Synchrony Financial : Q2 2020 Basel III Pillar 3 Regulatory Capital Disclosure Report

SYNCHRONY FINANCIAL

Basel III Pillar 3 Regulatory Capital

Disclosure Report

June 30, 2020

	Synchrony Financial
	Table of Contents
	Page
Introduction ............................................................................................................................................................	4
Capital Structure ....................................................................................................................................................	5
Capital Adequacy ...................................................................................................................................................	6
Capital Conservation Buffer ...................................................................................................................................	9
Credit Risk: General Disclosures ...........................................................................................................................	10
Credit Risk Mitigation .............................................................................................................................................	14
Securitizations .......................................................................................................................................................	14
Equities Not Subject to Market Risk Rule ..............................................................................................................	15
Interest Rate Risk for Non-Trading Activities ..........................................................................................................	16
Appendix A - Disclosure Index ...............................................................................................................................	17

Synchrony Financial

Basel III Regulatory Capital Disclosures at June 30, 2020

Certain Defined Terms:

Except as the context may otherwise require in this report, references to:

• "we," "us," "our" and the "Company" are to SYNCHRONY FINANCIAL and its subsidiaries;
• "Synchrony" are to SYNCHRONY FINANCIAL only;
• the "Bank" are to Synchrony Bank (a subsidiary of Synchrony); and
• the "Board of Directors" are to Synchrony's board of directors.
• the "Federal Banking Agencies" are to the Board of Governors of the Federal Reserve System ("Federal Reserve Board"), the Office of the Comptroller of the Currency ("OCC") and the Federal Deposit Insurance Corporation ("FDIC"), collectively.

Cautionary Note Regarding Forward-Looking Statements:

Various statements in this report may contain "forward-looking statements" as defined in Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), which are subject to the "safe harbor" created by those sections. Forward-looking statements may be identified by words such as "expects," "intends," "anticipates," "plans," "believes," "seeks," "targets," "outlook," "estimates," "will," "should," "may" or words of similar meaning, but these words are not the exclusive means of identifying forward-looking statements.

Forward-looking statements are based on management's current expectations and assumptions, and are subject to inherent uncertainties, risks and changes in circumstances that are difficult to predict. As a result, actual results could differ materially from those indicated in these forward-looking statements. Factors that could cause actual results to differ materially include global political, economic, business, competitive, market, regulatory and other factors and risks, such as: the impact of macroeconomic conditions and whether industry trends we have identified develop as anticipated, including the future impacts of the novel coronavirus disease ("COVID-19") outbreak and measures taken in response thereto for which future developments are highly uncertain and difficult to predict; retaining existing partners and attracting new partners, concentration of our revenue in a small number of Retail Card partners, and promotion and support of our products by our partners; cyber-attacks or other security breaches; disruptions in the operations of our computer systems and data centers; the financial performance of our partners; the sufficiency of our allowance for credit losses and the accuracy of the assumptions or estimates used in preparing our financial statements, including those related to the new CECL accounting guidance; higher borrowing costs and adverse financial market conditions impacting our funding and liquidity, and any reduction in our credit ratings; our ability to grow our deposits in the future; damage to our reputation; our ability to securitize our loan receivables, occurrence of an early amortization of our securitization facilities, loss of the right to service or subservice our securitized loan receivables, and lower payment rates on our securitized loan receivables; changes in market interest rates and the impact of any margin compression; effectiveness of our risk management processes and procedures, reliance on models which may be inaccurate or misinterpreted, our ability to manage our credit risk; our ability to offset increases in our costs in retailer share arrangements; competition in the consumer finance industry; our concentration in the U.S. consumer credit market; our ability to successfully develop and commercialize new or enhanced products and services; our ability to realize the value of acquisitions and strategic investments; reductions in interchange fees; fraudulent activity; failure of third-parties to provide various services that are important to our operations; international risks and compliance and regulatory risks and costs associated with international operations; alleged infringement of intellectual property rights of others and our ability to protect our intellectual property; litigation and regulatory actions; our ability to attract, retain and motivate key officers and employees; tax legislation initiatives or challenges to our tax positions and/or interpretations, and state sales tax rules and regulations; a material indemnification obligation to General Electric Company ("GE") under the Tax Sharing and Separation Agreement with GE if we cause the split-off from GE or certain preliminary transactions to fail to qualify for tax-free treatment or in the case of certain significant transfers of our stock following the split-off; regulation, supervision, examination and enforcement of our business by governmental authorities, the impact of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act") and other legislative and regulatory developments and the impact of the Consumer Financial Protection Bureau's (the "CFPB") regulation of our business; impact of capital adequacy rules and liquidity requirements; restrictions that limit our ability to pay dividends and repurchase our common stock, and restrictions that limit the Bank's ability to pay dividends to us; regulations relating to privacy, information security and data protection; use of third-party vendors and ongoing third-party business relationships; and failure to comply with anti-money laundering and anti-terrorism financing laws.

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Synchrony Financial

Basel III Regulatory Capital Disclosures at June 30, 2020

For the reasons described above, we caution you against relying on any forward-looking statements in this report, and you should refer to our periodic and current reports filed with the Securities and Exchange Commission, or "SEC," for further information or other factors, which could cause actual results to be significantly different from those expressed or implied by any forward-looking statements herein.

Introduction

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We are a premier consumer financial services company delivering a wide range of specialized financing programs, as well as innovative consumer banking products, across key industries including digital, retail, home, auto, travel, health and pet. We provide a range of credit products through our financing programs which we have established with a diverse group of national and regional retailers, local merchants, manufacturers, buying groups, industry associations and healthcare service providers, which we refer to as our "partners." Through our partners' over 410,000 locations across the United States and Canada, and their websites and mobile applications, we offer their customers a variety of credit products to finance the purchase of goods and services.

Basel III Regulatory Capital Framework

In July 2013, the Federal Banking Agencies finalized regulatory capital rules implementing standards originally issued by the Basel Committee on Banking Supervision in December 2010 ("Basel III capital rules"), which became effective for the Company in 2015, subject to phase-in periods through the end of 2018. These rules substantially revised the risk-based capital requirements applicable to insured depository institution holding companies and their insured depository institution subsidiaries as compared to the previous U.S. risk-based capital and leverage ratio rules, and implemented certain provisions of the Dodd-Frank Act.

Basel III has three components (Pillars) including minimum capital requirements, a supervisory review process and market discipline:

Pillar 1 - Minimum capital requirements: Establishes the rules by which regulatory capital can be calculated, including defining eligible capital instruments and calculating risk-weighted assets ("RWA").

Pillar 2 - Supervisory review process: Addresses bank-wide governance and risk management, in addition to requiring banks to have an Internal Capital Adequacy Assessment Process.

Pillar 3 - Market discipline: Establishes regulatory disclosure requirements, which are designed to allow market participants to assess the risk and capital profiles of banks.

In October 2019, the Federal Reserve Board issued final rules, which we refer to as the Tailoring Rules that, among other things, tailored existing regulatory requirements related to liquidity, capital and other enhanced prudential standards to an institution's risk and complexity profile for certain mid-size and large banking organizations using categories based on size and other factors. Synchrony, like most other banking organizations with total assets of $100 billion or more, but less than $250 billion, is currently categorized as a Category IV organization. Because Synchrony is a Category IV organization, the amounts in this report represent its regulatory capital and RWA based upon the Basel III Standardized Approach.

Basel III Reporting

This Basel III Pillar 3 Regulatory Capital Disclosure Report (the "Basel III Report") provides Synchrony's disclosures regarding its capital structure, capital adequacy, risk exposures and RWA as required by the Basel III Pillar 3 provisions. The required disclosures apply to Synchrony, with the exception that capital ratios for the Bank must also be disclosed.

The Basel III Report should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2019 ("2019 Form 10-K") and Quarterly Report on Form 10-Q for the period ended June 30, 2020 ("2Q 2020 Form 10-Q"). The Basel III Report has not been audited by Synchrony's external auditors. The Basel III Disclosure Index (Appendix A) specifies where all required disclosures are made.

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Basel III Regulatory Capital Disclosures at June 30, 2020

Basis of Consolidation

The basis of consolidation used for the Company's regulatory reporting is the same as that used under U.S. GAAP. There are no entities that are deconsolidated for regulatory capital purposes or the capital of which is deducted from our capital.

Restrictions on Transfer of Funds and Capital

Synchrony is limited in its ability to pay dividends or repurchase its stock by Federal Reserve Board, including on the basis that doing so would be an unsafe or unsound banking practice. Where Synchrony intends to declare or pay a dividend or repurchase its stock, Synchrony is expected to inform and consult with the Federal Reserve Board in advance to ensure that such dividend or repurchase does not raise supervisory concerns. It is the policy of the Federal Reserve Board that a savings and loan holding company like Synchrony should generally pay dividends on common stock and preferred stock only out of earnings, and only if prospective earnings retention is consistent with the company's capital needs and overall current and prospective financial condition.

According to guidance from the Federal Reserve Board, Synchrony's dividend policies will be assessed against, among other things, its ability to achieve applicable Basel III capital ratio requirements. If Synchrony does not achieve applicable Basel III capital ratio requirements, Synchrony may not be able to pay dividends. Although Synchrony currently expects to meet applicable Basel III capital ratio requirements, inclusive of any applicable capital conservation buffer, it cannot be sure that it will do so or even if it does, it will be able to pay dividends.

In evaluating the appropriateness of a proposed redemption or repurchase of stock, the Federal Reserve Board will consider, among other things, the potential loss that Synchrony may suffer from the prospective need to increase reserves and write down assets as a result of continued asset deterioration, and Synchrony's ability to raise additional common equity and other capital to replace the stock that will be redeemed or repurchased. The Federal Reserve Board also will consider the potential negative effects on Synchrony's capital structure of replacing common stock with any lower-tier form of regulatory capital issued.

Further, limitations on the Bank's payments of dividends and other distributions and payments that Synchrony receives from the Bank could limit Synchrony's ability to pay dividends or repurchase its stock. The Bank must obtain the approval of the OCC or give the OCC prior notice before making a capital distribution in certain circumstances, including if the Bank proposes to make a capital distribution when it does not meet certain capital requirements (or will not do so as a result of the proposed capital distribution) or certain net income requirements. In addition, the Bank must file a prior written notice of a planned or declared dividend or other distribution with the Federal Reserve Board. The Federal Reserve Board may object to a capital distribution if, among other things, (i) the Bank is, or as a result of such distribution would be, undercapitalized, significantly undercapitalized, or critically undercapitalized, (ii) the regulators have safety and soundness concerns or (iii) the distribution violates a prohibition in a statute, regulation, agreement between the Bank and the OCC or between Synchrony and the Federal Reserve Board, or a condition imposed on the Bank or Synchrony in an application or notice approved by the OCC or the Federal Reserve Board, respectively.

For further information on restrictions on transfers of funds and capital, refer to "Regulation-RegulationRelating to Our Business-Savingsand Loan Holding Company Regulation-Dividendsand Stock Repurchases" in the 2019 Form 10-K.

Capital Structure

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Capital Instruments and Regulatory Capital

Synchrony's regulatory capital instruments primarily consist of common stock and preferred stock. For additional information, refer to the Company's Condensed Consolidated Statement of Financial Position in the 2Q 2020 Form 10-Q.

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Basel III Regulatory Capital Disclosures at June 30, 2020

A reconciliation of regulatory capital elements as they relate to Synchrony's Condensed Consolidated Financial Statements presented in the 2Q 2020 Form 10-Q, in addition to information regarding the components of capital used in calculating common equity Tier 1 ("CET1") capital, Tier 1 capital, Tier 2 capital and Total regulatory capital under the Basel III Standardized Approach for Synchrony at June 30, 2020, are presented in the table below.

Reconciliation of Capital Elements

($ in millions)			June 30, 2020
Common stock	$	1
Capital surplus			9,532
Retained earnings			9,852
Accumulated other comprehensive income (AOCI)			(37)
Treasury stock			(8,183)
Total common shareholders' equity			11,165
Add: CECL regulatory capital transition adjustment			2,570
Less: AOCI (opt-out election)			(5)
Less: Deductions for goodwill and intangible assets, net of deferred tax liabilities			1,947
CET1 capital			11,793
Perpetual non-cumulative preferred stock			734
Tier 1 capital			12,527
Qualifying subordinated debt			-
Other Tier 2 capital adjustments			1,031
Total regulatory capital		$	13,558

Capital Adequacy

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Capital Management

Synchrony's capital management objectives are to maintain adequate levels of capital generated through earnings and other sources to ensure viability and flexibility of Synchrony and its subsidiaries. The level, composition and utilization of capital are influenced by changes in the economic environment, strategic initiatives, and legislative and regulatory developments. Within these constraints, Synchrony is focused on deploying capital in a manner that will provide attractive returns to its shareholders.

The Company's Internal Capital Adequacy Assessment Process ("ICAAP") is designed to enhance the understanding of the Company's exposure to material risks and the capital resources available to absorb those risks. The Company uses both quantitative and qualitative methods to translate risk measures including proprietary econometric forecasting models coupled with management judgment to estimate exposure to material risks.

The Capital Management Committee is the primary committee overseeing capital management activities including, but not limited to, monitoring and reporting regulatory capital, executing the ICAAP, conducting internal stress testing, recommending shareholder dividends and other capital actions, and formulating recommended Capital Contingency Plans, as applicable. The Risk Committee of the Board of Directors is responsible for reviewing risk exposures and ensuring sufficient capital capacity to cover these risk exposures. The Risk Committee is responsible for holding management accountable for providing sufficient information on Synchrony's material risks and exposures to inform decisions on capital adequacy and actions, including capital distribution.

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Basel III Regulatory Capital Disclosures at June 30, 2020

Regulatory Capital Requirements

As a savings and loan holding company and financial holding company, Synchrony is subject to regulation, supervision and examination by the Federal Reserve Board. The Bank is a federally chartered savings association. As such, the Bank is subject to regulation, supervision and examination by the OCC, which is its primary regulator, and by the CFPB with respect to consumer financial matters. In addition, the Bank, as an insured depository institution, is supervised by the Federal Deposit Insurance Corporation.

Synchrony is subject to the capital requirements as prescribed by Basel III capital rules and the requirements of the Dodd-Frank Act.

In October 2019, the Federal Reserve Board issued final Tailoring Rules that, among other things, tailor existing regulatory requirements related to liquidity, capital and other enhanced prudential standards to an institution's complexity profile for certain mid-size and large banking organizations using categories based on size and other factors. Synchrony, like most other banking organizations with total assets of $100 billion or more, but less than $250 billion, is currently categorized as a Category IV organization.

Under the Tailoring Rules, while our current capital plan process includes certain internal stress testing, Synchrony continues not to be required to conduct company-run stress tests.

The Tailoring Rules also apply certain enhanced prudential standards for the first time to covered savings and loan holding companies, including Synchrony. The new standards applicable to Synchrony include supervisory stress testing to be performed biennially, commencing in 2022.

In connection with the Tailoring Rules, the Federal Reserve Board has indicated its intention to engage in additional rulemaking to conform capital plan submission requirements for certain savings and loan holding companies, including Synchrony, to those of comparably-sized bank holding companies, which would result in Synchrony becoming subject to the Comprehensive Capital Analysis and Review ("CCAR") process.

To date, as a savings and loan holding company, we have not been subject to the CCAR process or the Federal Reserve Board's capital planning rule, though we have submitted a capital plan to the Federal Reserve Board in 2020. While not required, our capital plan process does include certain internal stress testing.

Synchrony has adopted ASU 2016-13: Financial Instruments - Credit Losses: Measurement of Credit Losses on Financial Instruments ("CECL"), effective January 1, 2020. The new guidance replaced existing incurred loss impairment guidance with a new impairment model that is based on expected credit losses. As required under the new guidance, upon adoption in the first quarter of 2020, we recorded a net decrease to retained earnings in our Condensed Consolidated Statement of Financial Position of approximately $2.3 billion.

In response to the COVID-19 pandemic, in March 2020 the Federal Banking Agencies issued an interim final rule that allows banking organizations to mitigate the effects of the CECL accounting standard on their regulatory capital. Banking organizations that adopt CECL in 2020 can elect to mitigate the estimated cumulative regulatory capital effects of CECL for two years. This two-year delay is in addition to the three-year transition period that the agencies had already made available. The Company and the Bank have elected to adopt the option provided by the interim final rule, which will largely delay the effects of CECL on their regulatory capital for the next two years, after which the effects will be phased-in over a three-year period from January 1, 2022 through December 31, 2024. Under the interim final rule, the amount of adjustments to regulatory capital deferred until the phase-in period includes both the initial impact of our adoption of CECL at January 1, 2020 and 25% of subsequent changes in our allowance for credit losses during each quarter of the two-year period ended December 31, 2021, which we refer to collectively as the "CECL regulatory capital transition adjustment."

A July 2019 final rule, amended the capital treatment of certain deferred tax assets, investments in the capital instruments of unconsolidated financial institutions, mortgage servicing assets, and minority interests, including by increasing the thresholds for deducting certain items from regulatory capital, for banking organizations that are not advanced approaches banking organizations. Synchrony and the Bank have adopted these amendments as of January 1, 2020.

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Synchrony Financial

Basel III Regulatory Capital Disclosures at June 30, 2020

Failure to meet minimum capital requirements can initiate certain mandatory and, possibly, additional discretionary actions by regulators that, if undertaken, could limit our business activities and have a material adverse effect on our consolidated financial statements. Under capital adequacy guidelines, we must meet specific capital guidelines that involve quantitative measures of our assets, liabilities and certain off-balance-sheet items as calculated under regulatory accounting practices. The capital amounts and classifications are also subject to qualitative judgments by the regulators about components, risk weightings and other factors.

For Synchrony to be a well-capitalized savings and loan holding company, the Bank must be well-capitalized and Synchrony must not be subject to any written agreement, order, capital directive, or prompt corrective action directive issued by the Federal Reserve Board to meet and maintain a specific capital level for any capital measure.

At June 30, 2020, Synchrony met all applicable requirements to be deemed well-capitalized pursuant to Federal Reserve Board regulations.

At June 30, 2020, the Bank met all applicable requirements to be deemed well-capitalized pursuant to OCC regulations and for purposes of the Federal Deposit Insurance Act.

The following table summarizes the Basel III minimum and well-capitalized regulatory capital ratio requirements at June 30, 2020.

Minimum and Well-Capitalized Capital Ratio Requirements
Ratio(a)		Minimum(b)		Well-Capitalized(c)
CET1 capital	4.5%	6.5%
Tier 1 risk-based capital	6.0%	8.0%
Total risk-based capital	8.0%	10.0%
Tier 1 leverage	4.0%	5.0%

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1. Tier 1 leverage ratio represents Tier 1 capital as a percentage of total average assets, after certain adjustments. All other ratios presented above represent the applicable capital measure as a percentage of RWA.
2. At June 30, 2020 Synchrony also must maintain a capital conservation buffer of CET1 capital in excess of minimum risk- based capital ratios by at least 2.5 percentage points to avoid limits on capital distributions and certain discretionary bonus payments to executive officers and similar employees.
3. Applies to the Bank only. For Synchrony to be a well-capitalized savings and loan holding company, the Bank must be well- capitalized and Synchrony must not be subject to any written agreement, order, capital directive, or prompt corrective action directive issued by the Federal Reserve Board to meet and maintain a specific capital level for any capital measure.

Risk-Weighted Assets and Regulatory Capital Ratios

Basel III establishes two comprehensive methodologies for calculating RWA, a Standardized Approach and an Advanced Approach. Synchrony is subject to the Basel III Standardized Approach for determining RWA.

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Synchrony Financial

Basel III Regulatory Capital Disclosures at June 30, 2020

The following tables present information on the RWA components included within the regulatory capital ratios under the Standardized Approach for Synchrony and the regulatory capital ratios for Synchrony and the Bank at June 30, 2020.

Risk-Weighted Assets
($ in millions)			June 30, 2020
On-Balance Sheet
Exposures to sovereign entities	$	-
Exposures to depository institutions, foreign banks and credit unions			289
Exposures to public sector entities			122
Loan exposure(a)			71,470
Past due loans			2,087
Other Assets			1,985
Securitization exposures			496
Equity exposures			458
Off-Balance Sheet and Market Risk
Unused commitments:
Original maturity of one year or less, excluding asset-backed commercial paper conduits			20
Original maturity greater than one year			53
Over-the-counter derivatives			1
All other off-balance sheet items			67
Total Risk-Weighted Assets	$	77,048

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(a) Primarily includes credit card loan receivables, net of excess allowance for credit losses.

Regulatory Capital Ratios		Basel III
June 30, 2020		Synchrony			Bank
CET1 capital	15.3%			16.0%
Tier 1 risk-based capital	16.3%			16.0%
Total risk-based capital	17.6%			17.4%
Tier 1 leverage	12.7%			12.4%

Capital Conservation Buffer

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Synchrony is subject to a capital conservation buffer. Under this requirement, Synchrony could be subject to limitations on its ability to make distributions of capital or make discretionary bonus payments unless it maintains a buffer of capital, composed solely of CET1, sufficient to exceed each of the minimum regulatory capital ratios applicable to the institution. The capital conservation buffer requirement for 2020 is 2.5%.

On March 17, 2020, the Federal Banking Agencies published an interim final rule that amended the definition of eligible retained income under the Basel III capital rule for all banking organizations. The interim final rule would make any automatic limitations on capital distributions that could apply under the Basel III capital rule more gradual. Under the interim final rule, a banking organization's eligible retained income is defined as the greater of the average of its previous four quarters of net income and net income for the four preceding calendar quarters, net of any distributions.

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Basel III Regulatory Capital Disclosures at June 30, 2020

In March 2020, the Federal Reserve Board finalized a rule to implement the stress capital buffer ("SCB") to replace the current capital conservation buffer for bank holding companies with $100 billion or more in total consolidated assets. Although neither the SCB nor the CCAR process currently applies to savings and loan holding companies like Synchrony, the Federal Reserve Board has indicated its intention to engage in additional rulemaking that would, among other things, apply the SCB and CCAR requirements to Synchrony as part of the 2022 capital planning process. The stress capital buffer would be calculated as the amount of loss of CET1 capital incurred by the institution in the severely adverse scenario of the most recent CCAR exercise, assuming certain continued payments on capital instruments, and would be subject to a floor of 2.5% of RWA.

At June 30, 2020, Synchrony's capital conservation buffer was 9.6%, which is above the 2.5% minimum and its eligible retained income was $530 million. Synchrony does not currently have a payout ratio limitation on distributions and discretionary bonus payments as Synchrony meets the capital conservation buffer requirements.

Credit Risk: General Disclosures

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Enterprise Risk Management

Strong risk management is at the core of the Company's business strategy and we have developed processes to manage the major categories of risk, namely credit, market, liquidity, operational (including compliance), strategic risk and reputational risk (considered across all risk types). Historically, the risk for substantially all operations has been managed through the risk management function.

We manage enterprise risk using an integrated framework that includes board-level oversight, administration by a group of cross-functional management committees and day-to-day implementation by a dedicated risk management team led by the Chief Risk Officer. We also utilize the "Three Lines of Defense" risk management model to demonstrate and structure the roles, responsibilities and accountabilities in the organization for taking and managing risk. The Risk Committee of the Board of Directors has responsibility for the oversight of the risk management program, and three other board committees have other oversight roles with respect to risk management. Several management committees and subcommittees have important roles and responsibilities in administering the risk management program, including the Enterprise Risk Management Committee (the "ERMC"), the Management Committee (the "MC"), the Asset and Liability Committee and the Capital Management Committee. This committee-focused governance structure provides a forum through which risk expertise is applied cross-functionally to all major decisions, including development of policies, processes and controls used by the Chief Risk Officer and risk management team to execute the risk management philosophy.

The enterprise risk management philosophy is to ensure that all relevant risks are appropriately identified, measured, monitored and controlled. The approach in executing this philosophy focuses on leveraging risk expertise to drive enterprise risk management using a strong governance framework structure, a comprehensive enterprise risk assessment program and an effective risk appetite framework. The corporate culture and values, in conjunction with the risk management accountability incorporated into the integrated Risk Management Framework, which includes the governance structure and three distinct Lines of Defense, has facilitated, and will continue to facilitate, the evolution of an effective risk presence across the Company.

The "First Line of Defense" is comprised of the business areas whose day-to-day activities involve decision-making and associated risk-taking for the Company. As the business owner, the first line is responsible for identifying, assessing, managing and controlling that risk, and for mitigating overall risk exposure. The first line formulates strategy and operates within the risk appetite and risk governance framework. The "Second Line of Defense," also known as the independent risk management organization, provides oversight of first line risk taking and management. The second line assists in determining risk capacity, risk appetite and the strategies, policies and structure for managing risks. The second line owns the risk governance framework. The "Third Line of Defense" is comprised of Internal Audit. The third line provides independent and objective assurance to senior management and to the Board of Directors and Audit Committee that the first and second line risk management and internal control systems and its governance processes are well-designed and working as intended.

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Basel III Regulatory Capital Disclosures at June 30, 2020

Responsibility and accountability for risk management flows to individuals and entities throughout the Company, including the Board of Directors, various board and management committees, senior management and members of each "Line of Defense". For example:

• The Chief Executive Officer has ultimate responsibility for ensuring the management of the Company's risk in accordance with the Company's approved risk appetite statement, including through her role as chairperson of the MC. The Chief Executive Officer also provides leadership in communicating the risk appetite to internal and external stakeholders to help embed appropriate risk taking into the overall corporate culture of the Company.
• The Chief Risk Officer manages the risk management team and, as chairperson of the ERMC, is responsible for establishing and implementing standards for the identification, management, measurement, monitoring and reporting of risk on an enterprise-wide basis. In collaboration with the Chief Executive Officer and the Chief Financial Officer, the Chief Risk Officer has responsibility for developing an appropriate risk appetite with corresponding limits that aligns with supervisory expectations, and this risk appetite statement has been approved by the Board of Directors. The Chief Risk Officer regularly reports to the Board of Directors and the Risk Committee on risk management matters.
• The senior executive officers who serve as leaders in the "First Line of Defense", are responsible for ensuring that their respective functions operate within established risk limits, in accordance with the Company's Risk Appetite Statement. As members of the ERMC and the MC, they are also responsible for identifying risks, considering risk when developing strategic plans, budgets and new products and implementing appropriate risk controls when pursuing business strategies and objectives. In addition, senior executive officers are responsible for deploying sufficient financial resources and qualified personnel to manage the risks inherent in the Company's business activities.
• The risk management team, including compliance, led by the Chief Risk Officer, provides oversight of the Company's risk profile and is responsible for maintaining a compliance program that includes compliance risk assessment, policy development, testing and reporting activities. This team effectively serves in a "Second Line of Defense" role by overseeing the operating activities of the "First Line of Defense".
• The internal audit team is responsible for performing periodic, independent reviews and testing of compliance with the Company's and the Bank's risk management policies and standards, as well as with regulatory guidance and industry best practices. The internal audit team also assesses the design of the Company's and the Bank's policies and standards and validates the effectiveness of risk management controls, and reports the results of such reviews to the Audit Committee. The internal audit team effectively serves as the "Third Line of Defense" for the Company.

The Company's Enterprise Risk Management oversight tools, which are an integral component of the integrated Risk Management Framework that is used to help the Company manage risk within its approved risk appetite, are applied to the Company's strategy setting process as well as its operational delivery mechanisms to identify potential events that may impact the Company. To achieve its risk appetite objective, the Company must identify, manage, monitor, control and report on current and emerging risks in a consistent, timely, and understandable manner across the organization. Three examples of the oversight tools that help the Company identify its risks are the Risk Appetite Statement, the Enterprise Risk Assessment process and stress testing activities.

The Company operates in accordance with a Risk Appetite Statement setting forth its objectives, plans and limits, and expressing its preferences with respect to risk-taking activities in the context of overall business goals. The Risk Appetite Statement is approved annually by the ERMC and the Board of Directors, with delegated authority to the Chief Risk Officer for implementation throughout the Company. The Risk Appetite Statement serves as a tool to preclude activities that are inconsistent with the business and risk strategy. The Risk Appetite Statement is reviewed and approved at least annually as part of the business planning process and will be modified, as necessary, to include updated risk tolerances by risk category, enabling us to meet prescribed goals while continuing to operate within established risk boundaries.

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The Enterprise Risk Assessment process ("ERA") is a top-down process designed to identify, assess and quantify risk across the Company's primary risk categories and serves as a basis to determine the Company's risk profile. The ERA plays an important role in directing the risk management activities by helping prioritize initiatives and focus resources on the most appropriate risks. The ERA is performed annually and refreshed periodically, and is the basis of the Material Risk Inventory which is a key input in the strategic and capital planning processes.

Stress testing activities provide a forward-looking assessment of risks and losses. Stress Testing is integrated into the strategic, capital and liquidity planning processes, and the results are used to identify portfolio vulnerabilities and develop risk mitigation strategies or contingency plans across a range of stressed conditions. See "Risks-RiskManagement" in the 2019 Form 10-K for more information regarding the Company's risk management processes.

Credit Risk Management

Credit risk is the risk of loss that arises when an obligor fails to meet the terms of a contract and/or the underlying collateral is insufficient to satisfy the obligation. Credit risk includes exposure to consumer credit risk from customer loans as well as institutional credit risk, principally from our partners. Consumer credit risk is one of the most significant risks. As a result, credit risk management is a critical component of our management and growth strategy. Our credit risk arising from credit products is generally highly diversified across over 130 million open accounts at June 30, 2020, without significant individual exposures. We manage credit risk primarily according to customer segments and product types.

The credit risk management philosophy is to establish an appropriate framework that effectively aligns with and embodies the limits contained in the Risk Appetite Statement, and this framework is approved annually by the Risk Committee. Under the auspices of the Risk Appetite Statement, credit decision guidelines have been developed for our partners' programs that address each of the critical points along the account lifecycle including new customer account acquisition, on-going customer account management, fraud prevention and delinquent account collections.

The customer account acquisition process occurs through a variety of channels (e.g., in-store, mail, internet, mobile, telephone and pre-approved solicitations). However, regardless of the channel, in making the initial credit approval decision to open a credit card or other account or otherwise grant credit, we follow a series of credit risk and underwriting procedures. In most cases, when applications are made in-store or by internet or mobile, the process is fully automated and applicants are notified of our credit decision immediately. We generally obtain certain information provided by the applicant and obtain a credit bureau report from one of the major credit bureaus. The credit report information we obtain is electronically transmitted into industry scoring models and our proprietary scoring models developed to calculate a credit score. The credit risk management team determines in advance the qualifying credit scores and initial credit line assignments for each portfolio and product type. Periodic analysis of performance trends on accounts originated at different score levels is conducted as compared to projected performance and adjust the minimum score or the opening credit limit to manage credit risk.

The Company regularly assesses the credit risk exposure of customer accounts. This ongoing assessment includes information relating to the customer's performance with respect to their account with us, as well as information from credit bureaus relating to the customer's broader credit performance. To monitor and control the quality of our loan portfolio (including the portion of the portfolio originated by third parties), we use behavioral scoring models that we have developed to score each active account on its monthly cycle date. Depending on the duration of the customer's account, risk profile and other performance metrics, the account may be subject to a range of account actions, including limits on transaction authorization and increases or decreases in purchase and cash credit limits. See "Our Business-CreditRisk Management" in the 2019 Form 10-K for more information regarding credit risk.

Responsibility and accountability for credit risk management primarily resides with the Chief Credit & Capital Management Officer and is overseen by the Chief Credit Risk Officer, the Chief Risk Officer and governance committees. For example:

• The Chief Credit & Capital Management Officer, as a member of the "First Line of Defense", manages the credit and fraud strategy implementation, capital management, and reserves and loss forecasting teams. The Chief Credit & Capital Management Officer is responsible for delivering credit management, capital management and loss reserve strategies that drive portfolio performance outcomes that align with the Risk Appetite Statement as well as the Strategic Plan.

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Basel III Regulatory Capital Disclosures at June 30, 2020

• The Chief Credit Risk Officer, as a member of the "Second Line of Defense", is responsible for overseeing the activities of the "First Line of Defense" team under the leadership of the Chief Credit & Capital Management Officer in order to confirm that they are consistently complying with the Risk Appetite Statement and all applicable credit risk related policies.

For further information related to credit risk management and practices, accounting policies and current exposures as reported under U.S. GAAP refer to the 2019 Form 10-K. See Appendix A for specific references.

The following table summarizes remaining maturities by credit exposure for loans and leases and unused commitments. The contractual amounts of commitments to extend credit represent the Company's maximum exposure to credit loss, in the event of default by the borrower if the borrower were to fully draw against the commitment. The Company manages this credit risk by using the same credit policies it applies to loans.

Credit Exposure by Type and Contractual Maturity

			Loans(a)				Unused Commitments
June 30, 2020 ($ in millions)		Less than 1 Year		Greater Than 1			Less than 1		Greater Than			Total
		Year(b)			Year(c)		1 Year
Credit cards	$	74,239	$	1,114	$	409,659	$	-	$	485,012
Consumer installment loans		20			1,759			-			-			1,779
Commercial credit products		1,131			9			10,501			-			11,641
Other		12			29			136			117			294
Total	$	75,402	$	2,911	$	420,296	$	117	$	498,726
___________________

1. Excludes loan receivables held for sale.
2. Credit card and commercial loans due after one year relate to remaining contractual maturity of Troubled Debt Restructuring assets.
3. Includes $420 billion of unconditionally cancelable commitments which are not subject to risk-weighting per the regulatory capital rules.

Credit Exposure of Loan Receivables Portfolio by Geography

June 30, 2020 ($ in millions)			Total Exposure(a)		Percent of Total
California	$	8,122	10%
Texas			8,016	10%
Florida			6,711	9%
New York			4,326	6%
North Carolina			3,230	4%
Other(b)			47,908		61%
Total	$	78,313	100%
___________________

1. Excludes loan receivables held for sale.
2. The Company's loan portfolio has a national distribution profile, further breakdown of the other category results in a widespread distribution across a large number of additional states.

For additional quantitative information on allowance for credit losses, charge-offs, loans past due and impaired loans, see Note 4. Loan Receivables to our Condensed Consolidated Financial Statements in the 2Q 2020 Form 10-Q.

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Basel III Regulatory Capital Disclosures at June 30, 2020

Credit Risk Mitigation

____________________________________________________________________________________________

As part of its risk management activities, the Company uses various risk mitigants to manage portions of the credit risk in its portfolios. Credit risk mitigation is important to the Company in the effective management of its credit risk exposures. A majority of the Company's assets are comprised of credit card receivables, with unfunded commitments that are unconditionally cancelable. At June 30, 2020, the Company had no asset category that benefited from financial collateral as defined in the Basel III capital rules, and the Company did not utilize credit derivatives as a risk mitigation tool.

We hold investments in residential mortgage-backed securities. Certain of these investments in residential mortgage-backed securities are held to comply with the Community Reinvestment Act and are issued by government-sponsored entities, and are pledged by the Bank as collateral to the Federal Reserve to secure Federal Reserve Discount Window advances. Exposures related to our investments in residential mortgage-backed securities are covered by guarantees and are set forth below with associated risk-weighted amounts:

Exposure Type
June 30, 2020 ($ in millions)			Exposure Amount			RWA Amount
GNMA mortgage-backed securities	$	392	$	-
FNMA & FHLMC mortgage-backed securities			502			100
Total		$	894		$	100

Securitizations

____________________________________________________________________________________________

The Company engages in credit card securitization activities, primarily as originator and sponsor. The Company's securitizations are accounted for as secured borrowings and the trusts are treated as consolidated subsidiaries of the Company. The assets of the Company's VIEs are restricted from being sold or pledged as collateral for other borrowings and the cash flows from these restricted assets may be used only to pay obligations of the trusts. The related debt issued by all securitization trusts is reported in long-term borrowings. The Company issues asset- backed securities in both public transactions and private transactions through the Synchrony Credit Card Master Note Trust ("SYNCT") and the Synchrony Card Issuance Trust ("SYNIT") and issues asset-backed securities in private transactions through the Synchrony Sales Finance Master Trust ("SFT"). SYNCT, SYNIT and SFT are Delaware statutory trusts that acquire credit card receivables originated by Synchrony Bank through bankruptcy remote special purpose entities referred to as RFS Holding, L.L.C., Synchrony Sales Finance Holding, LLC and Synchrony Card Funding, LLC, respectively.

See Note 5. Variable Interest Entities to our Condensed Consolidated Financial Statements in the 2Q 2020 Form 10-Q for more information on the Company's credit card securitization activities.

None of the assets securitized by the Company meet the operational criteria for securitizations as defined in the Basel III capital rules. The underlying assets are consolidated on the balance sheet and accordingly risk-weighted based on their balance sheet classification for Basel III purposes.

See Note 2. Basis of Presentation and Summary of Significant Accounting Policies to our Consolidated and Combined Financial Statements in the 2019 Form 10-Kfor information on the Company's accounting policies relevant to its securitization activities.

In addition to its activities as an originator and sponsor, the Company also is an investor in securities created by third parties that meet the definition of a securitization exposure. These securities consist of asset-backed securities secured by credit card receivables. The Company calculates the regulatory capital requirement for securitization exposures in accordance with the hierarchy of approaches outlined under the Standardized Approach framework. The Company utilizes the Simplified Supervisory Formula Approach ("SSFA") to determine RWA for all of its securitization exposures.

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Basel III Regulatory Capital Disclosures at June 30, 2020

At June 30, 2020 the Company had on-balance sheet securitization exposure related to these asset-backed securities of $2.5 billion and a RWA amount of $496 million, or 20%, calculated using the SSFA. The Company does not have any synthetic securitization exposures nor any resecuritizations under Basel III.

Additionally, the Company invests in residential mortgage-backed securities issued by government agencies and government-sponsored entities and are collateralized by U.S. mortgages. At June 30, 2020, $308 million is pledged by the Bank as collateral to the Federal Reserve to secure Federal Reserve Discount Window advances. These residential mortgage-backed securities are not considered "securitizations" under regulatory guidance.

Equities Not Subject To Market Risk Rule

____________________________________________________________________________________________

Equity investments held by the Company include equity securities and fund exposures, and non-publicly traded equity investments classified within other assets. Equity securities are carried at fair value with changes in fair value recognized in the Consolidated Statements of Earnings. Other equity investments primarily include Low Income Housing Tax Credit investments, which are recorded at historical cost.

The Company uses both the Full Look Through Approach ("FLTA") and the Simple Risk-Weight Approach ("SRWA") to measure equity exposures for regulatory purposes. The FLTA is used to determine RWA for exposure to investment funds. Under the FLTA, the Company calculates the aggregate RWA amounts of the carrying value of the exposures held by the fund as if they were held directly by the Company multiplied by the Company's proportional ownership share of the fund. The minimum RWA using the FLTA is 20%. The company uses the SRWA to determine RWA for direct equity exposures and community development exposures. Under the SRWA, the RWA for each equity exposure is calculated by multiplying the adjusted carrying value of the equity exposure by the applicable prescribed regulatory risk-weight. Under the SRWA, the aggregate carrying value of equity exposures that are less than 10% of total regulatory capital is risk-weighted at 100% as non-significant equity exposures. At June 30, 2020, the Company did not have aggregate equity exposures that exceeded the 10% threshold.

Equity Exposure By Type
June 30, 2020 ($ in millions)			Exposure /			RWA			Capital
	Carrying Value(a)					Requirement
Using FLTA
Publicly traded available-for-sale fund exposures	$	43	$	9	$	1
Using SRWA
Publicly traded available-for-sale equity securities		15			15			2
Non-publicly traded community development exposures		295			295			29
Non-publicly traded other miscellaneous equity		139			139			14
investments
Total	$	492	$	458	$	46

___________________

(a) The carrying value of our equity exposures approximates fair value at June 30, 2020.

Capital Requirements for Equity Securities not subject to Market Risk Rule

June 30, 2020 ($ in millions)			Exposure			RWA			Capital Requirement
100%	$	449	$	449	$	45
FLTA			43			9			1
Total		$	492		$	458		$	46

We had no net realized gains or losses arising from sales and liquidations of equity investments for the quarter ended June 30, 2020.

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Basel III Regulatory Capital Disclosures at June 30, 2020

Interest Rate Risk for Non-Trading Activities

____________________________________________________________________________________________

We borrow money from a variety of depositors and institutions in order to provide loans to our customers. Changes in market interest rates cause our net interest income to increase or decrease, as some of our assets and liabilities carry interest rates that fluctuate with market benchmarks. The interest rate benchmark for our floating rate assets is generally the prime rate, and the interest rate benchmark for our floating rate liabilities is generally either London Interbank Offered Rate ("LIBOR") or the federal funds rate. The prime rate and the LIBOR or federal funds rate could reset at different times or could diverge, leading to mismatches in the interest rates on our floating rate assets and floating rate liabilities.

Management continually reviews the Company's balance sheet composition and earnings flows and models the interest rate risk, and possible actions to reduce this risk, given numerous possible future interest rate scenarios. We assess our interest rate risk by estimating the effect of various interest rate scenarios on our net interest income.

For further information on interest rate risk, including a net interest income sensitivity analysis, refer to "Item 3, Quantitative and Qualitative Disclosures About Market Risk" in the 2Q 2020 Form 10-Q and "Management's Discussion andAnalysis of Financial Condition and Results of Operations-Quantitativeand Qualitative Disclosures About Market Risk" in the 2019 Form 10-K.

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Basel III Regulatory Capital Disclosures at June 30, 2020

Appendix A - Disclosure Index

____________________________________________________________________________________________

			Page References
		Basel III		Form 10-K for	Form 10-Q for
Table	Disclosure Requirement		December 31,
Report	2019	June 30, 2020
Table 1 - Scope of Application
Qualitative:
(a)	The name of the top corporate entity in the group to which	4
subpart D of this part applies.
	A brief description of the differences in the basis for	N/A: The
	consolidating entities for accounting and regulatory purposes,
	with a description of those entities:	Company has
(b)	(1) That are fully consolidated;	no differences
(2) That are deconsolidated and deducted from total capital;	in the basis
	(3) For which the total capital requirement is deducted; and	for
	(4) That are neither consolidated nor deducted (for example,	consolidating
	where the investment in the entity is assigned a risk weight in	entities
	accordance with this subpart).
(c)	Any restrictions, or other major impediments, on transfer of	5
funds or total capital within the group.
Quantitative:
	The aggregate amount of surplus capital of insurance	N/A: The
	Company has
(d)	subsidiaries included in the total capital of the consolidated
no insurance
	group.
	subsidiaries
	The aggregate amount by which actual total capital is less than
(e)	the minimum total capital requirement in all subsidiaries, with	N/A
total capital requirements and the name(s) of the subsidiaries
	with such deficiencies.
Table 2 - Capital Structure
Qualitative:
(a)	Summary information on the terms and conditions of the main	5-6		100, 125-126	36, 57-58
features of all regulatory capital instruments.
Quantitative:
	The amount of CET1 capital, with separate disclosure of:
	(1) Common stock and related surplus;
(b)	(2) Retained earnings;	6
(3) Common equity minority interest;
	(4) AOCI and
	(5) Regulatory adjustments and deductions made to CET1
	capital.
	The amount of tier 1 capital, with separate disclosure of:
	(1) Additional tier 1 capital elements, including additional tier 1
(c)	capital instruments and tier 1 minority interest not included in	6
CET1 capital; and
	(2) Regulatory adjustments and deductions made to tier 1
	capital.
	The amount of total capital, with separate disclosure of:
	(1) Tier 2 capital elements, including tier 2 capital instruments
(d)	and total capital minority interest not included in tier 1 capital;	6
and
	(2) Regulatory adjustments and deductions made to total
	capital.
Table 3 - Capital Adequacy
Qualitative:
	A summary discussion of the savings and loan holding			52-53,
(a)	company's approach to assessing the adequacy of its capital to	6-8		30-31,57-58
	125-126
	support current and future activities.

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Basel III Regulatory Capital Disclosures at June 30, 2020

				Page References
			Basel III		Form 10-K for	Form 10-Q for
Table		Disclosure Requirement		December 31,
	Report	2019	June 30, 2020
Quantitative:
	Risk-weighted assets for credit risk from:
	(1)	Exposures to sovereign entities;
	(2)	Exposures to certain supranational entities and MDBs;
	(3)	Exposures to depository institutions, foreign banks, and
	credit unions;
	(4)	Exposures to PSEs;
	(5)	Corporate exposures;
	(6)	Residential mortgage exposures;
(b)	(7)	Statutory multifamily mortgages and pre-sold construction	8-9
loans;
	(8)	HVCRE loans;
	(9)	Past due loans;
	(10) Other assets;
	(11) Cleared transactions;
	(12) Default fund contributions;
	(13) Unsettled transactions;
	(14) Securitization exposures; and
	(15) Equity exposures.
(c)	Standardized market risk-weighted assets as calculated under	N/A
subpart F of this part.
(d)	CET1, tier 1 and total risk-based capital ratios:	9		125-126	57-58
(1) For the top consolidated group; and
	(2)	For each depository institution subsidiary.
(e)	Total standardized risk-weighted assets.	9		52	30
Table 4 - Capital Conservation Buffer
Quantitative:
(a)	At least quarterly, the savings and loan holding company must	10		126
calculate and publicly disclose the capital conservation buffer
	as described under §___.11 of subpart B.
	At least quarterly, the savings and loan holding company must
(b)	calculate and publicly disclose the eligible retained income of	10
the savings and loan holding company, as described under
	§___.11 of subpart B.
	At least quarterly, the savings and loan holding company must
	calculate and publicly disclose any limitations it has on
(c)	distributions and discretionary bonus payments resulting from	10
the capital conservation buffer framework described under
	§___.11 of subpart B, including the maximum payout amount
	for the quarter.
Table 5 - Credit Risk: General Disclosures
Qualitative:
	The general qualitative disclosure requirement with respect to
	credit risk (excluding counterparty credit risk disclosed in
	accordance with Table 6), including:
	(1)	Policy for determining past due or delinquency status;
	(2)	Policy for placing loans on nonaccrual;
	(3)	Policy for returning loans to accrual status;			20-21;
	(4)	Definition of and policy for identifying impaired loans (for
(a)	10-13		74-79;
financial accounting purposes).
			103-111
	(5)	Description of the methodology that the savings and loan
	holding company uses to estimate its allowance for credit
	losses, including statistical methods used where applicable;
	(6)	Policy for charging-off uncollectible amounts; and
	(7)	Discussion of the savings and loan holding company's
	credit risk management policy

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Basel III Regulatory Capital Disclosures at June 30, 2020

			Page References
		Basel III		Form 10-K for	Form 10-Q for
Table	Disclosure Requirement		December 31,
Report	2019	June 30, 2020
Quantitative:
	Total credit risk exposures and average credit risk exposures,
	after accounting offsets in accordance with GAAP, without
	taking into account the effects of credit risk mitigation
	techniques (for example, collateral and netting not permitted
	under GAAP), over the period categorized by major types of
(b)	credit exposure. For example, savings and loan holding	13		113-117	46-52
companies could use categories similar to that used for
	financial statement purposes. Such categories might include,
	for instance:
	(1) Loans, off-balance sheet commitments, and other non-
	derivative off-balance sheet exposures;
	(2) Debt securities; and
	(3) OTC derivatives.
(c)	Geographic distribution of exposures, categorized in significant	13		43	22
areas by major types of credit exposure.
(d)	Industry or counterparty type distribution of exposures,	13		113	46
categorized by major types of credit exposure.
	By major industry or counterparty type:
	(1) Amount of impaired loans for which there was a related
	allowance under GAAP;
	(2) Amount of impaired loans for which there was no related
	allowance under GAAP;
	(3) Amount of loans past due 90 days and on nonaccrual;
(e)	(4) Amount of loans past due 90 days and still accruing;			113-117	46-52
(5) The balance in the allowance for credit losses at the end of
	each period, disaggregated on the basis of the entity's
	impairment method. To disaggregate the information required
	on the basis of impairment methodology, an entity shall
	separately disclose the amounts based on the requirements in
	GAAP; and
	(6) Charge-offs during the period.
		Information by
		geography is
		not practical
		or meaningful
	Amount of impaired loans and, if available, the amount of past	to disclose.
	Management
	due loans categorized by significant geographic areas
	does not use
(f)	including, if practical, the amounts of allowances related to
this
	each geographical area, further categorized as required by
	information to
	GAAP.
	allocate
		general or
		specific
		allowance
		components
(g)	Reconciliation of changes in allowance for credit losses.			114	47
(h)	Remaining contractual maturity delineation (for example, one	13		43
year or less) of the whole portfolio, categorized by credit
	exposure.
Table 6 - General Disclosure for Counterparty Credit Risk-Related Exposures
Qualitative:
	The general qualitative disclosure requirement with respect to
	OTC derivatives, eligible margin loans and repo-style	N/A: The
	transactions, including:
	Company has
	(1) Discussion of methodology used to assign economic capital
	and credit limits for counterparty credit exposures;	no OTC
	derivatives,
	(2) Discussion of policies for securing collateral, valuing and
(a)	eligible
managing collateral, and establishing credit reserves;
	margin loans,
	(3) Discussion of the primary types of collateral taken;
	or repo-style
	(4) Discussion of the impact of the amount of collateral the
	transaction
	savings and loan holding company would have to provide
	exposures
	given a deterioration in the savings and loan holding
	company's own creditworthiness.

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Basel III Regulatory Capital Disclosures at June 30, 2020

			Page References
		Basel III		Form 10-K for	Form 10-Q for
Table	Disclosure Requirement		December 31,
Report	2019	June 30, 2020
Quantitative:
	Gross positive fair value of contracts, collateral held (including
	type, for example, cash, government securities) and net
(b)	unsecured credit exposure. A savings and loan holding	N/A
company also must disclose the notional value of credit
	derivative hedges purchased for counterparty credit risk
	protection and the distribution of current credit exposure by
	exposure type.
	Notional amount of purchased and sold credit derivatives,
	segregated between use for the savings and loan holding
(c)	company's own credit portfolio and for its intermediation	N/A
activities, including the distribution of the credit derivative
	products used, categorized further by protection bought and
	sold within each product group.
Table 7 - Credit Risk Mitigation
Qualitative:
	The general qualitative disclosure requirement with respect to
	credit risk mitigation, including:
	(1) Policies and processes for collateral valuation and
	management;
(a)	(2) A description of the main types of collateral taken by the	14
savings and loan holding company;
	(3) The main types of guarantors/credit derivative
	counterparties and their creditworthiness; and
	(4) Information about (market or credit) risk concentrations with
	respect to credit risk mitigation.
Quantitative:
(b)	For each separately disclosed credit risk portfolio, the total	N/A
exposure that is covered by eligible financial collateral, and
	after the application of haircuts.
(c)	For each separately disclosed credit risk portfolio, the total	14
exposure that is covered by guarantees/credit derivatives and
	the risk-weighted asset amount associated with that exposure.
Table 8 - Securitization
Qualitative:
	The general qualitative disclosure requirement with respect to
	securitization (including synthetic securitizations), including a
	discussion of:
	(1) The savings and loan holding company's objectives for
	securitizing assets, including the extent to which these
	activities transfer credit risk of the underlying exposures away
	from the savings and loan holding company to other entities
	and including the type of risks assumed and retained with
	resecuritization activity;
	(2) The nature of the risks (e.g. liquidity risk) inherent in the
	securitized assets;
(a)	(3) The roles played by the savings and loan holding company	14		117-118
in the securitization process and an indication of the extent of
	the savings and loan holding company's involvement in each of
	them;
	(4) The processes in place to monitor changes in the credit and
	market risk of securitization exposures including how those
	processes differ for resecuritization exposures;
	(5) The savings and loan holding company's policy for
	mitigating the credit risk retained through securitization and
	resecuritization exposures; and
	(6) The risk-based capital approaches that the savings and
	loan holding company follows for its securitization exposures
	including the type of securitization exposure to which each
	approach applies.

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Basel III Regulatory Capital Disclosures at June 30, 2020

				Page References
			Basel III		Form 10-K for	Form 10-Q for
Table		Disclosure Requirement		December 31,
	Report	2019	June 30, 2020
	A list of:
	(1)	The type of securitization SPEs that the savings and loan
	holding company, as sponsor, uses to securitize third-party
	exposures. The savings and loan holding company must
	indicate whether it has exposure to these SPEs , either on- or
(b)	off- balance sheet; and	14		117-118
(2)	Affiliated entities:
	(i) That the savings and loan holding company manages or
	advises; and
	(ii) That invest either in the securitization exposures that the
	savings and loan holding company has securitized or in
	securitization SPEs that the savings and loan holding company
	sponsors
	Summary of the savings and loan holding company's
	accounting policies for securitization activities, including:
	(1)	Whether the transactions are treated as sales or financings;
	(2)	Recognition of gain-on-sale;
	(3)	Methods and key assumptions and inputs applied in valuing
	retained or purchased interests;
(c)	(4)	Changes in methods and key assumptions and inputs from			117-118
the previous period for valuing retained interests and impact of
	the changes;
	(5)	Treatment of synthetic securitizations;
	(6)	How exposures intended to be securitized are valued and
	whether they are recorded under subpart D of this part; and
	(7)	Policies for recognizing liabilities on the balance sheet for
	arrangements that could require the savings and loan holding
	company to provide financial support for securitized assets.
(d)	An explanation of significant changes to any of the quantitative	N/A
information set forth below since the last reporting period.
Quantitative:
	The total outstanding exposures securitized by the savings and
	loan holding company in securitizations that meet the
(e)	operational criteria in §___.41 (categorized into traditional/	N/A
synthetic), by underlying exposure type separately for
	securitizations of third-party exposures for which the bank acts
	only as sponsor.
	For exposures securitized by the savings and loan holding
	company in securitizations that meet the operational criteria in
	§___.41:
(f)	(1)	Amount of securitized assets that are impaired/past due	N/A
categorized by exposure type; and
	(2)	Losses recognized by the savings and loan holding
	company during the current period categorized by exposure
	type
(g)	The total amount of outstanding exposures intended to be	N/A
securitized categorized by exposure type.
	Aggregate amount of:
(h)	(1)	On-balance sheet securitization exposures retained or	15		118	52
purchased categorized by exposure type; and
	(2)	Off-balance sheet securitization exposures categorized by
	exposure type.
	(1)	Aggregate amount of securitization exposures retained or
	purchased and the associated capital requirements for these
	exposures, categorized between securitization and
	resecuritization exposures, further categorized into a
(i)	meaningful number of risk weight bands and by risk-based	15
capital approach (e.g. SSFA).
	(2)	Exposures that have been deducted entirely from tier 1
	capital, credit enhancing I/Os deducted from total capital (as
	described in §___.42(a)(1) and other exposures deducted from
	total capital should be disclosed separately by exposure type.
(j)	Summary of current year's securitization activity, including the	N/A
amount of exposures securitized (by exposure type), and
	recognized gain or loss on sale by asset type.

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				Page References
			Basel III		Form 10-K for	Form 10-Q for
Table	Disclosure Requirement		December 31,
Report	2019	June 30, 2020
	Aggregate amount of resecuritization exposures retained or
	purchased categorized according to:
(k)	(1) Exposures to which credit risk mitigation is applied and		N/A
those not applied; and
	(2) Exposures to guarantors categorized according to
	guarantor creditworthiness categories or guarantor name.
Table 9 - Equities Not Subject to Subpart F Of This Part (Market Risk Rule)
Qualitative:
	The general qualitative disclosure requirement with respect to
	the equity risk of equity holdings not subject to subpart F of this
	part, including:
	(1) Differentiation between holdings on which capital gains are
	expected and those held for other objectives, including for
(a)	relationship and strategic reasons; and		15
(2) Discussion of important policies covering the valuation of
	and accounting for equity holdings not subject to subpart F of
	this part. This includes the accounting techniques and
	valuation methodologies used, including key assumptions and
	practices affecting valuation as well as significant changes in
	these practices.
Quantitative:
	Value disclosed on the balance sheet of investments, as well
(b)	as the fair value of those investments; for securities that are		15
publicly traded, a comparison to publicly-quoted share values
	where the share price is materially different than fair value.
	The types and nature of investments, including the amount that
(c)	is:		15
(1) Publicly traded; and
	(2) Non-publicly traded.
(d)	The cumulative realized gains (losses) arising from sales and		N/A
liquidations in the reporting period.
	(1) Total unrealized gains (losses).
(e)	(2) Total latent revaluation gains (losses)		15
(3) Any amounts of the above included in tier 1 and/or tier 2
	capital.
	Capital requirements categorized by appropriate equity
(f)	groupings, consistent with the savings and loan holding		15
company's methodology, as well as the aggregate amounts
	and the type of equity investments subject to any supervisory
	transition regarding total capital requirements.
Table 10 - Interest Rate Risk For Non-Trading Activities
Qualitative:
	The general qualitative disclosure requirement, including the
	nature of interest rate risk for non-trading activities and key
(a)	assumptions, including assumptions regarding loan		16		49-50
prepayments and behavior of non-maturity deposits, and
	frequency of measurement of interest rate risk for non-trading
	activities.
Quantitative:
	The increase (decline) in earnings or economic value (or
(b)	relevant measure used by management) for upward and		16		50	63
downward rate shocks according to management's method for
	measuring interest rate risk for non-trading activities,
	categorized by currency (as appropriate).

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