 capital of $18 billion, total capital of $22 billion, and common equity tier 1 (CET1) capital of $16 billion. Its standardized total risk-weighted assets are $200 billion, and its average total consolidated assets are $240 billion. Its total leverage exposure for supplementary leverage ratio purposes is $300 billion. Apex State Bank also maintains a large portfolio of repo-style transactions that are included in its internal models-based market risk capital framework. For the repo-style transactions included in that market risk framework, the bank uses the collateral haircut approach to recognize collateral benefits for counterparty credit risk purposes. The bank's compliance team is assessing whether Apex State Bank may make discretionary bonus payments this quarter. As part of that assessment, determine: (1) whether Apex State Bank meets all applicable minimum capital ratio requirements, (2) what leverage buffer the bank holds and whether it satisfies the leverage buffer requirement applicable to it as a GSIB subsidiary, and (3) what maximum payout ratio applies to the bank's distributions and discretionary bonus payments this quarter. Additionally, confirm whether the bank's use of the collateral haircut approach for its repo-style transactions included in the market risk VaR-based measure is a permissible methodology under the counterparty credit risk rules.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-intro-002", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-2-v-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-c-4-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-f-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-f-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-f-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-2-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The VaR-based measure must be calculated using a one-tail 99.0% confidence level and a holding period equivalent to a 10-business-day movement in underlying risk factors, based on a historical observation period of at least one year\nRequired findings:\n1. Apex State Bank's supplementary leverage ratio is 18/300 = 6.0%, which satisfies the 3.0% minimum supplementary leverage ratio requirement applicable to advanced approaches or Category III Board-regulated institutions under the minimum capital rules\n2. The leverage buffer requirement for Apex State Bank as a GSIB subsidiary equals the lesser of 1.0% or 50% of the GSIB parent's Method 1 surcharge (50% × 2.5% = 1.25%), which is 1.0%\n3. Apex State Bank's leverage buffer equals its supplementary leverage ratio minus 3.0%, i.e., 6.0% − 3.0% = 3.0%\n4. Because the leverage buffer of 3.0% exceeds the leverage buffer requirement of 1.0%, no maximum payout ratio limitation applies to Apex State Bank's distributions and discretionary bonus payments this quarter\n5. The collateral haircut approach is a permissible methodology for recognizing collateral benefits on repo-style transactions included in the VaR-based measure under the market risk framework, as explicitly authorized under the counterparty credit risk collateral recognition rules\n6. The VaR-based measure must be calculated using a one-tail 99.0% confidence level and a holding period equivalent to a 10-business-day movement in underlying risk factors, based on a historical observation period of at least one year" - }, - { - "id": "finance_en_prescriptive_77", - "type": "RegBench", - "query": "A large Board-regulated institution operates a trading desk that holds a portfolio of positions including corporate bonds, equity derivatives, foreign exchange forwards, and a tranche of a residential mortgage-backed securitization. The institution's risk management team is preparing its market risk capital calculations and needs to classify each position correctly before applying the appropriate capital treatment. One of the positions is a credit derivative that the institution has recognized as a guarantee for purposes of calculating risk-weighted asset amounts under the standardized approach. A second position is a foreign exchange forward with no restrictive covenants on tradability and a two-way market available. A third position is a non-publicly-traded equity stake in a domestic operating company (not an investment company registered with the SEC). A fourth position is a corporate bond held on the trading book with the intent of short-term resale, free of restrictive covenants. The institution's chief risk officer asks the compliance team to determine which of these four positions qualify as covered positions subject to market risk capital requirements, and which must be excluded. Provide a complete classification analysis for each of the four positions, citing the applicable definitional criteria.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-c-1-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-ii-b-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-ii-b-4-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-g-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-b-2-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Foreign exchange positions are covered positions by category, without requiring a separate trading intent analysis, as long as they are not structural foreign currency positions excluded with prior supervisory approval.\nRequired findings:\n1. The credit derivative recognized as a guarantee for standardized approach RWA purposes is excluded from the definition of 'covered position' and is NOT subject to market risk capital requirements.\n2. The foreign exchange forward qualifies as a covered position because foreign exchange positions are included regardless of whether they are classified as trading assets or liabilities.\n3. The non-publicly-traded equity stake in a domestic operating company (not an SEC-registered investment company) is excluded from the covered position definition and is NOT subject to market risk capital requirements.\n4. The corporate bond held with short-term resale intent and free of restrictive covenants qualifies as a covered position because it is a trading position free of tradability restrictions.\n5. The covered position definition contains specific carve-outs that must each be checked independently; a position that otherwise meets the general trading asset criteria may still be excluded if it falls within one of the enumerated exceptions.\n6. Foreign exchange positions are covered positions by category, without requiring a separate trading intent analysis, as long as they are not structural foreign currency positions excluded with prior supervisory approval." - }, - { - "id": "finance_en_prescriptive_78", - "type": "RegBench", - "query": "A Board-regulated institution has entered into a synthetic securitization in which it uses a credit derivative to transfer credit risk on a $500 million portfolio of commercial loans to a third party. The credit derivative documentation includes a provision that allows the protection seller to terminate the arrangement if the weighted-average credit quality of the underlying loan pool deteriorates below a specified threshold. The institution's legal counsel has provided a well-reasoned opinion confirming enforceability of the credit derivative in all relevant jurisdictions, and any clean-up calls associated with the transaction qualify as eligible clean-up calls. The institution holds a $75 million equity interest in an investment fund. The fund's prospectus permits investments in corporate bonds, residential mortgage-backed securities, and equity securities of publicly traded companies. The institution cannot obtain the fund's underlying portfolio holdings and therefore cannot calculate risk-weighted asset amounts for its proportional ownership share of each exposure held by the fund. The highest risk weight that applies to any exposure the fund is permitted to hold under its prospectus is 600 percent. Determine: (1) whether the institution may recognize the credit derivative for risk-based capital purposes in connection with the synthetic securitization, and explain the capital consequence if it cannot; and (2) what risk-weighted asset amount the institution must assign to its equity exposure to the investment fund, and which look-through method applies given the institution's inability to obtain underlying holdings data.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.151-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-003", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-066", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-067", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-134", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-2-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 600 percent risk weight is the highest risk weight under subpart D applicable to any exposure the fund is permitted to hold under its prospectus, as required by the simple modified look-through approach.\nRequired findings:\n1. The credit derivative contains a termination provision triggered by deterioration in the credit quality of the underlying exposures, which disqualifies it under the operational criteria for synthetic securitizations.\n2. Because the credit derivative fails the operational criteria, the institution must hold risk-based capital against the $500 million commercial loan portfolio as if it had not been synthetically securitized, receiving no capital relief.\n3. The definition of 'eligible credit derivative' in § 217.2 is the cross-reference that governs whether the credit derivative qualifies as a credit risk mitigant for synthetic securitization purposes.\n4. For the investment fund equity exposure, the institution must use a look-through approach under the equity exposure framework introduced in § 217.151.\n5. Because the institution cannot calculate risk-weighted asset amounts for its proportional ownership share of each fund holding, the full look-through approach is unavailable.\n6. The simple modified look-through approach applies: risk-weighted asset amount = $75 million adjusted carrying value × 600% highest permissible risk weight = $450 million.\n7. The 600 percent risk weight is the highest risk weight under subpart D applicable to any exposure the fund is permitted to hold under its prospectus, as required by the simple modified look-through approach." - }, - { - "id": "finance_en_prescriptive_79", - "type": "RegBench", - "query": "Heartland State Bank, a state member bank supervised by the Federal Reserve, holds the following assets on its balance sheet as of the most recent reporting date: (1) $180 million in U.S. Treasury securities; (2) $95 million in loans fully insured by the Federal Deposit Insurance Corporation; (3) $60 million in direct loans to the government of Brazil, which is an OECD member country but has no Country Risk Classification (CRC) assigned to it; (4) $40 million in loans to a foreign bank headquartered in Germany (an OECD member with no CRC); (5) $25 million in loans to a foreign bank headquartered in Vietnam, whose home country carries a CRC of 3; (6) $15 million in preferred stock issued by Fannie Mae, a government-sponsored enterprise (GSE); and (7) $30 million in commercial real estate loans secured by income-producing properties in the United States, where the loan-to-value ratio is 85 percent. Heartland State Bank uses the standardized approach to calculate its risk-weighted assets. Determine the appropriate risk weight for each of the seven asset categories listed above, and compute the total standardized risk-weighted assets (RWA) attributable to these holdings. Assume no other adjustments or deductions apply to these specific assets.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-c-1-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-ii-b-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-f-1-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-g-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-067", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-c-4-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-4-i-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-a-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-d-2-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-l-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-l-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-l-5", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total standardized RWA for the seven asset categories equals $78 million ($0 + $0 + $0 + $8M + $25M + $15M + $30M)\nRequired findings:\n1. Heartland State Bank is a state member bank and therefore a Board-regulated institution subject to 12 CFR Part 217, required to use Subpart D methodologies for standardized risk-weighted assets\n2. U.S. Treasury securities and FDIC-insured loans each receive a 0% risk weight as exposures to or unconditionally guaranteed by the U.S. government or its agencies, resulting in $0 RWA for the combined $275 million\n3. Brazil is an OECD member sovereign with no CRC, and therefore receives a 0% risk weight under the sovereign exposure rules, resulting in $0 RWA on the $60 million sovereign loan\n4. The German foreign bank exposure receives a 20% risk weight because Germany is an OECD member with no CRC, resulting in $8 million RWA on the $40 million exposure\n5. The Vietnamese foreign bank exposure receives a 100% risk weight because Vietnam's home country CRC is 3, per the foreign bank risk-weight table, resulting in $25 million RWA on the $25 million exposure\n6. Preferred stock issued by a GSE (Fannie Mae) receives a 100% risk weight, resulting in $15 million RWA on the $15 million holding\n7. Total standardized RWA for the seven asset categories equals $78 million ($0 + $0 + $0 + $8M + $25M + $15M + $30M)" - }, - { - "id": "finance_en_prescriptive_80", - "type": "RegBench", - "query": "Heartland Mutual Holdings, Inc. is a bank holding company domiciled in the United States. Its primary operating subsidiary is a state-chartered insurance company that is regulated as a state-regulated insurer under applicable state insurance law. Heartland Mutual Holdings qualifies as an insurance bank holding company under the Board's capital rules and is subject to the Board's consolidated capital framework. The holding company has not elected to be treated under any alternative capital framework for insurance holding companies. Heartland Mutual Holdings reports the following consolidated capital figures: common equity tier 1 (CET1) capital of $3.2 billion, additional tier 1 (AT1) capital of $0.4 billion, and tier 2 capital of $0.6 billion. Its standardized total risk-weighted assets are $28 billion, and its average total consolidated assets are $35 billion. A compliance officer at the holding company is preparing the quarterly capital adequacy report and must determine: (1) whether Heartland Mutual Holdings is required to maintain the standard minimum CET1, tier 1, and total capital ratio requirements that apply to Board-regulated institutions generally; (2) whether it is required to maintain a leverage ratio; and (3) what condition, if any, must be satisfied for the exemption from the risk-based minimum capital ratios to apply. Provide a complete analysis of the holding company's minimum capital ratio obligations.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-c-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-g-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-a-1-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-f-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The exemption from risk-based minimum capital ratios under the insurance holding company provision requires both (a) status as a state-regulated insurer and (b) being subject to Subpart J — both conditions must be met\nRequired findings:\n1. An insurance bank holding company that is a state-regulated insurer is exempt from the minimum CET1, tier 1, and total capital ratio requirements only if it is subject to Subpart J of Part 217\n2. Because Heartland Mutual Holdings has not elected the alternative framework under Subpart J, the gating condition for the risk-based ratio exemption is not satisfied, and the standard minimums (4.5% CET1, 6% tier 1, 8% total capital) apply\n3. Heartland Mutual Holdings' CET1 ratio is 3.2/28 = approximately 11.43%, which exceeds the 4.5% minimum\n4. Heartland Mutual Holdings' tier 1 capital ratio is 3.6/28 = approximately 12.86%, which exceeds the 6% minimum\n5. Heartland Mutual Holdings' total capital ratio is 4.2/28 = 15.0%, which exceeds the 8% minimum\n6. An insurance bank holding company is unconditionally exempt from the leverage ratio and supplementary leverage ratio requirements, regardless of Subpart J applicability\n7. The exemption from risk-based minimum capital ratios under the insurance holding company provision requires both (a) status as a state-regulated insurer and (b) being subject to Subpart J — both conditions must be met" - }, - { - "id": "finance_en_prescriptive_81", - "type": "RegBench", - "query": "Northgate Savings Bank is a federally chartered savings association that converted to a state-chartered savings bank three years ago and is now organized as a bank holding company with its primary regulator being the Federal Reserve Board. The holding company has total consolidated assets of $38 billion and operates exclusively within the United States. It does not file form FR Y-9C or form FR Q-1. The holding company's legal counsel is advising the board of directors on whether the Federal Reserve's capital adequacy rules apply to this entity and, if so, what specific capital calculations the holding company must perform. Identify whether this holding company is subject to the Federal Reserve's minimum capital requirements, and enumerate each category of capital calculation it must perform under those requirements.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-i-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-g-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The advanced approaches risk-weighted asset calculation under subpart E does not apply because Northgate is not identified as an advanced approaches Board-regulated institution\nRequired findings:\n1. Northgate qualifies as a Board-regulated institution because it is a bank holding company domiciled in the United States not subject to 12 CFR part 225, appendix C\n2. As a Board-regulated institution, Northgate must calculate minimum capital requirements and meet overall capital adequacy standards under subpart B\n3. Northgate must calculate its regulatory capital in accordance with subpart C\n4. Northgate must calculate standardized total risk-weighted assets using subpart D methodologies\n5. Northgate is not required to make the subpart D public disclosures because its total consolidated assets of $38 billion are below the $50 billion threshold\n6. The advanced approaches risk-weighted asset calculation under subpart E does not apply because Northgate is not identified as an advanced approaches Board-regulated institution" - }, - { - "id": "finance_en_prescriptive_82", - "type": "RegBench", - "query": "Heartland Savings Bank is a Board-regulated institution that uses the standardized approach for calculating risk-weighted assets. The bank's risk management team is preparing its quarterly regulatory capital report. The bank holds a portfolio that includes the following positions: (1) a $200 million portfolio of foreign exchange spot contracts that are not designated as trading positions, (2) $150 million in OTC interest rate swap contracts, (3) $75 million in cleared futures contracts on a qualifying central counterparty, (4) $50 million in equity securities held in the trading account that qualify as covered positions under the market risk framework, and (5) $30 million in unsettled securities purchase transactions. The bank has recently been designated as a market risk institution due to its trading activity exceeding applicable thresholds. Determine which of these five position types must be excluded from the bank's standardized approach risk-weighted asset calculation, and which must be included. Explain the governing principle that determines inclusion versus exclusion for a market risk institution computing its standardized risk-weighted assets.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.30-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.30-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The trading account equity securities qualifying as covered positions under Subpart F do not fall within any of the four exceptions and must be EXCLUDED from the Subpart D standardized RWA calculation — position (4) is EXCLUDED\nRequired findings:\n1. As a market risk Board-regulated institution, Heartland must exclude covered positions (as defined under the market risk framework) from its standardized approach RWA calculation, subject to four enumerated exceptions\n2. Foreign exchange positions that are not trading positions are explicitly excepted from the exclusion and must remain in the standardized RWA calculation — position (1) is INCLUDED\n3. OTC derivative positions are explicitly excepted from the exclusion and must remain in the standardized RWA calculation — position (2) is INCLUDED\n4. Cleared transactions are explicitly excepted from the exclusion and must remain in the standardized RWA calculation — position (3) is INCLUDED\n5. Unsettled transactions are explicitly excepted from the exclusion and must remain in the standardized RWA calculation — position (5) is INCLUDED\n6. The trading account equity securities qualifying as covered positions under Subpart F do not fall within any of the four exceptions and must be EXCLUDED from the Subpart D standardized RWA calculation — position (4) is EXCLUDED" - }, - { - "id": "finance_en_prescriptive_83", - "type": "RegBench", - "query": "Heartland Mutual Holdings, Inc. is a top-tier depository institution holding company. As of June 30 of the prior calendar year, Heartland's total consolidated assets (calculated under GAAP) were $18.4 billion, of which $4.3 billion were held in insurance underwriting subsidiaries engaged solely in underwriting credit risk. Heartland itself does not write insurance policies directly. Heartland is not part of any supervised insurance organization and has not been separately designated by its federal regulator as subject to any special insurance capital framework. Determine whether this subpart's insurance-focused capital framework applies to Heartland, and explain your reasoning.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.601-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-b-4", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The insurance-focused capital framework does not apply to Heartland\nRequired findings:\n1. Heartland is not itself an insurance underwriting company, so the first applicability prong is not satisfied\n2. The $4.3 billion in insurance underwriting subsidiaries must be excluded from the 25% threshold calculation because those assets are associated with insurance underwriting for credit risk\n3. After excluding the credit-risk underwriting assets, qualifying insurance underwriting assets are $0, yielding a 0% ratio against $18.4 billion in total consolidated assets\n4. 0% is below the 25% threshold required by the second applicability prong, so that prong is not satisfied\n5. Heartland is not part of a supervised insurance organization, so the third applicability prong is not satisfied\n6. Heartland has not been designated by the Board under the catch-all fourth prong\n7. The insurance-focused capital framework does not apply to Heartland" - }, - { - "id": "finance_en_prescriptive_84", - "type": "RegBench", - "query": "A Board-regulated institution is in the process of computing its total wholesale and retail risk-weighted assets under the advanced approaches. During Phase 3 of the calculation, the institution's credit risk modeling team is assigning risk parameters to its loan portfolios. The institution has a large book of residential mortgage exposures that it has segmented into three groups: (1) conventional conforming mortgages with no government backing, (2) mortgages where the full principal of each loan is directly and unconditionally guaranteed by the full faith and credit of a sovereign entity, and (3) mortgages insured under a federal agency program where the guarantee is contingent on the servicer meeting ongoing servicing requirements. The modeling team proposes the following LGD estimates for the three segments: Segment 1 at 8%, Segment 2 at 6%, and Segment 3 at 7%. Additionally, the institution has a portfolio of corporate wholesale exposures rated to an internal grade associated with a PD of 0.02%, and a separate portfolio of loans to a multilateral development bank also assigned a PD of 0.02%. Determine which, if any, of the proposed LGD and PD estimates are permissible under the applicable regulatory floors, and identify the minimum permissible values for any that are not.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-d-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-d-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-d-3-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Exposures to a multilateral development bank are explicitly exempt from the 0.03% PD floor, so the MDB portfolio's proposed PD of 0.02% is permissible\nRequired findings:\n1. The LGD floor for residential mortgage segments is 10% under the Phase 3 risk parameter rules\n2. Segment 1 (conventional mortgages, no government backing) at 8% LGD violates the 10% floor and must be raised to at least 10%\n3. Segment 2 (full principal directly and unconditionally guaranteed by a sovereign's full faith and credit) is exempt from the 10% LGD floor, so 6% is permissible\n4. Segment 3 (contingent U.S. government agency guarantee dependent on meeting servicing requirements) is exempt from the 10% LGD floor under the contingent-guarantee exception, so 7% is permissible\n5. The PD floor for wholesale obligors is 0.03%, so the corporate wholesale portfolio's proposed PD of 0.02% is not permissible and must be raised to 0.03%\n6. Exposures to a multilateral development bank are explicitly exempt from the 0.03% PD floor, so the MDB portfolio's proposed PD of 0.02% is permissible" - }, - { - "id": "finance_en_prescriptive_85", - "type": "RegBench", - "query": "A Board-regulated institution recently acquired a $45 million position in a mezzanine tranche of a residential mortgage-backed securitization. The institution's risk management team conducted a pre-acquisition analysis of the structural features, including the cash flow waterfall, credit enhancement levels, and deal-specific default definitions. However, the team did not document this analysis until 12 business days after the position was acquired, citing internal workflow delays. The underlying pool consists of 1,200 residential mortgage loans with an average LTV ratio of 78%, an average credit score of 695, and 4.2% of loans currently 60 days past due. The institution has not yet performed any subsequent review of the exposure since acquisition four months ago. The position represents approximately 0.8% of the institution's total regulatory capital base of $5.6 billion. Assess whether the institution is in compliance with the due diligence requirements applicable to this securitization exposure, identifying each specific deficiency and the regulatory consequence that would follow from any failure to satisfy those requirements.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.41-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-c-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-h-1-iii-b-4-i-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The carve-outs for CET1-deducted exposures and exposures subject to the specific alternative treatment do not apply to this position, so the full due diligence regime governs\nRequired findings:\n1. The institution violated the three-business-day documentation requirement because it documented the pre-acquisition analysis 12 business days after acquiring the exposure\n2. The institution violated the quarterly ongoing review requirement because no subsequent review was performed in the four months since acquisition\n3. Both deficiencies prevent the institution from demonstrating a comprehensive understanding of the securitization exposure to the Board's satisfaction\n4. The regulatory consequence of failing the due diligence requirements is assignment of a 1,250% risk weight to the $45 million securitization exposure\n5. The due diligence analysis must be commensurate with the complexity of the exposure and its materiality relative to capital (here, approximately 0.8% of the $5.6 billion capital base)\n6. The carve-outs for CET1-deducted exposures and exposures subject to the specific alternative treatment do not apply to this position, so the full due diligence regime governs" - }, - { - "id": "finance_en_prescriptive_86", - "type": "RegBench", - "query": "A Board-regulated institution holds a reverse repurchase agreement with a corporate counterparty. Under the transaction, the institution has taken as collateral a sovereign bond that qualifies for a zero percent risk weight under the standardized approach. The fair value of the sovereign bond collateral is $10 million, and the institution has discounted that fair value by 20 percent before applying it against the exposure. The gross exposure under the agreement is $9 million. The institution wants to use the simple approach to recognize the credit risk mitigation benefit of this collateral. The collateral agreement covers the full life of the exposure, the collateral is revalued monthly, and both the collateral and the exposure are denominated in US dollars. Determine the risk weight the institution may assign to the collateralized portion of the exposure, and calculate the resulting risk-weighted asset amount for that collateralized portion.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.32-d-2-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-b-1-ii-a-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-b-1-ii-b-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-b-1-ii-c-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-b-1-ii-c-3-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The unsecured portion of the exposure is $9 million − $8 million = $1 million, which must be risk-weighted at the counterparty's applicable risk weight under the standardized approach\nRequired findings:\n1. The collateral meets all three simple approach eligibility requirements: collateral agreement covers the life of the exposure, revaluation at least every six months (monthly satisfies this), and same-currency denomination\n2. The general 20 percent risk-weight floor under the simple approach does not apply here because the exception for sovereign collateral qualifying for zero percent risk weight with a 20 percent fair-value discount is triggered\n3. Discounted collateral value = $10 million × (1 − 0.20) = $8 million, which sets the collateralized portion of the $9 million exposure\n4. The risk weight assigned to the collateralized portion ($8 million) is zero percent, resulting in RWA of $0 for that portion\n5. The unsecured portion of the exposure is $9 million − $8 million = $1 million, which must be risk-weighted at the counterparty's applicable risk weight under the standardized approach" - }, - { - "id": "finance_en_prescriptive_87", - "type": "RegBench", - "query": "A Board-regulated institution is preparing its quarterly regulatory capital report. Its balance sheet includes the following items that require risk-weighting under the general credit risk framework: (1) a $200 million commercial real estate loan held on-balance sheet; (2) a $50 million unfunded loan commitment with an original maturity of 18 months; (3) a $75 million interest rate swap executed bilaterally with a corporate counterparty (an OTC derivative contract); (4) a $30 million equity investment in an unconsolidated financial institution (not structured as a derivative); (5) a $100 million position in a residential mortgage-backed securities tranche that the institution originated and retains a subordinated interest in; and (6) a $40 million repurchase agreement with a primary dealer. The institution's risk management team is determining which of these six items must be included in the general credit risk risk-weighted asset calculation — that is, which items require the institution to (a) determine an exposure amount and (b) multiply that exposure amount by the applicable risk weight to produce a risk-weighted asset amount. Identify which items are subject to the general credit risk mechanics, which items are explicitly excluded from that calculation, and explain the basis for each determination.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.31-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-1-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-a-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total risk-weighted assets for general credit risk equals the sum of the risk-weighted asset amounts (exposure amount × risk weight) for the four included items: the CRE loan, the unfunded commitment, the OTC swap, and the repo.\nRequired findings:\n1. The $200 million on-balance sheet CRE loan is subject to the general credit risk mechanics: the institution must determine its exposure amount and multiply by the applicable risk weight.\n2. The $50 million unfunded loan commitment is subject to the general credit risk mechanics as an off-balance sheet commitment; no exclusion applies.\n3. The $75 million bilateral OTC interest rate swap is subject to the general credit risk mechanics as an OTC derivative contract; being bilateral (not centrally cleared) means the cleared-transaction exclusion does not apply.\n4. The $30 million equity investment (not a derivative) is excluded from the general credit risk mechanics because it is an equity exposure other than an equity OTC derivative contract, and is instead subject to the equity exposure rules.\n5. The $100 million retained subordinated RMBS tranche is excluded from the general credit risk mechanics because it is a securitization exposure, subject to the securitization framework.\n6. The $40 million repurchase agreement is subject to the general credit risk mechanics; repo-style transactions are explicitly listed among the transaction types covered, and no exclusion applies on the given facts.\n7. Total risk-weighted assets for general credit risk equals the sum of the risk-weighted asset amounts (exposure amount × risk weight) for the four included items: the CRE loan, the unfunded commitment, the OTC swap, and the repo." - }, - { - "id": "finance_en_prescriptive_88", - "type": "RegBench", - "query": "A Board-regulated institution holds the following exposures on its balance sheet and must determine the appropriate standardized risk weights for each: (1) A $50 million loan to a foreign bank headquartered in a country with a Country Risk Classification (CRC) of 3. The loan is a standard term loan with a remaining maturity of 18 months. (2) A $30 million self-liquidating, trade-related contingent item arising from the movement of goods, with a maturity of 60 days, extended to a foreign bank whose home country has a CRC of 2. (3) A $20 million exposure to a sovereign government that is not a member of the OECD and has no CRC assigned to it. (4) A $15 million deposit held at a U.S. federally chartered credit union, where $10 million is unconditionally guaranteed by the FDIC and the remaining $5 million is conditionally guaranteed by the FDIC. For each of the four exposures, identify the applicable risk weight (in percent) and compute the resulting risk-weighted asset amount.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.32-a-1-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-d-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-d-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.32-d-2-iv", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total risk-weighted assets across all four exposures equal $77 million\nRequired findings:\n1. Exposure 1 (CRC-3 foreign bank, 18-month term loan) receives a 100% risk weight, yielding RWA of $50 million\n2. Exposure 2 (CRC-2 foreign bank, 60-day self-liquidating trade item) qualifies for the short-maturity trade exception and receives a 20% risk weight, yielding RWA of $6 million\n3. Exposure 3 (non-OECD sovereign with no CRC) receives a 100% risk weight, yielding RWA of $20 million\n4. The $10 million unconditionally FDIC-guaranteed portion of the credit union deposit receives a 0% risk weight\n5. The $5 million conditionally FDIC-guaranteed portion of the credit union deposit receives a 20% risk weight, yielding RWA of $1 million\n6. Total risk-weighted assets across all four exposures equal $77 million" - }, - { - "id": "finance_en_prescriptive_89", - "type": "RegBench", - "query": "Heartland Bancorp is a large U.S. bank holding company that has completed its parallel run process and received the required notification from its primary federal regulator allowing it to use its internal models for risk-based capital purposes. Heartland is not a subsidiary of another bank holding company, savings and loan holding company, depository institution, or a non-U.S. banking organization. Heartland's total leverage exposure is $1.2 trillion, and its tier 1 capital is $85 billion, resulting in a supplementary leverage ratio of approximately 7.1%. Heartland is required to publicly disclose its supplementary leverage ratio. The bank's compliance team is preparing its public regulatory capital disclosures and is debating two questions: (1) Which disclosure tables must Heartland publish — specifically, must it publish both the general capital structure and adequacy tables as well as the supplementary leverage ratio table? (2) For how many consecutive quarters must each category of disclosure be maintained publicly, and from what starting date does each retention period begin?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Table 13 must be made publicly available for twelve consecutive quarters beginning January 1, 2015, or a shorter period beginning after Heartland became subject to the supplementary leverage ratio disclosure requirement.\nRequired findings:\n1. Heartland must publish Tables 1 through 12 because it is an advanced approaches Board-regulated institution that has completed the parallel run process and received the required notification.\n2. Heartland must also publish Table 13 (supplementary leverage ratio disclosures) because it is required to publicly disclose its supplementary leverage ratio and does not qualify for the subsidiary exception.\n3. The subsidiary exception to Table 13 does not apply because Heartland is not a consolidated subsidiary of another bank holding company, savings and loan holding company, depository institution, or a non-U.S. banking organization subject to comparable home-jurisdiction disclosure requirements.\n4. Tables 1 through 12 must be made publicly available for twelve consecutive quarters beginning January 1, 2014, or a shorter period beginning after Heartland completed its parallel run and received notification.\n5. Table 13 must be made publicly available for twelve consecutive quarters beginning January 1, 2015, or a shorter period beginning after Heartland became subject to the supplementary leverage ratio disclosure requirement." - }, - { - "id": "finance_en_prescriptive_90", - "type": "RegBench", - "query": "First National Bancorp, a Board-regulated institution, is preparing its quarterly regulatory capital report. The institution holds the following balance sheet and off-balance sheet items as of the reporting date:\n\n- Cash and U.S. Treasury securities: $800 million (on-balance sheet)\n- Commercial loans to corporate counterparties: $1.2 billion (on-balance sheet)\n- Unfunded loan commitments with original maturity greater than one year: $400 million (off-balance sheet)\n- Financial standby letters of credit issued to corporate clients: $150 million (off-balance sheet)\n- OTC interest rate swap contracts with corporate counterparties (not centrally cleared): $250 million notional, with a current replacement cost of $18 million and potential future exposure of $7 million\n- Equity investments in unconsolidated subsidiaries (not OTC derivative contracts): $90 million\n- Residential mortgage-backed securities issued by a third-party special purpose entity: $200 million\n- Contributions to a qualifying central counterparty default fund: $30 million\n- Forward foreign exchange contracts with corporate counterparties (not centrally cleared): $100 million notional\n\nThe institution's risk and compliance team must determine which of these items are subject to the general credit risk-weighting framework and must be included in the calculation of risk-weighted assets under that framework. For each item that qualifies, the team must determine the exposure amount and apply the appropriate risk weight to arrive at a risk-weighted asset amount. The sum of all such risk-weighted asset amounts constitutes the institution's total risk-weighted assets for general credit risk.\n\nIdentify which of the nine items listed above fall within the general credit risk-weighting framework, which are explicitly excluded from it, and explain the basis for each determination. Then describe the two-step mechanical process the institution must follow for each qualifying item to compute its contribution to total risk-weighted assets for general credit risk.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.31-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.51-a-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Non-cleared OTC derivative contracts (swaps and forwards) are in-scope as OTC derivative contracts under § 217.31(a)(1), and are not excluded by the cleared-transaction carve-out because they are not centrally cleared\nRequired findings:\n1. Cash/Treasuries, commercial loans, unfunded commitments, financial standby letters of credit, non-cleared OTC swaps, and non-cleared forward FX contracts are all in-scope for general credit risk weighting under § 217.31(a)(1)\n2. Equity investments in unconsolidated subsidiaries (that are not OTC derivative contracts) are excluded from general credit risk weighting and are instead subject to the equity exposure framework\n3. The residential RMBS issued by a third-party SPE is a securitization exposure and is excluded from general credit risk weighting, subject to the securitization framework\n4. Default fund contributions to the qualifying CCP are excluded from general credit risk weighting and are subject to the cleared transaction/default fund rules\n5. The two-step mechanical process is: (1) determine the exposure amount for each in-scope item, then (2) multiply that exposure amount by the applicable risk weight to produce the risk-weighted asset amount for that exposure\n6. Total risk-weighted assets for general credit risk equals the sum of all individual risk-weighted asset amounts computed in step 2\n7. Non-cleared OTC derivative contracts (swaps and forwards) are in-scope as OTC derivative contracts under § 217.31(a)(1), and are not excluded by the cleared-transaction carve-out because they are not centrally cleared" - }, - { - "id": "finance_en_prescriptive_91", - "type": "RegBench", - "query": "A Board-regulated institution holds two securitization exposures related to an asset-backed commercial paper (ABCP) program. It has elected not to apply the simplified supervisory formula approach (SSFA) or the gross-up approach to either exposure. The first exposure is a liquidity facility that meets all eligibility criteria for an ABCP liquidity facility; the underlying pool covered by this facility contains individual exposures with risk weights of 20%, 50%, and 100%. The second exposure is a credit enhancement that is economically positioned in the second loss tranche of the same ABCP program; the first loss position is held entirely by a third party and provides substantial credit protection to the second loss position; the exposure has been rated investment grade by a nationally recognized statistical rating organization; and the institution does not retain or provide any protection to the first loss position. The underlying individual exposures of the ABCP program carry risk weights of 50% and 150%. The notional amount of the eligible ABCP liquidity facility is $80 million, and the notional amount of the second-loss credit enhancement is $30 million. Determine the risk-weighted asset amount for each of the two exposures.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.44-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-2-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Without these exceptions, both exposures would have been assigned a 1,250% risk weight under the general default rule.\nRequired findings:\n1. The eligible ABCP liquidity facility exception permits use of the highest risk weight among the individual underlying exposures covered by the facility, which is 100% (the highest of 20%, 50%, and 100%).\n2. RWA for the eligible ABCP liquidity facility = $80 million × 100% = $80 million.\n3. The second-loss credit enhancement satisfies all four eligibility requirements: it is not an eligible ABCP liquidity facility, it is economically in a second loss position with significant first-loss credit protection, it is investment grade, and the institution does not retain or provide protection to the first loss position.\n4. For the second-loss exposure, the applicable risk weight is the higher of 100% and the highest individual underlying exposure risk weight (150%), yielding 150%.\n5. RWA for the second-loss credit enhancement = $30 million × 150% = $45 million.\n6. Without these exceptions, both exposures would have been assigned a 1,250% risk weight under the general default rule." - }, - { - "id": "finance_en_prescriptive_92", - "type": "RegBench", - "query": "A state member bank that is not an advanced approaches institution is preparing its regulatory capital calculations. The bank has the following items on its balance sheet: (1) a defined benefit pension fund net asset of $18 million, with an associated deferred tax liability of $5 million; (2) goodwill of $30 million, with an associated deferred tax liability of $8 million; (3) intangible assets other than mortgage servicing assets of $12 million, with an associated deferred tax liability of $3 million; and (4) a net unrealized gain of $7 million on available-for-sale securities currently included in accumulated other comprehensive income (AOCI). The bank has elected to opt out of including all AOCI components in common equity tier 1 capital. The bank has not received prior Board approval regarding unrestricted access to its pension fund assets. Determine: (a) which items must be fully deducted from common equity tier 1 capital, (b) the net deduction amount for each such item after accounting for associated deferred tax liabilities, and (c) how the AOCI opt-out election affects the treatment of the unrealized gain on available-for-sale securities in the bank's common equity tier 1 capital calculation.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.22-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-b-2-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-b-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-e-1-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The AOCI opt-out election adjustment for AFS unrealized gains/losses is a regulatory adjustment to CET1, made net of associated deferred tax effects\nRequired findings:\n1. Goodwill of $30M is deducted from CET1 net of its $8M associated DTL, resulting in a net CET1 deduction of $22M\n2. Intangible assets other than MSAs of $12M are deducted from CET1 net of their $3M associated DTL, resulting in a net CET1 deduction of $9M\n3. As an insured depository institution (state member bank), no deduction from CET1 is required for the defined benefit pension fund net asset of $18M\n4. The AOCI opt-out election is available only to non-advanced-approaches institutions, which this bank qualifies as\n5. Under the AOCI opt-out election, the $7M net unrealized gain on available-for-sale securities must be subtracted from CET1 capital\n6. The AOCI opt-out election adjustment for AFS unrealized gains/losses is a regulatory adjustment to CET1, made net of associated deferred tax effects" - }, - { - "id": "finance_en_prescriptive_93", - "type": "RegBench", - "query": "A Board-regulated institution's trading desk holds the following four positions and is determining which qualify as 'covered positions' for market risk capital purposes:\n\n1. A long position in publicly traded common equity of a U.S. corporation, held on the trading book and freely tradable with no restrictive covenants. The desk actively quotes two-way prices on this equity.\n\n2. A credit default swap written by the institution on a corporate reference entity, which the institution's risk management team has formally designated as a credit valuation adjustment (CVA) hedge under the institution's CVA hedging program. The position is recognized under the applicable CVA hedge recognition provisions, but does not fall under the exception that would allow it to be treated as a covered position.\n\n3. A long position in a residential mortgage-backed security (RMBS) tranche where the underlying assets are entirely residential mortgage exposures. The institution holds this as a securitization position and argues it qualifies as a correlation trading position because a two-way market exists for the tranche.\n\n4. A short position in EUR/USD foreign exchange, held off-balance sheet as a forward contract. The institution has not sought supervisory approval to exclude this as a structural foreign currency position.\n\nFor each of the four positions, determine whether it qualifies as a covered position. Where a position does not qualify, identify the specific exclusion that applies. Additionally, define what constitutes a 'two-way market' for purposes of this analysis.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-e-5-i-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-e-6-ii-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-e-6-vii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-b-3-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-intro-024", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: A two-way market requires independent bona fide offers to buy and sell such that a price reasonably related to last sales price or current competitive bid/offer quotations can be determined within one day and settled within a relatively short time frame conforming to trade custom.\nRequired findings:\n1. Position 1 (publicly traded equity) IS a covered position because it meets the affirmative trading book conditions and the exclusion for non-publicly traded equities does not apply to publicly traded equities.\n2. Position 2 (CVA hedge CDS) is NOT a covered position because it is recognized as a CVA hedge under the applicable CVA hedge recognition provisions and the exception that would restore covered position status does not apply.\n3. Position 3 cannot be classified as a correlation trading position because the correlation trading position definition explicitly excludes securitization positions whose underlying assets are residential mortgage exposures.\n4. Position 3 IS a covered position as a securitization position (the failed correlation trading position argument does not strip it of covered position status entirely).\n5. Position 4 (EUR/USD FX forward) IS a covered position because foreign exchange positions are covered regardless of balance sheet classification, and the structural foreign currency exclusion requires prior supervisory approval which was not obtained.\n6. A two-way market requires independent bona fide offers to buy and sell such that a price reasonably related to last sales price or current competitive bid/offer quotations can be determined within one day and settled within a relatively short time frame conforming to trade custom." - }, - { - "id": "finance_en_prescriptive_94", - "type": "RegBench", - "query": "First National Bancorp, a Board-regulated institution not subject to the advanced approaches framework, sponsors an asset-backed commercial paper (ABCP) program. The bank has extended an eligible ABCP liquidity facility to the program with a notional amount of $200 million. The bank's risk management team is evaluating the capital treatment for this facility under two scenarios: (A) the bank has determined that the Simplified Supervisory Formula Approach (SSFA) applies to this facility, and (B) the bank has determined that the SSFA does not apply to this facility. In both scenarios, the bank uses the applicable credit conversion factor to determine the exposure amount, then applies a 100 percent risk weight to the resulting exposure amount for purposes of this analysis. What is the risk-weighted asset amount for the eligible ABCP liquidity facility under each scenario, and what is the difference in risk-weighted assets between the two scenarios?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.42-c-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-c-3-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The SSFA-applicable scenario results in higher risk-weighted assets than the non-SSFA scenario for the same notional exposure\nRequired findings:\n1. When SSFA does not apply to an eligible ABCP liquidity facility, the applicable credit conversion factor is 50 percent\n2. When SSFA applies to an eligible ABCP liquidity facility, the applicable credit conversion factor is 100 percent\n3. Scenario A (SSFA applies): exposure amount = $200 million × 100% CCF = $200 million; RWA = $200 million\n4. Scenario B (SSFA does not apply): exposure amount = $200 million × 50% CCF = $100 million; RWA = $100 million\n5. The difference in risk-weighted assets between the two scenarios is $100 million\n6. The SSFA-applicable scenario results in higher risk-weighted assets than the non-SSFA scenario for the same notional exposure" - }, - { - "id": "finance_en_prescriptive_95", - "type": "RegBench", - "query": "Northgate Savings Bank is a Board-regulated institution that operates a trading desk and holds a portfolio of financial instruments. The bank's risk management team is preparing its quarterly regulatory capital calculation under the generally applicable risk-based capital requirements. The portfolio includes the following positions: (1) a set of interest rate swap contracts executed on an organized exchange and centrally cleared through a qualifying central counterparty, with a current exposure of $85 million; (2) a portfolio of foreign currency forward contracts used to hedge the bank's international loan book, with a notional value of $120 million, none of which are designated as trading positions; (3) a portfolio of equity securities held in the trading account, with a fair value of $200 million, which the bank has designated as covered positions subject to its internal market risk model; and (4) a portfolio of unsettled securities purchase transactions with a total purchase price of $45 million that have not yet reached their contractual settlement date. The bank's total standardized risk-weighted assets before any exclusions are $1.4 billion. Determine which of the four position types must be excluded from the bank's standardized risk-weighted asset calculation, and identify the total dollar amount of positions that remain subject to the generally applicable risk-based capital requirements under the standardized approach.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.30-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.30-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The positions remaining subject to the generally applicable standardized RWA requirements total $250 million ($85M + $120M + $45M)\nRequired findings:\n1. Northgate qualifies as a market risk Board-regulated institution because it holds covered positions subject to an internal market risk model\n2. Market risk Board-regulated institutions must exclude covered positions from their standardized risk-weighted asset calculation, subject to four enumerated exceptions\n3. The centrally cleared interest rate swaps are 'cleared transactions' and fall within the carve-out, so they remain in the standardized RWA calculation\n4. The foreign currency forwards that are not trading positions fall within the 'foreign exchange positions that are not trading positions' carve-out and remain in the standardized RWA calculation\n5. The unsettled securities purchase transactions fall within the 'unsettled transactions' carve-out and remain in the standardized RWA calculation\n6. Only the $200 million equity trading portfolio designated as covered positions is excluded from the standardized RWA calculation\n7. The positions remaining subject to the generally applicable standardized RWA requirements total $250 million ($85M + $120M + $45M)" - }, - { - "id": "finance_en_prescriptive_96", - "type": "RegBench", - "query": "Ridgeline Community Bank is a Board-regulated institution that is not subject to the advanced approaches capital framework. As of the end of Q3, the bank reports the following figures: total consolidated assets of $4.2 billion; tier 1 capital of $420 million (yielding a leverage ratio of exactly 10.0%); unused portions of non-cancellable loan commitments with a notional value of $800 million; financial standby letters of credit with a notional value of $200 million; unconditionally cancellable commitments with a notional value of $600 million; and total trading assets and trading liabilities of $180 million. The bank has been using the community bank leverage ratio framework for the past two years and wishes to continue doing so. Determine whether Ridgeline Community Bank qualifies to remain in the community bank leverage ratio framework, and identify which of its reported exposures count toward the off-balance sheet threshold calculation.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.12-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.12-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.12-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.12-a-2-ii-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.12-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.12-a-2-iii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.12-a-2-iv", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: All four qualifying criteria are satisfied; Ridgeline Community Bank may continue using the community bank leverage ratio framework and is deemed to have met minimum capital and well-capitalized requirements\nRequired findings:\n1. Leverage ratio of 10.0% exceeds the 9% threshold, satisfying the first qualifying criterion\n2. Total consolidated assets of $4.2 billion are below the $10 billion threshold, satisfying the second qualifying criterion\n3. Unconditionally cancellable commitments ($600 million) are excluded from the off-balance sheet exposure numerator\n4. Off-balance sheet exposures subject to the threshold = $800M (non-cancellable commitments) + $200M (financial standby letters of credit) = $1.0 billion\n5. Off-balance sheet ratio = $1.0B / $4.2B ≈ 23.81%, which is at or below the 25% limit, satisfying the third qualifying criterion\n6. Trading assets and liabilities ratio = $180M / $4.2B ≈ 4.29%, which is at or below the 5% limit, satisfying the fourth qualifying criterion\n7. All four qualifying criteria are satisfied; Ridgeline Community Bank may continue using the community bank leverage ratio framework and is deemed to have met minimum capital and well-capitalized requirements" - }, - { - "id": "finance_en_prescriptive_97", - "type": "RegBench", - "query": "Midwest Community Bancshares is a bank holding company that files FR Y-9C reports with the Federal Reserve. It is not an advanced approaches Board-regulated institution and has never received approval to exit parallel run. Over the four most recent calendar quarters, its total consolidated assets as reported on the FR Y-9C were $48.2 billion, $49.7 billion, $51.1 billion, and $52.4 billion. The holding company is an independent entity — it is not a consolidated subsidiary of another bank holding company, savings and loan holding company, or depository institution, and it is not a subsidiary of a non-U.S. banking organization. A compliance officer is determining whether Midwest Community Bancshares is subject to the public disclosure requirements related to capital requirements under the Board's capital rules. Is the institution required to comply with those public disclosure requirements, and what asset-size threshold and averaging methodology govern that determination?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.61-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Midwest Community Bancshares is required to comply with the public capital disclosure requirements\nRequired findings:\n1. Total consolidated assets are determined using the average of the four most recent quarters as reported on the FR Y-9C, because the institution has filed for each of the four most recent quarters\n2. Four-quarter average total consolidated assets = ($48.2B + $49.7B + $51.1B + $52.4B) / 4 = $50.35 billion\n3. The applicable asset-size threshold is $50 billion\n4. $50.35 billion exceeds the $50 billion threshold, so the size condition is satisfied\n5. The institution is not an advanced approaches Board-regulated institution making public disclosures under the advanced approaches disclosure rules, so that exemption does not apply\n6. The institution is not a consolidated subsidiary of another covered holding company or depository institution, and is not a subsidiary of a non-U.S. banking organization subject to comparable home-jurisdiction disclosures, so neither subsidiary exclusion applies\n7. Midwest Community Bancshares is required to comply with the public capital disclosure requirements" - }, - { - "id": "finance_en_prescriptive_98", - "type": "RegBench", - "query": "A supervised insurance organization is evaluating whether a surplus note issued by one of its member companies qualifies for inclusion in building block available capital without obtaining prior Board approval. The surplus note was originally issued on March 15, 2018, by a non-depository subsidiary of the group. The issuing company's parent became a depository institution holding company on June 1, 2016. The surplus note is classified as a company capital element for the issuing company, is not held by any affiliate of the issuer, and remains outstanding as of the current submission date. However, the note contains a provision allowing it to be called if the issuer's credit rating falls below investment grade (a 'rating event' call), and it was not secured or covered by any guarantee. The supervised insurance organization's compliance team is assessing: (1) whether the surplus note satisfies the special treatment for outstanding surplus notes that would deem it to meet the unsecured and prior-Board-approval criteria, and (2) whether the rating event call provision disqualifies the instrument from qualifying capital status, or whether a separate grandfathering provision applies. Analyze both questions and determine whether the instrument may be included in building block available capital.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.608-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-f", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Because the rating event call provision cannot be grandfathered, the instrument fails the call criteria for qualifying capital instruments and may not be included in building block available capital.\nRequired findings:\n1. The 'later of' date under the surplus note deemed-compliance rule is the later of November 1, 2019 and June 1, 2016 (the DIHC date), which equals November 1, 2019.\n2. The surplus note was issued March 15, 2018, which is before November 1, 2019, so the issuance-date condition for deemed compliance is satisfied.\n3. All four conditions for surplus note deemed compliance are met, so the note is deemed to satisfy the unsecured/no-guarantee criterion and the prior-Board-approval-for-redemption criterion.\n4. The rating event call provision is not among the permitted early-call triggers (regulatory event, tax event, Investment Company Act registration) under the qualifying capital instrument call criteria.\n5. The grandfathering exception for rating-event callable instruments applies only to instruments that were company capital elements issued prior to January 1, 2014.\n6. The surplus note was issued in 2018, after January 1, 2014, so the grandfathering exception does not apply.\n7. Because the rating event call provision cannot be grandfathered, the instrument fails the call criteria for qualifying capital instruments and may not be included in building block available capital." - }, - { - "id": "finance_en_prescriptive_99", - "type": "RegBench", - "query": "A Board-regulated institution holds a mezzanine tranche in a residential mortgage-backed securitization. The tranche has a current par value of $25 million and resides in a pool with $500 million of underlying mortgage exposures. Subordinated tranches below the institution's position total $50 million in current outstanding balance. The institution's tranche itself represents $25 million of the $75 million in pari passu and senior-equal positions at that level. The institution has also purchased a credit derivative from an investment-grade bank (not a securitization SPE) to hedge $15 million of its $25 million exposure in this tranche. The credit derivative is denominated in U.S. dollars, matches the maturity of the hedged exposure, and includes restructuring as a credit event. The weighted-average total capital requirement of the underlying mortgage exposures, computed under the applicable standardized framework, is 8 percent of unpaid principal (i.e., KG = 0.08). The ratio of distressed underlying exposures — those 90 or more days past due, in foreclosure, subject to bankruptcy proceedings, held as REO, with contractually deferred payments of 90 or more days, or in default — is 5 percent of the pool balance (W = 0.05). The institution is not subject to the advanced approaches subpart. It intends to use the simplified supervisory formula approach for this exposure and has current, accurate data for all required inputs. The supervisory calibration parameter applicable to this non-resecuritization exposure is 0.5. Determine: (1) the attachment point (A) and detachment point (D) for the institution's securitization exposure; (2) whether the credit derivative hedge on the $15 million portion of the exposure qualifies for recognition as credit risk mitigation, and if so, how the hedged and unhedged portions of the exposure must be treated for risk-weighting purposes; and (3) the minimum risk weight floor that applies to any securitization exposure under this framework, regardless of the SSFA output.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.34-d-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-c-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-h-1-iii-b-4-i-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-h-1-iii-b-4-i-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-b-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.43-f", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The minimum risk weight floor applicable to any securitization exposure under this framework is 20 percent, regardless of the SSFA output\nRequired findings:\n1. Attachment point A = $50M / $500M = 0.10 (10 percent)\n2. Detachment point D = 0.10 + ($75M / $500M) = 0.25 (25 percent).\n3. The nth-to-default credit derivative exception does not apply because this is a standard mezzanine tranche position, not an nth-to-default credit derivative\n4. The purchased credit derivative from the non-SPE bank qualifies for recognition as credit risk mitigation under the rules of recognition, because the reference and hedged exposures are the same, the derivative includes restructuring as a credit event, and there is no maturity or currency mismatch\n5. Because the protection amount ($15M) is less than the full exposure amount ($25M), the exposure must be split into a $15M protected portion (risk-weighted at the protection provider's applicable risk weight) and a $10M unprotected portion (risk-weighted using the SSFA result for the tranche)\n6. The minimum risk weight floor applicable to any securitization exposure under this framework is 20 percent, regardless of the SSFA output" - }, - { - "id": "finance_en_prescriptive_100", - "type": "RegBench", - "query": "A Board-regulated institution holds a mezzanine tranche of a traditional securitization backed by a pool of commercial mortgage loans. The institution originated the underlying loans and transferred them to a securitization SPE; the transfer satisfies all conditions for excluding the exposures from risk-weighted assets. The institution does not qualify for the supervisory formula approach for this exposure and has elected to use the simplified supervisory formula approach instead. The institution's risk management team has compiled the following data on the underlying pool: weighted-average total capital requirement of the underlying exposures (calculated under the standardized approach) is 9.6%, and 12% of the pool by dollar balance consists of loans that are 90 or more days past due or in default. The mezzanine tranche held by the institution has an attachment point of 8% and a detachment point of 14% of the current dollar amount of underlying exposures. The tranche is not a resecuritization exposure. The institution's compliance officer notes that the due diligence requirements applicable to this securitization exposure have been fully satisfied. Determine the appropriate risk weight for this mezzanine tranche, showing how the augmented capital requirement KA compares to the attachment and detachment points, and identify which risk-weight outcome applies.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.141-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-k-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-k-1-iii-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution reaches the SSFA because it does not qualify for the supervisory formula approach and has elected to use the simplified supervisory formula approach under the hierarchy of approaches\nRequired findings:\n1. KG = 0.096 (weighted-average capital requirement of underlying exposures expressed as a decimal)\n2. W = 0.12 (ratio of distressed underlying exposures — 90+ days past due or in default — to total pool balance)\n3. KA = (1 − 0.12) × 0.096 + 0.5 × 0.12 = 0.08448 + 0.06 = 0.14448\n4. Attachment point A = 0.08 and detachment point D = 0.14 are both less than KA = 0.14448, so D ≤ KA\n5. Because D ≤ KA, the entire mezzanine tranche must be assigned a risk weight of 1,250 percent\n6. The supervisory calibration parameter p = 0.5 applies because the exposure is not a resecuritization\n7. The institution reaches the SSFA because it does not qualify for the supervisory formula approach and has elected to use the simplified supervisory formula approach under the hierarchy of approaches" - }, - { - "id": "finance_en_prescriptive_101", - "type": "RegBench", - "query": "Heartland Mutual Holdings, Inc. is a top-tier depository institution holding company that is part of a supervised insurance organization. As of December 31 of the prior calendar year, the organization's most recent quarterly filing reflects the following consolidated figures for Heartland Mutual: building block available capital (excluding tier 2 capital instruments and additional tier 1 capital instruments) of $3.1 billion, and a building block capital requirement scaled to the common capital framework of $1.2 billion. During the current calendar year, Heartland Mutual's management is evaluating whether it may declare a common stock dividend of $180 million and pay discretionary bonuses totaling $45 million to senior executives. The organization's annual change in building block available capital from the prior year-end to the current year-end (net of distributions and new capital issuances other than replacements of retired instruments) is projected to be $210 million. Determine: (1) whether Heartland Mutual satisfies the minimum capital adequacy threshold required of depository institution holding companies in supervised insurance organizations; (2) the size of its capital conservation buffer as of the prior year-end; and (3) whether the proposed dividend and discretionary bonus payments are permissible in the current calendar year, and if so, the maximum aggregate amount that may be paid out.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.602-iii-a-i-b-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.602-intro-016", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.602-intro-028", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-iv", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 150% buffer exception does not apply because Heartland Mutual's capital conservation buffer of 8.33% is below 150%\nRequired findings:\n1. BBA ratio = $3.1B / $1.2B = 258.33%, which exceeds the 250% minimum capital requirement\n2. The minimum BBA ratio for a depository institution holding company in a supervised insurance organization is 250%\n3. Capital conservation buffer = 258.33% − 250% = 8.33%\n4. A capital conservation buffer of 8.33% falls in the 'less than or equal to 38 percent' band, yielding a maximum payout ratio of 0%\n5. Eligible retained income is $210 million; maximum payout amount = $210M × 0% = $0\n6. The proposed $225 million in distributions and discretionary bonus payments ($180M dividend + $45M bonuses) is not permissible because the maximum payout amount is $0\n7. The 150% buffer exception does not apply because Heartland Mutual's capital conservation buffer of 8.33% is below 150%" - }, - { - "id": "finance_en_prescriptive_102", - "type": "RegBench", - "query": "Northgate Savings Bank is an advanced approaches Board-regulated institution that has completed its parallel run and received the required notification from its primary federal regulator. The bank is currently preparing its quarterly public disclosures and is evaluating whether it must include supplementary leverage ratio disclosures in addition to its standard capital structure tables.\n\nSeparately, the bank's structured finance team is reviewing a synthetic securitization it entered into last quarter. In that transaction, the bank used a guarantee from a corporate counterparty to hedge $850 million of underlying commercial loan exposures. The guarantee was issued by an investment-grade non-bank financial company and covers first-loss risk on the portfolio. The bank's credit risk team notes that the guarantee does not satisfy one specific operational requirement that would otherwise be needed for it to qualify as an eligible guarantee under the applicable definitions — specifically, the guarantee lacks an unconditional and irrevocable obligation clause. The bank is trying to determine whether it can still recognize the credit risk transfer for regulatory capital purposes under the synthetic securitization framework, given that the synthetic securitization rules contain a carve-out for exactly this type of deficiency.\n\nFor the $850 million in underlying commercial loan exposures that cannot be excluded from risk-weighted asset calculations (assuming the credit risk transfer is not recognized), the bank applies the standardized approach. Each exposure is a funded term loan to a corporate obligor with no eligible financial collateral and no eligible guarantor. The applicable risk weight for these corporate exposures under the standardized approach is 100%.\n\nDetermine: (1) whether Northgate must include supplementary leverage ratio disclosures in its public reporting, (2) whether the synthetic securitization's credit risk transfer can be recognized for regulatory capital purposes despite the guarantee's missing clause, and (3) if the credit risk transfer is not recognized, what is the total risk-weighted asset contribution from the $850 million portfolio under the standardized approach.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.141-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-072", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-2-18", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Under the standardized approach mechanics, each $850 million corporate term loan exposure is multiplied by the 100% risk weight, yielding total risk-weighted assets of $850 million for that portfolio.\nRequired findings:\n1. Northgate, as an advanced approaches Board-regulated institution subject to supplementary leverage ratio disclosure under § 217.172(d), must include Table 13 supplementary leverage ratio disclosures in its public reporting (subject to the consolidated subsidiary exception).\n2. The synthetic securitization operational criteria in § 217.141(b)(1)(ii) explicitly permit a guarantee that satisfies all requirements of an eligible guarantee except paragraph (3) of the definition in § 217.2.\n3. The missing unconditional/irrevocable feature does not match paragraph (3); paragraph (3) concerns coverage of contractual payments.\n4. Because the carve-out is only for paragraph (3), a guarantee lacking the unconditional/irrevocable requirement would not qualify on that carve-out.\n5. If credit risk transfer were not recognized, § 217.141(b) requires the bank to hold risk-based capital against the $850 million underlying exposures as if unsecuritized.\n6. Under the standardized approach mechanics, each $850 million corporate term loan exposure is multiplied by the 100% risk weight, yielding total risk-weighted assets of $850 million for that portfolio." - }, - { - "id": "finance_en_prescriptive_103", - "type": "RegBench", - "query": "A Board-regulated institution operates as a market risk institution and maintains an internal VaR-based model approved for market risk capital purposes. The institution holds a portfolio of asset-backed securities (ABS) tranches that it classifies as covered positions. For this ABS portfolio, the institution's risk management team has determined that the VaR-based measure does not fully capture all material aspects of specific risk — in particular, it does not adequately model idiosyncratic spread movements for the mezzanine tranches. The portfolio includes: (1) $180 million notional in mezzanine ABS tranches that are not modeled under the institution's correlation trading framework, and (2) $45 million notional in a program-wide credit enhancement provided to an asset-backed commercial paper (ABCP) program, structured as an off-balance sheet securitization exposure that is also not modeled under the correlation trading framework. The institution cannot apply the simplified supervisory formula approach (SSFA) to the ABCP credit enhancement and chooses not to apply the gross-up approach. The institution's internal models group has confirmed that neither of these positions qualifies as a correlation trading position. For the ABCP credit enhancement, the institution must determine the applicable credit conversion factor (CCF) and the resulting exposure amount before assigning a risk weight. The institution is not subject to the advanced approaches framework for purposes of the securitization risk-weighting rules in this analysis. Determine: (a) the method the institution must use to calculate the specific risk add-on for both the mezzanine ABS tranches and the ABCP credit enhancement, (b) the exposure amount of the ABCP credit enhancement for risk-weighting purposes, and (c) the risk weight that must be assigned to the ABCP credit enhancement given that neither the SSFA nor the gross-up approach is applied.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-067", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iii-b-4-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-4-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.42-c-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.44-c-1-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Recompute RWA using the source-supported exposure amount.\nRequired findings:\n1. The institution must use the standardized measurement method under § 217.210 to calculate the specific risk add-on for both the mezzanine ABS tranches and the ABCP credit enhancement, because these securitization positions are not modeled under the correlation trading / § 217.209 framework.\n2. Neither position qualifies as a correlation trading position under the § 217.2 definition, so both remain securitization positions for purposes of the specific risk add-on calculation.\n3. Do not treat the ABCP program-wide credit enhancement as an eligible ABCP liquidity facility unless the source facts establish that classification.\n4. Use the source-supported exposure amount rule for the actual exposure type rather than 45 million × 50%.\n5. Because the institution cannot or chooses not to apply the SSFA or the gross-up approach to the ABCP credit enhancement, it must assign a risk weight to that exposure under the fallback rule, which directs to a 1,250% risk weight.\n6. Recompute RWA using the source-supported exposure amount." - }, - { - "id": "finance_en_prescriptive_104", - "type": "RegBench", - "query": "A Board-regulated institution operates as a clearing member client and holds a portfolio of interest rate swap positions that have been centrally cleared through a qualifying central counterparty (QCCP). The institution has posted $50 million in initial margin to the clearing member, held in a segregated account at a third-party custodian that is structured to be bankruptcy remote from both the clearing member and other clearing member clients. The institution has also posted $12 million in variation margin directly to the QCCP, which is not held in a bankruptcy-remote arrangement. Separately, the institution's market risk model does not fully capture specific risk for a subset of its cleared interest rate swap positions, and the institution has identified that certain of these swaps qualify as correlation trading positions under the applicable regulatory definition — specifically, positions that would otherwise be classified as debt positions but for the fact that they meet the correlation trading position criteria. For the swaps that are derivatives with linear payoffs and are not correlation trading positions, the institution assigns specific risk-weighting factors to the fair value of the effective notional amount. The institution's compliance team must determine: (1) what risk weight applies to the cleared transactions with the QCCP given the collateral arrangement described, and (2) how the correlation trading positions that would otherwise be debt positions should be treated when calculating the specific risk add-on for the market risk capital requirement. Provide a complete analysis of both determinations, including the applicable risk weight percentage and the correct classification of the correlation trading positions for specific risk purposes.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-029", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-104", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-a-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-intro-006", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The reclassification of correlation trading positions as debt or equity positions for specific risk purposes applies notwithstanding any other definition or requirement in Subpart F, and is triggered specifically by positions meeting paragraph (2) of the correlation trading position definition.\nRequired findings:\n1. Correlation trading positions that would otherwise qualify as debt positions must be treated as debt positions for purposes of the specific risk add-on calculation under the standardized measurement method, per the reclassification rule that requires cross-referencing the definition of 'correlation trading position' in the definitions section of the regulation.\n2. The applicable risk weight for cleared transactions with a QCCP where the posted collateral is held by a custodian in a bankruptcy-remote arrangement (protecting against joint default or concurrent insolvency of the clearing member and other clients) and the institution has conducted sufficient legal review is 2 percent.\n3. If the bankruptcy-remote and legal review conditions are not satisfied, the applicable risk weight for cleared transactions with a QCCP rises to 4 percent.\n4. The $50 million initial margin held at a third-party custodian in a bankruptcy-remote arrangement qualifies for the 2% risk weight, assuming the institution has completed the required legal review and documentation.\n5. The $12 million variation margin posted directly to the QCCP without a bankruptcy-remote arrangement is included in the trade exposure amount and is not excluded from capital requirements under the custodian collateral carve-out.\n6. The reclassification of correlation trading positions as debt or equity positions for specific risk purposes applies notwithstanding any other definition or requirement in Subpart F, and is triggered specifically by positions meeting paragraph (2) of the correlation trading position definition." - }, - { - "id": "finance_en_prescriptive_105", - "type": "RegBench", - "query": "A Board-regulated institution is the originator of a synthetic securitization. It has entered into a credit default swap with a highly rated corporate guarantor to hedge a pool of commercial real estate loans with varying maturities — the shortest tranche matures in 18 months and the longest in 7 years. The credit default swap does not cover the full notional amount of the underlying pool; the uncovered portion remains on the institution's books. The institution wants to recognize the risk-mitigating effect of the credit default swap for risk-based capital purposes and apply the collateral haircut approach to determine the net exposure amount for the hedged portion.\n\nThe credit default swap is denominated in U.S. dollars, and the underlying loans are also dollar-denominated. The institution uses standard supervisory haircuts rather than internal estimates. The guarantor is not a sovereign, central bank, or public sector entity.\n\nFor the hedged portion of the pool, the institution needs to determine: (1) whether the credit default swap qualifies as an eligible credit risk mitigant for the synthetic securitization, including what criteria the instrument must satisfy and which criterion is explicitly waived in this context; (2) what residual maturity the institution must use when calculating any maturity mismatch adjustment for the hedged exposures; and (3) under the collateral haircut approach, how the net exposure amount is computed, including the role of currency mismatch haircuts given the facts presented.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-066", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-142", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-b-1-13", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution must apply a risk weight to the uncovered (unhedged) portion of the pool based on the applicable risk weight for those exposures under Subpart D, without benefit of the credit risk mitigant.\nRequired findings:\n1. The credit default swap qualifies as an eligible credit risk mitigant for the synthetic securitization only if it meets all criteria of the eligible credit derivative definition in § 217.2, except for the criterion in paragraph (3) of the eligible guarantee definition — that paragraph (3) criterion is explicitly waived for synthetic securitization purposes.\n2. The institution must satisfy the operational criteria for synthetic securitizations (including transfer of credit risk and other conditions) before it may recognize the credit default swap for risk-based capital purposes.\n3. Because the hedged pool contains exposures with different residual maturities, the institution must use the longest residual maturity — 7 years — as the residual maturity of all hedged exposures when computing any maturity mismatch adjustment.\n4. Because both the credit default swap and the underlying loans are denominated in U.S. dollars, there is no currency mismatch, and the currency mismatch haircut term (Efx × Hfx) equals zero.\n5. The institution must apply a risk weight to the uncovered (unhedged) portion of the pool based on the applicable risk weight for those exposures under Subpart D, without benefit of the credit risk mitigant." - }, - { - "id": "finance_en_prescriptive_106", - "type": "RegBench", - "query": "Apex National Bank is a Board-regulated institution that qualifies as an advanced approaches institution. It is a clearing member of a qualifying central counterparty (QCCP) and also acts as a clearing member client through a separate account at the same QCCP. The bank's treasury operations team is reviewing capital treatment for two items: (1) a securities purchase transaction that was contractually due to settle five business days ago under a delivery-versus-payment arrangement, but the counterparty has still not delivered the securities — the current market price of the securities is $18 million and the agreed settlement price was $15 million; and (2) a portfolio of exchange-traded interest rate swap contracts cleared through the QCCP, for which the bank is acting as a clearing member (not a client). The bank's risk team notes that the contractual settlement period on the securities transaction is three business days, which is consistent with the market standard for that instrument. For the cleared interest rate swaps, the bank's default fund contribution to the QCCP is $40 million (fully funded), and the bank's total trade exposure amount to the QCCP across all cleared derivative positions is $900 million. The bank's chief risk officer wants to know: (a) what risk weight applies to the unsettled securities transaction, and what is the resulting risk-weighted asset amount; and (b) for the cleared interest rate swap portfolio, which capital calculation framework governs the bank's default fund contribution, and — assuming the bank has received prior regulatory approval to use an alternative simplified method — what is the risk-weighted asset amount for that default fund contribution?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-d-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-d-6-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-d-6-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-d-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Under Method 2: RWADF = Min{12.5 × $40M; 0.18 × $900M} = Min{$500M; $162M} = $162 million.\nRequired findings:\n1. The unsettled DvP transaction has a normal settlement period (3 business days ≤ market standard and ≤ 5 business days), so it falls within § 217.38 scope and is not redirected to OTC derivative treatment.\n2. The counterparty has failed to deliver 5 business days after the contractual settlement date, placing the transaction in the 5-to-15 business day band with a 100% risk weight.\n3. Positive current exposure = $18M − $15M = $3 million; RWA for the unsettled DvP transaction = $3M × 100% = $3 million.\n4. Because Apex is an advanced approaches Board-regulated institution, its cleared derivative contracts and associated default fund contributions are governed by § 217.133, not § 217.35.\n5. § 217.133(d)(vi) permits a Board-regulated institution, with prior Board approval, to calculate the default fund contribution RWA using the Method 2 formula from § 217.35(d)(3)(ii).\n6. Under Method 2: RWADF = Min{12.5 × $40M; 0.18 × $900M} = Min{$500M; $162M} = $162 million." - }, - { - "id": "finance_en_prescriptive_107", - "type": "RegBench", - "query": "A Board-regulated institution has entered into a synthetic securitization of a $500 million commercial loan portfolio. To transfer credit risk to third parties, the institution obtained a guarantee from a highly rated corporate entity. The guarantee covers the senior tranche of the securitization (representing $350 million of the portfolio). The guarantor is not a sovereign, central bank, or public sector entity, and the guarantee is unconditional and irrevocable. However, the guarantee does not include a provision requiring the guarantor to make payment within a specified number of business days after a credit event is declared — the payment timing is left to the guarantor's discretion. The institution's legal counsel has confirmed enforceability of the guarantee in all relevant jurisdictions. The institution has not altered or replaced any underlying exposures, and no early termination triggers based on credit quality deterioration are present in the guarantee terms. The institution's method 1 score, calculated as of December 31 of the most recent calendar year, came in at 145 basis points. Determine: (1) whether the guarantee qualifies as an eligible credit risk mitigant for purposes of recognizing the synthetic securitization transfer of risk, and (2) what capital treatment applies to the underlying exposures if the operational criteria are or are not satisfied. In your analysis, identify the specific definitional requirement that the guarantee fails or satisfies, and explain how the institution's systemic importance classification affects, if at all, the applicable regulatory framework.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.141-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-067", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-06", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-3-11", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.402-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: GSIB status subjects the institution to an additional capital surcharge under Subpart H but does not alter the synthetic securitization operational criteria analysis under § 217.141(b)\nRequired findings:\n1. The missing payment-timing term implicates § 217.2's eligible guarantee paragraph (7), not paragraph (3); paragraph (3) concerns whether the guarantee covers all or a pro rata portion of contractual payments.\n2. Under § 217.141(b)(1)(ii), a guarantee qualifies as an eligible credit risk mitigant for synthetic securitization purposes if it meets all eligible guarantee requirements except paragraph (3) of the definition — so the failure of paragraph (3) is expressly excused\n3. The remaining § 217.141(b) conditions (no credit quality deterioration triggers, no requirement to replace exposures, legal enforceability opinion obtained) are satisfied based on the facts presented\n4. Because the operational criteria are met, the institution may recognize the credit risk transfer and need only hold risk-based capital against retained credit risk (the unhedged $150 million portion and any retained securitization exposures), not the full $500 million\n5. If the operational criteria were not met, the institution would be required to hold risk-based capital against the full $500 million of underlying exposures as if no synthetic securitization had occurred\n6. The institution's method 1 score of 145 basis points equals or exceeds the 130 basis point threshold, identifying it as a global systemically important BHC (GSIB) under § 217.402\n7. GSIB status subjects the institution to an additional capital surcharge under Subpart H but does not alter the synthetic securitization operational criteria analysis under § 217.141(b)" - }, - { - "id": "finance_en_prescriptive_108", - "type": "RegBench", - "query": "A Board-regulated institution acts as originator of a synthetic securitization. It has entered into a credit default swap with a highly rated bank counterparty (the protection provider) to hedge a pool of wholesale commercial loans it originated. The protection provider is not affiliated with the originating institution, and the originating institution has confirmed there is no excessive correlation between the creditworthiness of the underlying obligors and the protection provider. The credit default swap covers a single reference pool and provides immediate payout upon a credit event. The protection amount (P) is $180 million, which fully covers the EAD of the hedged pool. The protection provider has a one-year PD of 0.08% and an LGD of 45%. The underlying obligors have a weighted-average one-year PD of 0.35% and an LGD of 40% on the hedged exposures. The effective maturity of the credit default swap is 3.5 years. The originating institution has received prior written Board approval for its excessive-correlation detection process.\n\nThe institution's risk management team is evaluating whether it can recognize the credit risk mitigation benefits of this credit default swap for the synthetic securitization under a double default framework, and if so, how to compute the dollar risk-based capital requirement for the hedged pool. Specifically: (1) Identify the conditions that must be satisfied for the credit risk mitigant to be recognized in the synthetic securitization context, including any definitional criteria the credit derivative must meet; (2) Determine whether the double default treatment is available for this transaction and all eligibility conditions are met; and (3) Compute the dollar risk-based capital requirement (KDD × EAD) for the hedged pool under the double default framework, showing the derivation of KDD.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-031", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-066", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-17", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The dollar risk-based capital requirement equals KDD × $180M, where KDD = Ko × (0.15 + 160 × PDg) and Ko is derived from the ASRF formula using PDo, LGDg, R (asset value correlation at PDo), b, and M.\nRequired findings:\n1. State that the credit derivative must meet the 217.2 definition of eligible credit derivative, except for criterion (3) of the eligible guarantee definition.\n2. The 'eligible credit derivative' definition from the Part 217 definitions section must be consulted to confirm the CDS qualifies, with the exception of criterion (3) of the 'eligible guarantee' definition.\n3. Replace \"single reference pool\" with the source requirement that the uncollateralized credit derivative provide protection with respect to a single reference obligor, or qualify under the nth-to-default branch.\n4. Because P ($180M) ≥ EAD ($180M), the full-coverage rule applies and the entire exposure is risk-weighted under the double default formula.\n5. LGDg = 40% (the lower of the hedged exposure LGD of 40% and the CDS LGD of 45%), because the CDS provides immediate payout upon triggering.\n6. The maturity adjustment coefficient b is computed using the lesser of PDo (0.35%) and PDg (0.08%), i.e., PDg = 0.08%, and M = 3.5 years is used as the effective maturity of the CDS.\n7. The dollar risk-based capital requirement equals KDD × $180M, where KDD = Ko × (0.15 + 160 × PDg) and Ko is derived from the ASRF formula using PDo, LGDg, R (asset value correlation at PDo), b, and M." - }, - { - "id": "finance_en_prescriptive_109", - "type": "RegBench", - "query": "A Board-regulated institution operates a trading book that includes a portfolio of securitization positions. The institution uses an internal VaR-based model for general market risk, but its VaR model does not capture all material aspects of specific risk for a subset of those securitization positions. Among those positions is a tranche of a residential mortgage-backed security that the institution's risk managers have classified as a 'correlation trading position' solely because it meets the structural criteria for that classification — however, the position was originally underwritten as a standard debt instrument and is documented as such in the institution's books.\n\nThe institution's compliance team is determining how to treat this position when computing the specific risk add-on for the trading book. Specifically, they want to know: (1) whether the position should be treated as a debt position or a securitization position for purposes of the specific risk add-on calculation, and (2) what the regulatory definition of 'correlation trading position' requires in order for a position to qualify under that classification — including any structural or eligibility criteria that must be satisfied.\n\nThe institution's total notional exposure in this tranche is $85 million. The position is a long position in a mezzanine tranche with a current fair value of $72 million. The institution has purchased credit protection on this tranche via an OTC credit derivative with a notional of $40 million and a current fair value of $3.5 million; the remaining present value of all future premium payments to the protection seller is $1.2 million.\n\nProvide a complete compliance analysis addressing: (a) the correct treatment of the correlation-trading-position classification question for specific risk add-on purposes; (b) the precise regulatory definition of 'correlation trading position' and the conditions that must be met; and (c) the cap that applies to the specific risk add-on for the purchased credit protection leg, computed using the applicable regulatory formula.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-4-iii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-f", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-c-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-ii-d-7", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-b-2-07", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-2-18", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-4-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The maximum total risk-based capital requirement for all securitization exposures associated with a single securitization is capped under § 217.142(d) at the sum of the capital requirement the institution would hold if it directly held the underlying exposures plus the total expected credit loss of those underlying exposures.\nRequired findings:\n1. Under § 217.210(a), a position that would qualify as a debt position but for its classification as a correlation trading position under paragraph (2) of the definition in § 217.2 must be treated as a debt position for specific risk add-on purposes — not as a securitization position.\n2. The definition of 'correlation trading position' in § 217.2 paragraph (2) requires the position to reference a non-tranched index of reference entities (or hedge such a position); a standard RMBS tranche referencing a specific mortgage pool does not satisfy this criterion and therefore does not qualify.\n3. Because the RMBS tranche does not qualify as a correlation trading position under § 217.2 paragraph (2), the § 217.210(a) carve-out does not apply, and the position is treated as a securitization position for specific risk add-on purposes.\n4. The specific risk add-on cap for the purchased credit protection position (long protection leg) equals the current fair value of the derivative plus the absolute value of the present value of all remaining premium payments to the protection seller: $3.5 million + $1.2 million = $4.7 million.\n5. The risk-based capital requirement for the underlying $72 million mezzanine securitization exposure is determined under the hierarchy in § 217.142(a): deduction/1,250% for gain-on-sale or CEIO, then supervisory formula approach, then simplified supervisory formula approach, then 1,250% risk weight as a fallback.\n6. The maximum total risk-based capital requirement for all securitization exposures associated with a single securitization is capped under § 217.142(d) at the sum of the capital requirement the institution would hold if it directly held the underlying exposures plus the total expected credit loss of those underlying exposures." - }, - { - "id": "finance_en_prescriptive_110", - "type": "RegBench", - "query": "Heartland Mutual Savings Bank has established an employee stock ownership plan (ESOP) that qualifies as a bank holding company under applicable federal law. The ESOP holds shares of Heartland's parent institution and is structured as a tax-qualified retirement benefit plan for employees. The Board has not yet issued any regulations specifically addressing the application of capital requirements to employee stock ownership plans organized as holding companies. Heartland's compliance team is preparing its quarterly regulatory capital report and is uncertain whether the ESOP holding company must calculate and maintain minimum risk-based capital ratios, including the capital conservation buffer composed of common equity tier 1 capital, and whether restrictions on distributions and discretionary bonus payments could apply to it. Determine whether the ESOP holding company is subject to the Board's regulatory capital framework, including the capital conservation buffer requirements, and explain the basis for your conclusion.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-c-1-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-i-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-c-1-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-g-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.502-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The exemption remains in effect until the Board issues regulations that directly relate to the application of capital regulations to employee stock ownership plans organized as holding companies.\nRequired findings:\n1. The ESOP bank holding company falls within the exemption in § 217.502(a) because the Board has not yet adopted regulations specifically addressing capital requirements for ESOP holding companies.\n2. The exemption in § 217.502(a) operates 'notwithstanding' the general applicability provision in § 217.1(c), meaning it overrides the default rule that would otherwise subject the ESOP holding company to Part 217.\n3. § 217.1(c) is the provision that would otherwise bring a U.S.-domiciled bank holding company into the Board's regulatory capital framework on a consolidated basis.\n4. Because the ESOP holding company is exempt from Part 217, it is not required to calculate or maintain minimum risk-based capital ratios or a capital conservation buffer.\n5. The capital conservation buffer under § 217.11(a) is composed solely of common equity tier 1 capital, and the associated maximum payout ratio restrictions in § 217.11(a)(2)(iii) do not apply to an institution that is exempt from Part 217.\n6. The exemption remains in effect until the Board issues regulations that directly relate to the application of capital regulations to employee stock ownership plans organized as holding companies." - }, - { - "id": "finance_en_prescriptive_111", - "type": "RegBench", - "query": "A Board-regulated institution's trading desk holds a position in a collateralized debt obligation (CDO) tranche. The underlying reference portfolio of the CDO consists entirely of single-name corporate credit default swaps, each referencing a different investment-grade company for which an active two-way market exists. The institution's risk managers are debating whether this CDO tranche qualifies as a correlation trading position for internal models purposes. Separately, the institution also holds a direct equity stake in a foreign private company that is not publicly traded and is not domiciled in the United States; the foreign jurisdiction supervises and regulates that company in a manner comparable to how the United States regulates investment companies registered under the Investment Company Act of 1940. The institution's treasury team needs to determine the adjusted carrying value of this equity stake for risk-weighted asset calculation purposes. The on-balance sheet carrying value of the equity stake is $18 million, and the institution has written an unfunded, unconditional commitment to invest an additional $7 million in the same entity. Determine: (1) whether the CDO tranche qualifies as a correlation trading position, and (2) the adjusted carrying value of the equity exposure to the foreign private company that must be used when computing risk-weighted assets under the equity exposure framework.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.151-a-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iii-a-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-b-8", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.202-intro-008", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The definition of 'correlation trading position' in Subpart F incorporates general definitions from the Part 217 master definitions section, and the adjusted carrying value methodology for equity exposures is governed by the equity exposure introduction and measurement rules in Subpart E.\nRequired findings:\n1. The CDO tranche does not qualify as a correlation trading position because its underlying exposures reference multiple different companies, not a single company or a commonly traded index based on single-company exposures.\n2. The equity stake in the foreign private company is not excluded from covered position treatment because the foreign entity is supervised and regulated similarly to a registered investment company under the Investment Company Act of 1940, satisfying the exception for non-US non-publicly-traded equity positions.\n3. The on-balance sheet component of the adjusted carrying value is $18 million (the institution's carrying value of the exposure).\n4. The unfunded unconditional commitment of $7 million contributes an off-balance sheet component equal to its full notional amount of $7 million.\n5. The total adjusted carrying value of the equity exposure is $25 million ($18 million on-balance sheet + $7 million off-balance sheet).\n6. The definition of 'correlation trading position' in Subpart F incorporates general definitions from the Part 217 master definitions section, and the adjusted carrying value methodology for equity exposures is governed by the equity exposure introduction and measurement rules in Subpart E." - }, - { - "id": "finance_en_prescriptive_112", - "type": "RegBench", - "query": "Apex National Bank is an advanced approaches Board-regulated institution that has completed its parallel run and received Board notification. It operates a correlation trading desk and uses an internal model to measure the price risk of its correlation trading portfolio. The bank calculates its comprehensive risk measure weekly. For the most recent week, the bank's internal model produces a comprehensive risk measure of $180 million. The average of the comprehensive risk measures over the prior 12 weeks is $210 million. The bank has not yet held the required one-year track record needed to qualify for the alternative floor treatment. Separately, the bank's total specific risk add-on for its modeled correlation trading positions, calculated under the standardized measurement method, is $95 million.\n\nThe bank's CET1 capital is $9.8 billion, its additional tier 1 capital is $1.2 billion, and its tier 2 capital is $1.5 billion. Its total risk-weighted assets under the standardized approach are $98 billion. The bank is not a global systemically important BHC and is not subject to the GSIB surcharge. Its capital conservation buffer, measured as of the last day of the previous calendar quarter, stands at 1.9% above the minimum CET1 requirement. The bank's board of directors is considering paying $320 million in discretionary bonuses to senior traders this quarter. The bank's net income for the four preceding calendar quarters totals $850 million (net of distributions and associated tax effects), and the average net income over those same four quarters is $780 million.\n\nDetermine: (1) the bank's comprehensive risk capital requirement, including the required surcharge component; (2) whether the bank's capital conservation buffer position restricts its ability to make the proposed $320 million discretionary bonus payment this quarter, and if so, what the maximum permissible payout amount is; and (3) whether the bank is required to publicly disclose its supplementary leverage ratio, and if so, whether it must include the standardized market risk-weighted assets and advanced market risk-weighted assets in its public disclosures.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-c-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-b-2-vi-b-2-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The bank must disclose its supplementary leverage ratio publicly if required under the supplementary leverage ratio disclosure rules, unless it qualifies for the consolidated subsidiary exemption.\nRequired findings:\n1. The comprehensive risk capital requirement surcharge equals the total specific risk add-on of $95 million multiplied by 8.0 percent, yielding $7.6 million, because the bank has not satisfied the one-year track record needed for the alternative floor treatment under the comprehensive risk measurement rules.\n2. The comprehensive risk capital requirement is the greater of the 12-week average comprehensive risk measure (approximately $217.6 million including surcharge) and the most recent weekly measure (approximately $187.6 million including surcharge), resulting in a capital requirement of approximately $217.6 million.\n3. Replace this with: under Table 1, a 1.9% buffer is not in the no-limit tier; it falls below the >2.5% threshold and therefore does not support a no-limitation conclusion.\n4. Keep eligible retained income at $850 million, but do not say the maximum payout amount is $850 million with no restriction; the payout cap must follow the applicable §217.11 ratio.\n5. As an advanced approaches Board-regulated institution that has completed the parallel run, the bank must publicly disclose standardized market risk-weighted assets and advanced market risk-weighted assets under the capital adequacy disclosure table, including separate line items for the standardized approach for specific risk and the internal models approach for specific risk.\n6. The bank must disclose its supplementary leverage ratio publicly if required under the supplementary leverage ratio disclosure rules, unless it qualifies for the consolidated subsidiary exemption." - }, - { - "id": "finance_en_prescriptive_113", - "type": "RegBench", - "query": "Apex State Member Bank is a large Board-regulated institution with average total consolidated assets of $220 billion over the four most recent quarters as reported on its Call Reports. Apex has been identified as an advanced approaches institution and submitted a written implementation plan to the Board three years ago. The Board has been evaluating Apex's parallel run performance for the past 18 months. As of the current quarter, the Board has not yet issued a notification to Apex approving the use of advanced approaches for purposes of calculating its minimum risk-based capital ratios. Apex's compliance team is preparing its quarterly public disclosures and is debating two positions: (1) whether Apex is subject to the quarterly public disclosure requirements applicable to large Board-regulated institutions, and (2) whether Apex's minimum risk-based capital ratios for the current quarter must be determined under the standardized, generally applicable framework rather than the advanced approaches framework. Apex is not a consolidated subsidiary of another bank holding company or depository institution that already makes the relevant public disclosures, and it is not a subsidiary of a non-U.S. banking organization subject to comparable home-jurisdiction disclosure requirements. Evaluate both positions and identify the applicable capital adequacy framework governing Apex's minimum risk-based capital ratios during this period.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.30-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.61-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Apex's none of the subsidiary/non-U.S. organization exemptions apply, so no disclosure carve-out is available to it under §217.61.\nRequired findings:\n1. Apex qualifies as a large Board-regulated institution subject to quarterly public disclosure requirements because its average total consolidated assets ($220 billion) exceed the $50 billion threshold.\n2. Because Apex is an advanced approaches institution that has not received Board approval to exit parallel run under the qualification process approval provision, it is subject to the §§217.62 and 217.63 disclosure requirements rather than being exempt under the §217.172 advanced approaches disclosure regime.\n3. The absence of Board notification approving Apex's use of advanced approaches means Apex remains in parallel run status, and the parallel run provision explicitly states that minimum risk-based capital ratios during this period are determined under the generally applicable subpart D framework.\n4. Subpart D's applicability provision establishes that it sets forth methodologies for determining risk-weighted assets for purposes of the generally applicable risk-based capital requirements for all Board-regulated institutions.\n5. Apex's minimum risk-based capital ratios for the current quarter must be determined under the standardized, generally applicable capital framework (Subpart D), not the advanced approaches framework.\n6. Apex's none of the subsidiary/non-U.S. organization exemptions apply, so no disclosure carve-out is available to it under §217.61." - }, - { - "id": "finance_en_prescriptive_114", - "type": "RegBench", - "query": "Midland State Bancorp is a Board-regulated institution classified as a Category III bank holding company. It is also an advanced approaches institution that has completed the parallel run process and received the required Board notification. The institution is evaluating a synthetic securitization in which it intends to use a guarantee as the credit risk mitigant to hedge a pool of commercial loan exposures. The guarantee in question satisfies all standard conditions for recognition as an eligible guarantee under the applicable definitions — except that it does not satisfy condition (3) of that definition. Midland's compliance team wants to know: (1) whether the synthetic securitization credit risk mitigant can still be recognized for risk-based capital purposes under the operational criteria for synthetic securitizations, and (2) what the consequence is if the mitigant cannot be recognized. Separately, Midland's leverage ratio calculation team is computing the institution's supplementary leverage ratio. Tier 1 capital is $18.4 billion. On-balance sheet assets averaged $310 billion over the reporting quarter. Off-balance sheet exposures averaged $42 billion over the last day of each of the most recent three months. Goodwill net of associated deferred tax liabilities is $2.1 billion, and the institution has $0.9 billion of intangible assets other than mortgage servicing assets, net of associated deferred tax liabilities. No other items require deduction from tier 1 capital for leverage purposes. Compute the supplementary leverage ratio and determine whether it meets the applicable minimum threshold.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-c-3-ix", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-intro-002", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-066", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-2-18", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-c-2-iii-b-5-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: If the operational criteria for synthetic securitization were not met, the institution would hold risk-based capital against the underlying exposures as if they had not been synthetically securitized\nRequired findings:\n1. Category III Board-regulated institutions are subject to a supplementary leverage ratio minimum of 3 percent\n2. Total leverage exposure = mean on-balance sheet assets ($310B) + mean off-balance sheet exposures ($42B) − § 217.22(a) deductions (goodwill $2.1B + intangibles $0.9B = $3.0B) = $349.0B\n3. Supplementary leverage ratio = $18.4B / $349.0B ≈ 5.27%, which exceeds the 3% minimum\n4. The definition of 'eligible guarantee' (including its numbered conditions) is found in the Part 217 definitions section\n5. A guarantee that meets all eligible guarantee requirements except condition (3) of that definition is expressly permitted as a qualifying credit risk mitigant for a synthetic securitization under the operational criteria\n6. Therefore, Midland's guarantee CAN be recognized for risk-based capital purposes, and the institution must hold risk-based capital only against any credit risk it retains in connection with the synthetic securitization\n7. If the operational criteria for synthetic securitization were not met, the institution would hold risk-based capital against the underlying exposures as if they had not been synthetically securitized" - }, - { - "id": "finance_en_prescriptive_115", - "type": "RegBench", - "query": "Meridian Bank Holdings, an advanced approaches Board-regulated institution, maintains a portfolio of equity derivative contracts referencing publicly traded equities. The institution uses the Internal Models Approach (IMA) for market risk capital purposes on these positions. For calendar year 2020, Meridian's compliance team is evaluating whether it must also hold risk-based capital against the counterparty credit risk embedded in these equity derivative contracts, and if so, how to compute the relevant exposure amount. The institution has not yet transitioned to SA-CCR and is considering whether it may still use the Current Exposure Method (CEM) for the relevant exposure calculation during this period. Meridian's netting agreements with its counterparties qualify as master netting agreements under applicable standards. Assume the institution's total notional exposure across these equity derivative contracts is $2.4 billion, and the current replacement cost across all netting sets is $180 million. Determine: (1) whether Meridian must hold capital against counterparty credit risk for these equity derivative contracts given its use of IMA for market risk, (2) which methodology Meridian must use to compute the exposure at default (EAD) for these contracts for counterparty credit risk purposes, and (3) whether Meridian may use CEM rather than SA-CCR for this EAD calculation during calendar year 2020.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-c-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-7", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-h", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: If Meridian elects to begin using SA-CCR before January 1, 2022, it must provide prior notice to the Board and may not subsequently revert to CEM\nRequired findings:\n1. Under IMA, Meridian must hold risk-based capital against counterparty credit risk in its equity derivative contracts by treating them as wholesale exposures and computing a supplemental RWA amount under § 217.132\n2. The option to forgo counterparty credit risk capital for equity derivatives (§ 217.155(b)) is available only under SRWA, not IMA, so Meridian cannot elect out\n3. EAD for OTC derivative contracts subject to a qualifying master netting agreement must be computed using the standardized approach for counterparty credit risk in § 217.132(c) (SA-CCR), absent Board approval for the internal models methodology\n4. The transition provision in § 217.300(h) permits an advanced approaches Board-regulated institution to use CEM rather than SA-CCR for purposes of § 217.132(c) until January 1, 2022\n5. Calendar year 2020 falls within the CEM-permissible transition window, so Meridian may use CEM for the § 217.132(c) EAD calculation during 2020\n6. If Meridian elects to begin using SA-CCR before January 1, 2022, it must provide prior notice to the Board and may not subsequently revert to CEM" - }, - { - "id": "finance_en_prescriptive_116", - "type": "RegBench", - "query": "A supervised insurance organization is calculating the building block capital requirement for one of its building block parents, Holdco A. As part of this calculation, the compliance team needs to determine whether Holdco A or any member of its building block holds an investment in Holdco A's own capital instruments. The organization has identified a separate account asset within the building block that references a fund whose underlying portfolio includes a position in Holdco A's Tier 1 capital instruments. The fund's total net asset value is $200 million, and the net long position in Holdco A's own capital instruments within that fund — calculated without applying any separate-account carve-out — amounts to $8 million. The organization is also evaluating whether the SSFA may be used to assign a specific risk-weighting factor to a securitization position held by a Board-regulated institution affiliate. That affiliate has data on the underlying exposures that is 95 calendar days old; the contracts governing those exposures require quarterly payments. The weighted-average total capital requirement of the underlying exposures, calculated using the standardized approach, is 6.4%, and the position is not a resecuritization. The attachment point is 9% and the detachment point is 14%. Determine: (1) whether the separate account asset associated with the fund must be treated as an indirect exposure to Holdco A's own capital instruments for purposes of the building block capital requirement deduction, and (2) whether the Board-regulated institution affiliate may use the SSFA for the securitization position, and if so, identify the supervisory calibration parameter p that applies.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-f-1-iii-b-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.211-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.211-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.211-b-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-h-2-iii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-h-2-iii-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-4-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Had the data been timely, the supervisory calibration parameter p would equal 0.5 because the position is a securitization position that is not a resecuritization position\nRequired findings:\n1. The net long position in Holdco A's own capital instruments within the fund is $8M / $200M = 4% of fund value, which is below the 5% threshold in § 217.607(b)(4)(ii)\n2. Because the fund's net long position is less than 5% of fund value, the separate account asset is NOT treated as an indirect exposure and no deduction to the building block capital requirement is required on that basis\n3. The Board-regulated institution affiliate's data is 95 calendar days old; because the underlying contracts require quarterly payments, the data must be no more than 91 calendar days old to use the SSFA\n4. Because the data exceeds the 91-day freshness limit, the affiliate may NOT use the SSFA and must assign a specific risk-weighting factor of 100% to the securitization position\n5. Had the data been timely, the supervisory calibration parameter p would equal 0.5 because the position is a securitization position that is not a resecuritization position" - }, - { - "id": "finance_en_prescriptive_117", - "type": "RegBench", - "query": "A state member bank that is not a subsidiary of any depository institution holding company has total consolidated assets of $320 billion, cross-jurisdictional activity of $85 billion, and on-balance sheet foreign exposure of $55 billion. The bank holds a portfolio of on-balance sheet loans totaling $180 billion, unfunded loan commitments of $40 billion (each with an original maturity greater than one year), and a portfolio of OTC interest rate swap contracts with a gross notional of $25 billion. None of these exposures are cleared transactions, default fund contributions, securitization exposures, or equity exposures. The bank uses the standardized approach for credit risk. Describe the process the bank must follow to determine its total risk-weighted assets for general credit risk, and identify which of its exposure types are subject to that process versus those that are carved out.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-015", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iii-b-4-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-4-i-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-4-i-b-2-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total risk-weighted assets for general credit risk equals the sum of all risk-weighted asset amounts calculated under § 217.31, per § 217.31(b)\nRequired findings:\n1. The bank qualifies as a Category II Board-regulated institution because it has total consolidated assets of $320 billion (exceeding $100 billion) and cross-jurisdictional activity of $85 billion (exceeding $75 billion), based on the definitions in § 217.2\n2. Under § 217.31(a)(1), the bank must determine the exposure amount for each on-balance sheet exposure, OTC derivative contract, and off-balance sheet commitment unless a carve-out applies\n3. The $180 billion on-balance sheet loan portfolio is in scope for general credit risk RWA calculation under § 217.31 — no carve-out applies\n4. The $40 billion unfunded loan commitments are off-balance sheet commitments and are in scope under § 217.31(a)(1) — no carve-out applies\n5. The $25 billion OTC interest rate swaps are in scope under § 217.31(a)(1) because they are not cleared transactions, not default fund contributions, not securitization exposures, and not equity exposures\n6. Under § 217.31(a)(2), each in-scope exposure amount must be multiplied by the risk weight appropriate to the exposure type, counterparty, eligible guarantor, or financial collateral\n7. Total risk-weighted assets for general credit risk equals the sum of all risk-weighted asset amounts calculated under § 217.31, per § 217.31(b)" - }, - { - "id": "finance_en_prescriptive_118", - "type": "RegBench", - "query": "A Board-regulated institution originates a $200 million commercial loan portfolio and structures a transaction in which it transfers credit risk on the portfolio to a special purpose entity. The SPE issues two tranches of notes to third-party investors: a senior tranche absorbing losses only after the junior tranche is exhausted, and a junior tranche that absorbs first losses up to $30 million. The institution retains no interest in the junior tranche but does retain the senior tranche. The institution argues that because it has transferred credit risk to third parties and the exposures are no longer on its consolidated balance sheet under GAAP, it should be able to exclude the underlying $200 million portfolio from its risk-weighted asset calculation entirely, treating the retained senior tranche as a simple guaranteed exposure eligible for substitution treatment using the risk weight of the SPE as protection provider.\n\nSeparately, the institution's compliance team notes that the SPE qualifies as a 'securitization SPE' under applicable definitions, and that the transaction involves a credit risk mitigant in the form of a guarantee from a highly rated third-party bank (risk weight: 20%) covering the senior tranche on a full basis, with no maturity mismatch, no currency mismatch, and no restructuring event carve-out in the guarantee documentation.\n\nDetermine: (1) whether the institution may apply simple substitution treatment to the retained senior tranche or whether a different capital framework governs that exposure; (2) what operational conditions, if any, must be satisfied before the institution can exclude the underlying $200 million portfolio from its risk-weighted assets; and (3) assuming those conditions are satisfied and the guarantee on the senior tranche is recognized, what risk weight applies to the senior tranche and what adjustments, if any, are required to the effective notional amount of the guarantee.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-142", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-2-18", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-a-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-c-2-ii-b-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-1-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Assuming the operational criteria are satisfied and the guarantee is eligible, the applicable risk weight for the senior tranche is 20% (the risk weight of the guarantor bank), with no adjustment to the effective notional amount because there is no maturity mismatch, no currency mismatch, and no restructuring event carve-out.\nRequired findings:\n1. The two-tranche structure constitutes a tranching of credit risk with at least two levels of seniority, making the retained senior tranche a securitization exposure subject to the securitization framework rather than simple substitution treatment under the guarantee/credit derivative substitution rules.\n2. The institution may not apply substitution treatment directly to the senior tranche as if it were a plain guaranteed exposure; the securitization operational criteria must first be satisfied before the underlying portfolio can be excluded from risk-weighted assets.\n3. To exclude the $200 million portfolio, the institution must satisfy all operational conditions for traditional securitizations, including: off-balance-sheet treatment under GAAP, transfer of credit risk to third parties, eligible clean-up calls only, and absence of revolving exposures with early amortization provisions.\n4. Failure to meet any operational condition requires the institution to hold risk-based capital against the full $200 million underlying portfolio as if unsecuritized, and to deduct any after-tax gain-on-sale from common equity tier 1 capital.\n5. The third-party bank guarantee on the senior tranche must qualify as an eligible guarantee under the applicable definitions, meeting criteria including being written, unconditional, irrevocable, and legally enforceable.\n6. Assuming the operational criteria are satisfied and the guarantee is eligible, the applicable risk weight for the senior tranche is 20% (the risk weight of the guarantor bank), with no adjustment to the effective notional amount because there is no maturity mismatch, no currency mismatch, and no restructuring event carve-out." - }, - { - "id": "finance_en_prescriptive_119", - "type": "RegBench", - "query": "A Board-regulated institution is the originating party in a synthetic securitization of a $500 million commercial loan portfolio. To hedge its retained exposure, the institution has obtained a guarantee from a highly rated corporate entity. The guarantee covers the full notional amount of the retained tranche and was issued in writing, is unconditional, and is legally enforceable. However, the guarantee does not include a provision requiring the guarantor to make payment within a specified number of business days after the obligor fails to pay — instead, it permits the guarantor up to 90 days to evaluate and respond to a payment demand. The institution's compliance team is assessing whether this guarantee qualifies as a credit risk mitigant that can be recognized for risk-based capital purposes in connection with the synthetic securitization. Separately, the institution's risk team notes that the underlying loan portfolio includes several revolving credit facilities where borrowers may vary drawn amounts within agreed limits, and the securitization structure contains an early amortization provision triggered if the portfolio's excess spread falls below 1.0% for two consecutive months. Determine whether the institution may recognize the guarantee as a credit risk mitigant for the synthetic securitization, and identify any structural features of the securitization that independently affect the institution's ability to exclude the underlying exposures from its risk-weighted asset calculation.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-8-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-8-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-050", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-066", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-b-1-13", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iv-b-2-ii-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-2-18", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-a-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-a-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 'eligible guarantee' definition in § 217.2 also has cross-subpart relevance to the counterparty credit risk framework in § 217.132, including the standardized approach for OTC derivatives and repo-style transactions.\nRequired findings:\n1. Recognition of the guarantee as a credit risk mitigant under § 217.45(a)(1) is conditioned on the synthetic securitization satisfying the operational criteria in § 217.41.\n2. The guarantee must meet all criteria of the 'eligible guarantee' definition in § 217.2 (except criterion (3)) to satisfy § 217.41(b)(1)(ii); the 90-day response window likely fails the prompt-payment requirement in that definition, disqualifying the guarantee.\n3. Because the guarantee does not qualify as an eligible guarantee under § 217.2, the condition in § 217.41(b)(1)(ii) is not met, and the institution cannot recognize the guarantee as a credit risk mitigant for risk-based capital purposes.\n4. The securitization structure independently fails the operational criteria under § 217.41(a)(4) because it simultaneously includes revolving exposures with variable drawn amounts and an early amortization provision.\n5. Failure to meet the § 217.41(a)(4) conditions means the institution must hold risk-based capital against the underlying exposures as if they had not been securitized and must deduct any after-tax gain-on-sale from common equity tier 1 capital.\n6. The 'eligible guarantee' definition in § 217.2 also has cross-subpart relevance to the counterparty credit risk framework in § 217.132, including the standardized approach for OTC derivatives and repo-style transactions." - }, - { - "id": "finance_en_prescriptive_120", - "type": "RegBench", - "query": "First National Bancorp is a Board-regulated institution that has recently entered into a large portfolio of repo-style transactions and eligible margin loans with a single institutional counterparty. The institution's treasury team is computing regulatory capital for the current quarter and has identified the following items on the balance sheet: (1) $180 million of goodwill recorded in connection with a prior acquisition, net of $12 million in associated deferred tax liabilities; (2) $95 million of mortgage servicing assets (MSAs), net of associated deferred tax liabilities; (3) $40 million of deferred tax assets arising from net operating loss carryforwards, net of related valuation allowances and deferred tax liabilities; and (4) $22 million of gain-on-sale recognized in connection with a securitization exposure completed last year. The institution's common equity tier 1 capital elements (before any adjustments or deductions) sum to $620 million. For the repo-style transaction portfolio, the institution has lent instruments with a current fair value of $310 million and taken collateral with a current fair value of $275 million from the counterparty. The net position in a single equity instrument posted as collateral has an absolute value of $18 million, and the applicable market price volatility haircut for that instrument is 15%. There is no currency mismatch in the portfolio. The institution is not an advanced approaches institution and has not completed a parallel run process. Determine: (a) the institution's common equity tier 1 capital after all required regulatory adjustments and deductions, and (b) the exposure-at-default (EAD) for the repo-style transaction netting set using the standard supervisory collateral haircut approach.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.100-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-031", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-intro-131", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iii-b-1-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-c-1-xiv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-d-1-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-c-2-iii-b-5-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-d-2-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: EAD for the repo-style netting set using the collateral haircut approach = max{0, [($310M − $275M) + ($18M × 0.15) + 0]} = max{0, [$35M + $2.7M]} = $37.7M\nRequired findings:\n1. Goodwill deduction from CET1 = $180M − $12M (associated DTL) = $168M under the goodwill deduction rule\n2. MSAs are excluded from the full intangible asset deduction and are instead subject to threshold deduction treatment; the $95M MSA figure does not produce a full dollar-for-dollar CET1 deduction at this step\n3. DTA deduction from CET1 = $40M (net operating loss carryforward DTAs, net of valuation allowances and DTLs)\n4. Gain-on-sale from securitization deduction = $22M\n5. The ECL excess deduction does not apply because the institution is not an advanced approaches Board-regulated institution that has completed the parallel run process; this determination requires consulting the definition of 'advanced approaches Board-regulated institution'\n6. CET1 capital after required deductions = $620M − $168M − $40M − $22M = $390M (excluding any MSA threshold deduction, which requires additional data)\n7. EAD for the repo-style netting set using the collateral haircut approach = max{0, [($310M − $275M) + ($18M × 0.15) + 0]} = max{0, [$35M + $2.7M]} = $37.7M" - }, - { - "id": "finance_en_prescriptive_121", - "type": "RegBench", - "query": "Heartland Bancorp is a Board-regulated institution that qualifies as an advanced approaches institution. It completed its parallel run process eighteen months ago and received the required notification from its primary federal regulator confirming it may use the advanced approaches framework. Heartland is organized as a direct subsidiary of a U.S. bank holding company that is itself subject to the same public disclosure requirements applicable to advanced approaches institutions. Heartland's compliance team is preparing its quarterly regulatory reporting package and is debating two questions: (1) Must Heartland publicly disclose its total and tier 1 risk-based capital ratios and their components — including common equity tier 1 capital, additional tier 1 capital, tier 2 capital, total qualifying capital, and total risk-weighted assets as computed under the advanced approaches framework — on a quarterly basis? (2) Must Heartland separately comply with the detailed quarterly public disclosure obligations (formal disclosure policy approved by the board of directors, senior officer attestation, internal controls over disclosures, and publication of the full set of required disclosure tables) given its corporate structure as a consolidated subsidiary of a holding company that already meets those same disclosure requirements? Analyze both questions and explain the applicable obligations and any exemptions that may apply.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The subsidiary exemption applies only to the detailed disclosure obligations (board policy, attestation, internal controls, full tables) and does NOT relieve Heartland of the basic quarterly capital ratio disclosure obligation.\nRequired findings:\n1. Heartland must publicly disclose each quarter its total and tier 1 risk-based capital ratios and their components (CET1 capital, AT1 capital, tier 2 capital, total qualifying capital, and total risk-weighted assets) as calculated under the advanced approaches framework, because it has completed the parallel run and received the required Board notification.\n2. The quarterly capital ratio disclosure obligation under the first paragraph of §217.172 applies to all qualifying advanced approaches institutions and contains no exemption for consolidated subsidiaries.\n3. The detailed quarterly disclosure requirements — including a formal disclosure policy approved by the board of directors, senior officer attestation, internal controls, and publication of the full required disclosure tables — apply under the second paragraph of §217.172 only if no exemption is triggered.\n4. An institution that is a consolidated subsidiary of a bank holding company that is itself subject to the same disclosure requirements is explicitly exempt from the detailed disclosure obligations described in the third paragraph of §217.172.\n5. Because Heartland is a consolidated subsidiary of a U.S. bank holding company that is subject to the same advanced approaches disclosure requirements, Heartland qualifies for the subsidiary exemption and is not required to separately comply with the detailed disclosure regime.\n6. The subsidiary exemption applies only to the detailed disclosure obligations (board policy, attestation, internal controls, full tables) and does NOT relieve Heartland of the basic quarterly capital ratio disclosure obligation." - }, - { - "id": "finance_en_prescriptive_122", - "type": "RegBench", - "query": "Heartland Savings Bank is a state member bank that is not an advanced approaches institution. As of its most recent year-end Call Report, Heartland reported total consolidated assets of $48.7 billion. However, when averaged across the four most recent quarters of Call Report filings, Heartland's total consolidated assets come to $51.3 billion. Heartland is a standalone institution — it is not a consolidated subsidiary of any bank holding company, savings and loan holding company, or depository institution, and it is not a subsidiary of a non-U.S. banking organization. Determine whether Heartland is subject to the public disclosure requirements related to capital adequacy, and explain the basis for your conclusion.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.61-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Heartland is subject to the public capital disclosure requirements.\nRequired findings:\n1. Total consolidated assets for threshold purposes are determined using the four-quarter average from Call Report filings, not the most recent year-end figure alone.\n2. Heartland's four-quarter average total consolidated assets of $51.3 billion exceeds the $50 billion threshold.\n3. The most recent year-end figure of $48.7 billion is below $50 billion but is not the operative measure under the applicable rule.\n4. Heartland is a state member bank, so the relevant report is the Call Report (not the FR Y-9C).\n5. Heartland is not an advanced approaches institution making disclosures under the advanced approaches framework, so that carve-out does not apply.\n6. Heartland does not qualify for the consolidated-subsidiary or non-U.S. banking organization exclusions.\n7. Heartland is subject to the public capital disclosure requirements." - }, - { - "id": "finance_en_prescriptive_123", - "type": "RegBench", - "query": "Heartland Community Bank, a Board-regulated institution with a calendar fiscal year, adopted the current expected credit loss methodology effective January 1, 2023. Upon adoption, the bank recorded a reduction in retained earnings of $18 million. Specifically, as of January 1, 2023 (the first day of the new fiscal year), retained earnings stood at $142 million, compared to $160 million at December 31, 2022 (the close of the prior fiscal year). The bank's deferred tax assets arising from temporary differences were $9 million as of January 1, 2023, versus $5 million as of December 31, 2022. The bank's allowance for credit losses under the new standard was $31 million as of January 1, 2023, compared to an allowance for loan and lease losses of $13 million as of December 31, 2022. The bank timely elected the transition provision in its first regulatory report filed after adoption. It is now the second year of the transition period. Determine: (1) the CECL transitional amount, (2) the DTA transitional amount, and (3) the percentage adjustments the bank must apply to retained earnings and to its deferred tax assets arising from temporary differences when calculating its regulatory capital ratios during the current (second) year of the transition period.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.301-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-c-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The election was valid because the bank recorded a reduction in retained earnings upon CECL adoption and elected in its first post-adoption regulatory report\nRequired findings:\n1. CECL transitional amount = $18 million (reduction in retained earnings net of DTAs: $160M − $142M)\n2. DTA transitional amount = $4 million (increase in DTAs from temporary differences: $9M − $5M)\n3. In the second year of the transition period, retained earnings must be increased by 50% of the CECL transitional amount = $9 million\n4. In the second year of the transition period, DTAs arising from temporary differences must be decreased by 50% of the DTA transitional amount = $2 million\n5. The election was valid because the bank recorded a reduction in retained earnings upon CECL adoption and elected in its first post-adoption regulatory report" - }, - { - "id": "finance_en_prescriptive_124", - "type": "RegBench", - "query": "A global systemically important bank holding company is calculating its short-term wholesale funding score for the current reporting period. The firm's average risk-weighted assets over the prior calendar year were $850 billion. During that year, the firm maintained the following daily average positions: (1) $40 billion in secured funding transactions collateralized by Level 2A liquid assets with a remaining maturity of 31 to 90 days; (2) $25 billion in unsecured wholesale funding to non-financial-sector counterparties with a remaining maturity of 30 days or less; (3) $10 billion in covered asset exchanges involving the future exchange of a Level 1 liquid asset for a Level 2A liquid asset, with a remaining maturity of 91 to 180 days; (4) $15 billion in secured funding transactions collateralized by Level 2B liquid assets with a remaining maturity of 181 to 365 days; and (5) $8 billion in brokered deposits provided by retail customers with no stated maturity. Calculate the firm's short-term wholesale funding score, showing the weighted short-term wholesale funding amount and the final score.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.406-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.406-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.406-b-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Short-term wholesale funding score = ($20.75B ÷ $850B) × 350 ≈ 8.54\nRequired findings:\n1. Secured funding collateralized by Level 2A liquid assets with 31–90 day maturity falls under Category 2 at a 25% weight, contributing $10.0 billion to the weighted STWF amount\n2. Unsecured wholesale funding to non-financial-sector counterparties with ≤30 day maturity falls under Category 1 at a 25% weight, contributing $6.25 billion\n3. Covered asset exchanges involving a Level 1 for Level 2A exchange with 91–180 day maturity fall under Category 2 at a 10% weight, contributing $1.0 billion\n4. Secured funding collateralized by Level 2B liquid assets with 181–365 day maturity falls under Category 3 at a 10% weight, contributing $1.5 billion\n5. Brokered deposits provided by retail customers with no stated maturity are treated as having a remaining maturity of 30 days or less, falling under Category 1 at a 25% weight, contributing $2.0 billion\n6. Total weighted short-term wholesale funding amount = $20.75 billion\n7. Short-term wholesale funding score = ($20.75B ÷ $850B) × 350 ≈ 8.54" - }, - { - "id": "finance_en_prescriptive_125", - "type": "RegBench", - "query": "A large bank holding company recently crossed the threshold that requires it to adopt the advanced approaches for calculating risk-weighted assets. The institution's board of directors approved a written implementation plan on March 1, 2024. The plan comprehensively addresses qualification requirements for the institution and all consolidated subsidiaries, includes a self-assessment of current practices, identifies gaps, and specifies measurable milestones with delivery dates. The institution proposes to begin its parallel run on June 1, 2024, and submits the implementation plan along with a copy of the board minutes to its primary federal regulator on April 15, 2024. The institution then conducts a parallel run beginning June 1, 2024, during which it reports its risk-based capital ratios on a calendar quarterly basis. After three consecutive calendar quarters of satisfactory compliance with qualification requirements, the institution requests approval to begin calculating risk-based capital requirements under the advanced approaches. Identify (1) whether the implementation plan submission timing satisfies the applicable regulatory requirement, (2) the minimum duration of the parallel run required before the institution may seek approval to use the advanced approaches, and (3) what the institution's minimum risk-based capital ratios are governed by during the parallel run period.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: During the parallel run, the institution's minimum risk-based capital ratios are governed by subpart D of Part 217, not the advanced approaches rules\nRequired findings:\n1. The implementation plan must be submitted to the Board at least 60 days before the proposed parallel run start date (unless the Board waives prior notice)\n2. April 15 to June 1, 2024 is approximately 47 days, which is less than the required 60-day advance submission window, so the submission timing does not satisfy the requirement absent a Board waiver\n3. A satisfactory parallel run requires no less than four consecutive calendar quarters of compliance with qualification requirements to the Board's satisfaction\n4. Three consecutive calendar quarters is insufficient to constitute a satisfactory parallel run; the institution must complete a fourth quarter before seeking approval\n5. During the parallel run, the institution's minimum risk-based capital ratios are governed by subpart D of Part 217, not the advanced approaches rules" - }, - { - "id": "finance_en_prescriptive_126", - "type": "RegBench", - "query": "A Board-regulated institution has received supervisory approval to use an internal model for measuring the price risk of its correlation trading portfolio. The institution has been operating under this approved model for 14 months and has documented ongoing model validation results, including robust benchmarking outputs, that demonstrate the model's effectiveness. During the most recent 12-week period, the institution's weekly comprehensive risk measures (in millions) were as follows: Week 1: $42M, Week 2: $38M, Week 3: $45M, Week 4: $41M, Week 5: $39M, Week 6: $44M, Week 7: $47M, Week 8: $43M, Week 9: $40M, Week 10: $46M, Week 11: $48M, Week 12: $50M. The most recent comprehensive risk measure (Week 12) is $50M. Separately, the total specific risk add-on for the institution's modeled correlation trading positions, calculated under the applicable standardized methodology, is $180M. The institution wishes to use the more favorable of the two permissible calculation methods for its comprehensive risk capital requirement. (1) Identify which calculation method the institution is eligible to use and why. (2) Under that method, determine the comprehensive risk capital requirement, showing all intermediate calculations.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.209-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-d-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Method (i) would have yielded a higher capital requirement ($64.4M), confirming Method (ii) is more favorable\nRequired findings:\n1. The institution qualifies for the favorable method (Method ii) because it has operated under the approved model for more than one year (14 months) and has demonstrated model effectiveness through robust benchmarking\n2. Under Method (ii), each weekly comprehensive risk measure equals the greater of the modeled measure or 8.0% × $180M = $14.4M; since all modeled measures exceed $14.4M, each week's measure equals the modeled measure\n3. The 12-week average of the comprehensive risk measures = ($42+$38+$45+$41+$39+$44+$47+$43+$40+$46+$48+$50)M / 12 = $523M / 12 ≈ $43.58M\n4. The most recent (Week 12) comprehensive risk measure = $50M\n5. The comprehensive risk capital requirement = the greater of $43.58M and $50M = $50M\n6. Method (i) would have yielded a higher capital requirement ($64.4M), confirming Method (ii) is more favorable" - }, - { - "id": "finance_en_prescriptive_127", - "type": "RegBench", - "query": "Ridgeline State Bank is a state member bank that is a Board-regulated institution. In early June 2020, Ridgeline's management is evaluating whether to take advantage of a temporary regulatory relief measure that would allow the bank to exclude certain assets from its total leverage exposure calculation. As of the first day of the reporting quarter beginning July 1, 2020, Ridgeline holds $4.2 billion in U.S. Treasury securities and $1.8 billion in funds on deposit at a Federal Reserve Bank. The bank's total leverage exposure before any exclusions is $62 billion. Ridgeline's management wants to apply the exclusions starting with the July 1, 2020 quarter and intends to pay a $50 million dividend to shareholders in August 2020. Ridgeline has not yet taken any action to notify its regulator. Determine: (1) whether Ridgeline is eligible to apply the exclusions, (2) what procedural step must be completed before the exclusions can be applied, (3) the maximum amount that could be excluded from total leverage exposure if eligibility is established, and (4) whether the planned August 2020 dividend distribution is permissible without additional regulatory action.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.303-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-g", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The temporary exclusion relief terminates after the reporting period ending March 31, 2021\nRequired findings:\n1. Ridgeline is eligible in category as a state member bank, but the exclusion is permissive (may exclude), not mandatory\n2. Ridgeline must file an opt-in notice with the Board before July 1, 2020 to be eligible for the exclusions\n3. If the opt-in notice is filed before July 1, 2020, relief applies from the beginning of the reporting quarter in which it was filed; for a June 2020 filing, that would be April 1, 2020.\n4. The maximum excludable amount is $6.0 billion ($4.2 billion U.S. Treasury securities + $1.8 billion Federal Reserve deposits), reducing total leverage exposure to $56 billion\n5. The planned August 2020 dividend of $50 million requires prior Board approval because Ridgeline would be an opted-in state member bank making a distribution during the period July 1, 2020 through March 31, 2021\n6. The temporary exclusion relief terminates after the reporting period ending March 31, 2021" - }, - { - "id": "finance_en_prescriptive_128", - "type": "RegBench", - "query": "A Board-regulated institution has been operating under the advanced approaches framework for several years following a satisfactory parallel run. During a routine supervisory review, the Board identifies that the institution's internal ratings-based credit risk models have undergone a significant recalibration of loss-given-default (LGD) assumptions for its wholesale portfolio, resulting in a 12% increase in the institution's advanced approaches total risk-weighted asset amount for wholesale credit exposures. The institution did not proactively notify the Board of this change prior to the supervisory review. Subsequently, the Board determines that the institution's advanced approaches total risk-weighted assets are materially understated relative to the actual credit and operational risks embedded in the portfolio, and that the institution's qualification standards have lapsed. Describe the full sequence of regulatory obligations and supervisory actions that apply to this institution, including what the institution must do and what the Board is authorized to require.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.122-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-b-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 12% increase in wholesale credit RWA resulting from the LGD recalibration constitutes both a material change in advanced approaches total RWA for an exposure type and a significant change to modeling assumptions, each independently triggering the notification obligation.\nRequired findings:\n1. The institution was required to notify the Board when it made a significant change to its LGD modeling assumptions and when that change resulted in a material change in advanced approaches total RWA for wholesale exposures, and it failed to do so.\n2. Because the institution has completed a satisfactory parallel run and the Board finds it has failed to comply with qualification requirements, the Board must issue written notice of non-compliance to the institution.\n3. Upon receiving the Board's written notice, the institution must establish and submit a remediation plan satisfactory to the Board describing how it will return to compliance with the qualification requirements.\n4. Because the Board has determined that the institution's advanced approaches total RWA is not commensurate with its actual credit, market, operational, or other risks, the Board is authorized to require the institution to recalculate its advanced approaches total RWA using Board-specified modifications.\n5. The 12% increase in wholesale credit RWA resulting from the LGD recalibration constitutes both a material change in advanced approaches total RWA for an exposure type and a significant change to modeling assumptions, each independently triggering the notification obligation." - }, - { - "id": "finance_en_prescriptive_129", - "type": "RegBench", - "query": "Ridgeline State Bank, a state member bank supervised by the Federal Reserve, is evaluating whether it can exclude certain assets from its total leverage exposure calculation for the reporting quarter ending March 31, 2021. The bank holds $4.2 billion in U.S. Treasury securities and maintains $1.8 billion in funds on deposit at a Federal Reserve Bank. Ridgeline submitted a written opt-in notice to the Board on June 15, 2020. The bank is also classified as a custodial banking organization and had previously included $1.8 billion in a specific line item within its total leverage exposure calculation related to its custodial deposit liabilities. Ridgeline's compliance team wants to know: (1) whether the bank is eligible to exclude the Treasury securities and Federal Reserve deposits from its on-balance sheet assets for the quarter ending March 31, 2021; (2) what adjustment, if any, must be made to the custodial banking organization line item in the total leverage exposure calculation as a result of excluding the Federal Reserve deposits; and (3) whether the bank may declare a dividend of $50 million during the calendar quarter beginning July 1, 2020 without any regulatory approval, given its opt-in status.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-g", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The Board's review of any distribution request considers factors including safety and soundness, the nature and extent of the request, and the particular circumstances\nRequired findings:\n1. Ridgeline is eligible to exclude U.S. Treasury securities and Federal Reserve deposits as a state member bank that opted in before July 1, 2020 (notice filed June 15, 2020 satisfies the deadline)\n2. The exclusion remains effective for the reporting quarter ending March 31, 2021, as that is the final eligible reporting period under the termination provision\n3. As a custodial banking organization excluding $1.8 billion in Federal Reserve deposits, Ridgeline must reduce the relevant custodial line item in its total leverage exposure calculation by $1.8 billion, bringing it to $0 (no less than zero)\n4. Ridgeline may not declare the $50 million dividend during the calendar quarter beginning July 1, 2020 without prior Board approval, because it has opted in to the exclusion relief and the distribution restriction applies through March 31, 2021\n5. The Board's review of any distribution request considers factors including safety and soundness, the nature and extent of the request, and the particular circumstances" - }, - { - "id": "finance_en_prescriptive_130", - "type": "RegBench", - "query": "Heartland Bancorp is a Board-regulated institution subject to the public disclosure requirements under the Basel III capital framework. The institution's compliance team is preparing its quarterly public disclosures and must determine the full scope of what must be disclosed. Heartland Bancorp has the following characteristics: it is classified as a Category III institution; it is required to publicly disclose its supplementary leverage ratio; and it is also required to calculate a countercyclical capital buffer because its private-sector credit exposures are concentrated in jurisdictions where the applicable buffer rate has been activated. The compliance team wants to confirm: (1) whether the institution must use the standard 'Capital Conservation Buffer' disclosure table or a different table for its capital conservation and countercyclical buffer disclosures; (2) whether the institution is subject to the supplementary leverage ratio disclosure requirement and, if so, under which disclosure framework that obligation arises; and (3) what is the minimum historical period for which these quarterly disclosures must be made publicly available, and from what date does that period begin?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-e", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The substitution of Table 4 to § 217.173 for Table 4 to § 217.63 applies only when both conditions are met: the institution is Category III and is required to calculate a countercyclical capital buffer.\nRequired findings:\n1. Heartland Bancorp must make its quarterly disclosures publicly available for each of the last three years (twelve quarters), or the shorter period beginning January 1, 2015.\n2. As a Category III institution required to calculate a countercyclical capital buffer, Heartland Bancorp must use Table 4 to § 217.173 ('Capital Conservation and Countercyclical Capital Buffers') rather than Table 4 to § 217.63 ('Capital Conservation Buffer').\n3. As a Category III institution required to publicly disclose its supplementary leverage ratio, Heartland Bancorp is subject to the supplementary leverage ratio disclosure requirement at § 217.173(a)(2).\n4. The supplementary leverage ratio disclosure obligation arises because the institution meets the Category III gating condition and is required to disclose under § 217.172(d).\n5. The substitution of Table 4 to § 217.173 for Table 4 to § 217.63 applies only when both conditions are met: the institution is Category III and is required to calculate a countercyclical capital buffer." - }, - { - "id": "finance_en_prescriptive_131", - "type": "RegBench", - "query": "Heartland Community Bank, a Board-regulated institution, adopted CECL on January 1, 2023 (the first day of its fiscal year). Upon adoption, the bank recorded the following balance sheet changes: retained earnings decreased from $180 million to $162 million (a reduction of $18 million, net of deferred tax assets); DTAs arising from temporary differences increased from $9 million to $15 million (an increase of $6 million); and the allowance for credit losses (AACL) increased from $22 million to $34 million (an increase of $12 million). The bank timely elected the CECL transition provision in its first Call Report filed after adoption. The bank is not subject to the 2020 CECL transition provision and is not an advanced approaches institution. It is now the second year of the transition period (fiscal year 2024). Calculate the adjustments the bank must make to its retained earnings, DTA amounts, and AACL when computing its regulatory capital ratios for the second year of the transition period, and state the adjusted values for each of these three items assuming no other changes to these balances from their post-adoption levels.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.301-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-c-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.301-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: AACL must be decreased by 50% × $12M = $6 million, yielding adjusted AACL of $28 million\nRequired findings:\n1. CECL transitional amount = $18 million (net reduction in retained earnings upon CECL adoption)\n2. DTA transitional amount = $6 million (increase in DTAs from temporary differences upon CECL adoption)\n3. AACL transitional amount = $12 million (increase in AACL upon CECL adoption)\n4. Second-year phase-in percentage is 50% for all three adjustments\n5. Retained earnings must be increased by 50% × $18M = $9 million, yielding adjusted retained earnings of $171 million\n6. DTAs must be decreased by 50% × $6M = $3 million, yielding adjusted DTAs of $12 million\n7. AACL must be decreased by 50% × $12M = $6 million, yielding adjusted AACL of $28 million" - }, - { - "id": "finance_en_prescriptive_132", - "type": "RegBench", - "query": "Horizon Bancorp is a large U.S. bank holding company that completed its annual systemic risk scoring exercise on November 15. Its scoring model produced a method 1 score of 128 basis points. The bank's chief risk officer is evaluating whether Horizon Bancorp qualifies as a global systemically important bank holding company for the upcoming regulatory reporting cycle. The CRO also notes that the annual scoring deadline has not yet passed. Based on the applicable U.S. capital rules for large bank holding companies, does Horizon Bancorp qualify as a global systemically important BHC, and has it satisfied its annual scoring obligation?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.400-b-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.402-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Horizon Bancorp completed its scoring on November 15, which satisfies the December 31 annual deadline\nRequired findings:\n1. The GSIB identification threshold is a method 1 score that equals or exceeds 130 basis points\n2. Horizon Bancorp's method 1 score of 128 basis points is below the 130 basis point threshold\n3. Horizon Bancorp does not qualify as a global systemically important BHC\n4. The annual method 1 score must be calculated by December 31 of each year\n5. Horizon Bancorp completed its scoring on November 15, which satisfies the December 31 annual deadline" - }, - { - "id": "finance_en_prescriptive_133", - "type": "RegBench", - "query": "A large U.S. bank holding company subject to the advanced approaches capital rules maintains an internal models-based market risk framework and holds material portfolios of covered positions, including a correlation trading book. The institution publishes its financial disclosures on a public website and in quarterly regulatory filings. During the most recent calendar quarter, the institution's risk management team identified a significant structural change in its correlation trading portfolio that materially altered the institution's risk profile relative to the prior quarter's reported figures. The institution's board of directors has approved a formal disclosure policy, and two senior officers have reviewed and signed off on the disclosures. The institution believes that disclosing the specific notional breakdown of its correlation trading positions would seriously prejudice its competitive position by revealing proprietary trading strategies. For the current quarter, the institution has prepared the following: (1) high, low, and mean VaR-based measures and period-end VaR; (2) high, low, and mean stressed VaR-based measures and period-end stressed VaR; (3) separate VaR component measures for interest rate risk, credit spread risk, equity price risk, foreign exchange risk, and commodity price risk; (4) a comparison of VaR-based estimates with actual gains and losses, including analysis of outliers; (5) the aggregate amount of on-balance sheet and off-balance sheet securitization positions by exposure type; and (6) a single aggregate figure for correlation trading positions without further breakdown. The institution has not yet published any qualitative disclosures for the current quarter, intending to release them only after the fourth calendar quarter ends. Identify (a) whether the institution's attestation arrangement satisfies the disclosure policy requirements, (b) whether the institution may withhold the specific breakdown of its correlation trading positions and, if so, what substitute disclosure is required, (c) which required quantitative disclosure items are missing from the current quarter's package, and (d) whether deferring all qualitative disclosures until after the fourth calendar quarter is permissible given the significant change that occurred this quarter.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.212-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.212-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.212-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.212-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Qualitative disclosures that do not change each quarter may ordinarily be deferred to an annual disclosure after the fourth calendar quarter, but this deferral is subject to the interim significant-change disclosure requirement.\nRequired findings:\n1. Two senior officers attesting satisfies the 'one or more senior officers' attestation requirement under the disclosure policy provisions.\n2. The institution may withhold the specific breakdown of correlation trading positions on proprietary grounds, but must disclose more general information about the subject matter and must state the fact that specific items were withheld and the reason why.\n3. The institution is missing the required quarterly disclosure of high, low, mean, and period-end incremental risk capital requirements.\n4. The institution is missing the required quarterly disclosure of high, low, mean, and period-end comprehensive risk capital requirements, including the period-end breakdown by risk classification.\n5. The significant structural change in the correlation trading portfolio triggers an obligation to provide a brief discussion of the change and its likely impact as soon as practicable, and deferring all qualitative disclosures until after the fourth calendar quarter is not permissible in this circumstance.\n6. Qualitative disclosures that do not change each quarter may ordinarily be deferred to an annual disclosure after the fourth calendar quarter, but this deferral is subject to the interim significant-change disclosure requirement." - }, - { - "id": "finance_en_prescriptive_134", - "type": "RegBench", - "query": "A large Board-regulated institution subject to the public disclosure requirements for capital adequacy has a formal disclosure policy in place, approved by its board of directors. During the third calendar quarter, the institution's risk profile changes materially due to a significant acquisition that substantially increases its credit risk-weighted assets and alters its capital ratios. The institution's compliance team is evaluating three disclosure-related questions: (1) The institution's qualitative disclosures — including its general summary of risk management objectives, reporting systems, and definitions — were last published at the end of the prior fourth calendar quarter. No significant changes to those qualitative items occurred during the first or second quarters, but the acquisition in the third quarter has changed some of those qualitative descriptions. Must the institution update and publish those qualitative disclosures before the end of the fourth calendar quarter? (2) The institution's most recently filed quarterly disclosure no longer accurately reflects its capital adequacy and risk profile in light of the acquisition. What is the institution's obligation with respect to disclosing the impact of this change, and when must it act? (3) The institution's legal team has determined that one specific line item in the required capital disclosure tables — relating to a proprietary hedging arrangement — qualifies for an exemption from public release under federal open-records law. May the institution simply omit that line item entirely from its disclosures, and if not, what must it provide instead?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.62-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution's formal disclosure policy must be approved by the board of directors and must address internal controls and disclosure controls and procedures, and one or more senior officers must attest that disclosures meet the applicable requirements.\nRequired findings:\n1. Qualitative disclosures that typically do not change each quarter may be published annually after the fourth calendar quarter, but any significant changes must be disclosed in the interim — so the acquisition-driven changes to qualitative descriptions must be published before year-end, not deferred.\n2. When a significant change occurs such that the most recently reported amounts no longer reflect the institution's capital adequacy and risk profile, a brief discussion of the change and its likely impact must be disclosed as soon as practicable — not deferred to the next quarterly cycle.\n3. An institution may withhold a specific disclosure item that qualifies for a Freedom of Information Act exemption, but it cannot simply omit the item; it must disclose more general information about the subject matter of the requirement.\n4. When invoking the FOIA exemption to withhold a specific item, the institution must also disclose the fact that specific information has not been disclosed and the reason why.\n5. The institution's formal disclosure policy must be approved by the board of directors and must address internal controls and disclosure controls and procedures, and one or more senior officers must attest that disclosures meet the applicable requirements." - }, - { - "id": "finance_en_prescriptive_135", - "type": "RegBench", - "query": "Heartland Mutual Holdings is a top-tier depository institution holding company that is part of a supervised insurance organization. As of December 31 of the prior calendar year, the company's Building Block Approach (BBA) ratio was 109 percent, and the minimum capital requirement applicable to the company is 75 percent. During the current calendar year, the company's annual change in building block available capital — calculated as the difference between building block available capital at December 31 of the current year and December 31 of the prior year, based on the most recent FR Q-1 filing — is negative $18 million. This figure is net of $5 million in distributions already made and $3 million in accretion from new capital instruments issued during the current year (none of which correspond to retirement of existing instruments). The company's board of directors is considering declaring an additional $4 million cash dividend on its common equity tier 1 instruments and paying $2 million in discretionary bonuses to senior executives. Determine whether Heartland Mutual Holdings may make these additional payments, and if so, compute the maximum additional amount it may distribute or pay as discretionary bonuses for the remainder of the current calendar year.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.604-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Maximum additional payout amount = $0\nRequired findings:\n1. Capital conservation buffer = 109% − 75% = 34%\n2. A buffer of 34% falls in the 'less than or equal to 38%' tier of Table 1, yielding a maximum payout ratio of 0 percent\n3. Eligible retained income is negative (−$18 million)\n4. Because eligible retained income is negative AND the capital conservation buffer (34%) was less than 150 percent at year-end, the company is prohibited from making any distributions or discretionary bonus payments\n5. The additional $4 million dividend and $2 million discretionary bonus payments are not permitted\n6. Maximum additional payout amount = $0" - }, - { - "id": "finance_en_prescriptive_136", - "type": "RegBench", - "query": "A Board-regulated institution is evaluating whether it can reduce its operational risk capital requirement by incorporating two risk mitigants into its operational risk quantification system. The first mitigant is an insurance policy issued by an unaffiliated insurer that the institution has assessed as having strong claims-paying capacity; the institution's internal rating system assigns this insurer to an obligor rating category mapped to a probability of default of 8 basis points. The policy was originally written with a two-year term and currently has 75 days remaining before expiration. The policy contains a cancellation clause allowing the insurer to cancel with 95 days' written notice, and it is explicitly mapped to a specific category of operational loss events. The policy contains no exclusions based on regulatory action or receivership of a failed depository institution. The second mitigant is a contractual indemnification arrangement with a third-party vendor, which the institution argues covers potential operational losses in a manner equivalent to holding total capital, but for which the institution has not yet obtained any formal regulatory approval. The institution's quantification system can produce both an unadjusted operational risk exposure estimate and an adjusted estimate that incorporates these mitigants. Determine which, if either, of these two mitigants qualifies for incorporation into the institution's operational risk exposure estimate, and identify the specific condition or conditions that determine each mitigant's eligibility.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.161-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.161-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.161-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.161-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.161-b-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.161-b-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution's quantification system satisfies the system-level prerequisite of being able to generate both an unadjusted and an adjusted operational risk exposure estimate\nRequired findings:\n1. The insurance policy fails the residual term requirement because 75 days does not exceed the required minimum of 90 days under the qualifying insurance criteria\n2. All other insurance sub-criteria are satisfied: the insurer's PD of 8 basis points is at or below the 10 basis point threshold, the cancellation notice period of 95 days meets the 90-day minimum, there are no excluded regulatory-action or receivership scenarios, and the policy is explicitly mapped to an operational loss event\n3. The insurance policy does not qualify as a qualifying operational risk mitigant due to the residual term deficiency\n4. The contractual indemnification arrangement is a non-insurance operational risk mitigant and requires prior written Board approval to qualify\n5. Because no prior written Board approval has been obtained for the indemnification arrangement, it does not qualify as a qualifying operational risk mitigant\n6. Neither mitigant may be incorporated into the institution's adjusted operational risk exposure estimate\n7. The institution's quantification system satisfies the system-level prerequisite of being able to generate both an unadjusted and an adjusted operational risk exposure estimate" - }, - { - "id": "finance_en_prescriptive_137", - "type": "RegBench", - "query": "A Board-regulated institution's risk management team is reviewing its market risk capital framework ahead of a quarterly internal audit. The institution uses a single internal model to calculate its daily VaR-based measure for all covered positions. The model is calibrated to a one-tail, 99.0 percent confidence level and a 10-business-day holding period. The institution's current daily VaR-based measure is $85 million.\n\nAs part of its stressed VaR program, the institution has identified a 12-month historical window spanning the 2008–2009 financial crisis as its period of significant financial stress. Using this stress window, the model produces a stressed VaR-based measure of $78 million. The institution's risk team argues this figure is acceptable because it was derived using the same model and the same confidence level and holding period as the daily VaR calculation.\n\nThe institution's compliance officer raises two concerns: (1) whether the $78 million stressed VaR-based measure is permissible given its relationship to the daily VaR-based measure, and (2) whether the institution's policies and procedures governing the stress period selection require any regulatory approval before being modified.\n\nAssess whether the institution's stressed VaR-based measure of $78 million satisfies applicable requirements, identify any violation, and describe the governance obligations the institution must meet regarding its stress period selection policies.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.205-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.206-b-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The policies and procedures must address how the stress period links to the composition and directional bias of the current portfolio, and the process for selecting, reviewing, and updating the stress period.\nRequired findings:\n1. The stressed VaR-based measure must use the same confidence level (one-tail, 99.0 percent) and holding period (10-business-day) as the VaR-based measure, as specified for the VaR-based measure under § 217.205(b)(1).\n2. The stressed VaR-based measure of $78 million violates the regulatory floor because it is less than the institution's VaR-based measure of $85 million; the stressed VaR-based measure must be no less than the VaR-based measure.\n3. The institution must have written policies and procedures describing how it determines the period of significant financial stress, and must be able to provide empirical support for the period used.\n4. The institution must obtain prior Board approval before making any material changes to its stress period selection policies and procedures, and must notify the Board of any such material changes.\n5. The policies and procedures must address how the stress period links to the composition and directional bias of the current portfolio, and the process for selecting, reviewing, and updating the stress period." - }, - { - "id": "finance_en_prescriptive_138", - "type": "RegBench", - "query": "First National Bancorp is an advanced approaches Board-regulated institution that completed its parallel run and received formal notification from the Board that it must begin using the advanced approaches framework for risk-based capital purposes. The notification was issued on March 15, 2021. The institution is also required to publicly disclose its supplementary leverage ratio. First National Bancorp is not a consolidated subsidiary of any bank holding company, savings and loan holding company, depository institution, or non-U.S. banking organization subject to comparable public disclosure requirements.\n\nFirst National Bancorp's compliance team is preparing its public disclosure calendar. They need to determine: (1) when the obligation to publicly disclose the Tables 1 through 12 disclosures begins and how many consecutive quarters those disclosures must remain publicly available, and (2) whether the institution must also make the supplementary leverage ratio disclosure (Table 13), and if so, what the applicable quarterly availability requirement is for that disclosure.\n\nAdditionally, the team wants to confirm what specific Board action triggers the start of the Tables 1–12 disclosure window — specifically, what conditions the Board must have found satisfied before issuing that notification, and whether the institution's four-quarter parallel run period was a prerequisite to receiving that notification.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-g-2-ii-d-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-h-3-i-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Table 13 disclosures must be publicly available for twelve consecutive quarters beginning January 1, 2015, or a shorter period for the quarters after the institution becomes subject to the supplementary leverage ratio disclosure requirement\nRequired findings:\n1. Tables 1–12 disclosures must be made publicly available for twelve consecutive quarters, or a shorter period beginning with the quarters after the institution completes the parallel run and receives Board notification under § 217.121(d)\n2. Because Board notification was received on March 15, 2021 (after January 1, 2014), the shorter-period clause applies and the twelve-quarter window runs from the quarters following that notification date\n3. The Board notification under § 217.121(d) requires the Board to find three conditions satisfied: (1) full compliance with all § 217.122 qualification requirements, (2) completion of a satisfactory parallel run, and (3) an adequate ongoing compliance process\n4. A satisfactory parallel run under § 217.121(c) requires no less than four consecutive calendar quarters of compliance with qualification requirements to the Board's satisfaction, confirming it is a prerequisite to the notification\n5. First National Bancorp must also make Table 13 (supplementary leverage ratio) disclosures because it is required to publicly disclose its supplementary leverage ratio and is not a consolidated subsidiary of any entity subject to these or comparable disclosure requirements\n6. Table 13 disclosures must be publicly available for twelve consecutive quarters beginning January 1, 2015, or a shorter period for the quarters after the institution becomes subject to the supplementary leverage ratio disclosure requirement" - }, - { - "id": "finance_en_prescriptive_139", - "type": "RegBench", - "query": "First National Bancorp is an advanced approaches Board-regulated institution that has completed its parallel run and received the required notification from its primary federal regulator. The institution is also subject to the public disclosure requirement for its supplementary leverage ratio. It uses an internal models methodology to calculate exposure at default (EAD) for its portfolio of OTC derivative contracts and repo-style transactions, rather than the collateral haircut approach. The institution's risk management team is preparing its quarterly public disclosures and must determine: (1) which disclosure tables it is required to publish, including whether the supplementary leverage ratio table applies; and (2) for the repo-style transaction line items in the supplementary leverage ratio disclosure table, which specific EAD methodology governs the counterparty credit risk figures that must be reported — and what constraints apply to using that methodology across different transaction categories. Assume the institution is not a consolidated subsidiary of any bank holding company or non-U.S. banking organization subject to comparable disclosure requirements.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-7", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-7-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Under § 217.132(a)(2), the institution must apply the same EAD methodology consistently to all transactions within the same category — it cannot mix the internal models methodology and the collateral haircut approach for transactions in the same category.\nRequired findings:\n1. The institution must publish Tables 1 through 12 because it has completed the parallel run and received Board notification under the advanced approaches framework.\n2. The institution must also publish Table 13 (supplementary leverage ratio disclosure) because it is required to publicly disclose its supplementary leverage ratio and is not a consolidated subsidiary of a qualifying parent entity.\n3. Table 13 lines 12–16 require disclosure of counterparty credit risk figures for repo-style transactions, which are governed by the EAD methodology elected under § 217.132.\n4. The institution's election of the internal models methodology under § 217.132(d) is a permissible choice for repo-style transactions and OTC derivative contracts.\n5. Under § 217.132(a)(2), the institution must apply the same EAD methodology consistently to all transactions within the same category — it cannot mix the internal models methodology and the collateral haircut approach for transactions in the same category." - }, - { - "id": "finance_en_prescriptive_140", - "type": "RegBench", - "query": "Heartland Mutual Holdings is a supervised insurance organization that is a top-tier depository institution holding company operating under the U.S. Federal banking capital rules. It has two downstream building block parents: (1) Midland Life Insurance Co., an NAIC RBC-regulated life insurer with a building block capital requirement of $800 million and an allocation share held by Heartland of 80%, and (2) Cornerstone Bank, a depository institution with a building block capital requirement of $200 million and an allocation share held by Heartland of 100%. Heartland's own company capital requirement (before any adjustments) is $1.2 billion. Within Heartland's building block, one subsidiary holds $50 million in internal reinsurance receivables from Midland Life, creating an internal credit risk charge of $12 million that must be removed. Heartland also has a material financial entity subsidiary, Redwood SPV LLC, for which it has elected not to treat as a material financial entity; the compliance team has confirmed that the required adjustment for Redwood SPV can be calculated. Midland Life has a jurisdictional intervention point of 200% NAIC RBC and a jurisdictional adjustment of 0. Cornerstone Bank's indicated capital framework is the U.S. Federal banking capital rules, same as Heartland's. Heartland is now preparing to include in its building block available capital a $300 million subordinated note issued by Midland Life in 2022, with a 10-year original maturity, no call option for the first five years, and no affiliate guarantee. The note has not previously received Board approval. Determine: (a) the total building block capital requirement for Heartland, and (b) whether the $300 million Midland Life subordinated note may be included in Heartland's building block available capital without prior Board approval, and if so, under what conditions regarding the applicable scaling modifier.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.605-b-5-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.605-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.606-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.607-b-4-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-g-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-g-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-g-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-g-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The $300 million Midland Life subordinated note requires prior Board approval before inclusion in building block available capital because it was issued after May 19, 2010 and is not equivalent to a previously approved instrument; the applicable available capital scaling modifier for this downstream NAIC RBC instrument is 'recalculated building block capital requirement × 5.9'.\nRequired findings:\n1. The material financial entity election for Redwood SPV LLC is valid because the supervised insurance organization can calculate the adjustment required under the building block capital requirement adjustment provision for own-capital-instrument investments.\n2. Heartland's adjusted company capital requirement is $1,188 million after deducting the $12 million internal credit risk charge.\n3. The capital requirement scaling modifier (CRSM) for an upstream building block parent under the U.S. Federal banking capital rules and a downstream building block parent under NAIC RBC is 94.3.\n4. BBCRADJ for Midland Life Insurance Co. = $800M × 94.3 × 0.80 = $60,352 million.\n5. BBCRADJ for Cornerstone Bank = $200M × 1 × 1.00 = $200 million (same indicated capital framework, CRSM = 1).\n6. Total building block capital requirement for Heartland = $1,188M + $60,352M + $200M = $61,740 million.\n7. The $300 million Midland Life subordinated note requires prior Board approval before inclusion in building block available capital because it was issued after May 19, 2010 and is not equivalent to a previously approved instrument; the applicable available capital scaling modifier for this downstream NAIC RBC instrument is 'recalculated building block capital requirement × 5.9'." - }, - { - "id": "finance_en_prescriptive_141", - "type": "RegBench", - "query": "Heartland Mutual Holdings is a supervised insurance organization that controls a depository institution holding company, Heartland Bancorp. As of December 31 of the prior calendar year, Heartland Bancorp's building block available capital (excluding tier 2 and additional tier 1 capital instruments) was $3.10 billion, and its building block capital requirement (scaled to the common capital framework) was $1.20 billion. During the current calendar year, Heartland Bancorp's management is evaluating whether it can declare a $90 million common dividend and pay $15 million in discretionary bonuses to senior executives. The company's annual change in building block available capital (net of distributions and accretion from new capital instruments issued in the current or prior year, excluding retirement-related replacements) is estimated at $180 million for the current year. Determine whether Heartland Bancorp satisfies the minimum capital requirement, calculate its capital conservation buffer as of the prior year-end, identify the applicable maximum payout ratio, and assess whether the proposed $105 million in combined distributions and discretionary bonus payments is permissible without Board approval.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.603-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-2-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.604-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The capital conservation buffer is composed solely of building block available capital excluding tier 2 and additional tier 1 capital instruments\nRequired findings:\n1. BBA ratio = $3.10B / $1.20B = 258.33%, which exceeds the 250% minimum capital requirement\n2. Capital conservation buffer = 258.33% − 250% = 8.33%\n3. A buffer of 8.33% falls in the 'less than or equal to 38 percent' band under Table 1, yielding a maximum payout ratio of 0%\n4. Eligible retained income = $180 million; maximum payout amount = $180M × 0% = $0\n5. The proposed $105 million in combined distributions and discretionary bonus payments exceeds the $0 maximum payout amount and is not permissible without Board approval\n6. The capital conservation buffer is composed solely of building block available capital excluding tier 2 and additional tier 1 capital instruments" - }, - { - "id": "finance_en_prescriptive_142", - "type": "RegBench", - "query": "A Board-regulated institution with an approved internal models approach maintains a trading book that includes a portfolio of correlation trading positions. The institution uses an internal model to measure the price risk of this portfolio and has received Board approval to apply the comprehensive risk framework to it. For the current reporting period, the institution's internal model produces the following weekly comprehensive risk measures over the most recent 12-week window (in millions): 310, 295, 320, 305, 290, 315, 300, 285, 325, 310, 295, 330. The most recent week's measure is 330 million. Separately, the institution's VaR-based measure must reflect the specific risk of this correlation trading portfolio. The institution's daily VaR-based measures for the preceding 60 business days average 48 million, and the previous day's VaR-based measure was 55 million. Backtesting over the preceding 250 business days identified 7 exceptions. Determine: (1) the institution's VaR-based capital requirement for market risk, and (2) the comprehensive risk capital requirement that feeds into the standardized measure for market risk.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.204-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-c-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-d-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The comprehensive risk capital requirement feeds into the standardized measure for market risk as a separate add-on component\nRequired findings:\n1. 7 backtesting exceptions correspond to a multiplication factor of 3.65 per Table 1 to § 217.204\n2. VaR-based capital requirement = max(55, 48 × 3.65) = max(55, 175.2) = 175.2 million\n3. The VaR-based measure must reflect specific risk of correlation trading positions modeled under the comprehensive risk framework\n4. 12-week average of comprehensive risk measures = 3680 / 12 ≈ 306.67 million\n5. Comprehensive risk capital requirement = max(306.67, 330) = 330 million\n6. The comprehensive risk capital requirement feeds into the standardized measure for market risk as a separate add-on component" - }, - { - "id": "finance_en_prescriptive_143", - "type": "RegBench", - "query": "A Board-regulated institution is evaluating whether it can apply double default treatment to a hedged wholesale exposure. The obligor is a mid-sized domestic corporate borrower (not a sovereign, not affiliated with the protection provider). The protection is provided by an eligible double default guarantor via an uncollateralized credit default swap referencing a single obligor. The institution has received prior written Board approval for its excessive-correlation detection process, and no excessive correlation has been detected. The protection amount fully covers the exposure at default.\n\nThe institution also holds a portfolio of equity derivative contracts and is currently using the Internal Models Approach (IMA) for market risk. For those equity derivatives, the institution must determine whether it needs to hold additional risk-based capital against counterparty credit risk, and if so, under which framework.\n\nSeparately, when computing the currency mismatch haircut (HFX) for a credit risk mitigant denominated in a foreign currency, the institution's risk managers want to use internally estimated foreign exchange volatility rather than the supervisory 8% default. The institution currently uses own-estimates haircuts for its repo-style transactions and eligible margin loans, based on a ten-business-day holding period with daily marking-to-market and remargining.\n\nGiven these facts: (1) Does the hedged wholesale exposure qualify for double default treatment, and what risk-based capital formula applies to it? (2) For the equity derivative portfolio under IMA, what additional capital computation is required and under which exposure framework? (3) Is the institution eligible to use its own internal FX volatility estimates for HFX, and what adjustment is required if the credit risk mitigant is revalued less frequently than once every ten business days?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-2-iii-h-5-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-f-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-f-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-f-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.155-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: If the credit risk mitigant is revalued less frequently than once every ten business days, the institution must adjust HFX upward using the square root of time formula referenced in the own-estimates haircut provisions.\nRequired findings:\n1. The hedged wholesale exposure qualifies for double default treatment under §217.135(a) because it satisfies all six eligibility criteria, including being a §217.134(a)(1)-type exposure (wholesale, fully covered by an eligible CDS from an eligible double default guarantor), with no excessive correlation detected and Board-approved process in place.\n2. Because the protection amount fully covers the EAD (full coverage), the risk-based capital requirement is KDD × EAD, where KDD = Ko × (0.15 + 160 × PDg) per the double default formula.\n3. Under IMA, the institution must hold supplemental risk-based capital against counterparty credit risk in equity derivative contracts by treating each contract as a wholesale exposure and computing risk-weighted assets under the counterparty credit risk framework in §217.132.\n4. The institution qualifies to use its own internal FX volatility estimates for HFX (instead of the default 8%) because it already qualifies for own-estimates haircuts under the collateral haircut approach for repo-style transactions and eligible margin loans on a ten-business-day holding period with daily marking-to-market and remargining.\n5. If the credit risk mitigant is revalued less frequently than once every ten business days, the institution must adjust HFX upward using the square root of time formula referenced in the own-estimates haircut provisions." - }, - { - "id": "finance_en_prescriptive_144", - "type": "RegBench", - "query": "Northgate Financial Corp. is an advanced approaches Board-regulated institution that acts as a clearing member client for centrally cleared interest rate swap transactions executed through a qualifying central counterparty (QCCP). The institution has posted $80 million in initial margin to the QCCP, held by the clearing member in a manner that is not bankruptcy remote from the clearing member. The institution's compliance team is computing risk-weighted assets for these cleared derivative transactions under the internal models methodology for counterparty credit risk. Using that methodology, the institution's model produces an EAD (unstressed) of $120 million across the relevant netting set of cleared swaps. The institution is also preparing its public regulatory disclosures and must determine whether it is required to publicly disclose its supplementary leverage ratio and, if so, whether it must include a specific table covering that ratio in its disclosures. Northgate is not a consolidated subsidiary of any bank holding company, savings and loan holding company, or depository institution subject to these disclosure requirements, nor is it a subsidiary of a non-U.S. banking organization subject to comparable home-jurisdiction disclosure requirements. Determine: (1) the trade exposure amount Northgate must use for these cleared derivative transactions when computing risk-weighted assets as a clearing member client, and (2) the applicable risk weight for these cleared transactions given the collateral arrangement described, and (3) whether Northgate must include the supplementary leverage ratio disclosure table in its public disclosures.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-2-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-2-iv-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Northgate must include the supplementary leverage ratio disclosure table (Table 13) in its public disclosures because it meets none of the subsidiary exceptions\nRequired findings:\n1. Trade exposure amount = EADunstressed of $120 million plus $80 million of non-bankruptcy-remote collateral = $200 million\n2. When the internal models methodology under § 217.132(d) is used, EAD equals EADunstressed\n3. Collateral held in a manner that is not bankruptcy remote from the clearing member must be added to EAD in computing trade exposure amount\n4. The 2% risk weight for QCCP-cleared transactions requires collateral to be protected against joint default or concurrent insolvency of the clearing member, which is not satisfied here\n5. The applicable risk weight is 4% because the conditions for the 2% risk weight are not met\n6. Risk-weighted assets for the cleared derivative transactions = $200 million × 4% = $8 million\n7. Northgate must include the supplementary leverage ratio disclosure table (Table 13) in its public disclosures because it meets none of the subsidiary exceptions" - }, - { - "id": "finance_en_prescriptive_145", - "type": "RegBench", - "query": "A Board-regulated institution that has completed a satisfactory parallel run and is operating under the advanced approaches framework holds a position in an nth-to-default credit derivative on a pool of wholesale obligors. The institution is acting as the protection provider on this instrument, which covers a pro rata share of the principal and interest on a securitization exposure. The institution's internal audit function last reviewed its advanced systems 14 months ago, and since that review the institution has recalibrated its probability-of-default models in a way that reduced its advanced approaches total risk-weighted asset amount for corporate wholesale exposures by approximately 12 percent. The institution has not notified its primary federal regulator of this recalibration, and it has not submitted any documentation of the model change to its board of directors. Separately, the institution's risk management team is now determining the appropriate risk-based capital treatment for the protection it has provided on the nth-to-default credit derivative. The reference pool contains seven wholesale obligors; the institution's analysts have rank-ordered the obligors by their individual risk-based capital requirements and identified the three obligors with the smallest such requirements. The institution has no recognized credit risk mitigant on any of the other obligors in the pool. Identify (1) the specific ongoing qualification failures the institution has committed and what remedial steps are required, and (2) the correct method for calculating the risk-based capital requirement for the nth-to-default credit derivative position, including how the institution must treat the three obligors with the smallest capital requirements.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.122-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-h-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-h-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-j", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.123-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-2-ii-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The pro rata protection-provider treatment under § 217.142(m)(1) applies to guarantees and credit derivatives other than nth-to-default credit derivatives; the nth-to-default mechanics govern this specific instrument.\nRequired findings:\n1. The institution violated § 217.123(a) by failing to notify the Board of a material change to its advanced systems (a 12% reduction in corporate wholesale advanced approaches RWA).\n2. The institution violated the annual internal audit requirement under § 217.122 because its advanced systems review occurred 14 months ago, exceeding the at-least-annual frequency.\n3. The institution violated the documentation and board-reporting requirement under § 217.122 because findings of the advanced systems review were not documented and reported to the board of directors.\n4. Under § 217.123(b), the Board must notify the institution in writing of its compliance failure, and the institution must submit a remediation plan satisfactory to the Board.\n5. For a protection provider, apply § 217.142(l)(1)-(3): use SFA or SSFA, determine sold-protection exposure as the largest notional amount of the underlying exposures, and compute attachment/detachment under § 217.142(l)(2).\n6. Do not sum the three smallest capital requirements. Use the provider-side SFA/SSFA method, with attachment based on subordinated exposures under § 217.142(l)(2)(i).\n7. The pro rata protection-provider treatment under § 217.142(m)(1) applies to guarantees and credit derivatives other than nth-to-default credit derivatives; the nth-to-default mechanics govern this specific instrument." - }, - { - "id": "finance_en_prescriptive_146", - "type": "RegBench", - "query": "A mid-sized bank holding company has been growing rapidly through acquisitions and organic expansion. Its total consolidated assets have recently crossed $250 billion, and it now has significant cross-jurisdictional activity. The institution's board of directors has voted to voluntarily adopt the advanced approaches framework for calculating risk-based capital requirements, even though the institution has not yet been formally notified by the Board that it must do so. The institution's chief risk officer wants to understand the procedural obligations that flow from this voluntary election. Specifically: (1) Is the institution required to adopt a written implementation plan, and if so, what must that plan contain at a minimum? (2) What governance approval is required before the plan can be submitted to the Board? (3) How far in advance of the proposed parallel run start date must the institution submit the plan to the Board? (4) What is the minimum duration of the parallel run the institution must complete before it can begin calculating risk-weighted assets under the advanced approaches?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.100-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-b-1-iii-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-b-2-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-h-3-i-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: During the parallel run, the institution's minimum risk-based capital ratios are determined under subpart D (not the advanced approaches)\nRequired findings:\n1. A voluntary election to adopt the advanced approaches is governed by § 217.101(b)(1)(iii), which triggers the implementation plan requirement under § 217.121(a)(2)\n2. The institution must adopt a written implementation plan; unlike mandatory adopters, no explicit 6-month or 36-month deadline applies to voluntary electors\n3. The implementation plan must receive approval from the institution's board of directors before submission\n4. The institution must submit the implementation plan and a copy of the board of directors' approval minutes to the Board at least 60 days before the proposed parallel run start date (unless the Board waives prior notice)\n5. The parallel run must consist of no less than four consecutive calendar quarters of satisfactory compliance with the qualification requirements in § 217.122\n6. During the parallel run, the institution's minimum risk-based capital ratios are determined under subpart D (not the advanced approaches)" - }, - { - "id": "finance_en_prescriptive_147", - "type": "RegBench", - "query": "Heartland Bancorp is a Board-regulated institution that qualifies as an advanced approaches institution and has successfully completed the parallel run process, receiving the required notification from its primary federal regulator. It is not a consolidated subsidiary of any bank holding company, savings and loan holding company, or depository institution subject to equivalent disclosure requirements, nor is it a subsidiary of a non-U.S. banking organization subject to comparable home-jurisdiction disclosure rules. Heartland also meets the criteria that trigger mandatory public disclosure of its supplementary leverage ratio.\n\nAs part of its quarterly public disclosure package, Heartland's compliance team is assembling the required tables. The team is debating two questions: (1) Which specific disclosure tables must Heartland include in its quarterly public filings, and must those tables be made available for a minimum number of consecutive quarters — and if so, how many, and from what starting date? (2) Heartland originated a pool of commercial real estate loans and transferred them to a special-purpose entity in a traditional securitization. The SPE issued notes to third-party investors, and the loans were removed from Heartland's consolidated balance sheet under GAAP. Heartland retained a subordinated interest representing a first-loss position. However, the transaction documents permit Heartland to substitute performing loans for any loans that become 60 or more days past due, in order to maintain the credit quality of the pool. Given this substitution feature, how must Heartland treat the transferred exposures and any gain-on-sale for regulatory capital purposes?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.141-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Heartland must deduct from its common equity tier 1 (CET1) capital any after-tax gain-on-sale resulting from the securitization transaction.\nRequired findings:\n1. Heartland must include Tables 1 through 12 disclosures in its quarterly public filings as an advanced approaches institution that completed parallel run and is not an exempt consolidated subsidiary.\n2. Heartland must also include Table 13 disclosures because it is required to publicly disclose its supplementary leverage ratio and is not an exempt consolidated subsidiary.\n3. Tables 1 through 12 disclosures must be made publicly available for 12 consecutive quarters beginning January 1, 2014 (or a shorter applicable period after parallel run notification).\n4. Table 13 disclosures must be made publicly available for 12 consecutive quarters beginning January 1, 2015 (or a shorter applicable period after becoming subject to supplementary leverage ratio disclosure).\n5. The substitution feature — permitting or requiring Heartland to replace deteriorating loans to maintain credit quality — causes the traditional securitization to fail the operational criteria for risk transfer recognition, because credit risk has not been genuinely and unconditionally transferred to third parties.\n6. Because the operational criteria are not satisfied, Heartland must hold risk-based capital against the transferred CRE exposures as if they had not been securitized.\n7. Heartland must deduct from its common equity tier 1 (CET1) capital any after-tax gain-on-sale resulting from the securitization transaction." - }, - { - "id": "finance_en_prescriptive_148", - "type": "RegBench", - "query": "First National Clearing Bank (FNCB) is a Board-regulated institution that is not an advanced approaches Board-regulated institution. FNCB acts as a clearing member client on a central counterparty (CCP) that qualifies as a QCCP. FNCB has not made any election to change its default methodology for calculating OTC derivative exposure amounts, and it has not received any Board approval to do so. FNCB holds a single cleared interest rate swap with a current mark-to-market value of $2.8 million (in FNCB's favor) and a notional of $100 million. FNCB has posted $3.5 million of initial margin to the clearing member, which holds the collateral in an omnibus account commingled with margin from other clearing member clients — the arrangement does not prevent losses to FNCB in the event of a joint default of the clearing member and another clearing member client. FNCB has also purchased an eligible credit default swap (CDS) from a AA-rated guarantor bank to hedge a separate $10 million corporate loan exposure on its books. The CDS has a notional of $10 million, matures in 18 months, and the hedged loan matures in 36 months. The CDS is denominated in USD, matching the loan currency. No restructuring credit event is included in the CDS contract. Determine: (1) the methodology FNCB must use to calculate the trade exposure amount for the cleared interest rate swap, (2) the applicable risk weight for the cleared transaction, and (3) the effective notional amount of the CDS after all required adjustments, and the resulting risk-weighted asset treatment for the hedged loan.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.34-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.34-b-1-ii-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-a-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-b-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-c-2-ii-b-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-5-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The protected portion ($2.727M) is risk-weighted at the AA-rated guarantor bank's risk weight (20%), and the unprotected portion ($7.273M) is risk-weighted at the corporate obligor's risk weight (100%)\nRequired findings:\n1. FNCB has not elected SA-CCR under the provision allowing non-advanced-approaches institutions to opt into SA-CCR, so the alternate cleared-transaction treatment does not apply and FNCB uses the standard clearing member client methodology\n2. The trade exposure amount for the cleared interest rate swap equals the CEM-based exposure amount (current credit exposure plus PFE under § 217.34(b)) plus the $3.5 million of posted initial margin, because the omnibus collateral arrangement is not bankruptcy remote\n3. The applicable risk weight for the cleared transaction is 4 percent because the collateral arrangement does not prevent losses to FNCB from a joint default of the clearing member and other clearing member clients\n4. A maturity mismatch exists between the 18-month CDS and the 36-month loan, requiring an adjusted notional of approximately $4.545 million (= $10M × (1.5 − 0.25)/(3.0 − 0.25))\n5. Because the CDS omits restructuring as a credit event, the effective notional must be further reduced: Pr = $4.545M × 0.60 ≈ $2.727 million\n6. The protected portion ($2.727M) is risk-weighted at the AA-rated guarantor bank's risk weight (20%), and the unprotected portion ($7.273M) is risk-weighted at the corporate obligor's risk weight (100%)" - }, - { - "id": "finance_en_prescriptive_149", - "type": "RegBench", - "query": "Northgate Financial Holdings, a large Board-regulated institution that crossed the advanced approaches threshold 30 months ago, is preparing to exit its parallel run and begin calculating risk-weighted assets under the advanced approaches framework. The institution has submitted its implementation plan and completed three consecutive calendar quarters of parallel run reporting. During the parallel run, Northgate's internal audit function conducted its annual review of the advanced systems six months ago but did not separately assess the effectiveness of controls supporting those systems — it only reviewed the operations of the credit function and documented PD, LGD, and EAD estimation processes. The institution's board of directors approved the implementation plan, and the plan was submitted to the Board 45 days before the proposed parallel run start date (the Board did not waive prior notice). Northgate also holds a securitization exposure of $80 million in a traditional securitization it originated. To hedge this exposure, it obtained an eligible credit derivative from an eligible guarantor with a protection amount of $50 million. The credit derivative and the securitization exposure are denominated in different currencies. Northgate intends to use standard supervisory haircuts for the currency mismatch and has not sought Board approval for own-estimates haircuts. The residual maturity of the hedged securitization exposure is 3 years; the credit derivative's stated term is 2 years. Northgate proposes to set the risk-weighted asset amount for the covered portion of the securitization exposure using the wholesale risk weight function, applying its PD for the guarantor, its LGD for the credit derivative, and an EAD equal to the protection amount. For the uncovered portion, it proposes to apply the relevant securitization exposure framework. Identify all compliance deficiencies in Northgate's parallel run qualification and its proposed credit risk mitigation treatment for the securitization exposure, and determine the correct risk-weighted asset calculation approach for both the covered and uncovered portions.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-b-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-c-1-ii-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-d-5-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-f-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.134-f-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.141-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-m-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-c-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-c-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Northgate's proposed RWA calculation is deficient because it omits the required maturity mismatch and currency mismatch adjustments to the protection amount.\nRequired findings:\n1. The implementation plan submission 45 days before the parallel run start date (without Board waiver) violates the 60-day advance submission requirement, constituting a procedural deficiency.\n2. Three consecutive calendar quarters of parallel run is insufficient; a satisfactory parallel run requires no fewer than four consecutive calendar quarters.\n3. The internal audit's failure to assess the effectiveness of controls supporting the advanced systems (performing only the operations review and documentation steps) is a qualification deficiency under the annual internal audit requirements.\n4. Use the adjusted protection amount (after the required §217.134(d) maturity-mismatch and §217.134(f) currency-mismatch adjustments) for the covered EAD and the uncovered-portion ratio, not raw $50 million / $80 million.\n5. A maturity mismatch adjustment is required because the credit derivative's term (2 years) is shorter than the residual maturity of the hedged securitization exposure (3 years), and the protection amount must be adjusted accordingly before applying the partial coverage formula.\n6. A currency mismatch haircut (HFX) of 8 percent must be applied to the protection amount because the credit derivative and the securitization exposure are denominated in different currencies and Northgate uses standard supervisory haircuts.\n7. Northgate's proposed RWA calculation is deficient because it omits the required maturity mismatch and currency mismatch adjustments to the protection amount." - }, - { - "id": "finance_en_prescriptive_150", - "type": "RegBench", - "query": "First National Bancorp is a global systemically important bank holding company subject to the enhanced prudential standards framework. As of December 31 of the prior calendar year, the firm reported the following balance-sheet and activity data (all figures in billions of dollars unless noted): total exposures of $2,800; intra-financial system assets of $320; intra-financial system liabilities of $290; securities outstanding of $410; notional amount of OTC derivatives of $8,500; trading and available-for-sale securities of $180; Level 3 assets of $22; cross-jurisdictional claims of $640; and cross-jurisdictional liabilities of $580. Throughout that same calendar year, the firm's daily consolidated short-term wholesale funding consisted of the following components: (i) secured funding transactions collateralized by Level 1 liquid assets with a remaining maturity of 30 days or less, averaging $95 billion per business day; (ii) unsecured wholesale funding to non-financial-sector counterparties with a remaining maturity of 31 to 90 days, averaging $60 billion per business day; (iii) secured funding transactions collateralized by Level 2B liquid assets with a remaining maturity of 91 to 180 days, averaging $40 billion per business day; and (iv) brokered deposits provided by retail customers with a remaining maturity of 30 days or less, averaging $25 billion per business day. The firm's average risk-weighted assets over the same calendar year were $1,400 billion. Compute the firm's Method 2 score, showing both the systemic indicator component and the short-term wholesale funding component.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.405-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.405-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.405-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.405-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.406-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.406-b-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Method 2 score = systemic indicator score subtotal + short-term wholesale funding score ≈ 455.50 + 11.50 = 467.0\nRequired findings:\n1. Sum of the nine systemic indicator scores equals approximately 455.50 (computed by multiplying each indicator amount in billions by its Table 1 coefficient and summing all nine products)\n2. Component (i) — Level 1-secured funding ≤30 days — receives a Category 1 weight of 25%, yielding a weighted amount of $23.75 billion\n3. Component (iii) — Level 2B-secured funding with 91–180 day maturity — receives a Category 3 weight of 25%, yielding a weighted amount of $10.00 billion\n4. Total weighted short-term wholesale funding amount equals $46.00 billion per day on average\n5. Short-term wholesale funding score = (46.00 / 1400) × 350 ≈ 11.50\n6. Method 2 score = systemic indicator score subtotal + short-term wholesale funding score ≈ 455.50 + 11.50 = 467.0" - }, - { - "id": "finance_en_prescriptive_151", - "type": "RegBench", - "query": "A large Board-regulated institution has recently completed a multi-year internal models build-out and has been running its advanced approaches capital models in parallel alongside its standardized calculations. The institution's primary federal supervisor has reviewed the parallel run results and determined that the institution fully complies with all qualification requirements, has conducted a satisfactory parallel run, and has an adequate process to ensure ongoing compliance. The supervisor has issued a written notification to the institution specifying the date on which the institution must begin using the advanced approaches for regulatory capital purposes.\n\nThe institution's trading desk maintains a covered position portfolio. For the most recent quarter, the institution's backtesting program compared 250 business days of actual daily net trading losses against the corresponding daily VaR-based measures (calibrated to a one-day holding period at a one-tail 99.0 percent confidence level). The backtesting identified 7 exceptions over that 250-business-day window.\n\nSeparately, the institution has entered into a cross-product master netting agreement with a major dealer counterparty that covers both OTC derivatives and repo-style transactions. The institution's legal team has prepared an internal memorandum concluding that the agreement is enforceable, but has not yet obtained an external written legal opinion verifying validity and enforceability under applicable law of the relevant jurisdictions in the event the counterparty fails to perform upon default, insolvency, or similar proceeding.\n\nGiven these facts: (1) Is the institution now required to calculate an advanced measure for market risk in addition to its standardized measure, and what multiplication factor must it apply to its VaR-based and stressed VaR-based capital requirements? (2) Can the institution recognize the cross-product master netting agreement for purposes of calculating risk-weighted assets under the advanced approaches, and what specific documentation step is still missing?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-b-1-iii-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-intro-034", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Until the written legal opinion is obtained, the institution must treat the covered exposures under the agreement without the benefit of cross-product netting for RWA calculation purposes.\nRequired findings:\n1. The institution must calculate the advanced measure for market risk because it has completed the parallel run and received the Board's written notification pursuant to the qualification approval process.\n2. With 7 backtesting exceptions over the preceding 250 business days, the applicable multiplication factor from Table 1 to § 217.204 is 3.65, applied to both the VaR-based and stressed VaR-based capital requirements.\n3. The cross-product master netting agreement cannot be recognized as a qualifying cross-product master netting agreement for risk-weighted asset purposes under the advanced approaches.\n4. The missing documentation requirement is a written legal opinion (not merely an internal memorandum) verifying the validity and enforceability of the agreement under applicable law of the relevant jurisdictions in the event the counterparty fails to perform upon default, insolvency, or similar proceeding.\n5. The operational requirement for a qualifying cross-product master netting agreement is distinct from the internal legal review standard applicable to other netting agreements — it specifically requires an external written legal opinion.\n6. Until the written legal opinion is obtained, the institution must treat the covered exposures under the agreement without the benefit of cross-product netting for RWA calculation purposes." - }, - { - "id": "finance_en_prescriptive_152", - "type": "RegBench", - "query": "First National Bancorp is a top-tier U.S. bank holding company that is not a consolidated subsidiary of another bank holding company. It has been identified as a global systemically important BHC (G-SIB) under the Board's framework. The institution has been operating under the advanced approaches framework for several years and, as of last quarter, received formal notification from the Board that it has successfully completed the parallel run process and is approved to exit parallel run. First National Bancorp does not have a parent bank holding company or savings and loan holding company that is itself subject to advanced approaches disclosure requirements, and it is not a subsidiary of a non-U.S. banking organization.\n\nFirst National Bancorp's compliance team is now evaluating its public disclosure obligations going forward. Specifically, the team wants to know: (1) whether the institution is now required to make quarterly public disclosures of its total and tier 1 risk-based capital ratios and their components as calculated under the advanced approaches framework; (2) whether the institution must also disclose its supplementary leverage ratio and its components on a quarterly basis; and (3) what the threshold criterion is that makes the institution subject to the advanced approaches capital calculation framework in the first place, given its G-SIB designation.\n\nFor each of the three questions, state the applicable requirement and the basis for it.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.100-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.100-b-1-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.100-b-1-i-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.402-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.61-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.62-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: First National Bancorp must comply with the full quarterly advanced approaches disclosure requirements (rather than the subsidiary exemption) because it is not a consolidated subsidiary of a bank holding company, savings and loan holding company, or depository institution that is itself subject to these disclosure requirements, and it is not a subsidiary of a non-U.S. banking organization subject to comparable home-jurisdiction disclosure requirements.\nRequired findings:\n1. First National Bancorp is required to publicly disclose each quarter its total and tier 1 risk-based capital ratios and their components (CET1 capital, additional tier 1 capital, tier 2 capital, total qualifying capital, and total risk-weighted assets) as calculated under the advanced approaches framework, because it has completed the parallel run process and received Board notification to exit parallel run.\n2. The quarterly supplementary leverage ratio disclosure requirement (tier 1 capital and total leverage exposure as calculated under subpart B) applies to First National Bancorp as an advanced approaches institution, and this requirement applies regardless of whether the institution has completed the parallel run process.\n3. The threshold criterion making First National Bancorp subject to the advanced approaches capital framework is its identification as a global systemically important BHC (G-SIB), which is one of the applicability conditions for top-tier U.S. bank holding companies under the advanced approaches subpart.\n4. Because First National Bancorp is an advanced approaches institution making disclosures under the advanced approaches disclosure regime, it is carved out of the standard Subpart D disclosure requirements that apply to non-advanced-approaches institutions with $50 billion or more in total consolidated assets.\n5. First National Bancorp must comply with the full quarterly advanced approaches disclosure requirements (rather than the subsidiary exemption) because it is not a consolidated subsidiary of a bank holding company, savings and loan holding company, or depository institution that is itself subject to these disclosure requirements, and it is not a subsidiary of a non-U.S. banking organization subject to comparable home-jurisdiction disclosure requirements." - }, - { - "id": "finance_en_prescriptive_153", - "type": "RegBench", - "query": "A supervised insurance organization is seeking to include in its building block available capital a newly issued subordinated debt instrument from one of its inventory companies. The instrument was issued and paid-in on March 1, 2024, with an original maturity of seven years, no guarantee from the building block parent or any affiliate, and no security interest. The instrument's terms permit the building block parent to call it after five years, but also include a provision allowing early redemption if the instrument receives a rating downgrade below investment grade (a 'rating event'). The instrument does not contain any dividend step-up or other feature creating a redemption incentive beyond the rating event clause. The top-tier depository institution holding company has not yet sought Board approval to exercise any call option. The supervised insurance organization has not previously obtained Board approval to include this specific instrument in its building block available capital, and the instrument was not a capital element for the issuer prior to May 19, 2010. The organization's compliance team is evaluating whether this instrument qualifies as a qualifying capital instrument for building block available capital purposes, and specifically whether the rating event call provision disqualifies it. Additionally, the team wants to confirm what general eligibility criteria apply to the instrument's terms regarding dividend and distribution payments — specifically whether the building block parent must retain full discretion to cancel distributions without triggering a default or payment-in-kind obligation. Analyze whether the instrument qualifies, identifying any conditions that must be satisfied and any criteria that could disqualify it.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.1-d-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-f-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.1-f-1-iii-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-d-1-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-d-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-vii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-f", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-g-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The instrument fails to qualify as a qualifying capital instrument in its current form primarily due to the rating event call provision combined with the post-2014 issuance date.\nRequired findings:\n1. The rating event early call provision is not among the enumerated permitted early call triggers under the qualifying capital instrument criteria (which allow early calls only for regulatory events precluding capital inclusion, tax events, or Investment Company Act registration), so the provision facially violates the call option eligibility criterion.\n2. The safe harbor that would excuse a rating event call provision applies only to instruments that were company capital elements issued prior to January 1, 2014; because this instrument was issued on March 1, 2024, the safe harbor is unavailable and the rating event provision disqualifies the instrument.\n3. Replace this with the actual incorporated criteria from §217.20(d)(1)(vi) through (ix) and (xi); do not state a distribution-cancellation-discretion requirement as part of that cross-reference.\n4. Because the instrument was not a capital element for the issuer prior to May 19, 2010, and is not shown to be equivalent to a previously Board-approved instrument, the supervised insurance organization must obtain Board prior approval before including the instrument in building block available capital.\n5. The Board retains reservation of authority to exclude capital elements that do not meet loss-absorption criteria or that present safety and soundness concerns, reinforcing the prior-approval requirement for novel instruments.\n6. The instrument fails to qualify as a qualifying capital instrument in its current form primarily due to the rating event call provision combined with the post-2014 issuance date." - }, - { - "id": "finance_en_prescriptive_154", - "type": "RegBench", - "query": "A Board-regulated institution holds a mezzanine tranche of a residential mortgage-backed securitization. The securitization pool consists of 1,200 individual mortgage loans with a current aggregate unpaid principal balance of $480 million. Of those loans, $38.4 million are 90 or more days past due, $9.6 million are in active bankruptcy proceedings, and $4.8 million are currently in foreclosure. The institution's tranche has a current dollar amount of $72 million. Subordinated exposures below the institution's tranche total $96 million. Exposures pari passu with the institution's tranche total $72 million. The weighted-average total capital requirement of the underlying exposures, calculated using the standardized approach for credit risk, is 9.6% (expressed as a risk-weighted-asset percentage). The institution does not qualify for the supervisory formula approach for this exposure. The institution's compliance team has confirmed it possesses sufficiently current loan-level data — the securitization requires monthly remittance reporting and the data on hand is 45 calendar days old. Determine the appropriate risk-weight methodology the institution must use for this securitization exposure, identify the five required input parameters for that methodology, and calculate the numerical value of each parameter. Then determine the risk-weight outcome for the tranche, given that the augmented capital requirement KA equals 0.1423 (provided for calculation purposes).", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.142-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-l-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.143-f-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-09", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iii-b-4-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-f-2-i", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Because A (0.20) ≥ KA (0.1423), the risk weight is determined by the SSFA formula in § 217.144(d), not the 1,250% floor, and is subject to a minimum risk weight of 20%\nRequired findings:\n1. The applicable methodology is the simplified supervisory formula approach (SSFA) under § 217.144, because the institution does not qualify for the supervisory formula approach and § 217.142(a)(3) directs it to SSFA as the next available option\n2. The institution's data (45 days old) satisfies the § 217.144(a) currency requirement for monthly-reporting securitizations (data must be no more than 91 calendar days old)\n3. KG = 0.096 (the weighted-average total capital requirement of 9.6% expressed as a decimal)\n4. Parameter W = 0.11 (stressed exposures of $52.8M — comprising $38.4M past due, $9.6M in bankruptcy, and $4.8M in foreclosure — divided by total underlying exposures of $480M)\n5. Parameter A = 0.20 (attachment point = $96M subordinated exposures / $480M total underlying exposures)\n6. Parameter D = 0.35 (detachment point = A + $72M pari passu / $480M = 0.20 + 0.15)\n7. Because A (0.20) ≥ KA (0.1423), the risk weight is determined by the SSFA formula in § 217.144(d), not the 1,250% floor, and is subject to a minimum risk weight of 20%" - }, - { - "id": "finance_en_prescriptive_155", - "type": "RegBench", - "query": "Heartland Bancorp is a large domestic bank holding company that recently crossed the threshold to become an advanced approaches Board-regulated institution. It is not a consolidated subsidiary of any other bank holding company or foreign banking organization. As of December 31 of the current year, Heartland has completed its systemic risk scoring exercise and its method 1 score came in at 142 basis points. Heartland's common equity tier 1 (CET1) capital is $38 billion, its additional tier 1 capital is $5 billion, and its tier 2 capital is $8 billion. Its standardized total risk-weighted assets are $480 billion. Heartland's capital conservation buffer, measured as of the last day of the previous calendar quarter, stands at 1.8% above the minimum CET1 requirement. Heartland also has aggregate trading assets and trading liabilities equal to $52 billion, representing 11% of its quarter-end total assets as reported on its most recent FR Y-9C. Heartland's board of directors is considering declaring a discretionary cash dividend of $900 million in the current calendar quarter. Determine: (1) whether Heartland qualifies as a global systemically important BHC and what timing obligations apply to its surcharge calculation; (2) what GSIB surcharge Heartland must use when determining its maximum payout ratio, and when that surcharge becomes effective for payout ratio purposes; and (3) whether Heartland is subject to market risk capital requirements, and what that means for its overall regulatory capital framework.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-c-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.201-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.400-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.400-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.400-b-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.402-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.403-d-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Subpart F requires Heartland to calculate a standardized measure for market risk and, if applicable, an advanced measure for market risk, and to comply with public disclosure requirements under the market risk framework.\nRequired findings:\n1. Heartland qualifies as a global systemically important BHC because its method 1 score of 142 basis points equals or exceeds the 130 basis point identification threshold.\n2. Heartland must calculate its GSIB surcharge by December 31 of the year it is identified as a global systemically important BHC, and that surcharge applies to the maximum payout ratio determination beginning January 1 of the year immediately following the full calendar year after identification.\n3. The GSIB surcharge is incorporated into the maximum payout ratio framework under Table 1 to § 217.11, and because Heartland is subject to 12 CFR 225.8 as an advanced approaches BHC, its maximum payout ratio is determined under the GSIB-adjusted buffer stack rather than the standard conservation buffer table.\n4. With a capital conservation buffer of 1.8% above the minimum CET1 requirement, Heartland's buffer position relative to the combined requirement (conservation buffer plus GSIB surcharge) determines whether the $900 million dividend is permissible or restricted.\n5. Heartland is subject to Subpart F market risk capital requirements because its aggregate trading assets and trading liabilities equal 11% of quarter-end total assets, satisfying the 10%-or-more threshold, and also exceed $1 billion.\n6. Subpart F requires Heartland to calculate a standardized measure for market risk and, if applicable, an advanced measure for market risk, and to comply with public disclosure requirements under the market risk framework." - }, - { - "id": "finance_en_prescriptive_156", - "type": "RegBench", - "query": "First National Bancorp is a U.S. bank holding company that qualifies as an advanced approaches Board-regulated institution and is also subject to the supplementary leverage ratio disclosure requirement. During the first quarter of 2020, the institution held $18 billion in U.S. Treasury securities and $6 billion in funds on deposit at a Federal Reserve Bank on its balance sheet. The institution opted in to exclude these items from its on-balance sheet assets when computing its total leverage exposure, having notified its regulator before the applicable deadline. In the same quarter, the institution also acted as an originator in a traditional securitization: it transferred a pool of commercial loans with an aggregate carrying value of $2.4 billion to a securitization SPE. The transferred loans are no longer reported on the institution's consolidated balance sheet under GAAP, credit risk has been fully transferred to third-party investors, and no early amortization provisions or revolving credit features are present. The institution retained a subordinated tranche with a carrying value of $120 million and a senior tranche with a carrying value of $80 million. The institution does not qualify for the supervisory formula approach on the retained senior tranche, and it has not elected to apply the simplified supervisory formula approach to that tranche. For the retained subordinated tranche, the institution has determined it constitutes an after-tax gain-on-sale. Determine: (1) how the institution must treat the excluded Treasury securities and Federal Reserve deposits in its required public leverage disclosures for that quarter, and (2) what risk-based capital treatment applies to each of the two retained securitization tranches.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.141-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-h-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.303-f", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The risk-weighted asset amount for the senior tranche equals $80 million × 1,250% = $1 billion.\nRequired findings:\n1. The $18 billion in U.S. Treasury securities and $6 billion in Federal Reserve deposits must be excluded from Table 13 of the supplementary leverage ratio disclosure (not merely disclosed separately), because § 217.303(f) requires that items excluded under the temporary relief provision be removed from Table 13 to § 217.173.\n2. The institution's status as an advanced approaches Board-regulated institution subject to the supplementary leverage ratio disclosure requirement triggers the Table 13 disclosure obligation under § 217.173(a)(2), making § 217.303(f) applicable.\n3. The traditional securitization satisfies all operational criteria under § 217.141(a) — off-balance sheet under GAAP, full credit risk transfer, no revolving features, no early amortization — so the $2.4 billion transferred pool is excluded from risk-weighted assets.\n4. The retained subordinated tranche ($120 million) constitutes after-tax gain-on-sale and must be deducted from common equity tier 1 capital under § 217.142(a)(1).\n5. The retained senior tranche ($80 million) does not qualify for the supervisory formula approach and the institution has not elected the simplified supervisory formula approach; therefore a 1,250% risk weight must be applied to it under § 217.142(a)(4).\n6. The risk-weighted asset amount for the senior tranche equals $80 million × 1,250% = $1 billion." - }, - { - "id": "finance_en_prescriptive_157", - "type": "RegBench", - "query": "Heartland Bancorp, a Board-regulated institution with $320 billion in total consolidated assets, has been operating under the standardized approach for risk-based capital. Over the past two years, Heartland has invested heavily in the common stock of several unconsolidated financial institutions. As of the current quarter-end, Heartland reports the following: common equity tier 1 (CET1) capital of $28 billion (before any threshold deductions), total capital of $35 billion, and standardized total risk-weighted assets of $280 billion. Heartland holds $4.2 billion in significant investments in the capital of unconsolidated financial institutions in the form of common stock. These investments have not been deducted from CET1 capital because Heartland's compliance team determined they fall below the applicable deduction threshold. Separately, Heartland has been working toward qualifying for the advanced approaches framework. It adopted a written implementation plan 18 months ago, has been conducting its parallel run for the past five consecutive calendar quarters, and recently received formal notification from the Board that it may begin using the advanced approaches for purposes of its risk-based capital ratios. Heartland's chief risk officer now asks: (1) What risk weight must Heartland assign to the $4.2 billion in significant common-stock investments in unconsolidated financial institutions that were not deducted from CET1 capital, and (2) now that Heartland has received Board notification to use the advanced approaches, what additional CET1 deduction — if any — must Heartland recognize that it was not required to take during the parallel run period?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.121-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.121-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.122-c-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-c-2-iii-b-5-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-d-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-3-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: During the parallel run, minimum risk-based capital ratios are determined under the standardized approach (Subpart D), not the advanced approaches; the advanced approaches capital floor and ECL deduction obligations activate only after the Board's formal notification.\nRequired findings:\n1. Significant investments in the capital of unconsolidated financial institutions in the form of common stock that are not deducted from CET1 capital pursuant to the threshold deduction rules must be assigned a 250 percent risk weight under the SRWA.\n2. The threshold deduction rule requires deduction of significant common-stock investments in unconsolidated financial institutions only to the extent they exceed 10 percent of CET1 capital; the $4.2 billion holding exceeds the $2.8 billion threshold (10% × $28B), so $1.4 billion must be deducted from CET1 and only the remaining $2.8 billion receives the 250% risk weight.\n3. The 250% risk weight cross-references the CET1 deduction provision in the regulatory capital adjustments section (Subpart C), meaning the two rules operate in tandem: amounts above the threshold are deducted; amounts at or below the threshold are risk-weighted at 250%.\n4. The deduction of expected credit loss in excess of eligible credit reserves is required only for advanced approaches institutions that have both completed a satisfactory parallel run and received formal Board notification to begin using the advanced approaches framework.\n5. A satisfactory parallel run requires no less than four consecutive calendar quarters of compliance with the qualification requirements; Heartland's five-quarter parallel run meets this minimum.\n6. Upon receiving Board notification under the qualification process approval provision, Heartland must begin recognizing the expected-credit-loss deduction from CET1 that was not required during the parallel run period.\n7. During the parallel run, minimum risk-based capital ratios are determined under the standardized approach (Subpart D), not the advanced approaches; the advanced approaches capital floor and ECL deduction obligations activate only after the Board's formal notification." - }, - { - "id": "finance_en_prescriptive_158", - "type": "RegBench", - "query": "First National Bancorp is a Board-regulated institution that qualifies as a Category III institution under the federal banking agencies' tailoring rules. It has completed the parallel run process and received the required notification from its primary federal regulator. As of the most recent quarter-end, First National Bancorp publicly discloses its supplementary leverage ratio as required for institutions of its category. The institution's treasury desk maintains a large portfolio of repo-style transactions with a diverse set of counterparties. For one significant netting set, the institution's risk management team has developed an internal models methodology to calculate exposure at default (EAD), which the Board has approved in writing. This internal model is also used to generate a VaR-based measure that the institution incorporates into its market risk capital framework for covered positions. The institution's market risk team asserts that the VaR-based measure fully captures all material aspects of specific risk for its portfolio of debt positions associated with these repo-style counterparties. A compliance officer is reviewing whether: (1) the institution's quarterly public disclosures must include a supplementary leverage ratio table, and if so, under what conditions that obligation can be waived; (2) the internal models methodology for EAD on the repo-style netting set satisfies the applicable regulatory standard, given that the Board's written approval was obtained; and (3) if the VaR-based measure does indeed capture all material aspects of specific risk for the debt portfolio, what is the consequence for the institution's specific risk add-on calculation for those positions? Provide a complete compliance analysis addressing all three questions.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.132-d-2-iv-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.172-b-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.173-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b-1-i-d-2-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.63-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The chain of cross-references runs from the Subpart D disclosure section (§ 217.63(d)) to the Subpart E advanced approaches disclosure section (§ 217.173(a)(2)), then to the Subpart E counterparty credit risk methodology (§ 217.132(d)), and finally to the Subpart F specific risk provision (§ 217.207(b)(2)).\nRequired findings:\n1. A Category III Board-regulated institution required to publicly disclose its supplementary leverage ratio must make the disclosures required under Table 13 to § 217.173, as directed by § 217.63(d) cross-referencing § 217.173(a)(2).\n2. The Table 13 supplementary leverage ratio disclosure obligation under § 217.173(a)(2) is waived only if the institution is a consolidated subsidiary of a bank holding company, savings and loan holding company, or depository institution already subject to these disclosure requirements, or a subsidiary of a non-U.S. banking organization subject to comparable public disclosure requirements in its home jurisdiction.\n3. Use of the internal models methodology under § 217.132(d) to calculate EAD for a repo-style netting set requires prior written approval of the Board; because such approval was obtained, the institution satisfies the regulatory prerequisite.\n4. If the Board-regulated institution's VaR-based measure captures all material aspects of specific risk for a portfolio of debt positions, the institution has no specific risk add-on for that portfolio under § 217.207(b)(2).\n5. The chain of cross-references runs from the Subpart D disclosure section (§ 217.63(d)) to the Subpart E advanced approaches disclosure section (§ 217.173(a)(2)), then to the Subpart E counterparty credit risk methodology (§ 217.132(d)), and finally to the Subpart F specific risk provision (§ 217.207(b)(2))." - }, - { - "id": "finance_en_prescriptive_159", - "type": "RegBench", - "query": "A Board-regulated institution that qualifies as an advanced approaches institution maintains a trading book that includes a portfolio of correlation trading positions. The institution uses an internal model approved by the Board to measure comprehensive risk for this portfolio. Over the most recent 12-week period, the institution's weekly comprehensive risk measures (in millions) were as follows: Week 1: $210M, Week 2: $195M, Week 3: $220M, Week 4: $205M, Week 5: $230M, Week 6: $215M, Week 7: $225M, Week 8: $200M, Week 9: $240M, Week 10: $218M, Week 11: $235M, Week 12: $228M. The most recent (Week 12) comprehensive risk measure is $228M. Separately, the institution's total specific risk add-on for the same correlation trading positions, calculated under the standardized measurement method, is $180M. The institution has been using the internal model for comprehensive risk for 18 months and has demonstrated model effectiveness through ongoing validation and benchmarking. The Board has approved the institution to use the alternative calculation method for the comprehensive risk capital requirement. In addition, the institution is a Board-regulated institution that is not subject to the GSIB surcharge and is not a state member bank subsidiary of a global systemically important BHC. As of the last day of the previous calendar quarter, the institution's common equity tier 1 (CET1) capital conservation buffer stood at 1.8 percent. The institution is currently in calendar year 2019 (i.e., the transition period under the capital buffer rules has fully phased in). The institution's board of directors is considering declaring a discretionary cash dividend of $95M and paying discretionary bonuses totaling $30M this quarter. The institution's eligible retained income for the current quarter is $200M. Determine: (1) the institution's comprehensive risk capital requirement, and (2) whether the proposed distributions and discretionary bonus payments are permissible without restriction under the capital conservation framework, and if not, the maximum permissible payout amount.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-a-2-ii-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-a-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The proposed $125M payout exceeds the $80M maximum payout amount, so it is not fully permissible; aggregate distributions and discretionary bonus payments may not exceed $80M this quarter.\nRequired findings:\n1. The 12-week average of comprehensive risk measures is $2,621M / 12 = $218.42M, and the most recent measure is $228M; the comprehensive risk capital requirement is max($218.42M, $228M) = $228M\n2. Under the Board-approved alternative method, the comprehensive risk measure equals the greater of the modeled all-price-risk measure ($228M) and the specific risk add-on ($180M) multiplied by 8.0% ($14.4M), yielding $228M\n3. The transition period payout restrictions under § 217.300(a)(2) applied only through December 31, 2018; in calendar year 2019 the full capital conservation buffer framework under § 217.11 applies without transitional modification\n4. With a 1.8% capital conservation buffer and no applicable countercyclical buffer, the maximum payout ratio is 40%, not 60%.\n5. Maximum payout amount = $200M × 40% = $80M.\n6. The proposed $125M payout exceeds the $80M maximum payout amount, so it is not fully permissible; aggregate distributions and discretionary bonus payments may not exceed $80M this quarter." - }, - { - "id": "finance_en_prescriptive_160", - "type": "RegBench", - "query": "A large bank holding company operates as a market risk Board-regulated institution and qualifies as an advanced approaches institution that has completed the parallel run process and received the required Board notification. During its most recent quarter, the institution's internal VaR model captures all material aspects of specific risk for its equity trading portfolio, but its VaR-based measure does not capture all material aspects of specific risk for its corporate debt trading portfolio. The institution also holds a portfolio of securitization positions that are not modeled under the correlation trading provisions. For the preceding 60 business days, the institution's daily VaR-based measures averaged $180 million; the previous day's VaR-based measure was $620 million. The institution identified 7 exceptions in its most recent quarterly backtesting review covering the preceding 250 business days. Given these facts, determine: (1) what multiplication factor applies to the institution's VaR-based capital requirement, (2) what the VaR-based capital requirement equals, (3) which portfolios require a specific risk add-on and how that add-on must be calculated, and (4) how the advanced measure for market risk incorporates the specific risk add-on results.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-006", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-4-i-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.204-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-b-1-i-d-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.207-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.209-b-2-vi-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The specific risk add-ons feed into the advanced measure for market risk under § 217.204(a)(2)(iii), which is then multiplied by 12.5 to produce advanced market risk-weighted assets per the § 217.2 definition\nRequired findings:\n1. 7 exceptions in backtesting corresponds to a multiplication factor of 3.65 per Table 1 to § 217.204\n2. VaR-based capital requirement equals $657 million ($180M × 3.65), which exceeds the previous day's measure of $620 million\n3. The equity portfolio requires no specific risk add-on because the VaR-based measure captures all material aspects of its specific risk\n4. The corporate debt portfolio requires a specific risk add-on calculated under the standardized measurement method because the VaR-based measure does not capture all material aspects of its specific risk\n5. The securitization positions not modeled under the correlation trading provisions require a specific risk add-on calculated under the standardized measurement method\n6. The specific risk add-ons feed into the advanced measure for market risk under § 217.204(a)(2)(iii), which is then multiplied by 12.5 to produce advanced market risk-weighted assets per the § 217.2 definition" - }, - { - "id": "finance_en_prescriptive_161", - "type": "RegBench", - "query": "A Board-regulated institution entered into a delivery-versus-payment securities transaction with a normal settlement period. The contractual settlement date was a Monday. The counterparty failed to deliver the securities on the settlement date. As of the close of business on the 18th business day after the contractual settlement date, the counterparty has still not made delivery. At that point, the current market price of the securities is $4,200,000, and the agreed settlement price was $3,900,000 (i.e., the institution was to pay $3,900,000 and receive securities now worth $4,200,000). Determine whether the institution must hold risk-based capital against this transaction, and if so, calculate the risk-weighted asset amount the institution must assign to this exposure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.38-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Risk-weighted asset amount = $300,000 × 625.0% = $1,875,000.\nRequired findings:\n1. The transaction is a DvP transaction with a normal settlement period and falls within the scope of § 217.38; it is not excluded by any of the four carve-outs.\n2. Capital must be held because the counterparty has not made delivery within five business days after the contractual settlement date (18 business days have elapsed, exceeding the 5-day threshold).\n3. Positive current exposure = $4,200,000 (current market price) − $3,900,000 (agreed settlement price) = $300,000, representing a credit exposure of the institution to the counterparty.\n4. 18 business days after the contractual settlement date falls in the 'From 16 to 30' band in Table 1, which carries a risk weight of 625.0%.\n5. Risk-weighted asset amount = $300,000 × 625.0% = $1,875,000." - }, - { - "id": "finance_en_prescriptive_162", - "type": "RegBench", - "query": "A Board-regulated institution has received prior written approval to use the Internal Models Approach (IMA) for equity exposures, but only for its publicly traded equity holdings — it does not model non-publicly traded equity exposures under the IMA. The institution's internal equity exposure model generates an estimate of potential losses on the relevant modeled equity exposures of $480 million. The institution also holds the following equity exposures (all adjusted carrying values): (1) publicly traded equity exposures that do not belong to a hedge pair and do not qualify for a 0%, 20%, or 100% risk weight, and are not exposures to an investment fund: $900 million aggregate; (2) the aggregate ineffective portion of all hedge pairs: $150 million; (3) non-publicly traded equity exposures that do not qualify for a 0%, 20%, or 100% risk weight and are not exposures to an investment fund: $200 million; (4) equity exposures qualifying for a 400% risk weight: $50 million adjusted carrying value (risk-weighted asset amount already determined as $200 million); (5) equity exposures qualifying for a 600% risk weight: $30 million adjusted carrying value (risk-weighted asset amount already determined as $180 million); (6) equity exposures to investment funds with a risk-weighted asset amount already determined as $120 million; (7) equity exposures qualifying for a 0%, 20%, or 100% risk weight with a combined risk-weighted asset amount already determined as $75 million. Determine the institution's aggregate risk-weighted asset amount for all equity exposures.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.153-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.153-c-2-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.153-d", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.153-d-2-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The aggregate risk-weighted asset amount for all equity exposures is $575M + $6,000M = $6,575 million\nRequired findings:\n1. Because the institution models only publicly traded equity exposures, § 217.153(d) applies rather than § 217.153(c)\n2. The (d)(1) fixed-weight component equals $575 million ($75M + $200M + $180M + $120M)\n3. The model-based amount under (d)(2)(i) equals $480M × 12.5 = $6,000 million\n4. The formula floor under (d)(2)(ii) equals 200% × $900M + 200% × $150M = $2,100 million; there is no (C) sub-clause for non-publicly traded exposures under paragraph (d)\n5. The greater of $6,000M and $2,100M is $6,000 million\n6. The aggregate risk-weighted asset amount for all equity exposures is $575M + $6,000M = $6,575 million" - }, - { - "id": "finance_en_prescriptive_163", - "type": "RegBench", - "query": "A Board-regulated institution holds an equity exposure to a diversified investment fund with an adjusted carrying value of $50 million. The fund's prospectus permits investments in the following asset classes with stated investment limits: up to 60% in investment-grade corporate bonds (risk weight 100%), up to 30% in residential mortgage-backed securities (risk weight 20%), up to 40% in equity securities of publicly traded companies (risk weight 300%), and up to 20% in U.S. Treasury securities (risk weight 0%). The institution does not have sufficient information to calculate risk-weighted asset amounts for each individual exposure held by the fund on a proportional ownership basis, so it cannot use the most granular approach. The institution's compliance team is evaluating whether to use the approach that assigns the full adjusted carrying value at the single highest permissible risk weight, versus the approach that allocates the adjusted carrying value proportionally across risk weight categories based on the fund's investment limits. Under the proportional allocation approach, what is the risk-weighted asset amount for this equity exposure, and what is the minimum risk weight that may be applied to any portion of the exposure regardless of the asset class?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.53-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The minimum risk weight that may be applied to any equity exposure to an investment fund under this section is 20 percent, regardless of the underlying asset class\nRequired findings:\n1. The investment limits sum to 150%, which exceeds 100%, triggering the over-limit allocation rule under the alternative modified look-through approach\n2. The institution must allocate first to the highest risk-weight category: 40% to equity securities at 300% risk weight, then 60% to corporate bonds at 100% risk weight\n3. RWA from equity securities portion: 0.40 × $50M × 300% = $60 million\n4. RWA from corporate bonds portion: 0.60 × $50M × 100% = $30 million\n5. Total risk-weighted asset amount under the alternative modified look-through approach = $90 million\n6. The minimum risk weight that may be applied to any equity exposure to an investment fund under this section is 20 percent, regardless of the underlying asset class" - }, - { - "id": "finance_en_prescriptive_164", - "type": "RegBench", - "query": "A state member bank holds the following equity exposures on its balance sheet (adjusted carrying values shown): (1) an equity stake in a publicly traded domestic corporation, $18 million; (2) an equity stake in a non-publicly traded domestic operating company, $9 million; (3) an equity exposure to a public-sector entity (PSE), $5 million; (4) a community development investment qualifying under 12 U.S.C. 24 (Eleventh), $4 million; and (5) an equity exposure to a foreign sovereign whose credit exposures receive a zero percent risk weight, $3 million. The bank's total capital is $350 million. The bank does not hold any equity exposures to investment funds, and none of the exposures are part of a hedge pair. Determine the applicable risk weight for each of the five equity exposures under the Simple Risk-Weight Approach, and identify whether any of the exposures qualify for the 100 percent risk weight bucket as non-significant equity exposures given the bank's total capital.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.52-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-3-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-3-iii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.52-b-3-iii-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Both the publicly traded ($18M) and non-publicly traded ($9M) exposures receive a 100 percent risk weight as non-significant equity exposures\nRequired findings:\n1. The sovereign equity exposure receives a 0 percent risk weight because the sovereign's credit exposures receive a zero percent risk weight under the standardized approach\n2. The PSE equity exposure receives a 20 percent risk weight\n3. The community development investment qualifying under 12 U.S.C. 24 (Eleventh) receives a 100 percent risk weight\n4. The non-significant equity exposure threshold equals 10 percent of total capital, which is $35 million (10% × $350M)\n5. The aggregate adjusted carrying value of the two remaining exposures ($18M + $9M = $27M) does not exceed the $35M threshold, so both qualify as non-significant equity exposures at 100 percent risk weight\n6. Under the ordering rule, publicly traded exposures are included before non-publicly traded exposures when determining which exposures fit within the non-significant bucket\n7. Both the publicly traded ($18M) and non-publicly traded ($9M) exposures receive a 100 percent risk weight as non-significant equity exposures" - }, - { - "id": "finance_en_prescriptive_165", - "type": "RegBench", - "query": "A Board-regulated institution holds a securitization exposure with an original exposure amount (SE) of $50 million, calculated under the applicable exposure amount rules. To hedge this exposure, the institution has posted eligible financial collateral with a current fair value (C) of $30 million. The collateral is denominated in euros while the securitization exposure is denominated in US dollars. The institution does not have prior written approval to use its own internal estimates for haircuts, so it must rely on standard supervisory haircuts. The applicable collateral type haircut (Hs) from the standard supervisory table is 4 percent, and the institution has confirmed that the holding period for this exposure is 65 business days. After applying all required haircut adjustments, compute the adjusted exposure amount (SE*) and determine the ratio SE*/SE that would be applied to scale the risk-weighted asset amount for this collateralized securitization exposure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.132-intro-002", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-b-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-b-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.145-b-3-iv", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution cannot use own-estimates haircuts because it lacks prior written approval from the Board, so standard supervisory haircuts are mandatory\nRequired findings:\n1. The standard supervisory haircuts must be multiplied by the square root of 6.5 (≈ 2.549510), yielding an adjusted Hs of approximately 10.198% and an adjusted Hfx of approximately 20.396%\n2. A currency mismatch haircut (Hfx) of 8 percent applies because the collateral (EUR) and the exposure (USD) are denominated in different currencies\n3. No upward holding-period adjustment is required because the holding period is exactly 65 business days, which equals the minimum threshold\n4. SE* = max{0, [50,000,000 − 30,000,000 × (1 − 0.101980 − 0.203961)]} = approximately $29,178,230\n5. The scaling ratio SE*/SE ≈ 29,178,230 / 50,000,000 ≈ 0.5836 (approximately 58.36%)\n6. The institution cannot use own-estimates haircuts because it lacks prior written approval from the Board, so standard supervisory haircuts are mandatory" - }, - { - "id": "finance_en_prescriptive_166", - "type": "RegBench", - "query": "A Board-regulated institution holds a $50 million commercial loan to a corporate borrower. The institution has purchased an eligible credit derivative from a highly rated guarantor to hedge this exposure. The credit derivative has a protection amount of $35 million and is denominated in euros, while the hedged loan is denominated in US dollars. The institution does not qualify for the use of its own internal estimates of foreign exchange volatility. The institution revalues the credit derivative once every 10 business days. The credit derivative does not include restructuring of the hedged exposure as a credit event. The residual maturity of the hedged loan is 4 years; the credit derivative matures in 3 years and contains no embedded options. The risk weight applicable to the corporate borrower is 100%, and the risk weight applicable to the guarantor is 20%. Determine how the institution should treat this hedged exposure for risk-weighting purposes, including the adjusted effective notional amount of the credit derivative after all applicable adjustments, and the risk-weighted asset amounts for each resulting exposure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.36-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total RWA for the hedged exposure ≈ $38.666M\nRequired findings:\n1. Protection amount ($35M) is less than the exposure amount ($50M), so partial coverage treatment applies and the exposure must be split into protected and unprotected portions\n2. Maturity mismatch exists (credit derivative maturity 3 years < hedged exposure maturity 4 years); adjusted notional Pm = $35M × (3 − 0.25)/(4 − 0.25) ≈ $25.667M\n3. Restructuring event adjustment applies because the credit derivative excludes restructuring as a credit event; Pr = $25.667M × 0.60 ≈ $15.40M\n4. Currency mismatch haircut HFX = 8% (institution does not qualify for own internal FX volatility estimates); no upward adjustment needed since revaluation frequency is every 10 business days\n5. Final adjusted effective notional amount Pc = $15.40M × (1 − 0.08) ≈ $14.168M\n6. RWA for protected exposure = $14.168M × 20% ≈ $2.834M; RWA for unprotected exposure = ($50M − $14.168M) × 100% ≈ $35.832M\n7. Total RWA for the hedged exposure ≈ $38.666M" - }, - { - "id": "finance_en_prescriptive_167", - "type": "RegBench", - "query": "Apex Financial Group is a bank holding company that has been identified as a global systemically important institution by its primary federal regulator. As part of its year-end capital planning process, Apex's treasury team has computed the following scores under the two prescribed systemic risk measurement methodologies: a score of 485 under the first methodology and a score of 610 under the second methodology. Based solely on these scores, determine Apex's applicable systemic risk capital surcharge for the upcoming compliance period, and identify which methodology drives the final surcharge determination.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.403-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.403-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.403-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.403-c-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The method 2 calculation drives the final surcharge determination\nRequired findings:\n1. Method 1 score of 485 falls in the 430–529 band under Table 1, producing a method 1 surcharge of 2.5%\n2. Method 2 score of 610 falls in the 530–629 band under Table 2, producing a method 2 surcharge of 3.0%\n3. The applicable GSIB surcharge is the greater of the two surcharges\n4. 3.0% (method 2) exceeds 2.5% (method 1), so the binding surcharge is 3.0%\n5. The method 2 calculation drives the final surcharge determination" - }, - { - "id": "finance_en_prescriptive_168", - "type": "RegBench", - "query": "Ridgeline Community Bank is a Board-regulated institution that is NOT an advanced approaches institution. It has a consolidated subsidiary, Ridgeline Mortgage Corp., which has issued regulatory capital that is not wholly owned by Ridgeline Community Bank — third-party investors hold a minority stake. After applying all required regulatory adjustments and deductions, Ridgeline Community Bank's own common equity tier 1 (CET1) capital elements (excluding any minority interest) total $180 million, and its CET1 regulatory adjustments and deductions under the applicable rules amount to $12 million. The CET1 minority interest attributable to Ridgeline Mortgage Corp. is $22 million. Determine the maximum amount of CET1 minority interest that Ridgeline Community Bank may include in its consolidated CET1 capital, and state whether the full $22 million qualifies.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.21-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.21-2-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.21-2-3-ii-a-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.21-intro-002", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Maximum includable CET1 minority interest is $16.8 million; the full $22 million does not qualify\nRequired findings:\n1. Ridgeline Community Bank is subject to the paragraph (a) minority interest limitations because it is not an advanced approaches institution and its consolidated subsidiary has issued regulatory capital not wholly owned by the bank\n2. The applicable cap formula is 10% of the sum of all CET1 capital elements (excluding minority interest itself) less CET1 regulatory adjustments and deductions\n3. Net CET1 base = $180M − $12M = $168 million\n4. CET1 minority interest cap = 10% × $168M = $16.8 million\n5. Actual CET1 minority interest of $22 million exceeds the $16.8 million cap by $5.2 million\n6. Maximum includable CET1 minority interest is $16.8 million; the full $22 million does not qualify" - }, - { - "id": "finance_en_prescriptive_169", - "type": "RegBench", - "query": "A Board-regulated institution (the acquirer) that calculates its risk-based capital requirements using advanced systems completed the acquisition of a regional bank on March 15, 2023. The acquired regional bank did not use advanced systems to calculate its risk-based capital requirements prior to the acquisition. As of the acquisition date, the acquired company's exposures carried an allowance for loan and lease losses (ALLL) of $180 million, and the acquired company's risk-weighted assets (calculated under the standardized approach) total $12 billion. The acquirer is now in the 18th month following the calendar quarter in which the acquisition closed and is still applying the standardized approach to the acquired company's exposures under the applicable transitional arrangement. The acquirer has not yet received any extension from the Board beyond the standard transition window. How much of the acquired company's ALLL may the acquiring Board-regulated institution include in its tier 2 capital, and what is the maximum dollar amount permitted under the applicable cap?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.124-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.124-b-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The acquiring institution must also disclose publicly the risk-weighted assets and qualifying capital calculated under the advanced approaches for itself and under the standardized approach for the acquired company.\nRequired findings:\n1. The acquired company did not use advanced systems, so the transitional arrangement for companies without advanced systems applies.\n2. The standard transition period is up to 24 months after the calendar quarter in which the acquisition consummates; at month 18, the acquirer is still within this window.\n3. During the transition period, the acquired company's ALLL may be included in the acquiring institution's tier 2 capital up to 1.25% of the acquired company's risk-weighted assets.\n4. The cap equals 1.25% × $12,000 million = $150 million.\n5. The actual ALLL of $180 million exceeds the $150 million cap, so only $150 million may be included in tier 2 capital.\n6. The acquiring institution must also disclose publicly the risk-weighted assets and qualifying capital calculated under the advanced approaches for itself and under the standardized approach for the acquired company." - }, - { - "id": "finance_en_prescriptive_170", - "type": "RegBench", - "query": "A Board-regulated institution holds a non-resecuritization position in a securitization backed by residential mortgage loans that make monthly payments. The institution's risk analysts have assembled the following data for the position: the weighted-average total capital requirement of the underlying exposures (using unpaid principal as weights, calculated under the standardized approach) is 6.4%, and 8% of the underlying exposure balance (by dollar amount) consists of loans that are 90 days or more past due. The position has an attachment point of 4% and a detachment point of 9% of the current dollar amount of underlying exposures. The data used to assign these parameters was last refreshed 95 calendar days ago. Determine the specific risk-weighting factor the institution must assign to this securitization position.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.211-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The SSFA formula inputs (KG = 6.4%, W = 8%, A = 4%, D = 9%) are irrelevant because the data-freshness condition is not met and the fallback rule applies.\nRequired findings:\n1. The underlying exposures require monthly payments, so the data used to assign SSFA parameters must be no more than 91 calendar days old.\n2. The institution's parameter data is 95 calendar days old, which exceeds the 91-calendar-day limit.\n3. Because the data does not satisfy the freshness requirement, the institution does not have 'appropriate data' to assign the SSFA parameters.\n4. The institution must therefore assign a specific risk-weighting factor of 100 percent to the position.\n5. The SSFA formula inputs (KG = 6.4%, W = 8%, A = 4%, D = 9%) are irrelevant because the data-freshness condition is not met and the fallback rule applies." - }, - { - "id": "finance_en_prescriptive_171", - "type": "RegBench", - "query": "A Board-regulated institution holds an equity exposure to a diversified investment fund with an adjusted carrying value of $18 million. The institution has reviewed the fund's prospectus and confirmed it is not a community development equity exposure. The fund's prospectus permits investments in the following asset classes with the stated maximum allocation limits: corporate exposures (up to 60%), sovereign exposures (up to 50%), residential mortgage exposures (up to 40%), and equity exposures to publicly traded companies (up to 30%). The institution does not have sufficient information to calculate risk-weighted asset amounts for each individual exposure held by the fund on a look-through basis, so it cannot use the full look-through approach. The institution's risk and compliance team is evaluating whether to use the simple modified look-through approach or the alternative modified look-through approach. Under the simple modified look-through approach, the applicable risk weight for the highest-risk permitted exposure type is 300%. Under the alternative modified look-through approach, the applicable risk weights by exposure type are: corporate exposures at 100%, sovereign exposures at 0%, residential mortgage exposures at 50%, and equity exposures to publicly traded companies at 300%. Calculate the risk-weighted asset amount under each available approach, and determine which approach produces the lower risk-weighted asset amount. Also identify whether the investment limits in the fund's prospectus create any special calculation requirement under the alternative modified look-through approach.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.154-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The alternative modified look-through approach produces the lower risk-weighted asset amount ($27.9 million vs. $54 million)\nRequired findings:\n1. Simple modified look-through RWA = $18 million × 300% = $54 million\n2. The sum of the fund's investment limits (60% + 50% + 40% + 30% = 180%) exceeds 100%, triggering the waterfall allocation rule under the alternative modified look-through approach\n3. Under the waterfall rule, the institution allocates 30% to equity exposures (300% risk weight), then 60% to corporate exposures (100% risk weight), then the remaining 10% to residential mortgage exposures (50% risk weight)\n4. Alternative modified look-through RWA = ($18M × 30% × 300%) + ($18M × 60% × 100%) + ($18M × 10% × 50%) = $16.2M + $10.8M + $0.9M = $27.9 million\n5. The alternative modified look-through approach produces the lower risk-weighted asset amount ($27.9 million vs. $54 million)" - }, - { - "id": "finance_en_prescriptive_172", - "type": "RegBench", - "query": "A Board-regulated institution holds a securitization exposure in a non-resecuritization transaction. The underlying loan pool has the following characteristics: the weighted-average total capital requirement of the underlying exposures (using unpaid principal as weights) is 6.4%, and 12% of the underlying exposures by dollar balance meet one or more of the following conditions — they are 90 or more days past due, subject to bankruptcy proceedings, in foreclosure, held as real estate owned, have contractually deferred payments for 90 or more days (outside the permitted exceptions), or are in default. The institution's securitization exposure has an attachment point of 3.2% and a detachment point of 7.5% of the current dollar amount of underlying exposures. The data used to assign these parameters is 45 calendar days old, and the underlying loan contracts require monthly payments. Determine the appropriate risk weight for this securitization exposure under the simplified supervisory formula approach, showing all intermediate calculations.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.144-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b-2-vi", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-b-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.144-c-1", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The risk weight assigned to the securitization exposure is 1,250 percent\nRequired findings:\n1. Data is 45 calendar days old, which is within the 91-calendar-day limit for monthly-payment contracts, so SSFA may be used\n2. KG = 0.064, W = 0.12, A = 0.032, D = 0.075, p = 0.5 (non-resecuritization)\n3. KA = (1 − 0.12) × 0.064 + 0.5 × 0.12 = 0.11632\n4. Because D (0.075) is less than or equal to KA (0.11632), the detachment-point condition is triggered\n5. The risk weight assigned to the securitization exposure is 1,250 percent" - }, - { - "id": "finance_en_prescriptive_173", - "type": "RegBench", - "query": "A Board-regulated institution holds a wholesale term loan to a mid-size corporate borrower (the obligor). The institution has purchased a single-name credit default swap from a highly rated domestic bank (the protection provider) referencing the same corporate obligor. The CDS is uncollateralized and provides immediate payout upon a credit event. The institution has received prior written Board approval for its process to detect excessive correlation between the obligor's creditworthiness and the protection provider's creditworthiness, and no excessive correlation has been detected. The obligor is not affiliated with the protection provider, and neither party is a sovereign. The protection amount under the CDS is $80 million, while the exposure at default (EAD) of the loan is $100 million. The institution wishes to recognize the credit risk mitigation benefit of the CDS using the most favorable treatment available under the advanced approaches framework. The obligor's probability of default (PDo) is 0.8%, and the protection provider's probability of default (PDg) is 0.3%. The LGD of the underlying loan (unadjusted for the CDS) is 45%, and the LGD of the CDS itself is 40%. The effective maturity of the CDS is 2.5 years. Determine: (1) whether the institution may apply the special double default treatment to this position; (2) how the exposure must be split for capital calculation purposes; and (3) the dollar risk-based capital requirement for the protected portion of the exposure, using the double default formula with the asset value correlation (R) for a non-HVCRE wholesale exposure derived from the standard formula evaluated at PDo, and the maturity adjustment coefficient (b) evaluated at the lesser of PDo and PDg.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-4-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-6", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: KDD ≈ 0.04154, and the dollar risk-based capital requirement for the protected portion is KDD × $80M ≈ $3.32 million.\nRequired findings:\n1. All six eligibility criteria for double default treatment are satisfied, so the institution may apply double default treatment to this position.\n2. Because the protection amount ($80M) is less than the EAD ($100M), the exposure must be split: a protected portion with EAD = $80M (subject to the double default formula) and an unprotected portion with EAD = $20M (subject to the standard wholesale capital calculation).\n3. LGDg = 40% (the lower of the loan LGD of 45% and the CDS LGD of 40%), because the CDS provides the institution with the option to receive immediate payout upon triggering protection.\n4. The asset value correlation ρos is computed using the standard non-HVCRE wholesale formula evaluated at PDo = 0.8%, yielding approximately 0.2004.\n5. The maturity adjustment coefficient b is computed at the lesser of PDo (0.8%) and PDg (0.3%), i.e., at PD = 0.3%, yielding approximately 0.1907; with M = 2.5 years the maturity adjustment factor equals approximately 1.4007.\n6. KDD ≈ 0.04154, and the dollar risk-based capital requirement for the protected portion is KDD × $80M ≈ $3.32 million." - }, - { - "id": "finance_en_prescriptive_174", - "type": "RegBench", - "query": "A large depository institution holding company, Meridian Financial Group, is evaluating whether it qualifies as a 'supervised insurance organization' under the Board's insurance capital framework. As of June 30 of the prior calendar year, Meridian reported total consolidated assets of $180 billion calculated under GAAP. Of those assets, $48 billion are held in insurance underwriting subsidiaries — none of which relate to insurance underwriting for credit risk. Meridian is not itself an insurance underwriting company at the top-tier level, but it controls several insurance underwriting companies through intermediate holding companies. A compliance officer argues that Meridian meets the threshold for inclusion in the insurance capital framework based solely on the proportion of assets held in insurance underwriting companies. A second officer contends that Meridian would only qualify if it were itself an insurance underwriting company at the top-tier level. Determine which officer is correct, identify the precise asset percentage that Meridian's insurance underwriting holdings represent, state whether that percentage satisfies the applicable threshold, and explain what additional structural condition Meridian must satisfy to be treated as a supervised insurance organization under this framework.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.602-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.602-iii-a-i-b-02", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total consolidated assets must be calculated under GAAP (or estimated subject to Board review if GAAP is not used for any regulatory purpose)\nRequired findings:\n1. Meridian's insurance underwriting assets as a percentage of total consolidated GAAP assets = $48B / $180B = 26.67%\n2. The applicable threshold for the asset-proportion test is 25% of total consolidated assets held in insurance underwriting companies (excluding credit-risk insurance)\n3. 26.67% exceeds 25%, so Meridian satisfies the asset-proportion threshold\n4. The first officer is correct: a top-tier DIHC need not itself be an insurance underwriting company — the 25% asset test is an independent qualifying path\n5. The second officer is incorrect: top-tier DIHC status as an insurance underwriting company is only one of two alternative qualifying conditions\n6. The additional structural condition Meridian must satisfy is that it must be a top-tier depository institution holding company — meaning it is not controlled by another depository institution holding company\n7. Total consolidated assets must be calculated under GAAP (or estimated subject to Board review if GAAP is not used for any regulatory purpose)" - }, - { - "id": "finance_en_prescriptive_175", - "type": "RegBench", - "query": "Westbrook National Bank is a Board-regulated institution acting solely as a clearing member client (not itself a clearing member) for its centrally cleared interest rate swap portfolio. The bank clears all swaps through a central counterparty that has been designated as a qualifying central counterparty (QCCP). The bank posts $50 million of initial margin to the QCCP through its clearing member. The clearing member holds this collateral in a segregated account, but the account structure does NOT prevent the bank from suffering a loss if both the clearing member and another clearing member client of that clearing member default simultaneously. The bank has completed a legal review of the arrangement and maintains written documentation concluding the arrangement is legally enforceable. The bank calculates its exposure-at-default (EAD) for the swap portfolio at $120 million using the standardized approach for counterparty credit risk. None of the posted collateral is held by a custodian in a manner that is bankruptcy remote from the CCP and clearing member. What risk weight must the bank apply to its cleared swap transactions, and what is the resulting risk-weighted asset amount for those cleared transactions?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.133-b-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-i-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.133-b-3-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Risk-weighted asset amount = $170M × 4% = $6.8 million\nRequired findings:\n1. The bank is a clearing member client, so the clearing member client methodology under §217.133(b) applies\n2. The CCP is a QCCP, so the risk weight is determined under the two-tier QCCP rule rather than the non-QCCP subpart D rule\n3. The 2% risk weight requires both (a) a joint-default loss-prevention arrangement and (b) a sufficient legal review with written documentation; the scenario's collateral arrangement fails condition (a)\n4. Because the 2% conditions are not fully met, the applicable risk weight is 4%\n5. Trade exposure amount = EAD ($120M) + fair value of non-bankruptcy-remote collateral ($50M) = $170 million\n6. Risk-weighted asset amount = $170M × 4% = $6.8 million" - }, - { - "id": "finance_en_prescriptive_176", - "type": "RegBench", - "query": "A state member bank uses the Simple Risk Weight Approach for its equity exposures. The bank holds the following equity positions: (1) a direct equity stake in a Federal Home Loan Bank with an adjusted carrying value of $8 million; (2) a community development equity investment qualifying under 12 U.S.C. 24 (Eleventh) with an adjusted carrying value of $12 million (not held through or in a small business investment company); (3) a publicly traded equity exposure in a non-financial corporate with an adjusted carrying value of $25 million; (4) a non-publicly traded equity exposure in a private firm with an adjusted carrying value of $18 million; and (5) a non-publicly traded equity exposure in another private firm with an adjusted carrying value of $6 million. The bank's total capital is $400 million. None of these exposures are significant investments in the capital of unconsolidated financial institutions, and none involve investment funds or hedge pairs. Determine the risk-weighted asset amount for each individual equity exposure and the bank's aggregate risk-weighted asset amount for all five equity exposures combined, applying the lowest applicable risk weight to each exposure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.152-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-3-i-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-3-iii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.152-b-3-iii-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The aggregate risk-weighted asset amount for all five equity exposures is $89.6 million\nRequired findings:\n1. The Federal Home Loan Bank equity exposure ($8M) is assigned a 20% risk weight, producing RWA of $1.6 million\n2. The community development equity investment ($12M) qualifying under 12 U.S.C. 24 (Eleventh) is assigned a 100% risk weight, producing RWA of $12 million\n3. The 10% non-significant threshold equals $40 million (10% of $400 million total capital), and the aggregate of the three remaining exposures ($49 million) exceeds this threshold by $9 million\n4. Under the ordering rule, publicly traded exposures are included before non-publicly traded exposures when filling the non-significant bucket; the publicly traded corporate ($25M) is included first\n5. Only $15 million of non-publicly traded private firm A qualifies for the 100% non-significant risk weight; the remaining $3 million is assigned a 400% risk weight\n6. Non-publicly traded private firm B ($6M) is entirely above the non-significant cap and is assigned a 400% risk weight, producing RWA of $24 million\n7. The aggregate risk-weighted asset amount for all five equity exposures is $89.6 million" - }, - { - "id": "finance_en_prescriptive_177", - "type": "RegBench", - "query": "A supervised insurance organization is evaluating whether a subordinated debt instrument issued by one of its inventory companies qualifies as a capital instrument eligible for inclusion in building block available capital. The instrument was issued and paid-in on March 15, 2018, with an original principal amount of $50 million and an original maturity of seven years (maturing March 15, 2025). As of the current evaluation date of January 10, 2024, the instrument has not been redeemed or repurchased in any amount. The instrument is unsecured, is not covered by any guarantee from the building block parent or any affiliate, and contains no terms that legally or economically enhance its seniority relative to more senior claims. It is subordinated to depositors and general creditors of the building block parent. The instrument contains no terms requiring or creating significant incentives for early redemption prior to maturity. Determine: (1) whether the instrument currently qualifies as a qualifying capital instrument, (2) the dollar amount of the instrument that is eligible to be included in building block available capital as of January 10, 2024, and (3) whether any portion would be excluded if the evaluation date were instead March 16, 2024.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.608-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.608-a-1-iv", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: No redemptions have occurred, so the 20% reduction is applied to the full original $50 million principal at each step.\nRequired findings:\n1. The instrument meets all general qualifying criteria under the applicable rule, including minimum original maturity of at least five years (7 years ≥ 5 years).\n2. The amortization schedule reduces eligible amount by 20% of the original $50 million (i.e., $10 million) at the beginning of each of the last five years of the instrument's life, starting March 15, 2020.\n3. As of January 10, 2024, four amortization steps have occurred (March 15, 2020, 2021, 2022, and 2023), resulting in a total reduction of $40 million.\n4. The eligible amount as of January 10, 2024 is $50M − $40M = $10 million.\n5. As of March 16, 2024, the remaining maturity is less than one year, so the instrument is fully excluded from building block available capital regardless of any remaining amortized amount.\n6. No redemptions have occurred, so the 20% reduction is applied to the full original $50 million principal at each step." - }, - { - "id": "finance_en_prescriptive_178", - "type": "RegBench", - "query": "A Board-regulated institution holds a $50 million corporate loan exposure denominated in US dollars. The institution has purchased credit protection on this exposure via an eligible credit derivative from a guarantor whose applicable risk weight under the standardized approach is 20%. The credit derivative has a notional amount of $50 million but is denominated in euros. The institution revalues the credit derivative once every 10 business days. The credit derivative does not include restructuring of the hedged exposure as a credit event. The institution uses the supervisory haircut approach (not its own internal estimates) for foreign exchange volatility. The residual maturity of the hedged exposure is 4 years; the residual maturity of the credit derivative is 3 years, and the credit derivative contains no embedded options. The original risk weight assigned to the corporate loan is 100%. Determine the effective notional amount of the credit derivative after all required adjustments, and calculate the risk-weighted asset amounts for both the protected and unprotected portions of the hedged exposure.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.36-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-c-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-f-1-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total RWA for the hedged exposure = approximately $33.81M\nRequired findings:\n1. Maturity mismatch adjustment yields Pa = $50M × (2.75 / 3.75) ≈ $36.67M\n2. Restructuring event adjustment yields Pr = $36.67M × 0.60 ≈ $22.00M\n3. Currency mismatch haircut HFX = 8% (supervisory standard, no upward adjustment needed since revaluation frequency is every 10 business days)\n4. Currency mismatch adjustment yields Pc = $22.00M × (1 − 0.08) = $20.24M\n5. Partial coverage applies because Pc ($20.24M) < exposure amount ($50M); protected portion = $20.24M, unprotected portion = $29.76M\n6. Protected RWA = $20.24M × 20% = $4.048M; unprotected RWA = $29.76M × 100% = $29.76M\n7. Total RWA for the hedged exposure = approximately $33.81M" - }, - { - "id": "finance_en_prescriptive_179", - "type": "RegBench", - "query": "Riverton State Bank is a state member bank and a Board-regulated institution. As of the most recent quarter-end, it reports the following figures: common equity tier 1 (CET1) capital of $1.85 billion, additional tier 1 capital of $320 million, and tier 2 capital of $410 million. Its standardized total risk-weighted assets are $28.4 billion. Average total consolidated assets as reported on its Call Report for the quarter are $34.2 billion, and amounts deducted from tier 1 capital under the applicable threshold deduction and goodwill/intangible provisions total $180 million. Riverton is not an advanced approaches institution and does not meet the threshold for Category III designation. Determine whether Riverton meets each of the four applicable minimum capital ratios, showing the computed ratio for each and comparing it to the required minimum.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.10-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-a-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-a-1-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-b-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.10-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-f", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Riverton meets all four applicable minimum capital ratio requirements\nRequired findings:\n1. CET1 ratio = $1,850M / $28,400M ≈ 6.51%, which exceeds the 4.5% minimum\n2. Tier 1 capital = $1,850M + $320M = $2,170M; Tier 1 ratio = $2,170M / $28,400M ≈ 7.64%, which exceeds the 6% minimum\n3. Total capital = $2,170M + $410M = $2,580M; Total capital ratio = $2,580M / $28,400M ≈ 9.08%, which exceeds the 8% minimum\n4. Leverage ratio denominator = average total consolidated assets minus §217.22 deductions = $34,200M − $180M = $34,020M\n5. Leverage ratio = $2,170M / $34,020M ≈ 6.38%, which exceeds the 4% minimum\n6. The supplementary leverage ratio requirement does not apply because Riverton is neither an advanced approaches institution nor a Category III Board-regulated institution\n7. Riverton meets all four applicable minimum capital ratio requirements" - }, - { - "id": "finance_en_prescriptive_180", - "type": "RegBench", - "query": "Midwest Community Bancorp, a Board-regulated institution, holds an equity interest in a diversified investment fund with an adjusted carrying value of $18 million. The fund's prospectus permits investments in the following asset classes with the stated maximum allocation limits: investment-grade corporate bonds (up to 60%), residential mortgage-backed securities (up to 50%), equity securities of publicly traded companies (up to 40%), and sovereign debt of OECD member countries (up to 30%). The sum of these investment limits exceeds 100%. The fund also holds interest rate swap contracts used exclusively for duration hedging, which represent approximately 3% of the fund's total exposures. Midwest Community Bancorp does not have sufficient transparency into the fund's individual holdings to calculate risk-weighted asset amounts for each underlying exposure on a look-through basis, and the fund is not a community development equity exposure. The institution's risk and compliance team is evaluating whether to apply the alternative modified look-through approach rather than the simple modified look-through approach. Under the alternative modified look-through approach, what is the risk-weighted asset amount for this equity exposure, and how should the institution handle the fact that the sum of investment limits exceeds 100%?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.154-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.154-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The risk-weighted asset amount for the equity exposure to the investment fund under the alternative modified look-through approach is $32.4 million\nRequired findings:\n1. Because the sum of investment limits (60% + 50% + 40% + 30% = 180%) exceeds 100%, the institution must assume maximum investment in the highest risk-weight exposure type first and proceed in descending risk-weight order until 100% total allocation is reached\n2. Publicly traded equity securities carry the highest applicable risk weight under subpart D and receive the maximum permitted allocation of 40% of the adjusted carrying value\n3. After allocating 40% to equity, the remaining 60% is allocated to the next highest risk-weight category (investment-grade corporate bonds at 100%), exhausting the 100% total\n4. The interest rate swap contracts (approximately 3% of fund exposures, used for hedging) may be excluded from the calculation as they are not speculative and do not constitute a material portion of the fund's exposures\n5. RWA = ($18M × 40% × 300%) + ($18M × 60% × 100%) = $21.6M + $10.8M = $32.4M\n6. The risk-weighted asset amount for the equity exposure to the investment fund under the alternative modified look-through approach is $32.4 million" - }, - { - "id": "finance_en_prescriptive_181", - "type": "RegBench", - "query": "A Board-regulated institution is preparing its capital distribution plan for calendar year 2017. The institution is designated as a global systemically important bank holding company (GSIB) with an applicable GSIB surcharge of 2.0 percent. The institution's capital conservation buffer, measured as of the most recent quarter-end, stands at 1.10 percent. No countercyclical capital buffer has been imposed on the institution. The institution's eligible retained income for the year is $800 million. The board of directors is considering declaring a common dividend of $520 million and awarding discretionary bonuses of $100 million to senior executives, for a total proposed payout of $620 million. Determine whether the proposed total payout is permissible under the applicable transition-period payout restrictions, and if not, state the maximum dollar amount the institution may distribute as a percentage of eligible retained income.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.300-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.300-c-1-iv-b-4-iii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution may distribute no more than $160 million in combined distributions and discretionary bonus payments during calendar year 2017.\nRequired findings:\n1. The calendar year 2017 transition rows of Table 1 to § 217.300 apply to determine the maximum payout ratio.\n2. The adjusted top threshold for no payout limitation in 2017 is 1.25% + 50%×2.0% = 2.25%; the middle-tier upper boundary is 0.938% + 37.5%×2.0% = 1.688%; the lower-middle upper boundary is 0.625% + 25%×2.0% = 1.125%; the bottom-tier upper boundary is 0.313% + 12.5%×2.0% = 0.563%.\n3. A capital conservation buffer of 1.10% falls in the tier ≤ 1.125% and > 0.563%, which carries a maximum payout ratio of 20 percent of eligible retained income.\n4. Maximum permissible payout = 20% × $800 million = $160 million.\n5. The proposed total payout of $620 million exceeds the $160 million maximum and is therefore not permissible.\n6. The institution may distribute no more than $160 million in combined distributions and discretionary bonus payments during calendar year 2017." - }, - { - "id": "finance_en_prescriptive_182", - "type": "RegBench", - "query": "A Board-regulated institution acts as a clearing member client and executes an interest rate swap through a qualifying central counterparty (QCCP). The notional value of the swap is $50 million. The institution has calculated the exposure amount for the derivative contract (using the methodology applicable to OTC derivative contracts) to be $1.2 million. The institution posted $800,000 of initial margin to the QCCP, which is held by the clearing member in a commingled account that does not provide bankruptcy-remote protection against the joint default of the clearing member and other clearing member clients. The institution has conducted a thorough legal review and maintains written documentation concluding that the relevant arrangements are legally valid and enforceable, but the commingled holding structure means the posted collateral is not protected against a concurrent insolvency of the clearing member and other clearing member clients. The institution is not an advanced approaches institution and has not elected to use SA-CCR. Compute the trade exposure amount for this cleared transaction and determine the appropriate risk weight to apply. Then calculate the resulting risk-weighted asset amount for this cleared transaction.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.34-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-b-2-ii-a-02", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-c-2-ii-b-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.35-intro-006", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The alternate SA-CCR/advanced approaches requirement does not apply because the institution is not an advanced approaches institution and has not elected SA-CCR\nRequired findings:\n1. Trade exposure amount = $1,200,000 (OTC exposure amount) + $800,000 (non-bankruptcy-remote collateral) = $2,000,000\n2. The collateral held in a commingled account does not satisfy the bankruptcy-remote protection condition required for the 2% risk weight\n3. The applicable risk weight is 4% because the requirements for the 2% risk weight are not met\n4. Risk-weighted asset amount = $2,000,000 × 4% = $80,000\n5. The alternate SA-CCR/advanced approaches requirement does not apply because the institution is not an advanced approaches institution and has not elected SA-CCR" - }, - { - "id": "finance_en_prescriptive_183", - "type": "RegBench", - "query": "Apex Financial Group is a global systemically important bank holding company subject to the enhanced prudential standards applicable to the largest U.S. banking organizations. For the previous calendar year, Apex's compliance team has compiled the following daily-average short-term wholesale funding positions on a consolidated basis:\n\n1. Secured funding transactions collateralized by Level 1 liquid assets with remaining maturities of 30 days or less: $18 billion\n2. Secured funding transactions collateralized by Level 1 liquid assets with remaining maturities of 31 to 90 days: $12 billion\n3. Secured funding transactions collateralized by Level 2A liquid assets with remaining maturities of 30 days or less: $9 billion\n4. Secured funding transactions collateralized by Level 2A liquid assets with remaining maturities of 91 to 180 days: $6 billion\n5. Unsecured wholesale funding to non-financial-sector counterparties with remaining maturities of 31 to 90 days: $15 billion\n6. Unsecured wholesale funding to financial sector entities with remaining maturities of 30 days or less: $20 billion\n7. Covered asset exchanges (other than Level 1-for-Level 2A exchanges) with remaining maturities of 181 to 365 days: $8 billion\n8. Short positions where the borrowed asset does not qualify as a Level 1 or Level 2A liquid asset, with remaining maturities of 30 days or less: $5 billion\n9. Brokered deposits provided by retail customers: $10 billion (no maturity bucket specified — treat as 30 days or less)\n10. Any other short-term wholesale funding components with remaining maturities of 31 to 90 days: $4 billion\n\nApex's average risk-weighted assets for the same period are $850 billion.\n\nCalculate Apex's short-term wholesale funding score. Show the weighted short-term wholesale funding amount for each component, the total weighted amount, and the final score rounded to two decimal places.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.406-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.406-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.406-b-3", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Covered asset exchanges other than Level 1-for-Level 2A exchanges are Category 3 components, weighted at 10% for the 181–365-day maturity bucket\nRequired findings:\n1. Unsecured wholesale funding to financial sector entities falls under Category 3 (not Category 1), because Category 1 unsecured wholesale funding is limited to counterparties that are NOT financial sector entities or consolidated subsidiaries thereof\n2. Weighted STWF for the ten components sums to $34.85 billion\n3. The short-term wholesale funding score formula multiplies (average weighted STWF / average RWA) by the fixed factor 350\n4. Short-term wholesale funding score = ($34.85B / $850B) × 350 = 14.35\n5. Brokered deposits provided by retail customers are a Category 1 component weighted at 25% for the ≤30-day maturity bucket\n6. Covered asset exchanges other than Level 1-for-Level 2A exchanges are Category 3 components, weighted at 10% for the 181–365-day maturity bucket" - }, - { - "id": "finance_en_prescriptive_184", - "type": "RegBench", - "query": "Heartland Mutual Holdings is a supervised insurance organization that controls two depository institution holding companies: First Anchor Bancorp and Midland Financial Group. Under the building block approach, Heartland's enterprise has been inventoried and all building block parents identified. After completing the roll-up of building block available capital and building block capital requirement amounts across all building blocks in the enterprise, the following figures have been scaled to the common capital framework: First Anchor Bancorp has building block available capital of $3.1 billion and a building block capital requirement of $1.2 billion. Midland Financial Group has building block available capital of $870 million and a building block capital requirement of $410 million. Heartland's compliance team is preparing its regulatory capital adequacy assessment. Determine the BBA ratio for each depository institution holding company and assess whether each meets the applicable minimum capital threshold. Additionally, identify any qualitative obligations that each holding company must satisfy with respect to its internal capital assessment process.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.603-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-d-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.603-d-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Each depository institution holding company must have a process for assessing overall capital adequacy relative to its risk profile and a comprehensive strategy for maintaining an appropriate capital level\nRequired findings:\n1. BBA ratio for First Anchor Bancorp = $3.1B / $1.2B = approximately 258.33%\n2. BBA ratio for Midland Financial Group = $870M / $410M = approximately 212.20%\n3. The minimum required BBA ratio is 250%\n4. First Anchor Bancorp meets the minimum BBA ratio requirement; Midland Financial Group does not\n5. Each depository institution holding company must maintain capital commensurate with the level and nature of all risks to which it is exposed, with supervisory evaluation based on individual assessment of asset character, liabilities, and corporate responsibilities\n6. Each depository institution holding company must have a process for assessing overall capital adequacy relative to its risk profile and a comprehensive strategy for maintaining an appropriate capital level" - }, - { - "id": "finance_en_prescriptive_185", - "type": "RegBench", - "query": "First National Bancorp is a Board-regulated institution that originated a traditional securitization and retains a senior tranche exposure. To hedge this retained exposure, the bank purchased an eligible credit derivative from a highly rated protection seller. The credit derivative has a remaining maturity of 2 years, while the underlying securitization tranche has a remaining maturity of 5 years. The notional protection amount of the credit derivative is $50 million, and the current fair value of the hedged securitization exposure is $48 million. The credit derivative is denominated in the same currency as the securitization exposure, and the reference obligation in the credit derivative matches the hedged tranche. However, the credit derivative contract does not include restructuring as a credit event, while the underlying securitization documents contemplate restructuring scenarios. Determine whether First National Bancorp may recognize this credit derivative as a credit risk mitigant for its retained securitization exposure, and explain what adjustments, if any, must be made to the protection amount before the bank can apply the hedge in its capital calculations.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.36-d-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-d-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.36-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.41-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.45-b", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The bank must apply these adjustments as required by the mismatch provisions cross-referenced in the securitization credit risk mitigant recognition rules before using the hedge in its capital calculations\nRequired findings:\n1. First National Bancorp, as an originating Board-regulated institution, is eligible to recognize the credit derivative as a credit risk mitigant for its retained securitization exposure\n2. A maturity mismatch exists because the credit derivative (2-year residual maturity) is shorter than the hedged securitization tranche (5-year residual maturity), requiring a downward adjustment to the protection amount\n3. The maturity mismatch adjustment formula reduces the $50 million notional: Pa = $50M × (2 − 0.25)/(5 − 0.25) ≈ $18.42 million\n4. The absence of restructuring as a credit event in the credit derivative triggers a further reduction to the recognized protection amount (approximately 60% of the maturity-adjusted amount)\n5. The combined effect of both adjustments reduces the effective recognized protection amount to approximately $11.05 million\n6. The bank must apply these adjustments as required by the mismatch provisions cross-referenced in the securitization credit risk mitigant recognition rules before using the hedge in its capital calculations" - }, - { - "id": "finance_en_prescriptive_186", - "type": "RegBench", - "query": "A Board-regulated institution entered into a delivery-versus-payment securities transaction with a normal settlement period. The contractual settlement date was a Monday. The counterparty failed to deliver the securities on the settlement date. As of the close of business on the 18th business day after the contractual settlement date, the counterparty still has not made delivery. At that point, the current market price of the securities is $4,200,000, and the agreed settlement price was $3,800,000 (i.e., the institution was to pay $3,800,000 to receive securities now worth $4,200,000). Determine the risk-weighted asset amount the institution must hold for this unsettled transaction.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.38-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-a-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.38-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Risk-weighted asset amount = $400,000 × 625% = $2,500,000\nRequired findings:\n1. The transaction qualifies as a DvP transaction with a normal settlement period, triggering the unsettled DvP capital requirement\n2. Capital must be held because the counterparty has not delivered within 5 business days after the contractual settlement date\n3. Positive current exposure = current market price minus agreed settlement price = $4,200,000 − $3,800,000 = $400,000\n4. 18 business days after the contractual settlement date falls in the 'From 16 to 30' band in Table 1, corresponding to a risk weight of 625.0%\n5. Risk-weighted asset amount = $400,000 × 625% = $2,500,000" - }, - { - "id": "finance_en_prescriptive_187", - "type": "RegBench", - "query": "A Board-regulated institution participated in the Paycheck Protection Program Lending Facility (PPLF) announced in April 2020. As of its most recent reporting date, the institution has pledged $850 million in PPP loans as collateral for a non-recourse PPLF advance of $800 million (reflecting a 5% haircut applied by the facility). The institution is subject to both the supplementary leverage ratio and the standardized risk-based capital requirements. Its total leverage exposure (before any PPLF-related adjustments) is $42 billion, average total consolidated assets are $38 billion, and standardized total risk-weighted assets are $28 billion. The institution's compliance team is determining how to treat the PPLF collateral and the associated liability when computing its regulatory capital ratios. Specifically: (1) What amount, if any, may be excluded from total leverage exposure and standardized total risk-weighted assets? (2) How must the institution's liability under the PPLF be measured for purposes of this exclusion? (3) What is the adjusted total leverage exposure and adjusted standardized total risk-weighted assets after applying the permissible treatment?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.305-intro-001", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The exclusion applies only because the PPLF loan is non-recourse and the PPP loans are pledged as collateral for funds advanced under the facility.\nRequired findings:\n1. The $850 million in PPP loans pledged as collateral for the PPLF non-recourse advance may be excluded from total leverage exposure and standardized total risk-weighted assets.\n2. The institution's liability under the PPLF must be reduced by the principal amount of the pledged loans ($850 million), not merely the advance amount ($800 million).\n3. Adjusted total leverage exposure = $42,000M − $850M = $41,150M.\n4. Adjusted standardized total risk-weighted assets = $28,000M − $850M = $27,150M.\n5. The exclusion is permissive ('may exclude'), not mandatory, and applies notwithstanding any other provision of Part 217.\n6. The exclusion applies only because the PPLF loan is non-recourse and the PPP loans are pledged as collateral for funds advanced under the facility." - }, - { - "id": "finance_en_prescriptive_188", - "type": "RegBench", - "query": "A Board-regulated institution holds a position in a publicly traded equity instrument. The position consists of two components: (1) an on-balance sheet holding with a carrying value of $8 million, and (2) an off-balance sheet equity derivative referencing the same underlying instrument. The derivative is structured such that for every $1 change in the price of the underlying equity, the fair value of the derivative changes by $0.60 (measured in dollars). The notional principal of the underlying equity position that would produce the same dollar sensitivity is $12 million. The institution also provides stable value protection on a separate account investment held by a policy owner. The separate account has a total carrying value of $25 million, of which $4 million is attributable to the stable value protection feature. Determine: (a) the adjusted carrying value of the off-balance sheet component of the equity derivative position, and (b) how the institution must treat the $4 million portion of the separate account carrying value attributable to the stable value protection it provides.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.151-a-3-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.151-b-2", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The $21 million remaining portion of the separate account carrying value ($25M − $4M) would be treated as an equity exposure to an investment fund under the look-through approaches, but that treatment applies to a purchaser of stable value protection, not the provider\nRequired findings:\n1. The effective notional principal amount of the off-balance sheet equity derivative is $12 million, representing the hypothetical on-balance sheet position that produces the same dollar change in fair value\n2. The adjusted carrying value of the off-balance sheet component equals the effective notional principal amount ($12 million) minus the adjusted carrying value of the on-balance sheet component ($8 million), yielding $4 million\n3. Because the institution is the provider of stable value protection (not the purchaser), it must treat the exposure as an equity derivative, not as an equity exposure to an investment fund\n4. The adjusted carrying value of the stable value protection exposure is determined as the sum of the on-balance sheet carrying value component and the off-balance sheet component as defined in the adjusted carrying value rules\n5. The $21 million remaining portion of the separate account carrying value ($25M − $4M) would be treated as an equity exposure to an investment fund under the look-through approaches, but that treatment applies to a purchaser of stable value protection, not the provider" - }, - { - "id": "finance_en_prescriptive_189", - "type": "RegBench", - "query": "A Board-regulated institution has entered into a credit default swap with an eligible double default guarantor to hedge a wholesale corporate loan exposure. The loan has an exposure at default (EAD) of $80 million. The credit default swap provides single-name protection and has a notional (protection amount, P) of $50 million. The CDS does not provide the institution with the option to receive immediate payout upon triggering the protection. The institution has received prior written Board approval for its excessive-correlation detection process, and no excessive correlation has been detected between the obligor and the protection provider. The obligor of the loan is unaffiliated with the guarantor. The institution wishes to apply double default treatment to the maximum extent permitted.\n\nFor the portion of the exposure eligible for double default treatment, the following parameters apply: the PD of the obligor (PDo) is 0.80%, the PD of the protection provider (PDg) is 0.25%, the LGD of the underlying loan is 45%, and the LGD of the credit default swap is 60%. The effective maturity of the CDS is 2.5 years.\n\nDetermine: (1) how the institution must split the $80 million exposure for capital purposes, (2) which LGD value must be used in the double default capital formula for the protected portion, and (3) what is the value of KDD (the double default capital factor) for the protected exposure, expressed as a percentage rounded to four decimal places? Use the double default formula KDD = Ko × (0.15 + 160 × PDg), where Ko is defined as the standard IRB capital formula output using PDo, LGDg, the obligor's asset value correlation, and the maturity adjustment based on the lesser of PDo and PDg.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-4-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: KDD ≈ 5.54% (approximately), reflecting the reduced capital charge from double default treatment relative to the standalone IRB capital requirement\nRequired findings:\n1. Because P ($50M) < EAD ($80M), the exposure must be split into a protected portion with EAD = $50M and an unprotected portion with EAD = $30M\n2. The unprotected portion ($30M EAD) is risk-weighted under the standard IRB wholesale rules, not under the double default formula\n3. Because the CDS does not provide the option for immediate payout on triggering, LGDg must equal the LGD of the credit default swap (60%), not the lower of the loan LGD and CDS LGD\n4. The maturity adjustment coefficient b is computed using PD = min(PDo, PDg) = min(0.80%, 0.25%) = 0.25%\n5. The asset value correlation ρos is computed using PDo = 0.80% in the corporate wholesale formula from Table 1 in the IRB wholesale capital rules\n6. KDD = Ko × (0.15 + 160 × PDg) = Ko × (0.15 + 160 × 0.0025) = Ko × 0.55\n7. KDD ≈ 5.54% (approximately), reflecting the reduced capital charge from double default treatment relative to the standalone IRB capital requirement" - }, - { - "id": "finance_en_prescriptive_190", - "type": "RegBench", - "query": "A Board-regulated institution holds an equity exposure to a diversified investment fund with an adjusted carrying value of $50 million. The fund's prospectus permits investments in the following asset classes with stated investment limits: up to 60% in investment-grade corporate bonds (risk weight 100%), up to 50% in residential mortgage-backed securities (risk weight 20%), up to 30% in equity securities of publicly traded companies (risk weight 300%), and up to 20% in sovereign debt of OECD member countries (risk weight 0%). The institution's risk management team has confirmed that the fund also holds interest rate swap contracts used solely for duration hedging purposes, which represent approximately 3% of the fund's total exposures by notional value. The institution does not have sufficient transparency into the fund's actual holdings to calculate risk-weighted asset amounts for each individual exposure on a proportional ownership basis. The institution's compliance officer is evaluating whether to use the simple modified look-through approach or the alternative modified look-through approach. Under the alternative modified look-through approach, compute the risk-weighted asset amount for this equity exposure, showing how the investment limits are allocated and how the oversubscription of limits is resolved. Then determine what risk-weighted asset amount would result under the simple modified look-through approach, and identify which approach produces the lower capital requirement.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.53-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.53-d", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The 20% minimum risk weight floor is not binding because the effective risk weight under the alternative approach (152%) exceeds 20%\nRequired findings:\n1. The interest rate swap contracts used solely for duration hedging (~3% of exposures) may be excluded from the analysis under both the simple and alternative modified look-through approaches\n2. Under the simple modified look-through approach, the highest permissible risk weight is 300% (publicly traded equity), yielding RWA = $50M × 300% = $150 million\n3. The sum of the fund's investment limits (60% + 50% + 30% + 20% = 160%) exceeds 100%, triggering the oversubscription waterfall under the alternative modified look-through approach\n4. Under the oversubscription waterfall, allocations are made in descending risk-weight order: 30% to equity (300% RW), 60% to corporate bonds (100% RW), and the remaining 10% to RMBS (20% RW), with no capacity remaining for sovereign debt\n5. Alternative modified look-through RWA = ($15M × 300%) + ($30M × 100%) + ($5M × 20%) = $45M + $30M + $1M = $76 million\n6. The alternative modified look-through approach produces the lower risk-weighted asset amount ($76M vs. $150M)\n7. The 20% minimum risk weight floor is not binding because the effective risk weight under the alternative approach (152%) exceeds 20%" - }, - { - "id": "finance_en_prescriptive_191", - "type": "RegBench", - "query": "A Board-regulated institution operating as an advanced approaches institution is reviewing its credit risk capital framework. During an internal audit, the risk team is evaluating whether two specific borrowers have triggered default status under the institution's advanced internal ratings-based systems.\n\nBorrower A is a mid-size corporate obligor (wholesale exposure). The institution's credit analysts have concluded, based on current financial statements and market signals, that Borrower A is unlikely to repay its outstanding $45 million term loan in full without the institution first liquidating the $12 million in collateral it holds against the exposure. No payment has been missed yet.\n\nBorrower B is an individual consumer with a residential mortgage exposure of $320,000. The mortgage payment has not been received for 175 days. The institution has not taken any charge-off or write-down on this exposure.\n\nFor each borrower, determine: (1) whether the exposure is currently in default under the applicable regulatory definition, and (2) the specific condition(s) that triggered — or failed to trigger — that determination. Additionally, explain what condition must be satisfied before either defaulted exposure can be removed from default status.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.101-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.101-b-2-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: A retail exposure in default remains in default until the institution has reasonable assurance of repayment and performance for all contractual principal and interest payments on that specific exposure\nRequired findings:\n1. Borrower A (wholesale) IS in default because the institution has determined the obligor is unlikely to pay in full without recourse to collateral realization, satisfying the 'unlikely to pay' trigger regardless of payment delinquency\n2. Borrower B (residential mortgage, retail) is NOT in default because 175 days past due is below the 180-day threshold for residential mortgage exposures, and no charge-off or write-down has occurred\n3. The 180-day past-due threshold applies specifically to residential mortgage exposures and revolving retail exposures; non-mortgage, non-revolving retail exposures use a 120-day threshold\n4. Borrower A remains in default until the institution has reasonable assurance of repayment and performance for all contractual principal and interest on all exposures to that obligor (excluding fully written-down or charged-off exposures)\n5. A retail exposure in default remains in default until the institution has reasonable assurance of repayment and performance for all contractual principal and interest payments on that specific exposure" - }, - { - "id": "finance_en_prescriptive_192", - "type": "RegBench", - "query": "A Board-regulated institution uses an internal model to calculate its daily VaR-based measure for general market risk across all covered positions. The institution's risk management team is evaluating whether its current modeling approach satisfies regulatory requirements in three specific areas:\n\n1. The institution calculates its VaR-based measure by running separate sub-models for interest rate risk, credit spread risk, equity price risk, and foreign exchange risk, and then sums the four outputs to arrive at an aggregate figure. The institution does not incorporate empirical correlations across these risk categories.\n\n2. For its historical observation period, the institution uses an exponentially weighted moving average (EWMA) scheme that assigns heavier weights to recent observations. The effective observation period under this scheme spans 14 months, but the average time lag of the observations is only 3 months due to the heavy weighting of recent data. The institution updates its data weekly.\n\n3. For material positions in the U.S. Treasury yield curve, the institution's interest rate model uses four yield curve segments (e.g., 3-month, 1-year, 5-year, and 10-year nodes).\n\nFor each of the three areas, determine whether the institution's current practice satisfies the applicable regulatory requirements, and identify any specific deficiencies.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.205-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.205-b-2-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The four-segment yield curve model is non-compliant and must be expanded to at least six segments to capture differences in volatility and less than perfect correlation of rates along the yield curve.\nRequired findings:\n1. Summing separate risk-category sub-model outputs is compliant when empirical correlations across risk categories are not incorporated, per the aggregation rule for VaR-based measures.\n2. The EWMA weighting scheme with a 3-month average time lag fails the minimum six-month average time lag threshold required under the first alternative for weighted observation periods.\n3. The institution may potentially satisfy the weighting scheme requirement under the second alternative only if it demonstrates to the Board that its scheme is more effective than a six-month average time lag scheme, in addition to updating data more frequently than monthly (weekly updates satisfy the frequency condition).\n4. The U.S. Treasury yield curve model uses only four segments, which is fewer than the regulatory minimum of six segments required for material positions in major currencies and markets.\n5. The four-segment yield curve model is non-compliant and must be expanded to at least six segments to capture differences in volatility and less than perfect correlation of rates along the yield curve." - }, - { - "id": "finance_en_prescriptive_193", - "type": "RegBench", - "query": "A Board-regulated institution holds two securitization exposures associated with the same residential mortgage securitization trust. The first exposure is a program-wide credit enhancement covering all tranches of the trust, with a notional amount of $50 million (off-balance sheet, not an OTC derivative or repo-style transaction). The second exposure is a pool-specific liquidity facility covering a subset of the same underlying mortgage pool, with a notional amount of $12 million. Both exposures provide coverage over the same underlying mortgage assets, creating an overlap of $12 million in duplicative coverage. The institution has determined that the supervisory formula approach is not available for either exposure, and it has elected not to apply the simplified supervisory formula approach. The institution's carrying value of any on-balance sheet positions is not at issue here. Determine: (1) the exposure amount to be used for the off-balance sheet credit enhancement and the liquidity facility, (2) how the institution must handle the $12 million overlapping portion, and (3) what risk weight applies to the overlapping exposure given the institution's approach elections.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.142-a-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-e-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.142-f", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The risk-weighted asset amount for the $12 million overlapping exposure = $12 million × 1,250% = $150 million.\nRequired findings:\n1. The exposure amount of the off-balance sheet credit enhancement equals its notional amount of $50 million, per the rule governing off-balance sheet securitization exposures that are not OTC derivatives, repo-style transactions, eligible margin loans, or cleared transactions.\n2. The exposure amount of the pool-specific liquidity facility equals its notional amount of $12 million for the same reason.\n3. The $12 million overlap constitutes duplicative coverage of the same underlying exposures, and the institution is not required to hold duplicative risk-based capital against it.\n4. For the overlapping portion, the institution must assign the applicable risk-based capital treatment that results in the highest risk-based capital requirement.\n5. Because the supervisory formula approach is unavailable and the simplified supervisory formula approach is not elected, the fallback 1,250% risk weight applies to the overlapping exposure under the hierarchy of approaches.\n6. The risk-weighted asset amount for the $12 million overlapping exposure = $12 million × 1,250% = $150 million." - }, - { - "id": "finance_en_prescriptive_194", - "type": "RegBench", - "query": "Midwest Regional Bank, a Board-regulated institution, has completed its advanced measurement approach (AMA) modeling for operational risk. The bank's internal model produces an operational risk exposure of $480 million. The bank has obtained qualifying operational risk insurance policies that meet all regulatory requirements for use as operational risk mitigants, and these qualifying mitigants are recognized under the applicable rules. After applying those mitigants, the bank's adjusted operational risk exposure is $390 million. The bank also has $25 million in eligible operational risk offsets available. Compute the bank's dollar risk-based capital requirement for operational risk and its corresponding risk-weighted asset amount for operational risk.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.162-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.162-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.162-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.162-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.162-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Risk-weighted asset amount for operational risk = $365M × 12.5 = $4,562.5 million\nRequired findings:\n1. The institution qualifies to use operational risk mitigants and has qualifying mitigants, so the two-prong formula under the mitigant-eligible branch applies\n2. Prong 1 (adjusted exposure minus offsets) = $390M − $25M = $365M\n3. Prong 2 (floor) = 0.8 × ($480M − $25M) = 0.8 × $455M = $364M\n4. Dollar risk-based capital requirement = greater of $365M and $364M = $365M\n5. Risk-weighted asset amount for operational risk = $365M × 12.5 = $4,562.5 million" - }, - { - "id": "finance_en_prescriptive_195", - "type": "RegBench", - "query": "A Board-regulated institution using the advanced internal ratings-based approach has a wholesale corporate loan to Obligor X with an exposure at default (EAD) of $80 million. The institution has purchased a credit default swap from an eligible double default guarantor covering $50 million of that exposure. The CDS meets all structural requirements for double default treatment, and the institution has received prior written Board approval for its excessive-correlation detection process. No excessive correlation has been detected. For the protected portion of the exposure, the institution calculates KDD using the following inputs: PDo (obligor PD) = 2.5%, PDg (guarantor PD) = 0.8%, LGDg = 45%, and the obligor's asset value correlation (ρos) and maturity adjustment coefficient (b) must be derived from the standard wholesale formula table using PDo = 2.5% and the lesser of PDo and PDg respectively. The effective maturity of the CDS is 2.3 years. For the unprotected portion of the exposure, the institution must calculate risk-weighted assets using the standard wholesale capital formula with the obligor's own risk parameters: PDo = 2.5%, LGD = 40%, EAD = $30 million, and M = 3.0 years. Compute (1) the EAD allocated to the protected and unprotected portions, (2) the asset value correlation ρos and maturity adjustment coefficient b for the protected portion, (3) the dollar risk-based capital requirement for the protected portion (KDD × EAD), and (4) the risk-weighted asset amount for the unprotected portion, assuming a 12.5 multiplier is applied to the dollar capital requirement derived from the standard wholesale formula.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.131-c-3", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.131-e-1-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-a-6", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-5", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.135-e-6", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: RWA for the unprotected portion ≈ $34.3 million (dollar capital requirement × 12.5 multiplier)\nRequired findings:\n1. Protected EAD = $50 million (equal to protection amount P); unprotected EAD = $30 million (= $80M − $50M)\n2. Asset value correlation ρos for the protected portion is derived from the standard wholesale Table 1 formula using PDo = 2.5%, yielding approximately 0.1544\n3. Maturity adjustment coefficient b for KDD uses PD = min(PDo, PDg) = min(2.5%, 0.8%) = 0.8%, per the double default treatment cross-reference to Table 1\n4. KDD = Ko × (0.15 + 160 × PDg) where PDg = 0.8%, giving the multiplier (0.15 + 1.28) = 1.43 applied to Ko\n5. Dollar risk-based capital requirement for the protected portion ≈ $7.36 million (KDD × $50M)\n6. RWA for the unprotected portion is calculated under the standard wholesale IRB formula (not the double default formula), using PDo = 2.5%, LGD = 40%, EAD = $30M, M = 3.0 years\n7. RWA for the unprotected portion ≈ $34.3 million (dollar capital requirement × 12.5 multiplier)" - }, - { - "id": "finance_en_prescriptive_196", - "type": "RegBench", - "query": "First National Bancorp (FNB) is a Board-regulated institution that is not an advanced approaches institution. FNB has a wholly-owned consolidated subsidiary, Midwest Community Bank (MCB), which has issued $180 million of common equity tier 1 capital instruments to third-party investors (i.e., not owned by FNB). MCB is adequately capitalized and its capital instruments qualify as regulatory capital under applicable standards.\n\nAt the consolidated level, FNB reports the following capital figures (before including any minority interest from MCB):\n- Common equity tier 1 capital elements (excluding minority interest): $2,100 million\n- Common equity tier 1 regulatory adjustments and deductions (under applicable deduction rules): $95 million\n- Additional tier 1 capital elements: $310 million\n- Tier 2 capital elements: $220 million\n- Standardized total risk-weighted assets: $18,500 million\n\nOf the $180 million in MCB common equity tier 1 capital held by third parties, FNB's compliance team is attempting to determine how much, if any, may be included in FNB's consolidated common equity tier 1 capital.\n\nSeparately, FNB's board of directors is considering declaring a discretionary cash dividend for the current calendar quarter. FNB's capital conservation buffer, calculated as of the last day of the previous calendar quarter, stood at 1.875% of risk-weighted assets. FNB is not subject to any leverage-based capital plan requirements and is not a state member bank subsidiary of a global systemically important bank holding company.\n\nDetermine: (1) the maximum amount of MCB's minority interest that FNB may include in its consolidated common equity tier 1 capital, and (2) whether FNB faces any restriction on its discretionary dividend payment, and if so, what maximum payout ratio applies.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-4", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-c-1-viii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.21-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.21-intro-001", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.210-b-2-vi-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.22-a", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: FNB may not pay discretionary dividends exceeding 40% of eligible retained income in the current calendar quarter unless the Board permits the payment upon request.\nRequired findings:\n1. The applicable minority interest rule for a non-advanced-approaches Board-regulated institution is the 10% cap under § 217.21(a)(2), not the advanced approaches formula in § 217.21(b).\n2. The CET1 minority interest cap = 10% × ($2,100M − $95M) = 10% × $2,005M = $200.5 million.\n3. Because MCB's third-party CET1 of $180 million is less than the $200.5 million cap, FNB may include the full $180 million in consolidated CET1 capital.\n4. FNB's capital conservation buffer of 1.875% is below the 2.5% minimum required buffer, triggering payout restrictions under the capital conservation buffer framework.\n5. A capital conservation buffer of 1.875% falls in the bracket greater than 1.25% and up to 1.875% of risk-weighted assets (i.e., greater than 50% and up to 75% of the 2.5% requirement), which corresponds to a maximum payout ratio of 40% of eligible retained income.\n6. FNB may not pay discretionary dividends exceeding 40% of eligible retained income in the current calendar quarter unless the Board permits the payment upon request." - }, - { - "id": "finance_en_prescriptive_197", - "type": "RegBench", - "query": "A Board-regulated institution is a clearing member client that has entered into an interest rate swap with a central counterparty (CCP) through a clearing member. The institution posts initial margin of $8 million and variation margin of $2 million to the clearing member, who holds these funds in a segregated omnibus account established under applicable CFTC regulations. The CCP is currently recognized as a qualifying central counterparty (QCCP), but the institution's compliance team has just identified that the CCP failed to satisfy one of the three core QCCP eligibility requirements two months ago and has not yet remedied the deficiency. The institution wants to continue treating the CCP as a QCCP for risk-weighting purposes while it monitors the situation. Separately, the institution is also evaluating whether it can apply the collateral haircut approach to recognize the credit risk mitigation benefits of the posted collateral for this cleared transaction. The collateral consists entirely of U.S. Treasury securities (zero percent risk-weight sovereign) with a current fair value of $9.5 million, and the exposure amount of the derivative contract (before collateral recognition) is $10.2 million. Assuming the institution uses standard supervisory haircuts and there is no currency mismatch, determine: (1) whether the institution may continue to treat the CCP as a QCCP at this point in time, and for how long it may do so going forward if the deficiency remains unremedied; and (2) the net exposure amount under the collateral haircut approach for this transaction, identifying which transaction types are eligible for that approach and confirming whether this cleared derivative qualifies.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-104", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iii-b-1-05", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-iii-b-4-03", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-1-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.3-f-2-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-2-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-3-i", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-3-v", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-4-ii-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: With no currency mismatch (Hfx = 0) and applying the appropriate standard supervisory haircut to the U.S. Treasury collateral, the net exposure amount is greater than zero, meaning the collateral does not fully offset the exposure after haircuts.\nRequired findings:\n1. Under the QCCP grace period rule, a Board-regulated institution may continue to treat a non-compliant CCP as a QCCP for up to three months following the determination of the deficiency; since only two months have elapsed, continued QCCP treatment is still permissible.\n2. If the CCP does not remedy the deficiency within three months of the initial determination, the institution must cease treating it as a QCCP and may not resume QCCP treatment until the CCP has satisfied the eligibility requirements continuously for three months.\n3. The omnibus account established under 17 CFR parts 190 and 300 expressly satisfies the collateral segregation operational requirement for cleared transactions, supporting recognition of the exposure as a cleared transaction.\n4. State that §217.37(c) covers collateralized OTC derivative contracts, not cleared transactions; do not say the cleared swap itself qualifies as a collateralized derivative contract.\n5. Do not plug the posted $9.5M Treasury collateral into ΣC; under the source text, posted collateral belongs in the Es term, and §217.37(c) is not the right cleared-transaction formula in any event.\n6. With no currency mismatch (Hfx = 0) and applying the appropriate standard supervisory haircut to the U.S. Treasury collateral, the net exposure amount is greater than zero, meaning the collateral does not fully offset the exposure after haircuts." - }, - { - "id": "finance_en_prescriptive_198", - "type": "RegBench", - "query": "Heartland Mutual Bancshares is a bank holding company organized as a limited liability company (LLC) under state law. It has issued two classes of membership interests: Class M interests and Class N interests. Under the LLC agreement, both Class M and Class N holders share equally in operating distributions and bear losses proportionate to their capital contributions. However, upon liquidation, Class N holders are entitled to receive the full return of their contributed capital before any distributions are made to Class M holders. The holding company has total assets of $4.2 billion and is subject to the Board's regulatory capital framework. A compliance officer is evaluating whether either class of membership interests qualifies as common equity tier 1 (CET1) capital. As part of that analysis, the officer must also determine the correct risk-weighting treatment for the holding company's $180 million portfolio of on-balance sheet commercial loans, none of which are cleared transactions, securitization exposures, or equity exposures. Specifically: (1) Which class or classes of membership interests, if any, qualify as CET1 capital, and why does the other class fail to qualify? (2) What is the risk-weighted asset amount for the commercial loan portfolio, assuming a 100% risk weight applies to each exposure, and what is the general mechanics framework the institution must follow to arrive at that figure?", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.2-intro-002", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.2-iv-1-17", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.20-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-a-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.31-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.501-c-3-ii-b-7-ii", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Total risk-weighted assets for general credit risk equals the sum of all individual risk-weighted asset amounts calculated under the general risk-weighting mechanics framework.\nRequired findings:\n1. Class N membership interests do not qualify as CET1 capital because they hold a liquidation preference over Class M interests, meaning they are not the most subordinated claim and do not share losses proportionately with Class M (failing the subordination and loss-sharing criteria for CET1 eligibility).\n2. Class M membership interests qualify as CET1 capital (provided all other applicable CET1 criteria are satisfied) because they are the most subordinated claim in liquidation and bear losses proportionate to capital contributions.\n3. Class N interests may potentially qualify as additional tier 1 capital or tier 2 capital if they satisfy the applicable criteria for those tiers.\n4. The institution must determine the exposure amount of each on-balance sheet commercial loan and multiply it by the applicable risk weight to compute risk-weighted assets for general credit risk.\n5. Risk-weighted assets for the $180 million commercial loan portfolio = $180 million × 100% = $180 million.\n6. Total risk-weighted assets for general credit risk equals the sum of all individual risk-weighted asset amounts calculated under the general risk-weighting mechanics framework." - }, - { - "id": "finance_en_prescriptive_199", - "type": "RegBench", - "query": "Heartland Mutual Holdings, Inc. is a top-tier depository institution holding company that owns and operates several insurance underwriting subsidiaries. As of June 30 of the prior calendar year, approximately 31 percent of Heartland's total consolidated assets (calculated under GAAP) were held in insurance underwriting companies unrelated to credit risk. Heartland files financial statements under GAAP (not exclusively under Statutory Accounting Principles), is subject to a state insurance capital requirement, and has no subsidiary depository institution holding company that files exclusively under SAP. Heartland's common equity tier 1 capital is $3.8 billion, its tier 1 capital is $4.2 billion, and its total capital is $5.1 billion. Its standardized total risk-weighted assets are $38 billion. Heartland is not subject to the Federal Reserve's stress testing requirements and is not a global systemically important bank holding company. Its capital conservation buffer, calculated as of the last day of the previous calendar quarter, stands at 1.9 percent. Heartland's board of directors is considering declaring a discretionary cash dividend of $180 million and paying discretionary bonuses totaling $40 million to senior executives this quarter. Heartland's eligible retained income for the current quarter is $310 million. Determine: (1) whether Heartland is subject to the specialized capital framework applicable to institutions significantly engaged in insurance activities, and (2) whether Heartland's proposed distributions and discretionary bonus payments are permissible under its capital conservation buffer constraints, including the applicable maximum payout ratio and maximum payout amount.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.11-a-2-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-2-iii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-4-ii", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-4-iii-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-a-4-iv", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.11-e-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-a", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-b", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-b-2", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.601-c", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: Heartland must reduce total distributions and discretionary bonus payments to no more than $186 million in the current calendar quarter\nRequired findings:\n1. Heartland is subject to Subpart J because it holds 31% of total consolidated assets in insurance underwriting companies, exceeding the 25% threshold, and does not qualify for the SAP-filer exclusion\n2. Heartland's capital conservation buffer of 1.9% falls in the range greater than 1.875% and less than or equal to 2.5%, yielding a maximum payout ratio of 60%\n3. Maximum payout amount = $310 million eligible retained income × 60% = $186 million\n4. Proposed aggregate distributions and discretionary bonus payments total $220 million ($180M dividend + $40M bonuses)\n5. $220 million exceeds the $186 million maximum payout amount, so the proposed payments are not permissible as structured\n6. Heartland must reduce total distributions and discretionary bonus payments to no more than $186 million in the current calendar quarter" - }, - { - "id": "finance_en_prescriptive_200", - "type": "RegBench", - "query": "A Board-regulated institution is a mid-sized bank holding company with aggregate trading assets and trading liabilities equal to $1.2 billion as of its most recent quarterly FR Y-9C filing, representing 8 percent of its quarter-end total assets of $15 billion. The institution has an active repo-style trading book and regularly enters into repurchase agreements and reverse repurchase agreements. It has received prior written approval from the Board to use its own internal estimates of haircuts rather than standard supervisory haircuts when calculating collateral credit risk mitigation. The institution is now evaluating whether it may use the collateral haircut approach under the credit risk mitigation rules to recognize the risk-mitigating effects of collateral securing certain repo-style transactions that are included in its internal value-at-risk (VaR) measure. A compliance officer raises the question: does the institution's applicability status under the market risk capital framework affect whether the collateral haircut approach is available for those VaR-included repo-style transactions, and if so, what threshold determines whether the institution falls within that framework? Specifically, the officer wants to know whether the institution currently meets the criteria for mandatory application of the market risk capital rules, and what the two alternative numeric triggers are for that mandatory application.", - "instruction": "Answer in English using only the supplied 12 CFR Part 217 corpus. State the conclusion first, then explain the controlling rule application and cite every material section or paragraph. Include all necessary conditions and calculations.", - "evidence": [ - { - "id": "12CFR217-217.201-b-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-1", - "type": "regulatory_paragraph" - }, - { - "id": "12CFR217-217.37-c-4", - "type": "regulatory_paragraph" - } - ], - "ground_truth": "Conclusion: The institution's prior Board approval to use own internal estimates of haircuts (rather than standard supervisory haircuts) is a separate prerequisite that has already been satisfied.\nRequired findings:\n1. The collateral haircut approach under the credit risk mitigation rules is available for repo-style transactions included in the institution's VaR-based measure only if the institution is subject to the market risk capital framework (Subpart F).\n2. The two mandatory applicability thresholds for the market risk capital framework are: (1) aggregate trading assets and trading liabilities equal to 10 percent or more of quarter-end total assets, OR (2) aggregate trading assets and trading liabilities equal to $1 billion or more.\n3. The institution's trading assets and liabilities of $1.2 billion represent 8 percent of total assets ($1.2B / $15B), which does NOT meet the 10 percent threshold.\n4. The institution's trading assets and liabilities of $1.2 billion DO meet the $1 billion threshold, so the institution is subject to the market risk capital framework.\n5. Because the institution is subject to Subpart F and therefore has a VaR-based measure, the collateral haircut approach is available for the repo-style transactions included in that VaR measure.\n6. The institution's prior Board approval to use own internal estimates of haircuts (rather than standard supervisory haircuts) is a separate prerequisite that has already been satisfied." - }, - { - "id": "finance_en_prescriptive_201", - "type": "FinAuditing", - "query": "Audit us-gaap:CapitalExpendituresIncurredButNotYetPaid for fact period 2022-03-01 to 2022-11-30 in the audit-corpus filing identified by CIK 0001170010, filing tag kmx, and filing reference date 2022-11-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-854A75333CD642A60FDBC5CA", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 3123000 - } - }, - { - "id": "finance_en_prescriptive_202", - "type": "FinAuditing", - "query": "Audit us-gaap:CapitalExpendituresIncurredButNotYetPaid for fact period 2021-03-01 to 2021-11-30 in the audit-corpus filing identified by CIK 0001170010, filing tag kmx, and filing reference date 2022-11-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-1DCF817ABB85878006A45FA5", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 9933000 - } - }, - { - "id": "finance_en_prescriptive_203", - "type": "FinAuditing", - "query": "Audit us-gaap:SubleaseIncome for fact period 2022-07-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001501756, filing tag advm, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-746B6721E4298C38ED161552", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 4100000 - } - }, - { - "id": "finance_en_prescriptive_204", - "type": "FinAuditing", - "query": "Audit us-gaap:PaymentsToAcquirePropertyPlantAndEquipment for fact period 2021-09-01 to 2021-11-30 in the audit-corpus filing identified by CIK 0001883835, filing tag plasma, and filing reference date 2021-11-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-114C6B23317A4CA640102E82", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 1284 - } - }, - { - "id": "finance_en_prescriptive_205", - "type": "FinAuditing", - "query": "Audit us-gaap:LesseeOperatingLeaseLiabilityUndiscountedExcessAmount for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0001133421, filing tag noc, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-D19281818079FCDEA6CDB43E", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 516000000 - } - }, - { - "id": "finance_en_prescriptive_206", - "type": "FinAuditing", - "query": "Audit us-gaap:FinancingReceivableYearFourOriginatedThreeYearsBeforeCurrentFiscalYearWriteoff for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0001051512, filing tag tds, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B4D7FD0E38E6EBC9761662BB", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 1000000 - } - }, - { - "id": "finance_en_prescriptive_207", - "type": "FinAuditing", - "query": "Audit us-gaap:AccountsReceivableGrossCurrent for fact period 2023-12-31 in the audit-corpus filing identified by CIK 0000068622, filing tag lumn, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-EBDE151245CE42F604C0B74F", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 15000000 - } - }, - { - "id": "finance_en_prescriptive_208", - "type": "FinAuditing", - "query": "Audit us-gaap:ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsOtherThanOptionsVestedInPeriod for fact period 2023-04-01 to 2023-06-30 in the audit-corpus filing identified by CIK 0001514056, filing tag tesi, and filing reference date 2024-06-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-DF1A3FA61F893D20643ADCEE", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 600000 - } - }, - { - "id": "finance_en_prescriptive_209", - "type": "FinAuditing", - "query": "Audit us-gaap:InterestAndDividendIncomeSecurities for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0001668340, filing tag bctf, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-DC5827139039228AB07B000E", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 201000 - } - }, - { - "id": "finance_en_prescriptive_210", - "type": "FinAuditing", - "query": "Audit us-gaap:RestrictedStockExpense for fact period 2024-07-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0000039263, filing tag cfr, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-1E288F2E6B04DA2A406BAC49", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 1369000 - } - }, - { - "id": "finance_en_prescriptive_211", - "type": "FinAuditing", - "query": "Audit us-gaap:RestrictedStockExpense for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0000039263, filing tag cfr, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-5E8112F5A904D6A59C5AA28E", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 521000 - } - }, - { - "id": "finance_en_prescriptive_212", - "type": "FinAuditing", - "query": "Audit us-gaap:ProceedsFromSaleOfProductiveAssets for fact period 2022-01-01 to 2022-12-31 in the audit-corpus filing identified by CIK 0001653653, filing tag rrr, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-1DDEE5F1E6564EDA39AC582A", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 76300000 - } - }, - { - "id": "finance_en_prescriptive_213", - "type": "FinAuditing", - "query": "Audit us-gaap:ShortTermLeaseCost for fact period 2022-07-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001000694, filing tag nvax, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-4F29478FA4E8B36A2F08CDBA", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 46600000 - } - }, - { - "id": "finance_en_prescriptive_214", - "type": "FinAuditing", - "query": "Audit us-gaap:OtherAssetImpairmentCharges for fact period 2021-01-01 to 2021-12-31 in the audit-corpus filing identified by CIK 0001361658, filing tag tnl, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-EA49CFFAC460093B893C25E6", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 5000000 - } - }, - { - "id": "finance_en_prescriptive_215", - "type": "FinAuditing", - "query": "Audit us-gaap:DerivativeAssetCollateralObligationToReturnCashOffset for fact period 2022-03-31 in the audit-corpus filing identified by CIK 0001504461, filing tag ngl, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-DF7D14FA65BEC0DFCD7864E8", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 839000 - } - }, - { - "id": "finance_en_prescriptive_216", - "type": "FinAuditing", - "query": "Audit us-gaap:DerivativeNonmonetaryNotionalAmount for fact period 2023-03-31 in the audit-corpus filing identified by CIK 0001504461, filing tag ngl, and filing reference date 2023-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-3BED6DA160ABA55C06F5D1AA", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 1069000 - } - }, - { - "id": "finance_en_prescriptive_217", - "type": "FinAuditing", - "query": "Audit us-gaap:ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsOtherThanOptionsForfeitedInPeriod for fact period 2020-01-01 to 2020-12-31 in the audit-corpus filing identified by CIK 0001133421, filing tag noc, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-A2278DEA889C5EBFBC63B52B", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 64000 - } - }, - { - "id": "finance_en_prescriptive_218", - "type": "FinAuditing", - "query": "Audit us-gaap:ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsOtherThanOptionsForfeitedInPeriod for fact period 2022-01-01 to 2022-12-31 in the audit-corpus filing identified by CIK 0001133421, filing tag noc, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-FD000D55D39BCD40C4F9143C", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 31000 - } - }, - { - "id": "finance_en_prescriptive_219", - "type": "FinAuditing", - "query": "Audit us-gaap:ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsOtherThanOptionsVestedInPeriod for fact period 2020-01-01 to 2020-12-31 in the audit-corpus filing identified by CIK 0001133421, filing tag noc, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-58B3450188A5C102EE830093", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 296000 - } - }, - { - "id": "finance_en_prescriptive_220", - "type": "FinAuditing", - "query": "Audit us-gaap:ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsOtherThanOptionsVestedInPeriod for fact period 2021-01-01 to 2021-12-31 in the audit-corpus filing identified by CIK 0001133421, filing tag noc, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-52F2396AE0341B8334290B65", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 269000 - } - }, - { - "id": "finance_en_prescriptive_221", - "type": "FinAuditing", - "query": "Audit us-gaap:ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsOtherThanOptionsVestedInPeriod for fact period 2022-01-01 to 2022-12-31 in the audit-corpus filing identified by CIK 0001133421, filing tag noc, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-A68F2F0115EAD2AA39A39CD6", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 226000 - } - }, - { - "id": "finance_en_prescriptive_222", - "type": "FinAuditing", - "query": "Audit us-gaap:LettersOfCreditOutstandingAmount for fact period 2023-12-31 in the audit-corpus filing identified by CIK 0001653653, filing tag rrr, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-60DCCAB72A3C4038338B23D3", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 39800000 - } - }, - { - "id": "finance_en_prescriptive_223", - "type": "FinAuditing", - "query": "Audit us-gaap:ProceedsFromSaleOfPropertyPlantAndEquipment for fact period 2021-07-01 to 2021-09-30 in the audit-corpus filing identified by CIK 0001792580, filing tag ovv, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-79A6C9C5A1AD2E93B2A0FC97", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 8000000 - } - }, - { - "id": "finance_en_prescriptive_224", - "type": "FinAuditing", - "query": "Audit us-gaap:DeferredTaxLiabilities for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0001133421, filing tag noc, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-F160B3A4C2AC948DB97C7572", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 30000000 - } - }, - { - "id": "finance_en_prescriptive_225", - "type": "FinAuditing", - "query": "Audit us-gaap:DebtInstrumentUnamortizedDiscount for fact period 2024-09-30 in the audit-corpus filing identified by CIK 0001527702, filing tag iqst, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-C6E41B00EE41ED4B23A8EC20", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 490022 - } - }, - { - "id": "finance_en_prescriptive_226", - "type": "FinAuditing", - "query": "Audit us-gaap:DebtInstrumentUnamortizedDiscount for fact period 2023-12-31 in the audit-corpus filing identified by CIK 0001527702, filing tag iqst, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-6E66F499462FECA43DF84442", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 39012 - } - }, - { - "id": "finance_en_prescriptive_227", - "type": "FinAuditing", - "query": "Audit us-gaap:DeferredTaxLiabilities for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0001051512, filing tag tds, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-4BACDCA238F2BFF66BE4F878", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 4000000 - } - }, - { - "id": "finance_en_prescriptive_228", - "type": "FinAuditing", - "query": "Audit us-gaap:ProceedsFromContributionInAidOfConstruction for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0000099250, filing tag tgpl, and filing reference date 2023-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-56598B76FCFC4661023C4F1F", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0015", - "expected_value": 1545000 - } - }, - { - "id": "finance_en_prescriptive_229", - "type": "FinAuditing", - "query": "Audit us-gaap:AccountsPayableAndAccruedLiabilitiesCurrentAndNoncurrent for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0001847874, filing tag beep, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-1F57F6814F458B4E5ACD1CD5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-57B7A31858E3A9AB5D2BFC7B", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 470000 - } - }, - { - "id": "finance_en_prescriptive_230", - "type": "FinAuditing", - "query": "Audit us-gaap:RevenueFromContractWithCustomerExcludingAssessedTax for fact period 2021-01-01 to 2021-12-30 in the audit-corpus filing identified by CIK 0001377630, filing tag ncmi, and filing reference date 2022-12-29.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-04D13ADD1EF006154EC1D275", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-C87DCAEB0326CBC694CAB7EE", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 8800000 - } - }, - { - "id": "finance_en_prescriptive_231", - "type": "FinAuditing", - "query": "Audit us-gaap:CommonStockValue for fact period 2022-01-31 in the audit-corpus filing identified by CIK 0001172178, filing tag lbsr, and filing reference date 2023-01-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-CE2734843F27DD2AE438F5FC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B662FBC5E0E6E0A35D41F78D", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1 - } - }, - { - "id": "finance_en_prescriptive_232", - "type": "FinAuditing", - "query": "Audit us-gaap:CommonStockValue for fact period 2023-01-31 in the audit-corpus filing identified by CIK 0001172178, filing tag lbsr, and filing reference date 2023-01-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-78AFE982EA214AD02251238B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B662FBC5E0E6E0A35D41F78D", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1 - } - }, - { - "id": "finance_en_prescriptive_233", - "type": "FinAuditing", - "query": "Audit us-gaap:AccountsPayableAndAccruedLiabilitiesCurrent for fact period 2023-06-30 in the audit-corpus filing identified by CIK 0000356590, filing tag gtii, and filing reference date 2023-06-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B07ABA06133520D6791C5924", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9D31F163A872A77B64A4E08E", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1802522 - } - }, - { - "id": "finance_en_prescriptive_234", - "type": "FinAuditing", - "query": "Audit us-gaap:AccountsPayableAndAccruedLiabilitiesCurrent for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0000356590, filing tag gtii, and filing reference date 2023-06-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B60920976AE299E20E9E086A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-44F8DCC449D727F4089F8675", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1551208 - } - }, - { - "id": "finance_en_prescriptive_235", - "type": "FinAuditing", - "query": "Audit us-gaap:LongTermDebtNoncurrent for fact period 2024-03-31 in the audit-corpus filing identified by CIK 0001357878, filing tag rgpx, and filing reference date 2024-06-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B9AE51B62258616DF1CC6943", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-95EF5C8DF6B272B47712E227", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 119114 - } - }, - { - "id": "finance_en_prescriptive_236", - "type": "FinAuditing", - "query": "Audit us-gaap:CommonStockValue for fact period 2023-04-30 in the audit-corpus filing identified by CIK 0001172178, filing tag lbsr, and filing reference date 2023-04-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-0F026CA3AE6FD64AC2E825BF", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-66747492D838D8865D199BDB", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1 - } - }, - { - "id": "finance_en_prescriptive_237", - "type": "FinAuditing", - "query": "Audit us-gaap:GainsLossesOnExtinguishmentOfDebt for fact period 2023-01-01 to 2023-12-31 in the audit-corpus filing identified by CIK 0001847874, filing tag beep, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-A3EF7B5253224608F11391F1", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-3A5BE0D02402CD22D269166E", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": -105000 - } - }, - { - "id": "finance_en_prescriptive_238", - "type": "FinAuditing", - "query": "Audit us-gaap:GainsLossesOnExtinguishmentOfDebt for fact period 2022-01-01 to 2022-12-31 in the audit-corpus filing identified by CIK 0001847874, filing tag beep, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-77C7CEAB8FE489EDB79F9220", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9B9758A8FE222B256525E754", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 0 - } - }, - { - "id": "finance_en_prescriptive_239", - "type": "FinAuditing", - "query": "Audit us-gaap:NotesPayableCurrent for fact period 2024-03-31 in the audit-corpus filing identified by CIK 0001357878, filing tag rgpx, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-00AF38123D3773194F02CB5E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-DC1B1A82D8CA2780E87F0CB6", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CFC0425E7DBB4109FD48F350", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 585550 - } - }, - { - "id": "finance_en_prescriptive_240", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2022-06-30 in the audit-corpus filing identified by CIK 0000704172, filing tag phil, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-11C46E8226131DCA4E121568", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9CD47B7AE5F3EC0DFB7E6188", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 600 - } - }, - { - "id": "finance_en_prescriptive_241", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0000704172, filing tag phil, and filing reference date 2022-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-11C46E8226131DCA4E121568", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9CD47B7AE5F3EC0DFB7E6188", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 600 - } - }, - { - "id": "finance_en_prescriptive_242", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2024-10-31 in the audit-corpus filing identified by CIK 0001556801, filing tag jrvs, and filing reference date 2024-10-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-0B0065721897551F6FF4D83B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1B77CA066216D49FD978C174", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 100 - } - }, - { - "id": "finance_en_prescriptive_243", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2024-07-31 in the audit-corpus filing identified by CIK 0001556801, filing tag jrvs, and filing reference date 2024-10-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-0B0065721897551F6FF4D83B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1B77CA066216D49FD978C174", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 100 - } - }, - { - "id": "finance_en_prescriptive_244", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0000860543, filing tag jksm, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-04072F03457F36521DE360F6", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-109CCBCD6034A1439291DBB9", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 100 - } - }, - { - "id": "finance_en_prescriptive_245", - "type": "FinAuditing", - "query": "Audit us-gaap:LongTermDebtNoncurrent for fact period 2024-03-31 in the audit-corpus filing identified by CIK 0001357878, filing tag rgpx, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-84F6EC39EA6E7DEB227AB5F9", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D08CF9D9046761D82CE744C1", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 119114 - } - }, - { - "id": "finance_en_prescriptive_246", - "type": "FinAuditing", - "query": "Audit us-gaap:NotesPayableCurrent for fact period 2024-03-31 in the audit-corpus filing identified by CIK 0001357878, filing tag rgpx, and filing reference date 2024-06-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-54738367FE7267DEE530E453", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-2307105DCC0784E89A7BEF98", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CF108614E07320A9FB2EE06B", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 585550 - } - }, - { - "id": "finance_en_prescriptive_247", - "type": "FinAuditing", - "query": "Audit us-gaap:NotesPayableCurrent for fact period 2024-06-30 in the audit-corpus filing identified by CIK 0001357878, filing tag rgpx, and filing reference date 2024-06-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-C28AE3F7E3495F8C1CA4A8B4", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-087582F11FEA6244DB3CA09F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-67FF5F011CA4ACEC4B45452C", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 773335 - } - }, - { - "id": "finance_en_prescriptive_248", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2023-12-31 in the audit-corpus filing identified by CIK 0000812306, filing tag pcyn, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-C1C468547DC814A8E24D06F3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-5482E496F620347911150CC1", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 126660 - } - }, - { - "id": "finance_en_prescriptive_249", - "type": "FinAuditing", - "query": "Audit us-gaap:CommonStockValue for fact period 2024-03-31 in the audit-corpus filing identified by CIK 0000894556, filing tag gevi, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-CDC84A4F1EBEF89729A6E632", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D44E3613B7BB914154114B2B", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1000 - } - }, - { - "id": "finance_en_prescriptive_250", - "type": "FinAuditing", - "query": "Audit us-gaap:CommonStockValue for fact period 2023-12-31 in the audit-corpus filing identified by CIK 0000894556, filing tag gevi, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-68A8BD88EDA829095204651C", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D44E3613B7BB914154114B2B", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1000 - } - }, - { - "id": "finance_en_prescriptive_251", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0000792935, filing tag grst, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-8C91AA3C80FA2B55F40E1D8A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-144462CEAF0C82D662BE8BB2", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 400000 - } - }, - { - "id": "finance_en_prescriptive_252", - "type": "FinAuditing", - "query": "Audit us-gaap:PreferredStockValue for fact period 2023-12-31 in the audit-corpus filing identified by CIK 0000860543, filing tag jksm, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-6B67FDE43E523BDFB0E05967", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-820852A0714AE0E8BD1958FB", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 100 - } - }, - { - "id": "finance_en_prescriptive_253", - "type": "FinAuditing", - "query": "Audit ncmi:ProceedsFromIntegrationAndOtherEncumberedTheaterPaymentsMadeByAffiliates for fact period 2021-12-31 to 2022-12-29 in the audit-corpus filing identified by CIK 0001377630, filing tag ncmi, and filing reference date 2022-12-29.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-D5BBA6BB7A8A1C0C0B074712", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-87F2C9D7399B91F8E2B3BA04", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 0 - } - }, - { - "id": "finance_en_prescriptive_254", - "type": "FinAuditing", - "query": "Audit ncmi:ProceedsFromIntegrationAndOtherEncumberedTheaterPaymentsMadeByAffiliates for fact period 2021-01-01 to 2021-12-30 in the audit-corpus filing identified by CIK 0001377630, filing tag ncmi, and filing reference date 2022-12-29.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B30926B33063F4F35EA87A0C", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-87F2C9D7399B91F8E2B3BA04", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 0 - } - }, - { - "id": "finance_en_prescriptive_255", - "type": "FinAuditing", - "query": "Audit us-gaap:NotesPayableCurrent for fact period 2024-03-31 in the audit-corpus filing identified by CIK 0001357878, filing tag rgpx, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-678C7FF56F02DB5E7FFF1880", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-67E0037AF71A2D22A0A17F2D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-3DA659293641D134D7F8F0C3", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 585550 - } - }, - { - "id": "finance_en_prescriptive_256", - "type": "FinAuditing", - "query": "Audit us-gaap:NotesPayableCurrent for fact period 2024-09-30 in the audit-corpus filing identified by CIK 0001357878, filing tag rgpx, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-CC34BE7C0B13972699C7D5D2", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-95C388586A150453EC18D2D7", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-87DB211CE9049F47FD24CB85", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 869732 - } - }, - { - "id": "finance_en_prescriptive_257", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2023-09-30 in the audit-corpus filing identified by CIK 0001502152, filing tag gstc, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-F9848D5B7D4C9CC2B689C720", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E09AD07B23988ED481CAD633", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-6F5072F2D7A71FD57D558635", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1129 - } - }, - { - "id": "finance_en_prescriptive_258", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2023-03-31 in the audit-corpus filing identified by CIK 0000814926, filing tag capc, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-9DCBDCAA657764FDD1A076BE", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0647532E508FB7A9EE70577A", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 2 - } - }, - { - "id": "finance_en_prescriptive_259", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0000814926, filing tag capc, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-083B2F296DCDD4C8298523DC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0647532E508FB7A9EE70577A", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 2 - } - }, - { - "id": "finance_en_prescriptive_260", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2023-12-31 in the audit-corpus filing identified by CIK 0000814926, filing tag capc, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-D12B0A43F10484815D172A8A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0647532E508FB7A9EE70577A", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 2 - } - }, - { - "id": "finance_en_prescriptive_261", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2024-03-31 in the audit-corpus filing identified by CIK 0000814926, filing tag capc, and filing reference date 2024-03-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-481EC89E204162E5CA54AAAC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0647532E508FB7A9EE70577A", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 2 - } - }, - { - "id": "finance_en_prescriptive_262", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2022-09-30 in the audit-corpus filing identified by CIK 0001502152, filing tag gstc, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-C41E8B5392F5B9510BC02F34", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-194AFB883612E36B3329A8D4", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E09AD07B23988ED481CAD633", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-6F5072F2D7A71FD57D558635", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1639 - } - }, - { - "id": "finance_en_prescriptive_263", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2022-12-31 in the audit-corpus filing identified by CIK 0001502152, filing tag gstc, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-68D2CD3FC8832CCF38BE0560", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-194AFB883612E36B3329A8D4", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E09AD07B23988ED481CAD633", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-6F5072F2D7A71FD57D558635", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1639 - } - }, - { - "id": "finance_en_prescriptive_264", - "type": "FinAuditing", - "query": "Audit ncmi:TheaterAccessFeesAndRevenueShare for fact period 2021-12-31 to 2022-12-29 in the audit-corpus filing identified by CIK 0001377630, filing tag ncmi, and filing reference date 2022-12-29.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-3D20577834C862CB8506B7B4", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-328DEECF21C5D0D6156E8561", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 59400000 - } - }, - { - "id": "finance_en_prescriptive_265", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2023-09-30 in the audit-corpus filing identified by CIK 0001502152, filing tag gstc, and filing reference date 2023-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B34A188728EA4BA9BC27F7B1", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0871491A99FAA2493C555256", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-DAE1BFE773433A83B12AA975", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1129 - } - }, - { - "id": "finance_en_prescriptive_266", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2022-09-30 in the audit-corpus filing identified by CIK 0001502152, filing tag gstc, and filing reference date 2023-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-048086AB2A4AAC39E12C7D5F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1898B7B3432ECBF898EE9B4E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0871491A99FAA2493C555256", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-DAE1BFE773433A83B12AA975", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1639 - } - }, - { - "id": "finance_en_prescriptive_267", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2021-09-30 in the audit-corpus filing identified by CIK 0001502152, filing tag gstc, and filing reference date 2023-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-14C115856123F87A8A4D1314", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1898B7B3432ECBF898EE9B4E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0871491A99FAA2493C555256", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F7DB77A4052A9E3BDF50C8F0", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0117", - "expected_value": 1897 - } - }, - { - "id": "finance_en_prescriptive_268", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInFinancingActivities for fact period 2023-01-01 to 2023-12-31 in the audit-corpus filing identified by CIK 0000055234, filing tag kens, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-18B8A463364B1C458C033A7F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-46C23CE08877D81BF4683325", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 0 - } - }, - { - "id": "finance_en_prescriptive_269", - "type": "FinAuditing", - "query": "Audit us-gaap:OtherNonoperatingIncomeExpense for fact period 2023-10-01 to 2023-12-31 in the audit-corpus filing identified by CIK 0001374881, filing tag king, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-CACDFFD379EA0BF3D6ED2100", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-2489DB4770EB6F3DE95F86FF", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -4675 - } - }, - { - "id": "finance_en_prescriptive_270", - "type": "FinAuditing", - "query": "Audit us-gaap:CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalentsPeriodIncreaseDecreaseIncludingExchangeRateEffect for fact period 2022-05-01 to 2022-10-31 in the audit-corpus filing identified by CIK 0001405663, filing tag ima, and filing reference date 2022-10-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-05443A9FA1D62240F9B9F23D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-ECE045951DC4D7CDAD4DAB67", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -555137 - } - }, - { - "id": "finance_en_prescriptive_271", - "type": "FinAuditing", - "query": "Audit us-gaap:OperatingIncomeLoss for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0000055234, filing tag kenilworth, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-CB4CA9FEC8617A2BA4A2955F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4B7B43736F931F60C08BB57F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4B40AA4F553DBE95138F28B1", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 257587 - } - }, - { - "id": "finance_en_prescriptive_272", - "type": "FinAuditing", - "query": "Audit king:TotalOperatingAndOtherExpenses for fact period 2023-10-01 to 2023-12-31 in the audit-corpus filing identified by CIK 0001374881, filing tag king, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-2C5260C261597D1F63A5AD6B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-3FACB5CE88A4ABEDC71A3186", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CACDFFD379EA0BF3D6ED2100", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 47130 - } - }, - { - "id": "finance_en_prescriptive_273", - "type": "FinAuditing", - "query": "Audit us-gaap:CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalentsPeriodIncreaseDecreaseExcludingExchangeRateEffect for fact period 2021-01-01 to 2021-12-31 in the audit-corpus filing identified by CIK 0001408146, filing tag scy, and filing reference date 2021-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-851B60FB45A11201B4FB81B1", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-429B8E9195EBA93757449DA3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-231A555541215F2D980FE380", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 672020 - } - }, - { - "id": "finance_en_prescriptive_274", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2023-04-01 to 2023-12-31 in the audit-corpus filing identified by CIK 0001609258, filing tag ptco, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-4752BBC11A39DD60C4CCDF35", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F7E14BCB17758D0250DC33A4", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-22CD59DEF0E623E7E4499B67", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-43B48654AE2CFDBEF70E6607", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 87423 - } - }, - { - "id": "finance_en_prescriptive_275", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInInvestingActivities for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0000884650, filing tag imci, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-49A50003705716B61609C570", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-BF26A25BE893470C78008AE9", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CAC91F5C6C61014A6F2E0BE2", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 164467 - } - }, - { - "id": "finance_en_prescriptive_276", - "type": "FinAuditing", - "query": "Audit us-gaap:OperatingExpenses for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0000055234, filing tag kenilworth, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-4B40AA4F553DBE95138F28B1", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-2DC44DA91620A679D3A2925B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-FBBB2025A781E7FED969E0D8", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B44B360D10B8850D8DF82E95", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 252587 - } - }, - { - "id": "finance_en_prescriptive_277", - "type": "FinAuditing", - "query": "Audit us-gaap:IncomeLossFromContinuingOperationsIncludingPortionAttributableToNoncontrollingInterest for fact period 2022-05-01 to 2022-10-31 in the audit-corpus filing identified by CIK 0001405663, filing tag ima, and filing reference date 2022-10-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-2E194D20699DBB170E5804C0", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-154EF7D87B3DF05B914E1482", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0B93BD2BED1AABA7B0E0EA11", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -200488 - } - }, - { - "id": "finance_en_prescriptive_278", - "type": "FinAuditing", - "query": "Audit us-gaap:ProfitLoss for fact period 2022-05-01 to 2022-10-31 in the audit-corpus filing identified by CIK 0001405663, filing tag ima, and filing reference date 2022-10-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-CCD209C47A7E241BC53F0B7C", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-154EF7D87B3DF05B914E1482", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0B93BD2BED1AABA7B0E0EA11", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -200488 - } - }, - { - "id": "finance_en_prescriptive_279", - "type": "FinAuditing", - "query": "Audit us-gaap:AssetsCurrent for fact period 2022-09-30 in the audit-corpus filing identified by CIK 0001441082, filing tag hlco, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-FE31BEF029D12211D37E89FC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-29FA8D7F1133BAA9C80362F0", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-79A5BAC2F3C9B072C1E102AF", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 2186576 - } - }, - { - "id": "finance_en_prescriptive_280", - "type": "FinAuditing", - "query": "Audit us-gaap:NetIncomeLoss for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001389067, filing tag ttcm, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B9A5DDC84AB19529746BFEEC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F840A835C2E05BDE84EB9FE9", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CAD7CFE7F2771240C91ECEE7", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -710762 - } - }, - { - "id": "finance_en_prescriptive_281", - "type": "FinAuditing", - "query": "Audit us-gaap:NetIncomeLoss for fact period 2022-02-01 to 2022-10-31 in the audit-corpus filing identified by CIK 0001730869, filing tag ebi, and filing reference date 2022-10-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-AC4E4712900AFC99B184E8F3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4240D6415244896F4B0ECCB5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-33A11D7CBFF1B5AE13A894F6", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -8584000 - } - }, - { - "id": "finance_en_prescriptive_282", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2023-01-01 to 2023-12-31 in the audit-corpus filing identified by CIK 0000055234, filing tag kens, and filing reference date 2023-12-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-DFB7902F501E7107FF970E81", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4CA946FAF5EC74B0C76416A5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-345A8ECEE40CFEF6CB1D0B0A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E1CB0B28766A53D2BB54D487", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D4BABA77953D96C2337B8C6E", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 250120 - } - }, - { - "id": "finance_en_prescriptive_283", - "type": "FinAuditing", - "query": "Audit us-gaap:OperatingExpenses for fact period 2020-10-01 to 2021-09-30 in the audit-corpus filing identified by CIK 0001766352, filing tag airfox, and filing reference date 2021-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-420AF6238E3606B3B3BC5BE6", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-46939BF9BBB9D230F72B3F84", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E670A760360C1538D653F749", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 8635141 - } - }, - { - "id": "finance_en_prescriptive_284", - "type": "FinAuditing", - "query": "Audit us-gaap:OtherNonoperatingIncomeExpense for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001408057, filing tag icct, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-C25C591F2B15D33CB791235C", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-7815AE8AB69106815EAB3B2E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-EB24BD537D57B578934D174B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-99EE0F08C82F649AE1DE27FA", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -353900 - } - }, - { - "id": "finance_en_prescriptive_285", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInFinancingActivities for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0000055234, filing tag kenilworth, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-1B8A2B94C8F9D842B5BBFDFE", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1637D997A65C6096FF1FFDD5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CF2B6CCB82927AEE1523BBF3", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 51600 - } - }, - { - "id": "finance_en_prescriptive_286", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0000055234, filing tag kenilworth, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-15ADD9042B337E5A703D753C", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-73475AA9A749C3E543E5E09A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-C07D8F11091563F704BD5B80", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-7F86A2C242FD84EADB660EDA", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A7DF9BD5CDFA1CA9BE6B02EA", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-C7BE26065B33A22DD0DC46F4", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 299358 - } - }, - { - "id": "finance_en_prescriptive_287", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-05-01 to 2022-10-31 in the audit-corpus filing identified by CIK 0001405663, filing tag ima, and filing reference date 2022-10-31.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-ECE045951DC4D7CDAD4DAB67", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-DCB76471303A54D66FA7DC1E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D2F28A5D0B7DA462765DE6C1", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9B85BE6B23617E1BEBC16C04", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-3410F1CA7D12DD49644AE853", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D04B0662C9D5DE7B8392AC1A", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -607711 - } - }, - { - "id": "finance_en_prescriptive_288", - "type": "FinAuditing", - "query": "Audit us-gaap:CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalentsPeriodIncreaseDecreaseIncludingExchangeRateEffect for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001389067, filing tag ttcm, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-79A746CF7C36C10839388C05", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-48F687A3F5C00ACFF5966873", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8AFBE3E85907473F5BC0E3D6", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-130685C8A2322C6F8CA01F07", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CA17AFA0127344CE4F2D4D66", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -115417 - } - }, - { - "id": "finance_en_prescriptive_289", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-07-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001441082, filing tag hlco, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-F3893728C6DD4ED07F02BC21", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1E1BCD3D287951FC0CA9CBFD", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-577A4A4ABE2A56EE5E201470", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-62C018D590E21FB5C1635EF5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0589623199E8626CBFD1E988", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-79A8DDEEE0B1A5503DEC4519", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-FBF59ED844F29C255EDFAD7A", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -1763227 - } - }, - { - "id": "finance_en_prescriptive_290", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInFinancingActivities for fact period 2022-10-01 to 2023-09-30 in the audit-corpus filing identified by CIK 0001616741, filing tag pati, and filing reference date 2023-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-CD04FBBF01B1D667754ED48A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-693F4019BD6EAC23A9807ECB", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8C975B2DEFC65E6CE28B04DB", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-C04376C1653A16C794A16614", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 137000 - } - }, - { - "id": "finance_en_prescriptive_291", - "type": "FinAuditing", - "query": "Audit us-gaap:StockholdersEquity for fact period 2022-09-30 in the audit-corpus filing identified by CIK 0001441082, filing tag hlco, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-5FCF95A19A58CF8221677ACE", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D803ACEE5C57157CB078A537", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1585BB03A46D2C70D7C32016", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-34CFDF3C52C5AD4DDFFC124C", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-6A1F653393C06C619180AF11", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1105026E79CEFD860FD9B0B3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-7E731369BE68366170A76FC2", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 26218087 - } - }, - { - "id": "finance_en_prescriptive_292", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-07-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0000851726, filing tag sfgc, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-64EE4F514217EE9D1296A80E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-552E703C82C98BE295DB6D8E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-98AA75708E8C8A88AF4A466E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8E1F83239F9A1FD88C6BF5C5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-76D3BB7EF219C71E333B2A2D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-C0FC090825D5DCB372576CCE", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-6F5D9078C28B64A08153E72B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B1DBFA9CDB3936589A52202B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A6C5F061F74C266E1925A461", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 922311 - } - }, - { - "id": "finance_en_prescriptive_293", - "type": "FinAuditing", - "query": "Audit us-gaap:NonoperatingIncomeExpense for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001862068, filing tag rbt, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-46D593A76466C4134CD707F9", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-13AE36E66FFB205C58765D5D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CDE6D5FB86C0499D08628EAD", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F1FEFA6C787AEC39B1339AA0", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9242F750D6B9368393354A04", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4CF8CE264F36C43B5894ABF8", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B5FB6399410C3BD73CEBB095", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-33438CB914FEB95A5A824E3F", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -23712000 - } - }, - { - "id": "finance_en_prescriptive_294", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2024-01-01 to 2024-09-30 in the audit-corpus filing identified by CIK 0001103833, filing tag crwe, and filing reference date 2024-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-E7FF9EFC1B4FC335D280B45A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-5D1A07C7ED0A12FB7D056A09", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F35A446FAAD0B158F5258AC2", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-39BBEC18D44DC58F8CCAA458", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-15D4C0BBFC9AE228D99A1A6B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B60EDCC456BCBFF254967F7E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4FE87E111F143E840EA472EA", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9A8B04AF626EF617242697DA", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9E3B63AE74B5F115E954A4B6", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1822FE78E21D5E0F5195DB83", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-19B779F4A89C4A01D469DCCD", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A6561258E44A5D33FA8B4C22", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 7284710 - } - }, - { - "id": "finance_en_prescriptive_295", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001485074, filing tag frzt, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-0B94565A9515A718861B060D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-6C96BB6B750BF8672B5B319D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0A2FA83AA6CC5A87B7BC1C5F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-FA28E94C0D1D4D455579B1B7", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4C5F82B82F4F91FDB7DB7DF7", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F766F7720DC9F0592393015B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4E8751E6853C9DDE1A637A9D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-7DA35BB305291B3442D745FB", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-C2BEC7EBFD15C5D82A2597ED", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E7B76B86098063205C178D3E", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 463257 - } - }, - { - "id": "finance_en_prescriptive_296", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001408057, filing tag icct, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-00422C69E4B549B4D206A912", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-BB68AEAAA777511EDB95D952", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-882A7E92937C9FD01D531F42", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E269436F8FDC390B145E5D25", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-11EAD9744A20546CB2AF554D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A5EDBFC6EFF0C26625DBF6C3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-7A50D200B9E5A6BF83B604D5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-72490AB6C5465B7E8EC198E7", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-C5C246CB5B77E103BA906134", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0A3A8996503DB2A112970388", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-D68EECDCBB26847B9CE3D6CC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A8CB594A56C44E94C74B657A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-77894CB68F3A7570463424A3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A2900F82DFAB721E94C88EF8", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-06E2EBF41020D56F854D42D5", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 6385209 - } - }, - { - "id": "finance_en_prescriptive_297", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001389067, filing tag ttcm, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-48F687A3F5C00ACFF5966873", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4D3B08AD0E22B2690CDCE2AC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1686EAAFCF336DB227FCFC6E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-CF08DD988AC355FFC1281615", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-059191B45C7A3FDCF50A000D", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-5BF616CAA100C46365CC650B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-83B0CFB8D3843C632B627767", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-9444E9AF977E89B07A3EDAC4", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1349BF1B121BB12D1ED3774A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-46E284297196B7F0F3F91105", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-336703B570A1F8ACADE16111", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-FBA87510A6F3E8DC639EC18D", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 776417 - } - }, - { - "id": "finance_en_prescriptive_298", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-01-01 to 2022-09-30 in the audit-corpus filing identified by CIK 0001862068, filing tag rbt, and filing reference date 2022-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-B216BB132D92ADF0E6CB3332", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F0D59A2B7AFDFE936BB98D6F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F119BD989525BCD0C5ECB147", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-88E9FA837A2D495F3154E9DB", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-E5DD24710D96C42D626AEFDB", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-EF2169040BDD2B508957D7BC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B542B836834EF8F66B76124E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0F939C05E9229E7B99EB4DB1", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-94FB015D4CB1B7DD46815172", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-061B1482B7736984AE575DF8", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-344EC42B5E3572CC33E3A9B7", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8F123B0A9B10A79D522D8911", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0C145C17F2B11DE7583DBDA7", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-ECFEC9A3C70C7D0D4F84E8F2", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-246C18D476AE39874A880CD2", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4673938B3AAFEEEDE793CF3B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8D79ADD0FE416E82D9A1AA48", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-F832D60F5F53CBD7D366BF7F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8207E1E7890CA04704F9A29B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A34D86BD12CBFD4E9B4DC0AA", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8892D0DD30771E5FEFF126A2", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-073A94157E1E572CB6F77EF7", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8F9208F2A279AA1C1535DE68", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A29398C8E17B04C19BF8B8AC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-37718B3436391BF471EC82C2", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-22708F688A0B25966EEC93C7", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -63658000 - } - }, - { - "id": "finance_en_prescriptive_299", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2020-10-01 to 2021-09-30 in the audit-corpus filing identified by CIK 0001766352, filing tag airfox, and filing reference date 2021-09-30.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-BD9B48F88E97EA668381CAD3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-BEC9BAD81452A501DDD60969", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-923790CC13571CB48097E43E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B98460CF9DFE04927079D757", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-170517199F6EDFCB8BDA2411", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-2DAEEBF1743212CCBBF0683B", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-DA31510C55BC365C046CA6C3", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B33FDD97C25B61951FE5086A", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-3F2A4B8BAB13039DDA584E78", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-69685C21DBA4218F78628E21", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-FC91E32E5341E6E679114390", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-8C1C6951186C2CB0CA2737F1", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-2A35FED48D72DAF85FAE0541", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-4810621E08AF6943B9CF5B59", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-BA56246BDEE01E8DE0302BE6", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-47AB1A7F60A0448DC5989149", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-08AF12C752971191C4A0B753", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-2D0ADC2E377DED2F1507B07E", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-2A0AACB7D71DFD651E2A700B", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": 48795405 - } - }, - { - "id": "finance_en_prescriptive_300", - "type": "FinAuditing", - "query": "Audit us-gaap:NetCashProvidedByUsedInOperatingActivities for fact period 2022-03-01 to 2023-02-28 in the audit-corpus filing identified by CIK 0001164256, filing tag dbrm, and filing reference date 2023-02-28.", - "instruction": "Identify and apply the DQC rule that governs the specified filing fact. Return only a JSON object with exactly two fields: \"applied_rule\" (the selected DQC rule ID) and \"expected_value\" (the accurate audited expected value as a JSON number).", - "evidence": [ - { - "FACT_id": "FACT-790A39DF1394D3567AFE735F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-98FBD94D47AF8912DD866767", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-0AB8C9360AEF4B242FEFD609", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-04634D467A4EB20878C31568", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-79DE193A878A59816CE641BD", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-5CC53EB5C15B3771C9D149A5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-502D87DDE768033896BEE19F", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-EF8EE255543ADC2FFA24F2EC", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-1B4AE88C5880A60DFEFC94E6", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-B5197C8402072FA228FE9E34", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-AAAD41456590DAC8D3A8D3E5", - "type": "filing_fact" - }, - { - "FACT_id": "FACT-A879AD960047A8AD8FF6FD75", - "type": "filing_fact" - } - ], - "ground_truth": { - "applied_rule": "DQC_US_0126", - "expected_value": -589925 - } - } -]