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pdfDodd-Frank Act Stress Testing (DFAST)
Reporting Instructions
OCC Reporting Form DFAST-14A
November 2013
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Table of Contents
GENERAL INSTRUCTIONS ..................................................................................................................... 5
WHO MUST REPORT .............................................................................................................................. 5
WHERE TO SUBMIT THE REPORTS ...................................................................................................... 6
WHEN TO SUBMIT THE REPORTS ........................................................................................................ 6
HOW TO PREPARE THE REPORTS:....................................................................................................... 7
SUMMARY SCHEDULE ........................................................................................................................... 8
A.
INCOME STATEMENT ..................................................................................................................... 9
Losses on HFI Loans at Amortized Cost.......................................................................................... 9
Losses on HFS Loans and Fair Value Option Loans ...................................................................... 14
Trading Account ........................................................................................................................... 15
Other Losses .................................................................................................................................. 15
Allowance for Loan and Lease Losses .......................................................................................... 16
Pre-Provision Net Revenue (PPNR) .............................................................................................. 21
Condensed Income Statement ...................................................................................................... 21
Repurchase Reserve / Liability for Mortgage Reps & Warranties .............................................. 22
B.
BALANCE SHEET........................................................................................................................... 23
Securities....................................................................................................................................... 23
Total Loans and Leases ................................................................................................................ 23
Loans HFI at Amortized Cost ....................................................................................................... 27
HFS Loans and Loans Under Fair Value Option .......................................................................... 31
Trading.......................................................................................................................................... 32
Intangibles .................................................................................................................................... 33
Other (Assets)............................................................................................................................... 33
Liabilities ...................................................................................................................................... 34
C.
Equity Capital ............................................................................................................................... 35
GENERAL RWA .............................................................................................................................. 36
General Credit Risk....................................................................................................................... 37
Standardized Approach (Revised Capital Rule, July 2013) ....................................................... 37
Market Risk................................................................................................................................... 37
C.2 ADVANCED RWA ........................................................................................................................... 40
AA Credit Risk with 1.06 Scaling Factor and Operational Risk................................................. 41
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D.
CAPITAL......................................................................................................................................... 42
Tier 1 Capital ................................................................................................................................ 44
Tier 2 Capital ................................................................................................................................ 47
AOCI Opt-Out Election ................................................................................................................. 48
Common Equity Tier 1 ................................................................................................................. 48
Common equity Tier 1 capital: adjustments and deductions ................................................... 50
E. RETAIL BALANCE & LOSS PROJECTIONS ........................................................................................ 73
F. RETAIL REPURCHASE ...................................................................................................................... 78
G. - SECURITIES OTTI (AFS/HTM)........................................................................................................ 85
H. TRADING .......................................................................................................................................... 87
I. COUNTERPARTY CREDIT RISK (CCR) .............................................................................................. 89
J. OPERATIONAL RISK SCENARIO AND PROJECTIONS ....................................................................... 91
K. PRE-PROVISION NET REVENUE (PPNR) ........................................................................................ 93
L. PPNR PROJECTIONS WORKSHEET ................................................................................................. 95
M. PPNR NET INTEREST INCOME (NII) WORKSHEET .................................................................... 109
N. PPNR METRICS .............................................................................................................................. 117
REGULATORY CAPITAL INSTRUMENTS SCHEDULE ...................................................................... 131
A.
General RBC Rules Section..................................................................................................... 131
B.
Revised Regulatory Capital Section ...................................................................................... 131
A.
Capital Composition ............................................................................................................... 134
C.
Risk-Weighted Assets – Advanced ........................................................................................ 146
REGULATORY CAPITAL TRANSITIONS SCHEDULE ........................................................................ 133
B.
D.
E.
F.
Exception Bucket Calculator.................................................................................................. 144
Risk-Weighted Assets – General............................................................................................ 151
Leverage Exposure ................................................................................................................. 155
Planned Actions...................................................................................................................... 157
OPERATIONAL RISK SCHEDULE....................................................................................................... 160
COUNTERPARTY CREDIT RISK SCHEDULE ..................................................................................... 161
SUPPORTING DOCUMENTATION (APPENDIX A) ............................................................................ 173
Documentation on Summary Schedule........................................................................................ 173
Documentation on Model Risk Management ............................................................................... 173
Documentation of Risk Measurement Practices .......................................................................... 173
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Documentation of Internal Stress Testing Methodologies.......................................................... 173
Documentation of Assumptions and Approaches ....................................................................... 174
Documentation of Validation and Independent Review ............................................................. 175
Documentation on Income Statement, Balance Sheet, and Capital ............................................ 175
Documentation on Retail ............................................................................................................... 176
Documentation on Wholesale ....................................................................................................... 176
Documentation on Loans HFS and Loans Under FVO ................................................................. 177
Documentation on AFS/HTM Securities ...................................................................................... 178
Documentation on Trading ........................................................................................................... 180
Documentation on Counterparty Credit Risk .............................................................................. 180
Documentation on Operational Risk ............................................................................................ 185
Documentation on Pre-Provision Net Revenue (PPNR) ............................................................. 186
Documentation on MSR Projection.............................................................................................. 188
Documentation on Regulatory Capital Transitions – SIFI Surcharge ........................................ 191
Documentation for Each Planned Action ..................................................................................... 191
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INSTRUCTIONS FOR PREPARATION OF
Dodd-Frank Act Stress Testing Report DFAST-14A
GENERAL INSTRUCTIONS
The DFAST-14A reporting templates collects detailed data on national banks’ and Federal
savings associations’ quantitative projections of balance sheet assets and liabilities, income,
losses, and capital across a range of macroeconomic scenarios and qualitative information on
methodologies used to develop internal projections of capital across scenarios.
The DFAST-14A templates are comprised of a Summary, Macro Scenario, Regulatory Capital
Instruments, Regulatory Capital Transitions, Operational Risk and Counterparty Credit Risk
(CCR) schedules, each with multiple supporting worksheets. The number of schedules a bank
or Federal savings association must complete is subject to materiality thresholds and certain
other criteria. National banks and Federal savings associations (hereafter “banks”) report
projections on the DFAST-14A schedules across supervisory scenarios provided by the Office of
the Comptroller of the Currency (supervisory baseline, adverse and severely adverse). One or
more of the macroeconomic scenarios includes a market risk shock that banks will assume
when making trading and counterparty loss projections.
Banks are also required to submit qualitative information supporting their projections,
including descriptions of the methodologies used to develop the internal projections of capital
across scenarios and other analyses that support their comprehensive capital plans. Further
information regarding the qualitative and technical requirements of required supporting
documentation is provided in individual schedules as appropriate, as well as in Appendix A:
Supporting Documentation.
WHO MUST REPORT
Banks and Federal savings associations with total consolidated assets of $50 billion or more, as
defined by 12 CFR 46.3), are required to submit the DFAST-14A to the Office of the Comptroller
of the Currency (OCC). Total assets shall be calculated based on the due date of the bank’s or
Federal savings association’s company’s most recent Consolidated Report of Condition and
Income (Call Report). If the bank or Federal savings association (hereafter “bank”) has not filed a
Call Report for each of the four most recent quarters, the average of the bank’s total consolidated
assets in the most recent consecutive quarterly Call Reports should be used in the calculation.
Separate schedules must be reported for each scenario as required, unless otherwise specified in
the schedule or worksheet instructions. Certain data elements within the annual schedules are
subject to materiality thresholds. The instructions to these data schedules provide details on
how to determine whether a bank must submit a specific schedule, worksheet, or data element.
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All annual schedules are required to be reported by all banks with the exception of the CCR
schedule, and the Trading and CCR worksheets of the Summary schedule, which should be filed
as described below:
CCR schedule and Trading and CCR worksheets (Summary Schedule): Banks with greater
than $500 billion in total consolidated assets who are subject to the amended market risk rule
(12 CFR 3, Appendix B), and other banks the OCC designates using its reservation of authority,
must submit this schedule and worksheets.
WHERE TO SUBMIT THE REPORTS
All banks subject to these reporting requirements must submit completed reports electronically.
Banks will be provided information on how to transmit data to the FTP website. Please send
requests for FTP website access to the following mailbox and you will receive the website URL
and individual access information: DFA165i2.reporting@occ.treas.gov
WHEN TO SUBMIT THE REPORTS
Banks must file the DFAST-14A report according to the appropriate time schedules described
below:
•
•
With the exception of the CCR schedule and the Trading and CCR worksheets of the
Summary schedule, the data collected will be reported as of September 30. The “as of”
date for the CCR schedule and the Trading and CCR worksheets of the summary schedule
will be between October 1 and December 1 of that calendar year.
General Timing: All schedules will be due on or before January 5 (unless that day falls on a
weekend). If the submission date falls on a weekend, the data must be received on the first
business day after the weekend. No other extensions of time for submitting reports will be
granted. The data are due by the end of the reporting day on the submission date. Early
submission aids the OCC in reviewing and processing data and is encouraged.
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HOW TO PREPARE THE REPORTS:
GAAP
Banks are required to prepare and file the DFAST-14A schedules in accordance with U.S.
generally accepted accounting principles (GAAP) and these instructions. The financial
records of the banks should be maintained in such a manner and scope to ensure the
DFAST-14A is prepared in accordance with these instructions and reflects a fair
presentation of the bank’s financial condition and assessment of performance under
stressed scenarios.
Consolidation
Please reference the Instructions for the Preparation of Consolidated Reports of Condition and
Income (FFIEC 031 and 041), commonly known as Call Report instructions, for a discussion
regarding the rules of consolidation.
PQ – Projected Quarters
The schedules collect data on a “projection horizon”, which includes one quarter of actual
data followed by at least nine quarters of projected data. The “projection horizon” refers to
the nine quarters starting with the fourth quarter of the reporting year (e.g. from the
fourth quarter of 2013 through the fourth quarter of 2015). Column headings refer to PQ1
through PQ9, where PQ stands for “projected quarter” and PQ1 through PQ9 are nine
quarterly projections over which the planning horizon extends. In some cases, the
projected quarters will extend beyond the nine-quarter planning horizon, necessitating
PQ10 or more.
Technicalities
The following instructions apply generally to the DFAST-14A schedules, unless otherwise
specified.
•
•
•
•
•
•
•
Do not enter any data in gray highlighted or shaded cells, including those with embedded
formulas. Only non-shaded cells should be completed by institutions.
Ensure that any internal consistency checks are complete prior to submission.
Report dollar values in millions of US dollars (unless specified otherwise).
Dates should be entered in an YYYYMMDD format (unless otherwise indicated).
Report negative numbers with a minus (-) sign.
An amount, zero or null should be entered for all items, except in those cases where other
options such as “not available” or “other” are specified.
Report income and loss data on a quarterly basis, and not on a cumulative or YTD basis.
Confidentiality
Data that is collected as part of the annual company-run stress test requirement is confidential.
All templates, worksheets and schedules are the property of the OCC and unauthorized
disclosure is prohibited pursuant to 12 CFR 4.37.
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Amended Reports
The OCC will require the filing of amended DFAST-14A templates if previous submissions
contain significant errors. Additionally, a bank must file an amended report when it or the
OCC discovers significant errors or omissions subsequent to submission of a report. Finally,
since the Federal Reserve’s FR Y-14A reporting forms and instructions are almost identical to
the OCC DFAST-14A, there is a possibility that an error identified on one form may also appear
on the other reporting form. If errors and resubmission is required on the FR Y-14A, please
check the DFAST-14A for that same error and file an amended report if needed. Failure to file
amended reports on a timely basis may subject the institution to supervisory action.
If resubmissions are required, institutions should contact their resident examination staff, as
well as the DFAST-14A mailbox: DFA165i2.reporting@occ.treas.gov.
SUMMARY SCHEDULE
General Instructions
This document contains instructions for the DFAST-14A Summary Schedule. The schedule
includes data collection worksheets related to the following:
1.
2.
3.
4.
5.
6.
7.
Income, Balance Sheet, and Equity/Capital Statements;
Retail;
Securities;
Trading;
Counterparty Credit Risk;
Operational Risk; and
Pre-Provision Net Revenue (PPNR).
The bank should submit a separate Summary schedule for each scenario (Use the “Save As”
function of the original Excel workbook provided to the institutions.). Name the file using the
following style: DFAST-14A_SUMMARY_RSSD_BANKMNEMONIC_SCENARIO.xlsx.
In the tab labeled Summary Submission Cover Sheet, include:
• The name and RSSD ID of the submitting bank;
• The date of submission to the OCC;
• Which scenario this Summary Schedule applies to (choose from the drop-down box); and
Supporting Documentation
Please refer to Supporting Documentation (Appendix A) for guidance on providing
supporting documentation.
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A. INCOME STATEMENT
The Income Statement worksheet collects projections for the main components of the income
statement. Micro Data Reference Manual (MDRM) codes are provided in the ‘Notes’ column
for many of the line items. Where applicable, use the definitions for the Call Report line items
corresponding to the MDRM code.
For each scenario used, input the loan loss projections for the various line items in this
worksheet. The bank should include losses tied to the relevant balances reported on the
Balance Sheet worksheet.
•
•
Losses associated with held for investment loans accounted for at amortized cost
should be reported in the appropriate line items under the “Losses Associated With
Loans Held for Investment Accounted for at Amortized Cost” section
Losses due to changes in the fair value of assets that are held for sale or held for
investment under the fair value option should be reported in the appropriate line
items under the “Losses Associated With Loans Held for Sale and Loans Accounted for
Under the Fair Value Option” section.
The Repurchase Reserve/Liability for Mortgage Reps and Warrants line items are included to
provide information on the expected evolution of any reserve or accrued liability that has been
established for losses related to sold or government- insured mortgage loans (first or second lien).
Losses charged to this reserve can occur through contractual repurchases, settlement agreement,
or litigation loss, including losses related to claims under securities law or fraud claims; it is likely
that most losses charged to this reserve will come through contractual repurchases or
settlements. Quarterly reserve/accrued liability levels and quarterly provisions and net chargeoffs to the reserve/accrued liability should be reported as forecast under the applicable scenario.
To ensure consistency across the sheets of each Y-14A summary workbook, the Provisions during
the
quarter line is linked to the PPNR Projections Worksheet rows where banks are expected to report
any provisions to the Repurchase Reserve/Liability for Mortgage Reps and Warrants. For the same
reason, the Net charges during the quarter line is linked to Table G.3 in the Retail Repurchase
Worksheet.
Losses on HFI Loans at Amortized Cost
Item 1 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 2, 5, 8 and 14.
Item 2 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 3 and 4.
Item 3 First lien mortgages
Report losses associated with loans held for investment accounted for at amortized cost on all
closed-end loans secured by first liens on 1 to 4 family residential properties, excluding closed-end
first lien home equity loans (reported in item 4).
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Item 4 First lien home equity loans (HELOANS)
Report losses associated with loans held for investment accounted for at amortized cost on
all closed-end first lien home equity loans.
Item 5 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 6 and 7.
Item 6 Closed-end junior loans
Report losses associated with loans held for investment accounted for at amortized cost on
all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential
properties.
Item 7 Home equity lines of credit (HELOCS)
Report losses associated with loans held for investment accounted for at amortized cost on the
amount outstanding under revolving, open-end lines of credit secured by 1 to 4 family
residential properties.
Item 8 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 9, 10, and 11.
Item 9 Construction
Report losses associated with loans held for investment accounted for at amortized cost on
construction, land development, and other land loans, as defined in the Call Report, Schedule
RC-C, items 1(a)(1) and 1(a)(2).
Item 10 Multifamily
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by multifamily (5 or more) residential properties, as defined in the Call Report, Schedule
RC-C, item 1(d).
Item 11 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 12 and 13.
Item 12 Owner-occupied
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by owner-occupied nonfarm nonresidential properties, as defined in the Call Report,
Schedule RC-C, item 1(e)(1).
Item 13 Non-owner-occupied
Report losses associated with loans held for investment accounted for at amortized cost
on nonfarm nonresidential real estate loans that are not secured by owner-occupied
nonfarm nonresidential properties, as defined in the Call Report, Schedule RC-C, item
1(e)(2).
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Item 14 Loans secured by farmland
Report losses associated with loans held for investment accounted for at amortized cost on all loans
secured by farmland, as defined in the Call Report, Schedule RC-C, item 1(b).
Item 15 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 16, 17, 18 and 24.
Item 16 First lien mortgages (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all
closed-end loans secured by first liens on 1 to 4 family residential properties, not held in
domestic offices.
Item 17 Second/junior lien mortgages (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all
loans secured by second/junior (i.e., other than first) liens on 1 to 4 family residential properties,
not held in domestic offices.
Item 18 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 19, 20, and 21.
Item 19 Construction (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on
construction, land development, and other land loans, as defined in the Call Report, Schedule
RC-C, items 1(a)(1) and 1(a)(2), not held in domestic offices.
Item 20 Multifamily (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by multifamily (5 or more) residential properties, as defined in the Call Report, Schedule
RC-C, item 1(d), not held in domestic offices.
Item 21 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 22 and 23.
Item 22 Owner-occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by owner-occupied nonfarm nonresidential properties, as defined in the Call Report,
Schedule RC-C, item 1(e)(1), not held in domestic offices.
Item 23 Non-owner-occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on
nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm
nonresidential properties, as defined in the Call Report, Schedule RC-C, item 1(e)(2), not
held in domestic offices.
Item 24 Loans secured by farmland (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all
loans secured by farmland, as defined in the Call Report, Schedule RC-C, item 1(b), not held in
domestic offices.
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Item 25 C&I Loans
This item is a shaded cell and is derived from the sum of items 26, 27 and 28.
Item 26 C&I Graded
Report losses associated with loans held for investment accounted for at amortized cost on all
graded commercial and industrial (C&I) loans. Report only loans “graded” or “rated” using the
reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s
normal course of business. This includes losses associated with domestic and international
business and corporate credit card or charge card loans for which a commercially graded
corporation is ultimately responsible for repayment of credit losses incurred.
Item 27 Small Business (Scored/Delinquency Managed)
Report losses associated with loans held for investment accounted for at amortized cost on small
business loans. Report all "scored" or "delinquency managed" U.S. small business loans for which
a commercial internal risk rating is not used or that uses a different scale than other corporate
loans reported in the Call Report on lines 2.a, 2.b, 2.c, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule
RC-C excluding corporate and small business credit card loans included on line 4.a.
Item 28 Business and Corporate Card
Report losses associated with loans held for investment accounted for at amortized cost on loans
extended under business and corporate credit cards. Business cards include small business
credit card accounts where the loan is underwritten with the sole proprietor or primary business
owner as applicant. Report at the control account level or the individual pay level (not at the subaccount level). Corporate cards include employer-sponsored credit cards for use by a company's
employees. Exclude losses associated with corporate card or charge card loans included in Item
26 (C&I Graded Loans).
Item 29 Credit Cards
Report losses associated with loans held for investment accounted for at amortized cost on loans
extended under consumer general purpose or private label credit cards. General purpose credit
cards are credit cards that can be used at a wide variety of merchants, including any who accept
MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in
this category, and student cards if applicable. Private label credit cards are credit cards, also
known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that
retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Item 30 Other Consumer
This item is a shaded cell and is derived from the sum of items 31, 32, 33 and 34.
Item 31 Auto Loans
Report losses associated with loans held for investment accounted for at amortized cost on
auto loans, as defined in the Call Report, Schedule RC-C, item 6(c).
Item 32 Student Loans
Report losses associated with loans held for investment accounted for at amortized cost on
student loans.
Item 33 Other (consumer) loans backed by securities (non-purpose lending)
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Report losses associated with loans held for investment accounted for at amortized cost on
other consumer loans that are backed by securities (i.e., non-purpose lending).
Item 34 Other (consumer)
Report losses associated with loans held for investment accounted for at amortized cost on all
other consumer loans not reported in items 31, 32 or 33.
Item 35 Other Loans
This item is a shaded cell and is derived from the sum of items 36, 37, 38, 39 and 40.
Item 36 Loans to Foreign Governments
Report losses associated with loans held for investment accounted for at amortized cost on loans
to foreign governments, as defined in the Call Report, Schedule RC-C, item 7. Exclude losses
associated with loans to foreign governments included in Item 27 (Small Business Loans).
Item 37 Agricultural Loans
Report losses associated with loans held for investment accounted for at amortized cost on
agricultural loans, as defined in the Call Report, Schedule RC-C, item 3. Exclude losses associated
with agricultural loans included in Item 27 (Small Business Loans).
Item 38 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report losses associated with loans held for investment accounted for at amortized cost on
loans for purchasing or carrying securities (secured or unsecured), as defined in the Call
Report, Schedule RC-C, item 9.b.(1). Exclude losses associated with loans for purchasing or
carrying securities included in Item 27 (Small Business Loans).
Item 39 Loans to Depositories and Other Financial Institutions
Report losses associated with loans held for investment accounted for at amortized cost on loans
to depositories and other financial Institutions (secured or unsecured), as defined in the Call
Report, Schedule RC-C, items 2.a, 2.b, and 9.a. Exclude losses associated with loans to depositories
and other financial institutions included in Item 27 (Small Business Loans).
Item 40 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 41 and 42.
Item 41 All Other Loans (exclude consumer loans)
Report losses associated with loans held for investment accounted for at amortized cost on all
other loans (excluding consumer loans), as defined in the Call Report, Schedule RC-C, item 9.b.(2).
Exclude losses associated with all other loans included in Item 27 (Small Business Loans).
Item 42 All Other Leases
Report losses associated with loans held for investment accounted for at amortized cost on all
other leases (excluding consumer leases), as defined in the Call Report, Schedule RC-C, item 10.b.
Exclude losses associated with all other leases included in Item 27 (Small Business Loans).
Item 43 Total Loans and Leases
Report the sum of items 1, 15, 25, 29, 30 and 35.
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Losses on HFS Loans and Fair Value Option Loans
Item 44 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 45, 46, 47 and 48.
Item 45 First Lien Mortgages
Report losses associated with held for sale loans and loans accounted for under the fair
value option on all closed-end loans secured by first liens on 1 to 4 family residential
properties, including closed-end first lien home equity loans.
Item 46 Second/Junior Lien Mortgages
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by junior (i.e., other than first) liens on 1 to 4 family residential
properties.
Item 47 Commercial real estate (CRE) loans
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all construction, multifamily, and nonfarm nonresidential loans, as defined in the Call
Report, Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2).
Item 48 Loans secured by farmland
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by farmland, as defined in the Call Report, Schedule RC-C, item 1(b).
Item 49 Real estate loans (not in domestic offices)
This item is a shaded cell and is derived from the sum of items 50, 51 and 52.
Item 50 Residential Mortgages (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by 1 to 4 family residential properties, including both first lien
and second/junior lien loans, not held in domestic offices.
Item 51 Commercial real estate (CRE) loans (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all construction, multifamily, and nonfarm nonresidential loans, as defined in the Call
Report, Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2), not held in domestic offices.
Item 52 Loans secured by farmland (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by farmland, as defined in the Call Report, Schedule RC-C, item 1(b),
not held in domestic offices.
Item 53 C&I Loans
Report losses associated with held for sale loans and loans accounted for under the fair
value option on all commercial and industrial loans, as defined in items 26, 27 and 28.
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Item 54 Credit Cards
Report losses associated with held for sale loans and loans accounted for under the fair value option
on loans extended under consumer general purpose or private label credit cards. General purpose
credit cards are credit cards that can be used at a wide variety of merchants, including any who
accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand
cards in this category, and student cards if applicable. Private label credit cards are credit cards,
also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in
that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Item 55 Other Consumer
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all other consumer loans, as defined in items 31, 32, 33 and 34.
Item 56 All Other Loans and Leases
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all other loans and leases, as defined in items 36, 37, 38, 39, 41 and 42.
Item 57 Total Loans and Leases
This item is a shaded cell and is derived from the sum of items 44, 49, 53, 54, 55 and 56.
Trading Account
Item 58 Trading Mark-to-market (MTM) Losses
Item 58 must equal item 10 on the Trading Schedule, with the sign reversed.
Item 59 Trading Incremental Default Losses (Trading IDR)
Item 59 must equal item 1 on the Counterparty Risk Schedule.
Item 60 Counterparty Credit MTM Losses (CVA losses)
Item 60 must equal item 2 on the Counterparty Risk Schedule.
Item 61 Counterparty Incremental Default Losses (CCR IDR)
Item 61 must equal item 3 on the Counterparty Risk Schedule.
Item 62 Other CCR losses
Item 62 must equal item 4 on the Counterparty Risk Schedule.
Item 63 Total Trading and Counterparty losses
This item is a shaded cell and is derived from the sum of items 58, 59, 60, 61 and 62.
Other Losses
Item 64 Goodwill Impairment
Report losses associated with goodwill impairment, as defined in the Call Report, Schedule RC, item
10(a).
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Item 65 Valuation Adjustment for firm’s own debt under fair value option (FVO)
Report losses associated with the valuation adjustment for the firm’s own debt under the fair value
option (FVO).
Item 66 Other losses
Report all other losses not reported in items 1 through 65. Describe these losses in the supporting
documentation.
Item 67 Total Other Losses
Report the sum of all other losses included in items 64, 65, and 66.
Item 68 Total Losses
Report the sum of items 43, 57, 63 and 67.
Allowance for Loan and Lease Losses
Item 69 ALLL prior quarter
Report the total allowance for loan and lease losses as of the end of the prior quarter.
Item 70 Real Estate Loans (in Domestic Offices)
Report the sum of items 71, 75 and 79.
Item 71 Residential Mortgages (in Domestic Offices)
Report the sum of the allowance for loan and lease losses included in items 72, 73 and 74.
Item 72 First Lien Mortgages (in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by first liens on 1 to 4
family residential properties, including first lien home equity loans, held in domestic offices.
Item 73 Closed-end Junior Liens (in Domestic Offices)
Report the allowance for loan and lease losses for all closed-end loans secured by junior (i.e.,
other than first) liens on 1 to 4 family residential properties, held in domestic offices.
Item 74 HELOCs (in Domestic Offices)
Report the allowance for loan and lease losses for revolving, open-end lines of credit secured by
1 to 4 family residential properties, held in domestic offices.
Item 75 CRE Loans (in Domestic Offices)
Report the sum of the allowance for loan and lease losses included in items 76, 77 and 78.
Item 76 Construction (in Domestic Offices)
Report the allowance for loan and lease losses for construction, land development, and other land
loans (as defined in the Call Report, Schedule RC-C, items 1(a)(1) and 1(a)(2)), held in domestic
offices.
Item 77 Multifamily (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by multifamily (5 or more)
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residential properties as defined in the Call Report, Schedule RC-C, item 1(d), held in
domestic offices.
Item 78 Nonfarm, Non-residential (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by nonfarm nonresidential
properties as defined in the Call Report, Schedule RC-C, items 1(e)(1) and 1(e)(2), held in
domestic offices.
Item 79 Loans Secured by Farmland (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by farmland as defined in the Call
Report, Schedule RC-C, item 1(b)), held in domestic offices.
Item 80 Real Estate Loans (Not in Domestic Offices)
Report the sum of items 81, 82 and 83.
Item 81 Residential Mortgages (Not in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by 1 to 4 family
residential properties, including both first lien and second/junior lien loans, not held in
domestic offices.
Item 82 CRE Loans (Not in Domestic Offices)
Report the allowance for loan and lease losses for all construction, multifamily, and nonfarm
nonresidential loans as defined in the Call Report, Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1)
and 1.e.(2)), not held in domestic offices.
Item 83 Farmland (Not in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by farmland as defined in the
Call Report, Schedule RC-C, item 1(b)), not held in domestic offices.
Item 84 C&I Loans
Report the sum of items 85, 86 and 87.
Item 85 C&I Graded
Report the allowance for loan and lease losses for all graded commercial and industrial (C&I)
loans. Report the associated allowance only for loans “graded” or “rated” using the reporting
entity’s commercial credit rating system, as it is defined in the reporting entity’s normal course of
business. This includes the allowance for loan and lease losses for all domestic and international
business and corporate credit card or charge card loans for which a commercially graded
corporation is ultimately responsible for repayment of credit losses incurred.
Item 86 Small Business (Scored/Delinquency Managed)
Report the allowance for loan and lease losses for small business loans. Report the associated
allowance for all "scored" or "delinquency managed" U.S. small business loans for which a
commercial internal risk rating is not used or that uses a different scale than other corporate loans
reported in the Call Report on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule RC-C.
Exclude corporate and small business credit card loans included on line 4.a of schedule RC-C.
Item 87 Business and Corporate Card
Report the allowance for loan and lease losses for loans extended under business and
corporate credit cards. Business cards include small business credit card accounts where the
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loan is underwritten with the sole proprietor or primary business owner as applicant. Report
at the control account level or the individual pay level (not at the sub-account level).
Corporate cards include employer-sponsored credit cards for use by a company's employees.
Exclude the allowance for loan and lease losses related to corporate card or charge card loans
included in Item 85(C&I Graded Loans).
Item 88 Credit Cards
Report the allowance for loan and lease losses for loans extended under consumer general purpose
or private label credit cards. General purpose credit cards are credit cards that can be used at a
wide variety of merchants, including any who accept MasterCard, Visa, American Express or
Discover credit cards. Include affinity, co-brand cards in this category, and student cards if
applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied
to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards
in this loan type.
Item 89 Other Consumer
Report the allowance for loan and lease losses for all other consumer loans, as defined in items 31,
32, 33 and 34.
Item 90 All Other Loans and Leases
Report the allowance for loan and lease losses for all other loans and leases, as defined in items 36,
37, 38, 39, 41 and 42.
Item 91 Unallocated
Report any unallocated portion of the allowance for loan and lease losses.
Item 92 Provisions during the quarter
Report the provision for loan and lease losses during the quarter, as defined in the Call
Report, Schedule RI, item 4.
Item 93 Real Estate Loans (in Domestic Offices)
Report the sum of items 94, 98 and 102.
Item 94 Residential Mortgages (in Domestic Offices)
Report the sum of the provision for loan and lease losses included in items 95, 96 and 97.
Item 95 First Lien Mortgages (in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by first liens on 1 to 4
family residential properties, including first lien home equity loans, held in domestic offices.
Item 96 Closed-end Junior Liens (in Domestic Offices)
Report the provision for loan and lease losses for all closed-end loans secured by junior (i.e.,
other than first) liens on 1 to 4 family residential properties, held in domestic offices.
Item 97 HELOCs (in Domestic Offices)
Report the provision for loan and lease losses for revolving, open-end lines of credit secured by 1 to
4 family residential properties, held in domestic offices.
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Item 98 CRE Loans (in Domestic Offices)
Report the sum of the provision for loan and lease losses included in items 99, 100 and 101.
Item 99 Construction (in Domestic Offices)
Report the provision for loan and lease losses for construction, land development, and other land
loans as defined in the Call Report, Schedule RC-C, items 1(a)(1) and 1(a)(2), held in domestic
offices.
Item 100 Multifamily (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by multifamily (5 or more)
residential properties as defined in the Call Report, Schedule RC-C, item 1(d), held in domestic
offices.
Item 101 Nonfarm, Non-residential (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by nonfarm nonresidential
properties as defined in the Call Report, Schedule RC-C, items 1(e)(1) and 1(e)(2), held in
domestic offices.
Item 102 Loans Secured by Farmland (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by farmland as defined in the Call
Report, Schedule RC-C, item 1(b)), held in domestic offices.
Item 103 Real Estate Loans (Not in Domestic Offices)
Report the sum of items 104, 105 and 106.
Item 104 Residential Mortgages (Not in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by 1 to 4 family
residential properties, including both first lien and second/junior lien loans, not held in
domestic offices.
Item 105 CRE Loans (Not in Domestic Offices)
Report the provision for loan and lease losses for all construction, multifamily, and nonfarm
nonresidential loans as defined in the Call Report, Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1)
and 1.e.(2), not held in domestic offices.
Item 106 Farmland (Not in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by farmland as defined in the
Call Report, Schedule RC-C, item 1(b), not held in domestic offices.
Item 107 C&I Loans
Report the sum of items 108, 109 and 110.
Item 108 C&I Graded
Report the provision for loan and lease losses for all graded commercial and industrial (C&I) loans.
Report the associated provision only for loans “graded” or “rated” using the reporting entity’s
commercial credit rating system, as it is defined in the reporting entity’s normal course of
business. This includes the provision for loan and lease losses for all domestic and international
business and corporate credit card or charge card loans for which a commercially graded
corporation is ultimately responsible for repayment of credit losses incurred.
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Item 109 Small Business (Scored/Delinquency Managed)
Report the provision for loan and lease losses for small business loans. Report the
associated provision for all "scored" or "delinquency managed" U.S. small business loans for
which a commercial internal risk rating is not used or that uses a different scale than other
corporate loans reported in the Call Report on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2,
10.b of schedule RC-C. Exclude corporate and small business credit card loans included on
line 4.a of schedule RC-C.
Item 110 Business and Corporate Cards
Report the provision for loan and lease losses for loans extended under business and
corporate credit cards. Business cards include small business credit card accounts where the
loan is underwritten with the sole proprietor or primary business owner as applicant. Report
at the control account level or the individual pay level (not at the sub-account level).
Corporate cards include employer-sponsored credit cards for use by a company's employees.
Exclude the provision for loan and lease losses related to corporate card or charge card loans
included in Item 108 (C&I Graded Loans).
Item 111 Credit Cards
Report the provision for loan and lease losses for loans extended under consumer general purpose
or private label credit cards. General purpose credit cards are credit cards that can be used at a
wide variety of merchants, including any who accept MasterCard, Visa, American Express or
Discover credit cards. Include affinity, co-brand cards in this category, and student cards if
applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied
to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas
cards in this loan type.
Item 112 Other Consumer
Report the provision for loan and lease losses for all other consumer loans, as defined in items 31,
32, 33 and 34.
Item 113 All Other Loans and Leases
Report the provision for loan and lease losses for all other loans and leases, as defined in items 36,
37, 38, 39, 41 and 42.
Item 114 Unallocated
Report any unallocated portion of the provision for loan and lease losses.
Item 115 Net charge-offs during the quarter
Report charge-offs net of recoveries during the quarter, as defined in the Call Report, Schedule
RI-B, Part I, item 9, Column A minus Column B.
Item 116 Other ALLL Changes
Report other changes to the allowance for loan and lease losses, as defined in the Call Report
Schedule RI-B, Part II, item 6, minus Schedule RI-B, Part II, item 4.
Item 117 ALLL, current quarter
Report the sum of items 69, 92 and 116, minus item 115.
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Pre-Provision Net Revenue (PPNR)
Item 118 Net interest income
Item 118 must equal item 13 on the PPNR Submission Worksheet.
Item 119 Noninterest income
Item 119 must equal item 26 on the PPNR Submission Worksheet.
Item 120 Noninterest expense
Item 120 must equal item 38 on the PPNR Submission Worksheet.
Item 121 Pre-provision Net Revenue
Report the sum of items 118 and 119, minus item 120.
Condensed Income Statement
Item 122 Pre-provision Net Revenue
Report the value for item 121.
Item 123 Provisions during the quarter
Report the value for item 92.
Item 124 Total Trading and Counterparty Losses
Report the value for item 63.
Item 125 Total Other Losses
Report the sum of items 57 and 67.
Item 126 Other Income Statement (I/S) Items
Report other income statement items that the institution chooses to disclose. Describe these
items in the supporting documentation.
Item 127 Realized Gains (Losses) on available-for-sale securities (forecast = OTTI)
Report realized gains (losses) on available-for-sale securities, as defined in the Call Report,
Schedule RI, item 6.b. For the projected quarters, this amount represents projected other-thantemporary impairment losses on available-for-sale securities.
Item 128 Realized Gains (Losses) on held-to-maturity securities (forecast = OTTI) Report
realized gains (losses) on held-to-maturity securities, as defined in the Call Report, Schedule RI,
item 6.a. For the projected quarters, this amount represents projected other-than-temporary
impairment losses on held-to-maturity securities.
Item 129 Income (loss) before taxes and extraordinary items
Report the sum of items 122, 126, 127, and 128, minus items 123, 124, and 125.
Item 130 Applicable income taxes (foreign and domestic)
Report all applicable income taxes, both foreign and domestic, as defined in the Call Report,
Schedule RI, item 9.
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Item 131 Income (loss) before extraordinary items and other adjustments
Report the amount of item 129 minus item 130.
Item 132 Extraordinary items and other adjustments, net of income taxes
Report all extraordinary items and other adjustments, net of income taxes, as defined in the Call
Report, Schedule RI, item 11.
Item 133 Net income (loss) attributable to bank and minority interests
Report the sum of item 131 and item 132.
Item 134 Net income (loss) attributable to minority interests
Report net income (loss) attributable to minority interests, as defined in the Call Report,
Schedule RI, item 13.
Item 135 Net income (loss) attributable to bank
Report the amount of item 133 minus item 134.
Item 136 Effective Tax Rate (%)
Report the amount of item 133 divided by item 134, multiplied by 100.
Repurchase Reserve / Liability for Mortgage Reps & Warranties
Item 137 Reserve, prior quarter
Report the amount of any reserve or accrued liability that was established in the prior quarter for
losses related to sold or government-insured mortgage loans (first or second lien).
Item 138 Provisions during the quarter
Report the amount of provisions during the quarter to the repurchase reserve/liability for
mortgage representations and warranties.
Item 139 Net charges during the quarter
Report the amount of net charges (charges less recoveries) during the quarter to the repurchase
reserve/liability for mortgage representations and warranties. Losses charged to this reserve can
occur through contractual repurchases, settlement agreement, or litigation loss, including losses
related to claims under securities law or fraud claims.
Item 140 Reserve, current quarter
Report the sum of items 137 and 138 minus item 139.
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B. BALANCE SHEET
For each scenario, input the loan balance projections in the various line items in this
worksheet. Balance projections for HFI loan (held for investment) should be reported in the
appropriate line items in the “Loans Held for Investment at Amortized Cost”. Balances for HFS
or HFI loans under the fair value option should be reported in the appropriate line items in
the “Loans Held for Sale and Loans Accounted for Under the Fair Value Option” section.
MDRM codes are provided within the ‘Notes’ column for many of the line items. When
applicable, the definition of the bank’s projections should correlate to the definitions outlined
by the corresponding MDRM code within the Call Report.
Domestic refers to portfolios in the domestic US offices (as defined in the Call Report), and
International refers to portfolios outside of the domestic US offices.
Explain any M&A and divestitures included and how they are funded (liabilities, asset sales, etc.)
Securities
Item 1 Held to Maturity (HTM)
Report the amount of held-to-maturity securities, as defined in the Call Report, Schedule RC, item 2.a.
Item 2 Available for Sale (AFS)
Report the amount of available-for-sale securities, as defined in the Call Report, Schedule RC, item 2.b.
Item 3 Total Securities
This item is a shaded cell and is derived from the sum of items 1 and2.
Item 4 Securitizations (investment grade)
Investment grade is defined that the entity to which the banking organization is exposed through a
loan or security, or the reference entity with respect to a credit derivative, has adequate capacity to
meet financial commitments for the projected life of the asset or exposure. Such an entity or
reference entity has adequate capacity to meet financial commitments if the risk of its default is low
and the full and timely repayment of principal and interest is expected.
Item 5 Securitizations (non-investment grade)
Securitizations that do not meet the investment grade definition above.
Total Loans and Leases
Item 6 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 7, 10, 13 and 19.
Item 7 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 8 and 9.
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Item 8 First lien mortgages
Report loans secured by first liens on 1 to 4 family residential properties, excluding closed-end first
lien home equity loans (reported in item 7).
Item 9 First lien home equity loans (HELOANS)
Report all closed-end first lien home equity loans.
Item 10 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 11 and 12.
Item 11 Closed-end junior loans
Report all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential
properties, as defined in the Call Report, Schedule RC-C, item 1.c.(2)(b).
Item 12 Home equity lines of credit (HELOCS)
Report the amount outstanding under revolving, open-end lines of credit secured by 1 to 4 family
residential properties, as defined in the Call Report, Schedule RC-C, item 1.c.(1).
Item 13 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 14, 15, and 16.
Item 14 Construction
Report construction, land development, and other land loans, as defined in the Call Report, Schedule
RC-C, items 1(a)(1) and 1(a)(2).
Item 15 Multifamily
Report loans secured by multifamily (5 or more) residential properties, as defined in the Call
Report, Schedule RC-C, item 1(d).
Item 16 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 17 and 18.
Item 17 Owner-occupied
Report loans secured by owner-occupied nonfarm nonresidential properties, as defined in the Call
Report, Schedule RC-C, item 1(e)(1).
Item 18 Non-owner-occupied
Report nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm
nonresidential properties, as defined in the Call Report, Schedule RC-C, item 1(e)(2).
Item 19 Loans secured by farmland
Report all loans secured by farmland, as defined in the Call Report, Schedule RC-C, item 1(b).
Item 20 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 21, 22, 23 and 29.
Item 21 First lien mortgages (Not in domestic offices)
Report all closed-end loans secured by first liens on 1 to 4 family residential properties, not held in
24 | P a g e
domestic offices.
Item 22 Second/junior lien mortgages (Not in domestic offices)
Report all loans secured by second/junior (i.e., other than first) liens on 1 to 4 family residential
properties, not held in domestic offices.
Item 23 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 24, 25, and 26.
Item 24 Construction (Not in domestic offices)
Report construction, land development, and other land loans, as defined in the Call Report, Schedule
RC-C, items 1(a)(1) and 1(a)(2), not held in domestic offices.
Item 25 Multifamily (Not in domestic offices)
Report loans secured by multifamily (5 or more) residential properties, as defined in the Call
Report, Schedule RC-C, item 1(d), not held in domestic offices.
Item 26 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 27 and 28.
Item 27 Owner-occupied (Not in domestic offices)
Report loans secured by owner-occupied nonfarm nonresidential properties, as defined in the Call
Report, Schedule RC-C, item 1(e)(1), not held in domestic offices.
Item 28 Non-owner-occupied (Not in domestic offices)
Report nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm
nonresidential properties, as defined in the Call Report, Schedule RC-C, item 1(e)(2), not held in
domestic offices.
Item 29 Loans secured by farmland (Not in domestic offices)
Report all loans secured by farmland, as defined in the Call Report, Schedule RC-C, item 1(b), not
held in domestic offices.
Item 30 C&I Loans
This item is a shaded cell and is derived from the sum of items 31, 32, 33 and 34.
Item 31 C&I Graded
Report all graded commercial and industrial (C&I) loans. Report only loans “graded” or “rated”
using the reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s
normal course of business. This includes domestic and international business and corporate credit
card or charge card loans for which a commercially graded corporation is ultimately responsible for
repayment of credit losses incurred.
Item 32 Small Business (Scored/Delinquency Managed)
Report all "scored" or "delinquency managed" U.S. small business loans for which a commercial
internal risk rating is not used or that uses a different scale than other corporate loans reported in
the Call Report on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule RC-C. Exclude
corporate and small business credit card loans included on line 4.a of schedule RC-C.
Item 33 Corporate Card
25 | P a g e
Report loans extended under corporate credit cards. Report at the control account level or the
individual pay level (not at the sub-account level). Corporate cards include employer-sponsored
credit cards for use by a company's employees. Exclude corporate card loans included in Item 31
(C&I Graded Loans).
Item 34 Business Card
Report loans extended under business credit cards. Business cards include small business credit
card accounts where the loan is underwritten with the sole proprietor or primary business owner
as applicant. Report at the control account level or the individual pay level (not at the sub-account
level).
Item 35 Credit Cards
This item is a shaded cell and is derived from the sum of items 36 and 37.
Item 36 Charge Cards
Report loans extended under consumer general purpose or private label credit cards that have
terms and conditions associated with a charge card. Instead of having a stated interest rate, charge
cards have an annual fee and an interchange fee. Also customers must pay off the loan within the
billing cycle, which is typically one month. General purpose charge cards are credit cards that can
be used at a wide variety of merchants, including any who accept MasterCard, Visa, American
Express or Discover credit cards. Include affinity, co-brand cards in this category, and students card
if applicable. Private label charge cards are credit cards, also known as proprietary credit cards,
tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas
cards in this loan type.
Item 37 Bank Cards
Report loans extended under consumer general purpose or private label credit cards that have
terms and conditions associated with a bank card. A bank card will have a stated interest rate and a
minimum payment amount due within the billing cycle. General purpose bank cards are credit cards
that can be used at a wide variety of merchants, including any who accept MasterCard, Visa,
American Express or Discover credit cards. Include affinity, co-brand cards in this category, and
student cards if applicable. Private label bank cards are credit cards, also known as proprietary
credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include
oil & gas cards in this loan type.
Item 38 Other Consumer
This item is a shaded cell and is derived from the sum of items 39, 40, 41 and 42.
Item 39 Auto Loans
Report all auto loans, as defined in the Call Report, Schedule RC-C, item 6(c).
Item 40 Student Loans: Report all student loans.
Item 41 Other (consumer) loans backed by securities (non-purpose lending)
Report other consumer loans that are backed by securities (i.e., non-purpose lending).
Item 42 Other (consumer)
Report all other consumer loans not reported in items 39, 40 or 41.
26 | P a g e
Item 43 Other Loans
This item is a shaded cell and is derived from the sum of items 44, 45, 46, 47 and 48.
Item 44 Loans to Foreign Governments
Report all loans to foreign governments, as defined in the Call Report, Schedule RC-C, item 7.
Exclude loans to foreign governments included in Item 32 (Small Business Loans).
Item 45 Agricultural Loans
Report all agricultural loans, as defined in the Call Report, Schedule RC-C, item 3. Exclude
agricultural loans included in Item 32 (Small Business Loans).
Item 46 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report all loans for purchasing or carrying securities (secured or unsecured), as defined in the Call
Report, Schedule RC-C, item 9.b.(1). Exclude loans for purchasing or carrying securities included
in Item 32 (Small Business Loans).
Item 47 Loans to Depositories and Other Financial Institutions
Report all loans to depositories and other financial Institutions (secured or unsecured), as defined
in the Call Report, Schedule RC-C, items 2.a, 2.b, and 9.a. Exclude loans to depositories and other
financial institutions included in Item 32 (Small Business Loans).
Item 48 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 49 and 50.
Item 49 All Other Loans (exclude consumer loans)
Report all other loans (excluding consumer loans), as defined in the Call Report, Schedule RC-C, item
9.b.(2). Exclude all other loans included in Item 32 (Small Business Loans).
Item 50 All Other Leases
Report all other leases (excluding consumer leases), as defined in the Call Report, Schedule HC-C, item
10.b. Exclude all other leases included in Item 32 (Small Business Loans).
Item 51 Total Loans and Leases
Report the sum of items 6, 20, 30, 35, 38 and 43.
Loans HFI at Amortized Cost
Item 52 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 53, 56, 59 and 65.
Item 53 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 54 and 55.
Item 54 First lien mortgages
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by
first liens on 1 to 4 family residential properties, excluding closed-end first lien home equity loans
(reported in item 53).
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Item 55 First lien home equity loans (HELOANS)
Report loans held for investment accounted for at amortized cost on all closed-end first lien home
equity loans.
Item 56 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 57 and 58.
Item 57 Closed-end junior loans
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by
junior (i.e., other than first) liens on 1 to 4 family residential properties.
Item 58 Home equity lines of credit (HELOCS)
Report loans held for investment accounted for at amortized cost on the amount outstanding under
revolving, open-end lines of credit secured by 1 to 4 family residential properties.
Item 59 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 60, 61, and 62.
Item 60 Construction
Report loans held for investment accounted for at amortized cost on construction, land
development, and other land loans, as defined in the Call Report, Schedule RC-C, items 1(a)(1)
and 1(a)(2).
Item 61 Multifamily
Report loans held for investment accounted for at amortized cost on loans secured by multifamily (5
or more) residential properties, as defined in the Call Report, Schedule RC-C, item 1(d).
Item 62 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 61 and 62.
Item 63 Owner-occupied
Report loans held for investment accounted for at amortized cost on loans secured by owneroccupied nonfarm nonresidential properties, as defined in the Call Report, Schedule RC-C, item
1(e)(1).
Item 64 Non-owner-occupied
Report loans held for investment accounted for at amortized cost on nonfarm nonresidential real
estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined
in the Call Report, Schedule RC-C, item 1(e)(2).
Item 65 Loans secured by farmland
Report loans held for investment accounted for at amortized cost on all loans secured by farmland,
as defined in the Call Report, Schedule RC-C, item 1(b).
Item 66 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 67, 68, 69 and 75.
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Item 67 First lien mortgages (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by
first liens on 1 to 4 family residential properties, not held in domestic offices.
Item 68 Second/junior lien mortgages (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all loans secured by
second/junior (i.e., other than first) liens on 1 to 4 family residential properties, not held in
domestic offices.
Item 69 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 70, 71, and 72.
Item 70 Construction (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on construction, land
development, and other land loans, as defined in the Call Report, Schedule RC-C, items 1(a)(1)
and 1(a)(2), not held in domestic offices.
Item 71 Multifamily (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on loans secured by multifamily
(5 or more) residential properties, as defined in the Call Report, Schedule RC-C, item 1(d), not held
in domestic offices.
Item 72 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 73 and 74.
Item 73 Owner-occupied (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on loans secured by owneroccupied nonfarm nonresidential properties, as defined in the Call Report, Schedule HC-C, item
1(e)(1), not held in domestic offices.
Item 74 Non-owner-occupied (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on nonfarm nonresidential real
estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined
in the Call Report, Schedule RC-C, item 1(e)(2), not held in domestic offices.
Item 75 Loans secured by farmland (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all loans secured by farmland,
as defined in the Call Report, Schedule RC-C, item 1(b), not held in domestic offices.
Item 76 C&I Loans
This item is a shaded cell and is derived from the sum of items 77, 78 and 79.
Item 77 C&I Graded
Report loans held for investment accounted for at amortized cost on all graded commercial and
industrial (C&I) loans. Report only loans “graded” or “rated” using the reporting entity’s
commercial credit rating system, as it is defined in the reporting entity’s normal course of business.
This includes domestic and international business and corporate credit card or charge card loans
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for which a commercially graded corporation is ultimately responsible for repayment of credit
losses incurred.
Item 78 Small Business (Scored/Delinquency Managed)
Report loans held for investment accounted for at amortized cost on small business loans. Report
all "scored" or "delinquency managed" U.S. small business loans for which a commercial internal
risk rating is not used or that uses a different scale than other corporate loans reported in the Call
Report on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule RC-C. Exclude corporate and
small business credit card loans included on line 4.a of schedule RC-C.
Item 79 Business and Corporate Card
Report loans held for investment accounted for at amortized cost on loans extended under business
and corporate credit cards. Business cards include small business credit card accounts where the
loan is underwritten with the sole proprietor or primary business owner as applicant. Report at the
control account level or the individual pay level (not at the sub-account level). Corporate cards
include employer-sponsored credit cards for use by a company's employees. Exclude corporate card
or charge card loans included in Item 77 (C&I Graded Loans).
Item 80 Credit Cards
Report loans held for investment accounted for at amortized cost on loans extended under
consumer general purpose or private label credit cards. General purpose credit cards are credit
cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa,
American Express or Discover credit cards. Include affinity, co-brand cards in this category, and
student cards if applicable. Private label credit cards are credit cards, also known as proprietary
credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores.
Include oil & gas cards in this loan type.
Item 81 Other Consumer
This item is a shaded cell and is derived from the sum of items 82, 83, 84 and 85.
Item 82 Auto Loans
Report loans held for investment accounted for at amortized cost on auto loans, as defined in the Call
Report, Schedule RC-C, item 6(c).
Item 83 Student Loans
Report loans held for investment accounted for at amortized cost on student loans.
Item 84 Other (consumer) loans backed by securities (non-purpose lending)
Report loans held for investment accounted for at amortized cost on other consumer loans that are
backed by securities (i.e., non-purpose lending).
Item 85 Other (consumer)
Report loans held for investment accounted for at amortized cost on all other consumer loans not
reported in items 82, 83 or 84.
Item 86 Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 87, 88, 89, 90 and 91.
Item 87 Loans to Foreign Governments
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Report loans held for investment accounted for at amortized cost on loans to foreign governments,
as defined in the Call Report, Schedule HC-C, item 7. Exclude loans to foreign governments included
in Item 78 (Small Business Loans).
Item 88 Agricultural Loans
Report loans held for investment accounted for at amortized cost on agricultural loans, as defined in
the Call Report, Schedule RC-C, item 3. Exclude agricultural loans included in Item 78 (Small Business
Loans).
Item 89 Loans for Purchasing or Carrying Securities (secured or unsecured) Report loans held
for investment accounted for at amortized cost on loans for purchasing or carrying securities
(secured or unsecured), as defined in the Call Report, Schedule RC-C, item 9.b.(1). Exclude loans for
purchasing or carrying securities included in Item 78 (Small Business Loans).
Item 90 Loans to Depositories and Other Financial Institutions
Report loans held for investment accounted for at amortized cost on loans to depositories and other
financial Institutions (secured or unsecured), as defined in the Call Report, Schedule RC-C, items 2.a,
2.b, and 9.a. Exclude loans to depositories and other financial institutions included in Item 78 (Small
Business Loans).
Item 91 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 92 and 93.
Item 92 All Other Loans (exclude consumer loans)
Report loans held for investment accounted for at amortized cost on all other loans (excluding
consumer loans), as defined in the Call Report, Schedule RC-C, item 9.b.(2). Exclude all other
loans included in Item 78 (Small Business Loans).
Item 93 All Other Leases
Report loans held for investment accounted for at amortized cost on all other leases (excluding
consumer leases), as defined in the Call Report, Schedule RC-C, item 10.b. Exclude all other
leases included in Item 78 (Small Business Loans).
Item 94 Total Loans and Leases
Report the sum of items 52, 66, 76, 80, 81 and 86.
HFS Loans and Loans Under Fair Value Option
Item 95 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 96, 97, 98 and 99.
Item 96 First Lien Mortgages
This item is a shaded cell and is derived as item 7 minus item 53.
Item 97 Second/Junior Lien Mortgages
This item is a shaded cell and is derived as item 10 minus item 56.
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Item 98 Commercial real estate (CRE) loans
This item is a shaded cell and is derived as item 13 minus item 59.
Item 99 Loans secured by farmland
This item is a shaded cell and is derived as item 19 minus item 65.
Item 100 Real estate loans (not in domestic offices)
This item is a shaded cell and is derived from the sum of items 101, 102 and 103.
Item 101 Residential Mortgages (not in domestic offices)
This item is a shaded cell and is derived as the sum of items 21 and 22 minus items 67 and 68.
Item 102 Commercial real estate (CRE) loans (not in domestic offices)
This item is a shaded cell and is derived as item 23 minus item 69.
Item 103 Loans secured by farmland (not in domestic offices)
This item is a shaded cell and is derived as item 29 minus item 75.
Item 104 C&I Loans
This item is a shaded cell and is derived as item 30 minus item 76.
Item 105 Credit Cards
This item is a shaded cell and is derived as item 35 minus item 80.
Item 106 Other Consumer
This item is a shaded cell and is derived as item 38 minus item 81.
Item 107 All Other Loans and Leases
This item is a shaded cell and is derived as item 41 minus item 84.
Item 108 Total Loans and Leases Held for Sale and Loans and Leases Accounted for under
the Fair Value Option
This item is a shaded cell and is derived from the sum of items 95, 100, 104, 105, 106 and 107.
Item 109 Unearned Income on Loans
Report all unearned income on loans, as defined in the Call Report, Schedule RC-C, item 11, Column A.
Item 110 Allowance for Loan and Lease Losses
This item is a shaded cell and is carried over from item 117 of the Income Statement Worksheet.
Item 111 Loans and Leases (Held for Investent and Held for Sale) Net of Unearned
Income and Allowance for Loan and Lease Losses
This item is a shaded cell and is derived as item 51 minus items 109 and 110.
Trading
Item 112 Trading Assets
Report trading assets, as defined in the Call Report, Schedule RC, item 5.
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Intangibles
Item 113 Goodwill
Report goodwill, as defined in the Call Report, Schedule RC, item 10.a.
Item 114 Mortgage Servicing Rights
Report all mortgage servicing rights, as defined in the Call Report, Schedule RC-M, item 2.a.
Item 115 Purchased Credit Card Relationships and Nonmortgage Servicing Rights Report all
purchased credit card relationships and nonmortgage servicing rights, as defined in the Call Report,
Schedule RC-M, item 2.b.
Item 116 All Other Identifiable Intangible Assets
Report all other intangible assets, as defined in the Call Report, Schedule RC-M, item 2.c.
Item 117 Total Intangible Assets
This item is a shaded cell and is derived from the sum of items 113, 114, 115 and 116.
Other (Assets)
Item 118 Cash and cash equivalent
Report cash and cash equivalent, as defined in the Call Report, Schedule RC, items 1.a., 1.b.
Item 119 Federal Funds Sold
Report federal funds sold in domestic offices, as defined in the Call Report, Schedule RC, item 3.a.
Item 120 Securities Purchased under Agreements to Resell
Report securities purchased under agreements to resell, as defined in the Call Report, Schedule
RC, item 3.b.
Item 121 Premises and Fixed Assets
Report all premises and fixed assets, as defined in the Call Report, Schedule RC, item 6.
Item 122 Other Real Estate Owned (OREO)
This item is a shaded cell and is derived from the sum of items 123, 124 and 125.
Item 123 Commercial
Report the net book value of all other real estate owned in the form of, or for which the underlying
real estate consists of, commercial real estate.
Item 124 Residential
Report the net book value of all other real estate owned in the form of, or for which the underlying
real estate consists of, residential real estate.
Item 125 Farmland
Report the net book value of all other real estate owned in the form of, or for which the underlying
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real estate consists of, farmland.
Item 126 Collateral Underlying Operating Leases for Which the Bank is the Lessor
This item is a shaded cell and is derived from the sum of items 127 and 128.
Item 127 Autos
Report the carrying amount of automobiles rented to others under operating leases, net of
accumulated depreciation. The amount reported should only reflect collateral rented under
operating leases and should not include collateral subject to capital/financing type leases.
Item 128 Other
Report the carrying amount of any equipment or other assets (other than automobiles) rented to
others under operating leases, net of accumulated depreciation. The amount reported should only
reflect collateral rented under operating leases and should not include collateral subject to
capital/financing type leases.
Item 129 Other assets
Report all other assets, as defined in the Call Report, Schedule RC, sum of items 1.a, 1.b., 3.a,
3.b, 8, 9 and 11, minus item 126 (above).
Item 130 Total Other (assets)
This item is a shaded cell and is derived from the sum of items 121 and 129.
Item 131 Total Assets
This item is a shaded cell and is derived from the sum of items 3, 111, 112, 117 and 130.
Liabilities
Item 132 Deposits in Domestic Offices
Report all deposits in domestic offices, as defined in the Call Report, Schedule RC, items 13.a.(1) and
13.a.(2).
Item 133 Deposits in Foreign Offices
Report all deposits in foreign offices, as defined in the Call Report, Schedule RC, items 13.b.(1) and
13.b.(2).
Item 134 Deposits
This item is a shaded cell and derived from the sum of items 132 and 133.
Item 135 Federal Funds Purchased and Repurchase Agreements
Report all federal funds purchased and repurchase agreements, as defined in the Call Report,
Schedule RC, items 14.a and 14.b.
Item 136 Trading Liabilities
Report all trading liabilities, as defined in the Call Report, Schedule RC, item 15.
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Item 137 Other Borrowed Money
Report other borrowed money, as defined in the Call Report, Schedule RC, item 16.
Item 138 Subordinated Notes and Debentures
Report subordinated notes and debentures, as defined in the Call Report, Schedule RC, item 19.a.
Item 140 Other liabilities
Report other liabilities, as defined in the Call Report, Schedule RC, item 20.
Item 141 Memo: Allowance for off-balance sheet credit exposures
Report the allowance for off-balance sheet credit exposures, as defined in the Call Report, Schedule
RC-G, item 3.
Item 142 Total Liabilities
Report the sum of items 134 through 140.
Equity Capital
Item 143 Perpetual Preferred Stock and Related Surplus
Report all perpetual preferred stock and related surplus, as defined in the Call Report, Schedule
RC, item 23.
Item 144 Common Stock (Par Value)
Report the par value of common stock, as defined in the Call Report, Schedule RC, item 24.
Item 145 Surplus (Exclude All Surplus Related to Preferred Stock)
Report surplus (excluding surplus related to preferred stock), as defined in the Call Report, Schedule
RC, item 25.
Item 146 Retained Earnings
Report all retained earnings, as defined in the Call Report, Schedule RC, item 26.a.
Item 147 Accumulated Other Comprehensive Income (AOCI)
Report accumulated other comprehensive income (AOCI), as defined in the Call Report, Schedule
RC, item 26.b.
Item 148 Other Equity Capital Components
Report other equity capital components, as defined in the Call Report, Schedule RC, item 26.c.
Item 149 Total Bank Equity Capital
Report the sum of items 143 through 148.
Item 150 Noncontrolling (Minority) Interests in Consolidated Subsidiaries
Report all noncontrolling (minority) interests in consolidated subsidiaries, as defined in the Call
Report, Schedule RC, item 27.b.
Item 151 Total Equity Capital
Report the sum of items 149 and 150.
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Item 152 Unused Commercial Lending Commitments and Letters of Credit
Report all unused commercial lending commitments and letters of credit, as defined in the Call
Report, Schedule RC-L, items 1.c.(1), 1.c.(2), 1.e.(1), 1.e.(2), 1.e.(3), 2, 3, and 4.
C. GENERAL RWA
All national banks and Federal savings associations (hereafter “banks”) must complete “General
RWA” worksheet including advanced approaches banks that have exited parallel run due to the
floor requirement per the Collins Amendment under Section 171 of the Dodd-Frank Act.
For the “General RWA” worksheet:
• All banks are required to report credit risk-weighted assets using the methodologies per the
current general risk-based capital rules for all projection quarters.
•
•
For projection quarters 1Q2015 onward all banks are required to report credit riskweighted assets using the methodologies under the standardized approach of the revised
regulatory capital rule (July 2013) within the “Standardized Approach” section of the
“General RWA” worksheet.
Banks that are subject to market risk capital requirements at the as of date are required to
complete the market risk-weighted asset section within the worksheet. However, if a bank
projects to meet the trading activity threshold that would require it to be subject to the
market risk capital requirements during the forecast period, then the bank should complete
the market risk-weighted asset section within the worksheet. Please refer to the final
market risk capital rule released by the U.S. banking agencies (77 Federal Register 53060,
August 30, 2012) for details of the requirements of the rule.
Item 1 General Credit RWA (General risk-based capital rules)
This item is a shaded cell and is derived from item 7.
Item 2 Credit RWA per Standardized Approach (Revised capital rule, July 2013)
This item is a shaded cell and is derived from item 18.
Item 3 Market RWA
This item is a shaded cell and is derived from item 42.
Item 4 Other RWA and Adjustments
This item is a shaded cell and is derived from item 58 less items 59 or 60 and 61.
Item 5 Total RWA (General risk-based capital rules)
This item is a shaded cell and is derived from item 62.
Item 6 Total RWA (Standardized Approach per revised capital rule, July 2013)
This item is a shaded cell and is derived from item 63.
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General Credit Risk
General Credit Risk (Including counterparty credit risk and non-trading credit risk)
Report credit risk-weighted assets using the methodologies per the current general risk-based
capital rules.
Item 7 General RWA
This item is a shaded cell and is derived from the sum of items 8 through 17.
Items 8 through 17 Various
Definition of the bank’s projections should correlate to the definitions outlined by the corresponding
MDRM code (shown in column C) of the Call Report multiplied by the applicable credit conversion
factor and/or risk-weight.
Standardized Approach (Revised Capital Rule, July 2013)
Credit RWA using methodologies in the standardized approach for the applicable quarter.
Item 18 RWA per Standardized Approach
This item is a shaded cell and is derived from the sum of items 19 through 41.
Items 19 to 41 Various
Credit RWA using methodologies under the standardized approach of the revised regulatory capital
rule for the applicable quarter. For more guidance on the Standardized Approach refer to the
Revised Regulatory Capital Rule for additional information:
http://www.occ.treas.gov/news-issuances/news-releases/2013/nr-occ-2013-110.html
For line item 34, “Other revised regulatory capital rule risk-weight items,” include RWA of the
threshold deduction items (mortgage servicing assets, certain deferred tax assets, and investments
in the common equity of financial institutions) that are not deducted and subject to risk weight of
250 percent. In addition, certain high-risk exposures such as credit-enhancing interest only (CEIO)
strips that receive 1,250 percent risk weight should be included in this line.
Market Risk
If a bank does not have a particular portfolio or no trading book at all, risk-weighted assets should
be reported as 0.
Item 42 Market RWA
This item is a shaded cell and is derived from the sum of items 43, 44, 45, 46, 47, 50 and 57.
Item 43 Value-at-risk (VaR)-based capital requirement
Report the greater of previous day’s VaR-based measure or average of daily VaR-based measure for
each of the preceding 60 business days with applicable multiplication factor. VaR-based measure
should be inclusive of all sources of risks that are included in the VaR calculation.
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Item 44 Stressed VaR-based capital requirement
Report the greater of most recent stressed VaR-based measure or average of stressed VaR-based
measures for the preceding 12 weeks with applicable multiplication factor. Stressed VaR-based
measure should be inclusive of all sources of risks that are included in the stressed VaR calculation.
Item 45 Incremental risk capital requirement
Report the greater of most recent increment risk measure or average of incremental risk measures
for the preceding 12 weeks.
Item 46 Comprehensive risk capital requirement (excluding non-modeled correlation)
Report the greater of most recent comprehensive risk measure or average of comprehensive risk
measures for the preceding 12 weeks. RWA equivalent for exposures in the correlation trading
portfolio which are subject to the comprehensive risk measurement, inclusive of the application of
the 8% surcharge based on the standardized measurement method.
Item 47 Non-modeled Securitization
This item is a shaded cell and is derived from the maximum of items 48 and 49. The capital charge
(or RWA equivalent) for non-modeled traded securitization, including securitization positions that
are not correlation trading positions and non-modeled correlation trading positions, is the larger of
the net long and net short positions. For purposes of DFAST submission, traded securitization
exposures subject to a 1250% risk weight or the equivalent of a deduction should be captured here
by including values in lines 48 and 49.
Item 48 Net Long
Report the RWA equivalent according to the standardized measurement method for net long nonmodeled securitization exposures including nth-to-default credit derivatives. For purposes of
DFAST submission, traded securitization exposures subject to a 1250% risk weight or the equivalent
of a deduction should be included here.
Item 49 Net Short
Report the RWA equivalent according to the standardized measurement method for net short nonmodeled securitization exposures including nth-to-default credit derivatives. For purposes of
DFAST submission, traded securitization exposures subject to a 1250% risk weight or the equivalent
of a deduction should be included here.
Item 50 Specific risk add-on (excluding securitization and correlation)
This item is a shaded cell and is derived from sum of items 51 through 56. RWA equivalent for
specific risk based on the standardized measurement method as applicable. This should not include
RWA according to the standardized measurement method for exposures included in the correlation
trading portfolio or the standardized approach for other non-correlation related traded
securitization exposures.
Item 51 Sovereign debt positions
Report specific risk add-ons for sovereign debt positions for which the bank’s VaR-based measure
does not capture all material aspects of specific risk.
Item 52 Government sponsored entity (GSE) debt positions
Report specific risk add-ons for GSE debt positions for which the bank’s VaR-based measure does
not capture all material aspects of specific risk.
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Item 53 Depository institution, foreign bank, and credit union debt positions
Report specific risk add-ons for depository institutions, foreign banking organization, and credit
union debt positions, for which the bank’s VaR-based measure does not capture all material aspects
of specific risk.
Item 54 Public sector entity (PSE) debt positions
Report total specific risk add-on for PSE debt positions, for which the bank’s VaR-based measure
does not capture all material aspects of specific risk.
Item 55 Corporate debt positions
Report Specific risk add-on for corporate debt positions, for which the bank’s VaR-based measure
does not capture all material aspects of specific risk.
Item 56 Equity
Report specific risk add-on for equity positions, for which the banks VaR-based measure does not
capture all material aspects of specific risk.
Item 57 Capital requirement for de minimis exposures
Report the RWA equivalent for de minimis positions that are not captured in the VaR-based
measure.
Item 58 Other RWA
If the bank is unable to assign RWA to one of the above categories, even on a best-efforts basis, they
should be reported in this line.
Item 59 Excess allowance for loan and lease losses (General risk-based capital rules)
Definition of the bank’s projections should correlate to the definitions outlined by the corresponding
MDRM code (shown in column C) of the Call Report where applicable.
Item 60 Excess allowance for loan and lease losses (Revised capital rule, July 2013)
Report excess allowance for loan and lease losses per the Revised Regulatory Capital Rule.
Item 61 Allocated transfer risk reserve
Definition of the bank’s projections should correlate to the definitions outlined by the corresponding
MDRM code (shown in column C) of the Call Report where applicable.
Item 62 Total RWA (General risk-based capital rules)
This item is a shaded cell and is derived from the sum of items 7, 42, and 58 less items 59 and 61.
Item 63 Total RWA (Standardized Approach per revised capital rule, July 2013)
This item is a shaded cell and is derived from the sum of items 18, 42, and 58 less items 60 and 61.
Memoranda for Derivative Contracts
Provide balances (and not in terms of RWA) consistent with Call Report instructions for each MDRM
code.
Items 64 through 72 Various
Definition of the bank’s projections should correlate to the definitions outlined by the corresponding
MDRM code (shown in column C) of the Call Report.
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C.2 ADVANCED RWA
Only advanced approaches (AA) banks that have exited parallel run are required to complete the
“Advanced RWA" worksheet.
Banks subject to subpart E of the revised regulatory capital rule that have exited the parallel run
process and that have received notification from its primary Federal supervisor under section
121(d) of the advanced approaches rule are required to complete the “Advanced RWA” worksheet.
For the purpose of completing the “Advanced RWA” worksheet, banks that have exited parallel run
are required to report credit and operational risk-weighted assets using the methodologies in the
current advanced approaches capital rules (72 Federal Register 69288, December 7, 2007) for the
reporting quarters through 4Q2013. For subsequent quarters, banks that have exited parallel run
are required to report credit and operational risk-weighted assets using the methodologies under
the advanced approaches of the revised regulatory capital rule (July 2013).
MDRM codes have been included in the worksheet (column C) and correspond to the definitions for
the FFIEC 101 line items where applicable.
Banks that are subject to market risk capital requirements at the as of date are required to complete
the market risk-weighted asset section within the worksheet. However, if a banks projects to meet
the trading activity threshold that would require it to be subject to the market risk capital
requirements during the forecast period, then the bank should complete the market risk-weighted
asset section within the worksheet. Please refer to the final market risk capital rule released by the
U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for details of the requirements
of the rule.
Item 1 Advanced Approaches Credit RWA
This item is a shaded cell and is derived from item 6.
Item 2 Advanced Approaches Operational RWA
This item is a shaded cell and is derived from item 61.
Item 3 Market RWA
This item is a shaded cell and is derived from item 63.
Item 4 Other RWA and Adjustments
This item is a shaded cell and is derived from item 79 less item 80.
Item 5 Total RWA
This item is a shaded cell and is derived from item 81.
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AA Credit Risk with 1.06 Scaling Factor and Operational Risk
Item 6 Advanced Approaches Credit RWA
This item is a shaded cell and is derived from sum of items 7, 18, 25, 37 or 38, 52, 54, 55, and 60.
Items 7 through 62 Various
Definition of the bank’s projections should correlate to the definitions outlined by the corresponding
MDRM code (shown in column C) of the FFIEC 101 report per the current advanced approaches
capital rules (72 Federal Register 69288, December 7, 2007) for reporting periods through 4Q2013
and per under the advanced approaches of the revised regulatory capital rule (July 2013) for
reporting periods 1Q2014 and onward.
Market Risk
If a bank does not have a particular portfolio or no trading book at all, risk-weighted assets should
be reported as 0.
For items 63 through 78, refer to instructions for items 42 through 57, respectively, for
market risk under the “General RWA” worksheet.
Item 79 Other RWA
If the bank is unable to assign RWA to one of the above categories, even on a best-efforts basis, they
should be reported in this line.
Item 80 Excess eligible credit reserves not included in tier 2 capital
Include excess eligible credit reserves not included in tier 2 capital, consistent with the current
advanced approaches capital rules (72 Federal Register 69288, December 7, 2007) for reporting
periods through 4Q2013 and the advanced approaches of the revised capital rule (July 2013) for
reporting periods 1Q2014 and onward.
Item 81 Total RWA
This item is a shaded cell and is derived from sum of items 6, 61, 63, and 79 less item 80.
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D. CAPITAL
The Capital worksheet collect projections of the main drivers of equity capital and the key
components of the regulatory capital schedule. MDRM codes are provided in the ‘Notes’ column
for many of the line items.
The schedule collects projections of components of equity capital and regulatory capital (as
reported in Call Report schedules RI-A and RC-R), components of assets and liabilities (as reported
in schedules RC, RC- F, RC-G), and deferred tax asset items.
The projections for 4Q13 should follow the definitions currently used in the Call Report and FFIEC
101 reports and found in the OCC’s risk based capital guidelines. Thereafter (i.e., beginning in
1Q2014), advanced approaches banks must follow the revised regulatory capital rule with regards
to capital projections, while non-advanced approaches banks will continue to use the existing
general risk-based capital rules until 4Q2014.
In the event that a bank has exited parallel run, the bank must report capital through 4Q2013
consistent with the advanced approaches rule (72 Federal Register 69288), after which the bank is
required to provide projections based on the revised regulatory capital rule. Advanced-approaches
banks are to provide capital projections following the guidance and definitions for common equity
Tier 1, Tier 1 capital, and Tier 2 capital in accordance with the revised regulatory capital rule,
beginning in 1Q2014.
Non-advanced approaches banks are required to provide capital projections following the revised
regulatory capital rule guidance starting 1Q2015.
For the purposes of reporting items 1, 2 and 4 through 16, banks should report data on a quarterto-date basis. All other data collected in the Capital worksheet should be reported on a quarterly
basis and not on a year-to-date, cumulative basis.
Banks are required to provide projections of Tier 1 common capital, Tier 1 capital, and total capital
based on the general risk-based capital rule for all quarters.
Tier 1 common capital is defined as Tier 1 capital less non-common elements 1, including perpetual
preferred stock and related surplus, minority interest in subsidiaries, trust preferred securities, and
mandatory convertible preferred securities.
The projections should clearly show any proposed capital distributions or other scenariodependent actions that would affect the banks regulatory capital.
1
For purposes of reporting item 24, “Qualifying restricted core capital elements”, banks should treat
the phase-out of trust preferred securities (TruPS) in a manner consistent with the final rule. That
is, advanced-approaches banks should begin to adopt a 50 percent phase-out approach of their nonqualifying tier 1 capital instruments (including TruPS) beginning in 1Q14, 25 percent beginning in
Non-common elements should include the following items captured in the Call Report: Schedule RC, line item 23
net of Schedule RC-R line item 5; and Schedule RC-$ line items 6a, 6b, and 6c.
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1Q15, and 0 percent as of 1Q16 and thereafter. Non-advanced approaches banks must start to
adopt the 25 percent phase-out approach starting in 1Q15.
SCHEDULE RI-A—CHANGES IN BANK EQUITY CAPITAL
Items 1 through 17: ITEMS RELATED TO SCHEDULE RI-A—CHANGES IN BANK EQUITY
CAPITAL
Item 1 Total bank equity capital most recently reported for the end of previous QUARTER
Report total bank equity capital most recently reported for the end of previous quarter, as defined
in the Call Report, Schedule RI-A, item 1 (except Call Report, Schedule RI-A, item 1, is reported for
the end of the previous calendar year).
Item 2 Effect of changes in accounting principles and corrections of material
accounting errors
Report the effect of changes in accounting principles and corrections of material accounting errors,
as defined in the Call Report, Schedule RI-A, item 2.
Item 3 Balance end of previous QUARTER as restated
Report the sum of items 1 and 2.
Item 4 Net Income (loss) attributable to bank
Report net income (loss) attributable to bank, as defined in the Call Report, Schedule RI-A, item 4.
Item 5 Sale of perpetual preferred stock, gross
Report the sale of perpetual preferred stock, gross, as defined in the Call Report, RI-A, item 5
Item 6 Conversion or retirement of perpetual preferred stock
Report the conversion or retirement of perpetual preferred stock, as defined in the Call
Report, Schedule RI-A, item 5
Item 7 Sale of common stock, gross
Report the sale of common stock, gross, as defined in the Call Report, Schedule RI-A, item 5
Item 8 Conversion or retirement of common stock
Report the conversion or retirement of common stock, as defined in the Call Report, Schedule
RI-A, item 5.
Item 11 Changes incident to business combinations, net
Report the changes incident to business combinations, net, as defined in the Call Report, Schedule RIA, item 7.
Item 12 Cash dividends declared on preferred stock
Report cash declared dividends on preferred stock, as defined in Call Report, Schedule RI-A, item 8.
Item 13 Cash dividends declared on common stock
Report cash dividends declared on common stock, per the Call Report, Schedule RI-A, item 9.
Item 14 Other comprehensive income
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Report other comprehensive income, as defined in the Call Report, Schedule RI-A, item 10.
Item 16 Other adjustments to equity capital (not included above)
Report other adjustments to equity capital. Report amounts separately and provide a text
explanation of each type of adjustment to equity capital included in this item in item M.1 at the
end of this worksheet.
Item 17 Total bank equity capital end of current period
Report the sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15 and 16, less items 10, 12 and 13.
SCHEDULE RC-R or FFIEC 101 Schedule A (applicable for advanced approaches banks that exit parallel
run only) per general risk-based capital rules. Items related to Schedule RC-R or FFIEC 101 Schedule A
(applicable for advanced approaches banks that exit parallel run only) per general risk-based capital
rules and 72 Register 69288, December 7, 2007
Tier 1 Capital
Item 18 Total bank equity capital Report the amount from item 17, above.
Item 19 Net unrealized gains (losses) on available-for-sale securities (if a gain, report as a
positive value; if a loss, report as a negative value)
Report net unrealized gains (losses) on available-for-sale securities, as defined in the Call Report,
Schedule RC-R, item 2, as well as the FFIEC 101 (Schedule A), item 2. If a gain, report as a positive
value; if a loss, report as a negative value.
Item 20 Net unrealized loss on available-for-sale equity securities (report loss as a positive
value)
Report net unrealized loss on available-for-sale equity securities, as defined in the Call Report,
Schedule RC-R, item 3, as well as the FFIEC 101 (Schedule A), item 3. Report the loss as a positive
value.
Item 21 Accumulated net gains (losses) on cash flow hedges (if a gain, report as a
positive value; if a loss, report as a negative value)
Report accumulated net gains (losses) on cash flow hedges, as defined in the Call Report, Schedule
RC-R, item 4, as well as the FFIEC 101 (Schedule A), item 4. Include amounts recorded in
accumulated other comprehensive income (AOCI) resulting from the initial and subsequent
application of FASB ASC 715-20 (former FASB No. 158) to defined benefit postretirement plans. If a
gain, report as a positive value; if a loss, report as a negative value.
Item 22 Nonqualifying perpetual preferred stock
Report nonqualifying perpetual preferred stock, as defined in the Call Report, Schedule RC-R, item 5,
as well as the FFIEC 101 (Schedule A), item 5.
Item 23 Qualifying Class A noncontrolling (minority) interests in consolidated
subsidiaries
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Report qualifying Class A noncontrolling (minority) interests in consolidated subsidiaries, as
defined in the Call Report, Schedule RC-R, item 6, as well as the FFIEC 101 (Schedule A), item 6a.
Item 26 Disallowed goodwill and other disallowed intangible assets
Report disallowed goodwill and other disallowed intangible assets, as defined in the Call
Report, Schedule RC-R, item 7.a.
Item 27 Cumulative change in fair value of all financial liabilities accounted for under a fair
value option that is included in retained earnings and is attributable to changes in the bank’s
own creditworthiness (if a net gain, report as a positive value; if a net loss, report as a
negative value)
Report the cumulative change in fair value of all financial liabilities accounted for under a fair value
option that is included in retained earnings and is attributable to changes in the bank’s own
creditworthiness, as defined in the Call Report, Schedule RC-R, item 7.b. If a net gain, report as a
positive value; if a net loss, report as a negative value.
Item 28 Subtotal
Report the sum of items 18, 23, 24 and 25, less items 19, 20, 21, 22, 26 and 27.
Item 29 Disallowed servicing assets and purchased credit card relationships
Report disallowed servicing assets and purchased credit card relationships, as defined in the Call
Report, Schedule HC-R, item 9.a.
Item 30 Disallowed deferred tax assets
Report disallowed deferred tax assets, as defined in the Call Report, Schedule RC-R, item 9.b.
Item 31 Shortfall of eligible credit reserves below total expected credit losses (50% of
shortfall plus any Tier 2 carryover) (advanced approaches banks that exit parallel run only)
Report 50 percent of the amount by which total expected credit losses exceed eligible credit
reserves in this item (plus any tier 2 carryover associated with this amount), as defined in the
FFIEC 101 (Schedule A), item 9c.
Item 32 Gain-on-sale associated with securitization exposures (advanced approaches
institutions that exit parallel run only)
Report gain-on-sale associated with securitization exposures, as defined in the FFIEC 101 (Schedule
A), item 9d.
Item 33 Certain failed capital markets transactions (50% of deductions plus any Tier 2
carryover) (advanced approaches institutions that exit parallel run only)
Report in this item 50% of the current market value of the deliverables owed to the banking
organization for non-delivery versus-payment (non-DvP) and non-payment-versus-payment (non
PvP) transactions (with a normal settlement period) where the banking organization has not
received the deliverables by the fifth business day after counterparty delivery was due, as defined
in the FFIEC 101 (Schedule A), item 9e.
Item 34 Other securitization deductions (50% of deductions plus any Tier 2 carryover)
(advanced approaches institutions that exit parallel run only)
Report in this item 50% of all non-gain-on-sale securitization exposures required to be deducted
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from capital under the final rule, as defined in the FFIEC 101 (Schedule A), item 9f.
Item 35 Insurance underwriting subsidiaries’ minimum regulatory capital (advanced
approaches banks that exit parallel run only)
For banks with consolidated insurance underwriting subsidiaries that are functionally regulated by
a state insurance regulator (or subject to comparable supervision and regulatory capital
requirements in a non U.S. jurisdiction), as defined in the FFIEC 101 (Schedule A), item 10a.
Item 36 Other additions to (deductions from) tier 1 capital
Report other additions to (deductions from) tier 1 capital, as defined in the Call Report, Schedule RCR, item 10. Report amounts separately and provide a text explanation of each type of addition to
(deduction from) tier 1 capital included in this item in item M.2 at the end of this worksheet.
Item 37 Tier 1 capital
Report the sum of items 28 and 36, less items 29 through 35.
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Tier 2 Capital
Item 38
Qualifying subordinated debt, redeemable preferred stock, and restricted core
capital elements
Report the restricted core capital elements, as defined in the Call Report, Schedule HC-R, item 12.
Item 39
Cumulative perpetual preferred stock includable in tier 2 capital Report the
appropriate tier 2 capital items as defined in the Call Report, Schedule RC-R, item 13.
Item 40
Allowance for loan and lease losses includable in tier 2 capital
Report the allowance for loan and lease losses includible in tier 2 capital as defined in the Call
Report, Schedule RC-R, item 14.
Item 41 Excess of eligible credit reserves over total expected credit loss (up to 0.60%
of credit risk-weighted assets) (advanced approaches institutions that exit parallel run only)
If eligible credit reserves exceed total ECL, then report in this item the amount by which eligible
credit reserves exceed ECL, up to a maximum amount of 0.60 percent of credit-risk-weighted assets,
as defined in the FFIEC 101 (Schedule A), item 14.
Item 42 Unrealized gains on available-for-sale equity securities includable in tier 2 capital
Report the Unrealized gains on available-for-sale equity securities includable in tier 2 capital as
defined in the Call Report, Schedule RC-R, item 15.
Item 43 Insurance underwriting subsidiaries’ minimum regulatory capital (advanced
approaches institutions that exit parallel run only)
Report in this item 50% of the insurance underwriting subsidiary’s minimum regulatory capital
requirement as described in item 10a above. If the amount deductible from tier 2 capital exceeds
the bank’s actual tier 2 capital, the bank must report the excess in item 10a above, as defined in the
FFIEC (Schedule A), item 16a.
Item 44 Other additions to (deductions from) tier 2 (advanced approaches
institutions that exit parallel run only)
Report other tier 2 capital components as defined in the FFIEC 101 (Schedule A), item 16b.
Item 45 Shortfall of eligible credit reserves below total expected credit losses (up to lower
of 50% of the shortfall or amount of Tier 2 capital) (advanced approaches institutions that
exit parallel run only)
Report in the item 50 percent of any shortfall of eligible credit reserves below total expected credit
losses, as defined in the FFIEC 101 (Schedule A), item 17a.
Item 46 Certain failed capital markets transactions (up to lower of 50% of deductions from
such failed transactions or amount of Tier 2 capital) (advanced approaches banks that exit
parallel run only)
Report in this item 50% of certain failed capital markets transactions, as defined in the FFIEC 101
(Schedule A), item 17b.
Item 47 Other securitization deductions (up to lower of 50% of deductions or amount of
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Tier 2 capital) (advanced approaches banks that exit parallel run only)
Report in this item 50% of all non-gain-on-sale securitization exposures required to be deducted
from capital under the final rule, as defined in the FFIEC 101 (Schedule A), item 17c.
Item 48 Other Tier 2 capital components
Report the amount of any items that qualify for inclusion in Tier 2 capital, as defined in the Call
Report, Schedule RC-R, item 16.
Item 49 Tier 2 capital
This is a shaded cell that is the sum of items 33 through 37.
Item 50 Allowable tier 2 capital
This is a shaded cell that equals the lesser of item 32 or 38.
Item 51 Deductions for total risk-based capital
Report deductions for total risk based capital, as defined in the Call Report, Schedule RC-R, item 20.
Item 52 Total risk-based capital
This is a shaded cell that is the sum of items 32, 39 and 40, less item 41.
Regulatory Capital per Revised Regulatory Capital Rule (July 2013) Items 53 through 121 that
specify “reflective of transition provisions” means that the transition provisions per the revised
regulatory capital rule applies and should be reflected accordingly in the line item.
AOCI Opt-Out Election
Item 53 AOCI opt-out election
Non-advanced approaches banks have a one-time election to opt-out of the requirement to
include most components of AOCI in common equity tier 1 capital (with the exception of
accumulated net gains and losses on cash flow hedges related to items that are not recognized at
fair value on the balance sheet). A bank that makes this AOCI opt-out election must make the
same election on the March 31, 2014 Call Report filing. Enter “1” to opt out or “0” to opt in.
Common Equity Tier 1
Item 54 Common stock and related surplus, net of treasury stock and unearned
employee stock ownership plan (ESOP) shares
(1) Common stock: report the amount of common stock reported in Call Report Schedule RC, item
24, provided it meets the criteria for common equity tier 1 capital based on the revised regulatory
capital rules. Include capital instruments issued by mutual banking organizations that meet the
criteria for common equity tier 1 capital.
(2) PLUS: related surplus: adjust the amount reported in Call Report Schedule RC, item 25 as
follows: include the net amount formally transferred to the surplus account, including capital
contributions, and any amount received for common stock in excess of its par or stated value on or
48 | P a g e
before the report date; exclude adjustments arising from treasury stock transactions.
(3) LESS: treasury stock, unearned ESOP shares, and any other contra-equity components.
Item 55 Retained earnings
Report the amount of the banks retained earnings as reported in Call Report Schedule RC, item
26(a).
Item 56 Accumulated other comprehensive income (AOCI)
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only
reflected in the subtotal, item 58 below. Report the amount of AOCI as reported under generally
accepted accounting principles in the U.S. that is included in Call Report Schedule RC, item 26(b).
Item 57 Common equity tier 1 minority interest includable in common equity tier 1 capital.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 58 below.
Report the aggregate amount of common equity tier 1 minority interest consistent with section 21
of the revised regulatory capital rules. The capital instruments issued by the subsidiary must meet
all of the criteria for common equity tier 1 capital (qualifying common equity tier 1 capital).
The minority interest limitations apply only to the consolidated subsidiaries that have common
equity tier 1 capital in excess of capital necessary to meet the minimum capital requirements plus
the capital conservation buffer. For example, a subsidiary with a common equity tier 1 capital ratio of
8 percent that needs to maintain a common equity tier 1 capital ratio of more than 7 percent to
avoid limitations on capital distributions and discretionary bonus payments is considered to have
“surplus” common equity tier 1 capital.
Item 58 Common equity tier 1 capital before adjustments and deductions
This line item captures the sum of line items 54 through 57 multiplied by the applicable transition
provision for the corresponding calendar year (see table below). The Transition Provision section of
the revised capital rule issued on July 2, 2013 outlines these adjustments and deductions. These
adjustments are not reflected in the individual line items above but must be reflected in item 58.
Apply the transition provisions in accordance with the following schedule:
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Calendar year
2014
2015
Transition Provision: % of the amount of surplus or
non-qualifying minority interest that can be included
in regulatory capital during the transition period
2016
2017
2018 and thereafter
80
60
40
20
0
Common equity Tier 1 capital: adjustments and deductions
Item 59 Goodwill net of associated deferred tax liabilities (DTLs)
Report the amount of goodwill included in Call Report Schedule RC, item 10(a). However, if the bank
has a DTL that is specifically related to goodwill acquired in a taxable purchase business combination
that it chooses to net against the goodwill, the amount of disallowed goodwill to be reported in this
item should be reduced by the amount of the associated DTL.
If a bank has significant investments in the capital of unconsolidated financial institutions in the
form of common stock, the bank should report in this item goodwill embedded in the valuation of a
significant investment in the capital of an unconsolidated financial institution in the form of
common stock (embedded goodwill). Such deduction of embedded goodwill would apply to
investments accounted for under the equity method. Under GAAP, if there is a difference between
the initial cost basis of the investment and the amount of underlying equity in the net assets of the
investee, the resulting difference should be accounted for as if the investee were a consolidated
subsidiary (which may include imputed goodwill).
There are no transition provisions for this item.
Item 60 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net
of associated DTLs
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 71, below.
Report all intangible assets (other than goodwill and MSAs) net of associated DTLs, included in Call
Report Schedule RC-M, items 2.b and 2.c, that do not qualify for inclusion in common equity tier 1
capital under the regulatory capital rules. Generally, all purchased credit card relationships (PCCRs)
and non-mortgage servicing rights, reported in Call Report Schedule RC-M, item 2.b, and all other
identifiable intangibles, reported in Call Report Schedule RC-M, item 2.c, do not qualify for inclusion
in common equity tier 1 capital and should be included in this item.
Further, if the bank has a DTL that is specifically related to an intangible asset (other than servicing
assets and PCCRs) acquired in a nontaxable purchase business combination that it chooses to net
against the intangible asset for regulatory capital purposes, the amount of disallowed intangibles to
be reported in this item should be reduced by the amount of the associated DTL. However, a DTL
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that the bank chooses to net against the related intangible reported in this item may not also be
netted against DTAs when the bank determines the amount of DTAs that are dependent upon future
taxable income and calculates the maximum allowable amount of such DTAs for regulatory capital
purposes.
If the amount reported for other identifiable intangible assets in Call Report Schedule RC-M, item
2.c, includes intangible assets that were recorded on the bank’s balance sheet on or before February
19, 1992, the remaining book value as of the report date of these intangible assets may be excluded
from this item.
Item 61 Deferred Tax Assets (DTAs) that arise from net operating loss and tax credit
carryforwards, net of any related valuation allowances and net of DTLs
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 71, below. Report the amount of DTAs that arise from net
operating loss and tax credit carryforwards, net of any related valuation allowances and net of
DTLs.
AOCI-related adjustments
If Item 53 is “1” for “Yes”, complete items 62 through 66 only for AOCI related adjustments.
Item 62 Net unrealized gains (losses) on available-for-sale securities
Report the amount of net unrealized holding gains (losses) on available-for-sale securities, net of
applicable taxes, that is included in Call Report Schedule RC, item 26.b, “Accumulated other
comprehensive income.” If the amount is a net gain, report it as a positive value in this item. If the
amount is a net loss, report it as a negative value in this item.
Item 63 Net unrealized loss on available-for-sale preferred stock classified as an equity
security under GAAP and available-for-sale equity exposures
Report as a positive value net unrealized loss on available-for-sale preferred stock classified as an
equity security under GAAP and available-for-sale equity exposures that is included in Call Report
Schedule RC, item 26.b, “Accumulated other comprehensive income.”
Item 64 Accumulated net gains (losses) on cash flow hedges
Report the amount of accumulated net gains (losses) on cash flow hedges that is included in the Call
Report, Schedule RC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net
gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value
in this item.
Item 65 Amounts recorded in AOCI attributed to defined benefit postretirement plans
resulting from the initial and subsequent application of the relevant GAAP standards that
pertain to such plans
Report the amounts recorded in AOCI and included in Call Report Schedule RC, item 26.b,
“Accumulated other comprehensive income,” resulting from the initial and subsequent application of
ASC Subtopic 715-20 (formerly FASB Statement No. 158, “Employers’ Accounting for Defined Benefit
Pension and Other Postretirement Plans”) to defined benefit postretirement plans resulting from the
initial and subsequent application of the relevant GAAP standards that pertain to such plans. A bank
may exclude this portion related to pension assets deducted in item 36 above. If the amount is a net
gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value
51 | P a g e
in this item.
Item 66 Net unrealized gains (losses) on held-to-maturity securities that are included in
AOCI
Report the amount of net unrealized gains (losses) that are not credit-related on held-to-maturity
securities and are included in AOCI as reported in Call Report Schedule RC, item 26.b, “Accumulated
other comprehensive income.” If the amount is a net gain, report it as a positive value. If the amount
is a net loss, report it as a negative value.
Include (i) the unamortized balance of the unrealized holding gain (loss) that existed at the date of
transfer of a debt security transferred into the held-to-maturity category from the available-for-sale
category and (ii) the unaccreted portion of other-than-temporary impairment losses on availablefor-sale and held-to-maturity debt securities that was not recognized in earnings in accordance
with ASC Topic 320, Investments-Debt and Equity Securities (formerly FASB Statement No. 115,
“Accounting for Certain Investments in Debt and Equity Securities”).
If Item 53 is “0” for “No”, complete item 67 only for AOCI related adjustments.
Item 67 Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable
tax effects, that relate to the hedging of items that are not recognized at fair value on the
balance sheet
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net of
applicable tax effects that relate to the hedging of items not recognized at fair value on the balance
sheet. If the amount is a net gain, report it as a positive value. If the amount is a net loss, report it as
a negative value.
Other deductions from (additions to) common equity tier 1 capital before threshold-based
deductions
Item 68 Unrealized net gain (loss) related to changes in the fair value of liabilities that are
due to changes in own credit risk
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 71, below.
Report the amount of unrealized net gain (loss) related to changes in the fair value of liabilities that
are due to changes in the bank’s own credit risk. If the amount is a net gain, report it as a positive
value in this item. If the amount is a net loss, report it as a negative value in this item. Advanced
approaches banks only: include the credit spread premium over the risk free rate for derivatives
that are liabilities.
Item 69 All other deductions from (additions to) common equity tier 1 capital before
threshold-based deductions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 71, below.
Report the amount of other deductions from (additions to) common equity tier 1 capital that are
not included in items above, as described below.
(1) After-tax gain-on-sale in connection with a securitization exposure.
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NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions
are only reflected in the subtotal, item 71, below.
Include any after-tax gain-on-sale in connection with a securitization exposure. Gain-on-sale
means an increase in the equity capital of a bank resulting from a securitization (other than
an increase in equity capital resulting from the bank’s receipt of cash in connection with the
securitization or reporting of a mortgage servicing asset on Call Report Schedule RC).
(2) Defined benefit pension fund assets, net of associate DTLs.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions
are only reflected in the subtotal, item 71, below.
A bank must deduct defined benefit pension fund assets, net of associated DTLs, held by a
holding company. With the prior approval of the OCC, this deduction is not required for any
defined benefit pension fund net asset to the extent the bank has unrestricted and unfettered
access to the assets in that fund. For an insured depository institution, no deduction is
required. A bank must risk weight any portion of the defined benefit pension fund asset that
is not deducted as if the bank directly holds a proportional ownership share of each
exposure in the defined benefit pension fund.
(3) Investments in the bank’s own shares to the extent not excluded as part of
treasury stock.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions
are only reflected in the subtotal, item 71, below.
Include the bank’s investments in (including any contractual obligation to purchase) its own
common stock instruments, including direct, indirect, and synthetic exposures to such
instruments (as defined in the revised regulatory capital rules), to the extent such
instruments are not excluded as part of treasury stock, reported in item 54 above. If a bank
already deducts its investment in its own shares (for example, treasury stock) from its
common equity tier 1 capital elements, it does not need to make such deduction twice. A
bank may deduct gross long positions net of short positions in the same underlying
instrument only if the short positions involve no counterparty credit risk. The bank must
look through any holdings of index securities to deduct investments
in its own capital instruments.
In addition:
• Gross long positions in investments in a holding company’s own regulatory capital
instruments resulting from holdings of index securities may be netted against short
positions in the same underlying index;
• Short positions in index securities that are hedging long cash or synthetic positions
may be decomposed to recognize the hedge; and
• The portion of the index that is composed of the same underlying exposure that is
being hedged may be used to offset the long position if both the exposure being hedged
and the short position in the index are covered positions under the market risk capital
rule, and the hedge is deemed effective by the bank’s internal control processes which
would have been assessed by the OCC.
(4) Reciprocal cross-holdings in the capital of financial institutions in the form of
common stock.
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NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions
are only reflected in the subtotal, item 71, below.
Include investments in the capital of other financial institutions (in the form of common
stock) that the bank holds reciprocally (this is the corresponding deduction approach). Such
reciprocal crossholdings may result from a formal or informal arrangement to swap,
exchange, or otherwise intend to hold each other’s capital instruments.
(5) Equity investments in financial subsidiaries.
A bank must deduct the aggregate amount of its outstanding equity investment, including
retained earnings, in its financial subsidiaries and may not consolidate the assets and
liabilities of a financial subsidiary with those of the parent institution. No other deduction is
required for these investments in the capital instruments of financial subsidiaries.
(6) Advanced approaches banks only that exit parallel run.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions
are only reflected in the subtotal, item 71, below. Include the amount of expected credit loss
that exceeds the eligible credit reserves.
Item 70 Non-significant investments in the capital of unconsolidated financial
institutions in the form of common stock that exceed the 10 percent threshold for nonsignificant investments
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 71, below.
A bank has a non-significant investment in the capital of an unconsolidated financial institution
(as defined in section 2 of the revised regulatory capital rules) if it owns 10 percent or less of the
issued and outstanding common shares of that institution.
Report the amount of non-significant investments in the capital of unconsolidated financial
institutions in the form of common stock that, in the aggregate, exceed the 10 percent threshold for
non-significant investments, calculated as described below. The bank may apply associated DTLs to
this deduction.
Item 71 Subtotal (item 58 minus items 59 through 70, reflective of transition
provisions)
This captures the item 58 less items 59 through 70 plus or minus the applicable adjustments
outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These
transitional adjustments are not reflected in the individual line items above but must be reflected in
this item.
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To calculate line item 71:
(i) Sum items 60, 61, 68, 69, 70 then multiply this sum by the percent that corresponds with
the accurate calendar year (see table below).
(ii) Add items 59, 62, 63, 64, 65, 66, 67 and the result of (i) to compute the subtotal
Calendar year
% of the deductions from
common equity tier 1 capital
2014
20
2015
40
2016
60
2017
80
2018 and after
100
Item 72 Significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs, that exceed 10 percent common equity tier 1
capital deduction threshold (item 103)
This item is a shaded cell and is derived from item 103.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 78, below.
A bank has a significant investment in the capital of an unconsolidated financial institution when
it owns more than 10 percent of the issued and outstanding common shares of that institution.
Report the amount of significant investments in the capital of unconsolidated financial institutions
in the form of common stock that exceed the 10% common equity tier 1 capital deduction
threshold, calculated as follows:
1. Determine the amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock.
2. If the amount in (1) is greater than 10% of the amount of the subtotal in item 71,
report the difference as this line item 13.
3. If the amount in (2) is less than 10% of the amount of the subtotal in item 71, report zero.
If the bank included embedded goodwill in item 59, to avoid double counting, the bank may net such
embedded goodwill already deducted against the exposure amount of the significant investment.
For example, if a bank has deducted $10 of goodwill embedded in a $100 significant investment in
the capital of an unconsolidated financial institution in the form of common stock, the bank is
allowed to net such embedded goodwill against the exposure amount of such significant investment
(that is, the value of the investment is $90 for purposes of the calculation of the amount that is
subject to deduction).
Item 73 MSAs, net of associated DTLs, that exceed the 10% common equity tier 1 capital
deduction threshold (item 108)
This item is a shaded cell and is derived from item 108.
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NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 78, below.
Report the amount of MSAs included in Call Report Schedule RC-M, item 2a, net of associated DTLs,
that exceed the 10% common equity tier 1 capital deduction threshold as follows:
1. Take the amount of MSAs as reported in Call Report Schedule RC-M, item 2a, net of
associated DTLs.
2. If the amount in (1) is higher than 10 percent of the amount of the subtotal in item 71,
report the difference as this item 73.
3. If the amount in (1) is lower than 10% of the amount of the subtotal in item 71, enter zero.
Item 74 DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs, that exceed the
10 percent common equity tier 1 capital deduction threshold (item 111) This item is a shaded
cell and is derived from item 111.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 78, below:
1. Report the amount of DTAs arising from temporary differences that the bank could not
realize through net operating loss carrybacks net of any related valuation allowances and
net of associated DTLs (for example, DTAs resulting from the holding company’s ALLL).
2. If the amount in (1) is higher than 10% of the amount the subtotal in item 71, report the
difference as this line item.
3. If the amount in (1) is lower than 10% of the amount of the subtotal in item 71, enter zero.
DTAs arising from temporary differences that could be realized through net operating loss
carrybacks are not subject to deduction, and instead must be assigned a 100 percent risk weight.
Item 75 Amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs arising
from temporary differences that could not be realized through net operating loss
carrybacks, net of related valuation allowances and net of DTLs; that exceeds the 15 percent
common equity tier 1 capital deduction threshold (item 117)
This item is a shaded cell and is derived from item 117.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 78, below.
The aggregate amount of the threshold items (that is, significant investments in the capital of
unconsolidated financial institutions in the form of common stock; MSAs, net of associated DTLs;
and DTAs arising from temporary differences that could not be realized through net operating loss
carrybacks, net of related valuation allowances and net of DTLs) may not exceed 15% of the bank’s
common equity tier 1 capital, net of applicable adjustments and deductions (the 15% common
equity tier 1 capital deduction threshold).
Item 76 Deductions applied to common equity tier 1 capital due to insufficient amount of
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additional tier 1 capital and tier 2 capital to cover deductions
Report the total amount of deductions related to reciprocal cross holdings, non-significant
investments in the capital of unconsolidated financial institutions, and non-common stock
significant investments in the capital of unconsolidated financial institutions if the bank does not
have a sufficient amount of additional tier 1 capital and tier 2 capital to cover these
deductions in items 84 and 94.
Item 77 Total adjustments and deductions for common equity tier 1 capital (sum of
items 72 through 76, reflective of transition provisions)
This captures the sum of line items 72 to 76 after the adjustments outlined in the Transition Provision
section of the revised capital rule issued on July 2, 2013. These transitional adjustments are not
reflected in the individual line items above but must be reflected in item 77.
To calculate line item 77:
1. Sum items 72 through 75 and then multiply this sum by the appropriate percent for the
corresponding calendar year (see table below).
2. Add item 76 to the result of (i) to compute item 77
Calendar year
2014
2015
2016
2017
2018 and after
% of the deductions from
common equity tier 1 capital
20
40
60
80
100
Item 78 Common equity tier 1 capital
This item is a shaded cell and is derived from item 71 less item 77. This field will be auto-populated.
No calculation is needed.
Additional tier 1 capital
Item 79 Additional tier 1 capital instruments plus related surplus
Starting on January 1, 2014 for the case of advanced approaches banks and on January 1, 2015 for
non-advanced banks, report the portion of noncumulative perpetual preferred stock and related
surplus included in Call Report Schedule RC, item 23, that satisfy all the criteria for additional tier 1
capital in the revised regulatory capital rule.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or, prior to
October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii) were included in
the tier 1 capital under the general risk-based capital rules (12 CFR part 3, appendix A). Also include
additional tier 1 capital instruments issued as part of an ESOP, provided that the repurchase of such
instruments is required solely by virtue of ERISA for a banking organization that is not publiclytraded.
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Item 80 Non-qualifying capital instruments subject to phase out from additional tier 1
capital
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 82, below.
Starting on January 1, 2014 for the case of advanced approaches banks and on January 1, 2015 for
non-advanced banks, report the total amount of non-qualifying capital instruments that were
included in tier 1 capital and outstanding as of January 1, 2014 as follows:
Banks with total consolidated assets of $15 billion or more as of December 31, 2009 must phase out
non-qualifying capital instruments (that is, debt or equity instruments that do not meet the criteria
for additional tier 1 or tier 2 capital instruments in section 20 of the revised regulatory capital rules,
but that were issued and included in tier 1 or tier 2 capital, respectively, prior to May 19, 2010) as set
forth in Table 7 starting on January 1, 2014 for an advanced approaches banks and starting
January 1, 2015 for a non-advanced approaches banks.
If non-advanced approaches banks have non-qualifying capital instruments that are excluded from
tier 1 capital, such non-qualifying capital instruments can be included in tier 2 capital, without
limitation, provided the instruments meet the criteria for tier 2 capital set forth in section 20(d) of
the revised regulatory capital rules.
For the case of advanced approaches banks, non-qualifying capital instruments that are phased out of
tier 1 capital under Table 7 are fully includable in tier 2 capital until December 31, 2015. From
January 1, 2016, until December 31, 2021, these banks are required to phase out such non-qualifying
capital instruments from tier 2 capital in accordance with the percentage in Table 8.
Item 81 Tier 1 minority interest not included in common equity tier 1 capital
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 82, below.
Report the amount of tier 1 minority interest that is includable at the consolidated level, as
described below.
For each consolidated subsidiary, perform the calculations in steps (1) through (10) of the
worksheet below. Sum up the results from step 10 for each consolidated subsidiary and report the
aggregate number in this item.
For tier 1 minority interest, there is no requirement that the subsidiary be a depository institution
or a foreign bank. However, the instrument that gives rise to tier 1 minority interest must meet all
the criteria for either common equity tier 1 capital or additional tier 1 capital instrument.
Item 82 Additional tier 1 capital before deductions, reflective of transition provisions This
captures the total of items 79 through 81 plus or minus the applicable adjustments outlined in the
Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional
adjustments are not reflected in the individual line items above but must be reflected in this item.
To calculate item 82:
1. Multiply item 80 by the appropriate percent for the corresponding calendar year in Table
A (see table below).
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2. Multiply item 81 by the appropriate percent for the corresponding calendar year in Table
B (see table below).
3. Sum item 79, (i) and (ii) to compute line item 82.
Table A
Calendar year
% of non-qualifying capital
instruments includable in additional
tier 1 (applicable to banks with total
consolidated assets of $15 billion or
more as of December 31, 2009)
2014
50
2016 and after
0
2015
25
Table B
Calendar year
% of the amount of surplus or nonqualifying minority interest that can
be included in regulatory capital
during the transition period
2014
80
2017
20
2015
2016
2018 and after
60
40
0
Item 83 Additional tier 1 capital deductions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 84, below.
Report additional tier 1 capital deductions as the sum of the following elements:
Note that if an institution does not have a sufficient amount of additional tier 1 capital to reflect
these deductions, then the institution must deduct the shortfall from common equity tier 1 capital
a. Investments in own additional tier 1 capital instruments
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 84, below.
Report the bank’s investments in (including any contractual obligation to purchase)
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its own additional tier 1 instruments, whether held directly or indirectly.
A bank may deduct gross long positions net of short positions in the same underlying instrument
only if the short positions involve no counterparty risk.
The bank must look through any holdings of index securities to deduct investments in its own
capital instruments. In addition: (i) Gross long positions in investments in a holding
company’s own regulatory capital instruments resulting from holdings of index securities may
be netted against short positions in the same index; (ii) Short positions in index securities that
are hedging long cash or synthetic positions can be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being
hedged may be used to offset the long position if both the exposure being hedged and the short
position in the index are covered positions under the market risk capital rule, and the hedge is
deemed effective by the holding company’s internal control
processes.
b. Reciprocal cross-holdings in the capital of financial institutions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 84, below.
Include investments in the additional tier 1 capital instruments of other financial institutions
that the bank holds reciprocally, where such reciprocal crossholdings result from a formal or
informal arrangement to swap, exchange, or otherwise intend to hold each other’s capital
instruments. If the bank does not have a sufficient amount of a specific component of capital to
effect the required deduction, the shortfall must be deducted from the next higher (that is,
more subordinated) component of regulatory capital.
For example, if a bank is required to deduct a certain amount from additional tier 1 capital and it
does not have additional tier 1 capital, then the deduction should be from common equity tier
1 capital in item 76.
c. Non-significant investments in additional tier 1 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non-significant investments
An institution has a non-significant investment in the capital of an unconsolidated
financial institution if it owns 10 percent or less of the issued and outstanding common
shares of that institution.
Calculate this amount as follows (similar to the calculation in item 70):
(1) Determine the aggregate amount of non-significant investments in the capital of
unconsolidated financial institutions in the form of common stock, additional tier 1, and tier 2
capital.
(2) Determine the amount of non-significant investments in the capital of unconsolidated
financial institutions in the form of additional tier 1 capital.
(3) If the amount in (1) is greater than the 10 percent threshold for non-significant investments,
then multiply the difference by the ratio of (2) over (1). Report this product in this line item.
(4) If the amount in (1) is less than the 10 percent threshold for non-significant investments,
report zero.
d. Significant investments in the capital of unconsolidated financial institutions not in the
form of common stock to be deducted from additional tier 1 capital
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NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 84, below.
Report the total amount of significant investments in the capital of unconsolidated financial
institutions in the form of additional tier 1 capital.
e. Other adjustments and deductions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are
only reflected in the subtotal, item 84, below.
Include adjustments and deductions applied to additional tier 1 capital due to insufficient tier
2 capital to cover deductions (related to reciprocal cross holdings, non-significant investments in
the tier 2 capital of unconsolidated financial institutions, and significant investments in the tier 2
capital of unconsolidated financial institutions). Also include adjustments and deductions related
to the calculation of DTAs, gain-on-sale, defined benefit pension fund assets, changes in fair value
of liabilities due to changes in own credit risk, and expected credit losses during the transition
period as described the calculation of item 84 below.
Item 84 Additional tier 1 capital, reflective of transition provisions
This captures the total of items item 82 and 83 plus or minus the applicable adjustments outlined in
the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional
adjustments are not reflected in the individual line items above but must be reflected in this item.
To calculate line item 84:
1. Sum the amounts for items 83a. through 83d. in the instructions then multiply this
sum by the appropriate percent for the corresponding calendar year (see Table A
below).
2. To calculate “Other adjustments and deductions” under item 83e:
a. Sum the adjustments and deductions applied to additional tier 1
capital due to insufficient tier 2 capital to cover deductions (related to
reciprocal cross holdings, non-significant investments in the tier 2
capital of unconsolidated financial institutions, and significant
investments in the tier 2 capital of unconsolidated financial
institutions). No transition provisions apply to these amounts.
b. For adjustments and deductions related to the calculation of DTAs, gain-onsale, defined benefit pension fund assets, changes in fair value of liabilities
due to changes in own credit risk, and expected credit losses during the
transition period, sum these amounts and multiply this sum by the
appropriate percent for the corresponding calendar year (see Table B
below).
c. Sum the results of ‘a’ and ‘b’ to calculate item 83e.
3. Sum 1 and 2
4. For line item 84, report the greater of item 82 minus step ‘3’, or zero “0”.
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Table A.
Calendar year
2014
2015
2016
2017
2018 and thereafter
Table B.
Calendar year
2014
2015
2016
2017
Tier 1 capital
2018 and after
% of the deduction for
additional tier 1 capital
20
40
60
80
100
% of the adjustments
applied to additional tier 1
capital
80
60
40
20
0
Item 85 Tier 1 capital, reflective of transition provisions (sum of items 78 and 84) Item
85 is a shaded cell and is derived from the sum of items 78 and 84
This captures the total of items item 78 through 84 which include the applicable adjustments
outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013.
Tier 2 capital
Item 86 Tier 2 capital instruments plus related surplus
Starting on January 1, 2014 for the case of advanced approaches banks and on
January 1, 2015 for non-advanced banks, report tier 2 capital instruments that satisfy all
eligibility criteria under the revised regulatory capital rules and related surplus.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or, prior to
October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii) were included
in the tier 2 capital under the general risk-based capital rules.
Item 87 Non-qualifying capital instruments subject to phase out from tier 2 capital Report
the total amount of non-qualifying capital instruments that were included in tier 2 capital and
outstanding as of January 1, 2014, and will be subject to phase-out.
Item 88 Total Capital minority interest that is now included in tier 1 capital
Report the amount of total capital minority interest that is includable at the consolidated level, as
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described below. For each consolidated subsidiary, perform the calculations in steps (1) through
(10) below. Sum up the results for each consolidated subsidiary and report the aggregate number
in this item.
Do not apply any transition provision multiplier for this item. These phase-out provisions are only
reflected in the subtotal, item 92 below.
Item 89 Allowance for loan and lease losses includable in tier 2 capital
Report the portion of the bank’s allowance for loan and lease losses that are includable in tier 2
capital. None of the bank’s allocated transfer risk reserve, if any, is includable in tier 2 capital.
The amount reported in this item cannot exceed 1.25 percent of the bank’s risk- weighted assets, not
including the allowance for loan and lease losses. The allowance for loan and lease losses equals Call
Report Schedule RC, item 4.c, “Allowance for loan and lease losses,” less Call Report Schedule RI-B,
part II, Memorandum item 1, “Allocated transfer risk reserve included in Call Report Schedule RI-B,
part II, item 7, above,” plus Call Report Schedule RC-G, item 3, “Allowance for credit losses on offbalance sheet credit exposures.”
Item 90 (Advanced approaches banks that exit parallel run only): eligible credit reserves
includable in tier 2 capital
Report the amount of eligible credit reserves includable in tier 2 capital as reported in FFIEC 101
Schedule A, item 50. Report this line item only after the advanced approaches bank completes
its parallel run process.
Item 91 Unrealized gains on available-for-sale preferred stock classified as an equity
security under GAAP and available-for-sale equity exposures includable in tier 2 capital
(i) Banks that entered “1” for “Yes” in item 53:
Report the pretax net unrealized holding gain (i.e., the excess of fair value as reported in
Call Report Schedule RC-B, item 7, column D, over historical cost as reported in Call Report
Schedule RC-B, item 7, column C), if any, on available-for-sale preferred stock classified as
an equity security under GAAP and available-for-sale equity exposures includable in tier 2
capital, subject to the limits specified in the revised regulatory capital rules. The amount
reported in this item cannot exceed 45 percent of the bank’s pretax net unrealized gain on
available-for-sale preferred stock classified as an equity security under GAAP and
available-for-sale equity exposures.
(ii) Banks that entered “0” for “No” in item 53:
Do not apply any transition provision multiplier for this item. These phase-out provisions
are only reflected in the subtotal, item 92 below.
Item 92 Tier 2 capital before deductions, reflective of transition procedures
This captures the sum of items 86, 87, 88, 89 and 91, plus or minus the applicable adjustments
outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These
transitional adjustments are not reflected in the individual line items above but must be reflected in
this item only if the banks entered “0” for “No” in item 53.
To calculate line item 92 if the bank entered “1” for “Yes” in item 53:
(i) Sum the amounts for items 86, 87, 88, 89, and 91(i).
To calculate line item 92 if the bank entered “0” for “No” in item 53:
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(i)
(ii)
Sum the amounts for items 86, 87, 88, 89
Multiply item 91(ii) by the appropriate percent for the corresponding calendar year (see
Table A below).
(iii) Sum (i) and (ii) to compute item 84.
Table A.
Calendar year
% of unrealized gains on AFS preferred stock
classified as an equity security under GAAP and
AFS equity exposures that may be included in tier
2 capital
2014
36
2016
18
2015
2017
2018 and after
27
9
0
Item 93 (Advanced approaches banks that exit parallel run only): Tier 2 capital before
deductions, reflective of transition procedures
This captures the sum of items 86 through 91 plus or minus the applicable adjustments outlined in
the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional
adjustments are not reflected in the individual line items above but must be reflected in this item.
Item 94 Tier 2 capital deductions
Report total tier 2 capital deductions as the sum of the following elements:
If a bank does not have a sufficient amount of tier 2 capital to reflect these deductions, then
the bank must deduct the shortfall from additional tier 1 capital (item 83) or, if there is not
enough additional tier 1 capital, from common equity tier 1 capital (item 76).
In addition, advanced approaches banks with insufficient tier 2 capital for deductions will make
the following adjustments: an advanced approaches bank will make deductions on this schedule
under the generally applicable rules that apply to all banking organizations. It will use FFIEC 101,
Schedule A, to calculate its capital requirements under the advanced approaches. Therefore, in the
case of an advanced approaches banks with insufficient tier 2 capital to make tier 2 deductions, it
will use the corresponding deduction approach and the generally applicable rules to take excess
tier 2 deductions from additional tier 1 capital in item 83, and if necessary from common equity
tier 1 capital in item 76. It will use the advanced approaches rules to take deductions on the FFIEC
101 form.
a. Investments in own additional tier 2 capital instruments.
Do not apply any transition provision multiplier for this item. These phase-out provisions are
only reflected in the subtotal, item 95 below.
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Report the bank’s investments in (including any contractual obligation to purchase)
its own tier 2 instruments, whether held directly or indirectly.
A bank may deduct gross long positions net of short positions in the same underlying
instrument only if the short positions involve no counterparty risk.
The bank must look through any holdings of index securities to deduct investments in its own
capital instruments. In addition:
(i) Gross long positions in investments in a bank’s own regulatory capital instruments
resulting from holdings of index securities may be netted against short
positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions can be
decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being
hedged may be used to offset the long position if both the exposure being hedged and the
short position in the index are covered positions under the market risk capital rule, and the
hedge is deemed effective by the bank’s internal control processes.
b. Reciprocal cross-holdings in the capital of financial institutions.
Do not apply any transition provision multiplier for this item. These phase-out provisions are
only reflected in the subtotal, item 95 below.
Include investments in the tier 2 capital instruments of other financial institutions that the bank
holds reciprocally, where such reciprocal crossholdings result from a formal or informal
arrangement to swap, exchange, or otherwise intend to hold each other’s capital instruments.
c. Non-significant investments in tier 2 capital of unconsolidated financial institutions
that exceed the 10% threshold for non-significant investments.
Do not apply any transition provision multiplier for this item. These phase-out provisions are
only reflected in the subtotal, item 95 below.
Calculate this amount as follows (similar to item 70):
(1) Determine the aggregate amount of non-significant investments in the capital of
unconsolidated financial institutions in the form of common stock, additional tier 1, and
tier 2 capital.
(2) Determine the amount of non-significant investments in the capital of unconsolidated
financial institutions in the form of tier 2 capital.
(3) If (1) is greater than the 10 percent threshold for non-significant investments, then,
multiply the difference by the ratio of (2) over (1). Report this product in this line item.
(4) If (1) is less than the 10 percent threshold for non-significant investments, enter zero.
d. Significant investments in the capital of unconsolidated financial institutions not in
the form of common stock to be deducted from tier 2 capital.
Do not apply any transition provision multiplier for this item. These phase-out provisions are
only reflected in the subtotal, item 95 below.
Report the total amount of significant investments in the capital of unconsolidated
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financial institutions in the form of tier 2 capital.
e. Other adjustments and deductions.
Include any other applicable adjustments and deductions applied to tier 2 capital in
accordance with the revised regulatory capital rules.
Item 95 Tier 2 capital, reflective of transition provisions
This captures the difference between items 92 and 94 plus or minus the applicable adjustments
outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013.
To calculate line item 95:
(i) Multiply item 94 by the appropriate percent for the corresponding calendar year (see
table below).
(ii)
For line item 95, report the greater of item 92 minus (i) or zero “0”.
2014
% of the deductions from tier 2
deductions
20
2017
80
Calendar year
2015
2016
2018 and after
40
60
100
Item 96 (Advanced approaches banks that exit parallel run): Tier 2 capital, reflective
of transition procedures
In projected quarters, this item 96 is a shaded cell and is derived from items 93 and 94.
This captures the sum of items 93 and 94 plus or minus the applicable adjustments outlined in the
Transition Provision section of the revised capital rule issued on July 2, 2013.
Total Capital
Item 97 Total capital, reflective of transition provisions
This item is a shaded cell and is derived from the sum of items 85 and 95.
Item 98 (Advanced approaches banks that exit parallel run only): Total capital, reflective
of transition provisions (sum of items 85 and 96)
This item is a shaded cell and is derived from the sum of items 85 and 96.
Item 99 Gross significant investments in the capital of unconsolidated financial
institutions in the form of common stock
Aggregate holdings of capital instruments relevant to significant investments in the capital of
unconsolidated financial entities, including direct, indirect and synthetic holdings in both the
banking book and trading book.
Item 100 Permitted offsetting short positions in relation to the specific gross holdings
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included above
Offsetting positions in the same underlying exposure where the maturity of the short position either
matches the maturity of the long position or has a residual maturity of at least one year.
Item 101 Significant investments in the capital of unconsolidated financial institutions in
the form of common stock net of short positions
This item is a shaded cell and is derived from items 99 and 100.
Item 102 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Item 103 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is a shaded cell and is derived from items 101 and 102.
Item104 Total mortgage servicing assets classified as intangible
Report the amount of MSAs included in Schedule RC-M, item 2(a), prior to any netting of
associated DTLs.
Item 105 Associated deferred tax liabilities which would be extinguished if the intangible
becomes impaired or derecognized under the relevant accounting standards The amount of
mortgage servicing assets to be deducted from common equity tier 1 is to be offset by any
associated deferred tax liabilities, with recognition capped at 10% of the bank’s common equity
tier 1(after the application of all regulatory adjustments). If the bank chooses to net its
deferred tax liabilities associated with mortgage servicing assets against deferred tax assets (in Line
17 of the Capital Composition worksheet), those deferred tax liabilities should not be deducted
again here.
Item 106 Mortgage servicing assets net of related deferred tax liabilities
This item is a shaded cell and is derived from items 104 and 105.
Item 107 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Item 108 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is a shaded cell and is derived from items 106 and 107.
Item 109 DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs
The amount of DTAs arising from temporary differences that the holding company could not realize
through net operating loss carrybacks net of any related valuation allowances and net of associated
DTLs.
Item 110 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Item 111 Amount to be deducted from common equity tier 1 due to 10 percent
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deduction threshold
This item is a shaded cell and is derived from items 109 and 110.
Item 112 Sum of items 101, 106, and 109
This item is a shaded cell and is derived from items 101, 106, and 109.
Item 113 15 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Item 114 Sum of items 103, 108, and 111
This item is a shaded cell and is derived from items 103, 108, and 111.
Item 115 Item 112 minus item 114
This item is a shaded cell and is derived from items 112 less item 114.
Item 116 Amount to be deducted from common equity tier 1 due to 15 percent
deduction threshold, before transition provision
This item is a shaded cell and is derived from items 113 and 115.
Item 117 Amount to be deducted from common equity tier 1 due to 15 percent
deduction threshold multiplied by transition provision
This item is a shaded cell and is derived from items 59, 60, 61, and 68.
Total Assets for the Leverage Ratio
Item 118 Average total consolidated assets
Report the amount of average total consolidated assets as reported in Call Report RC-K, item 9.
Item 119 Deductions from common equity tier 1 capital and additional tier 1 capital (sum
of items 59, 60, 61, and 68)
This item is a shaded cell and is derived from the sum of items 59, 60, 61, and 68.
Item 120 Other deductions from (additions to) assets for leverage ratio purposes Based
on the revised regulatory capital rules, report the amount of any deductions from (additions to)
total assets for leverage capital purposes that are not included in Item 119. If the
amount is a net deduction, report it as a positive value in this item. If the amount is a net addition,
report it as a negative value in this item.
Item 121 Total assets for the leverage ratio (item 118 minus items 119 and 120,
reflective of transition provisions)
This item captures the sum of items 118 through 120 plus or minus the applicable adjustments
outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013.
REGULATORY CAPITAL AND RATIOS
Item 122 Tier 1 Common Capital For all quarters, banks are required to provide
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projections of tier 1 common capital, which is defined as tier 1 capital less non-common elements 2,
including perpetual preferred stock and related surplus, minority interest in subsidiaries, trust
preferred securities, and mandatory convertible preferred securities
Item 123 Common Equity Tier 1
This item is a shaded cell and is derived from item 78.
Item 124 Tier 1 Capital
This item is a shaded cell and is derived from item 37.
Item 125 Tier 1 Capital
This item is a shaded cell and is derived from item 85.
Item 126 Total Capital
This item is a shaded cell and is derived from item 52.
Item 127 Total Capital
This item is a shaded cell and is derived from item 97.
Item 128 Total Capital (advanced approaches institutions that exit parallel run only)
This item is a shaded cell and is derived from item 98.
Item 129 Total risk-weighted assets using general risk-based capital rules
This item is a shaded cell and is derived from the DFAST-14A, General RWA worksheet, item 5.
Item 130 Total risk-weighted assets using standardized approach
This item is a shaded cell and is derived from the DFAST-14A, General RWA worksheet, item 6.
Item 131 (Advanced approaches banks that exit parallel run only): total risk-weighted
assets using advanced approaches rules
This item is a shaded cell and is derived from the DFAST-14A, Advanced RWA worksheet, item 5.
Item 132 Total Assets for the Leverage Ratio per general risk-based capital rules
Report total assets for the leverage ratio, as defined in the Call Report, Schedule RC-R, item 27.
Item 133 Total Assets for the Leverage Ratio per revised capital rule
This item is a shaded cell and is derived from item 121.
Item 134 Tier 1 Common Ratio (%) (based upon generally applicable risk weighted assets)
This Item is a shaded cell and is derived from item 122 divided by 129.
Item 135 Tier 1 Common Ratio (%) (advanced approaches institutions that exit
parallel run only)
This item is a shaded cell and is derived from item 122 divided by 131.
2
Non-common elements should include the following items captured in the September 30, 2013. Call Report: Schedule RC, line
item 23 net of Schedule RC-R, line item 5; and Schedule RC-R, line items 6.
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Item 136 Common Equity Tier 1 Ratio (%)
This item is a shaded cell and is derived from item 123 divided by 129 or 130.
Item 137 Common Equity Tier 1 Ratio (%) (advanced approaches banks that exit parallel
run only)
This item is a shaded cell and is derived from item 123 divided by 131.
Item 138 Tier 1 Capital Ratio (%)
This item 138 is a shaded cell and is derived from item 124 or 125 divided by 129 or 130.
Item 139 Tier 1 Capital Ratio (%) (advanced approaches banks that exit parallel run only)
This item is a shaded cell and is derived from item 124 or 125 divided by 131.
Item 140 Total risk-based capital ratio (%)
This item is a shaded cell and is derived from item 126 or 127 divided by 129 or 130.
Item 141 Total risk-based capital ratio (%) (advanced approaches banks that exit parallel
run only)
This item is a shaded cell and is derived from item 128 divided by 131.
Item 142 Tier 1 Leverage Ratio (%)
This item is a shaded cell and is derived from item 124 or 125 divided by 132 or 133.
Item 153 Is the bank internationally active for purposes of the qualifying restricted core
capital limit tests?
Report “Yes” or “No”. An internationally active bank is one that (1) as of the most recent year-end
estimates total consolidated assets equal to $250 billion or more or (2) on a consolidated basis, as
of the most recent year-end estimates total on-balance-sheet foreign exposure of $10 billion or
more.
Schedule HC-F—Other Assets
Item 154 Net deferred tax assets
Report net deferred tax assets, as defined in the Call Report, Schedule RC-F, item 2.
Schedule HC-G—Other Liabilities
Item 155 Net deferred tax liabilities
Report net deferred tax liabilities, as defined in the Call Report, Schedule RC-G, item 2.
Disallowed Deferred Tax Assets Calculation (Schedule RC-R Instructions)
Item 159 Enter the tier 1 subtotal
Report the amount from item 28 above.
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Item 160 Enter 10% of the tier 1 subtotal
Report the amount from item 159 above multiplied by 0.10.
Item 161 Enter the amount of deferred tax assets to be used when calculating the
regulatory capital limit
Report the amount of deferred tax assets to be used when calculating the regulatory capital limit.
Item 162 Enter any optional adjustment made to item 73 in item 80 as allowed in the
Call Report instructions
Report any optional adjustment made to item 73 in item 80 as allowed in the Call Report
instructions, equal to item 73 less items 74 and 80.
Item 163 Enter the amount of taxes previously paid that the bank could recover through
loss carrybacks if the bank holding company’s temporary differences (both deductible and
taxable) fully reverse at the report data.
Report the amount of taxes previously paid that the bank could recover through loss carrybacks if
the bank’s temporary differences (both deductible and taxable) fully reverse at the report date. The
carryback period is the prior two calendar tax years plus any current taxes paid in the year-to-date
period. Report disaggregated data for taxes paid in memorandum items 183 through 185 at the end
of this worksheet.
Item 164 Enter the amount of deferred tax assets that is dependent upon future
taxable income
Report the amount of deferred tax assets that is dependent upon future taxable income.
Item 165 Enter the portion of (e) that the bank could realize within the next 12 months
based on its projected future taxable income.
Report the portion of item 83 that the bank could realize within the next 12 months based on its
projected future taxable income. Future taxable income should not include net operating loss
carryforwards to be used during the next 12 months or existing temporary differences that are
expected to reverse over the next 12 months.
Item 166 (g) Enter the minimum of (f) and (b)
Report the amount of the minimum of items 84 and 79.
Item 167 Subtract (g) from (e), but cannot be less than 0
Report the result of item 83 less item 85. This amount cannot be less than zero and must equal
item 30.
Item 168 Future taxes paid (used to determine item 166)
Report the amount of future taxes paid, as used to determine item 166.
Item 169 Future taxable income (consistent with item 166)
Report the amount of future taxable income, consistent with the determination of item 84. Report
historical data related to item 88 in item M.4 at the end of this worksheet.
Supplemental Capital Action Information
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Item 170 Cash dividends declared on common stock
Report the amount from item 13 above.
Item 171 Common shares outstanding (Millions)
Report the amount from item 75 above.
Item 172 Common dividends per share ($)
Report the result of item 89 divided by item 90.
Item 174 Other issuance of common stock
Report the amount (in $millions) of other issuance of common stock.
Item 175 Total issuance of common stock
Report the sum of items 92 and 93.
Item177 Other share repurchases
Report the amount (in $millions) of all other share repurchases.
Item178 Total share repurchases
Report the sum of items 95 and 96.
MEMORANDA:
Memoranda Item 181 Itemized other adjustments to equity capital
Report amounts separately of other adjustments to equity capital included in item 16, and provide a
text explanation of each type of adjustment.
Memoranda Item 182 Itemized other additions to (deductions from) tier 1 capital
Report amounts separately of other additions to (deductions from) tier 1 capital included in item
36, and provide a text explanation of each type of addition or deduction.
Itemized historical data related to taxes paid:
Memoranda Item 183 Taxes paid during fiscal year ended two years ago
Report the amount of taxes paid during fiscal year ended two years ago, included in item 163.
Memoranda Item 184 Taxes paid during fiscal year ended one year ago
Report the amount of taxes paid during fiscal year ended one year ago, included in item 163.
Memoranda Item 185 Taxes paid through the as-of date of the current fiscal year Report the
amount of taxes paid during the 9 months ending on September 30 of the current fiscal year,
included in item 163.
Memoranda Item 186 Reconcile the Supplemental Capital Action and HI-A projections In this
item, reconcile the supplemental capital actions reported in items 170 through 178, with RI- A
projections reported in items 1 through 12; that is, allocate the capital actions among the RI-A
buckets.
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Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.
Retail
Loans on the retail schedules should be reported based on the loan's classification on the Call
Report, Schedule RC-C (i.e. based on the loans collateral, counterparty, or purpose). Refer to the Call
Report instructions for Schedule RC-C for guidance on loan classification. All loans should be
reported net of charge-offs.
•
•
Domestic refers to portfolios held in domestic US offices (as defined in the Call
Report glossary),
International refers to portfolios outside of the domestic US offices.
E. RETAIL BALANCE & LOSS PROJECTIONS
The Retail Balance and Loss Projections worksheet collects projections of business-line level
balances and losses on bank’s held for investment loans accounted for at amortized cost (accrual
loans). Loans held for sale and loans held for investment under the fair value option should not be
included
Retail Loan Categories
A. First Lien Mortgages (in Domestic Offices)
The loan population includes all domestic first lien mortgage loans directly held on the bank’s
portfolio. Portfolio loans are all loans as defined in the Call Report, Schedule RC-C, item 1.c.2.(a).
B. First Lien HELOANs (in Domestic Offices)
The Loan population includes all domestic first lien home equity loans directly held on the bank’s
portfolio. Portfolio loans are all loans as defined in the Call Report, Schedule RC-C, item 1.c.(2)(a).
C. Closed-End Junior Liens (in Domestic Offices)
The loan population includes all domestic loans directly held on the bank’s portfolio. Portfolio loans
are all loans as defined in the Call Report, Schedule RC- C, item 1.c.(2)(b).
D. HELOCs (in Domestic Offices)
The loan population includes all first and junior lien domestic lines directly held on the bank’s
portfolio. Portfolio lines are all loans as defined in the Call Report, Schedule RC-C, item 1.c.(1).
E. First Lien Mortgages and HELOANs (International)
The loan population includes all non-domestic loans directly held on the bank’s portfolio. Portfolio
loans are all loans as defined in the Call Report, Schedule RC-C, item 1.c.(2)(a).
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F. Closed-End Junior Liens and Home Equity Lines Of Credit (International)
The loan population includes all non-domestic loans/lines directly held on the bank’s portfolio.
Portfolio loans are all loans/lines as defined in the Call Report, Schedule RC –C, item 1.c.(2)(b),
and item 1.c.(1).
G. Corporate Card (Domestic)
Employer-sponsored domestic credit cards for use by a company’s employees. This includes US
corporate credit card loans as defined in the Call Report, Schedule RC-C, item 4.a, and US
corporate card loans reported in other Call Report lines.
Only include cards where there is any individual liability associated with the sub-lines such that
individual borrower characteristics are taken into account during the underwriting decision,
and/or performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of
credit losses incurred should not be reported in this Worksheet.
H. Business Card (Domestic)
Small business domestic credit card accounts where the loan is underwritten with the sole
proprietor or primary business owner as an applicant. Report at the control account level or the
individual pay level (not at the sub-account level). This includes SME credit card loans as defined in
the Call Report, Schedule RC-C, item 4.a, and US corporate card loans reported in other Call Report
lines.
Only include cards where there is any individual liability associated with the sub-lines such that
individual borrower characteristics are taken into account during the underwriting decision,
and/or performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of
credit losses incurred should not be reported in this Worksheet.
I. Charge Card (Domestic)
Domestic credit cards for which the balance is repaid in full each billing cycle. Exclude charge cards
to corporations and small businesses (report in Corporate Card or Business
Card, as appropriate).
J. Bank Card (Domestic)
Regular general purpose domestic credit cards as defined in the Call Report, Schedule RC-C, item 6.a
or 9.b.
Bank cards include products that can be used at a wide variety of merchants, including any who
accept MasterCard, Visa, American Express or Discover credit cards. Include affinity and co-brand
cards in this category, and student cards, if applicable. This product type also includes private label
or proprietary credit cards, which are tied to the retailer issuing the card and can only be used in
that retailer’s stores. Include oil and gas cards in this loan type.
Exclude bank cards to corporations and small businesses (report in Corporate Card or Business
Card, as appropriate).
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K. Business and Corporate Card (International)
Report employer-sponsored non-domestic credit cards for use by a company’s employees and small
business non-domestic credit card accounts where the loan is underwritten with the sole
proprietor or primary business owner as an applicant. Such loans as defined in the Call Report,
Schedule RC-C, item 4.b, and International corporate and business card loans reported in other
Call Report lines.
For corporate cards, only include cards where there is any individual liability associated with the
sub-lines such that individual borrower characteristics are taken into account during the
underwriting decision, and/or performance on the credit is reported to the credit bureaus.
For bank cards, only include cards where there is any individual liability associated with the sublines such that individual borrower characteristics are taken into account during the underwriting
decision, and/or performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of
credit losses incurred should not be reported in this Worksheet.
L. Bank and Charge Card (International)
Include both non-domestic credit cards for which the balance is repaid in full each billing cycle and
regular general purpose non-domestic credit cards as defined in the in Call Report, Schedule RC-C
item 6.a or 9.b.
Bank cards include products that can be used at a wide variety of merchants, including any who
accept MasterCard, Visa, American Express or Discover credit cards. Include affinity and co-brand
cards in this category, and student cards, if applicable. This product type also includes private label
or proprietary credit cards, which are tied to the retailer issuing the card and can only be used in
that retailer’s stores. Include oil and gas cards in this loan type.
Exclude bank cards to corporations and small businesses (report in Corporate Card or Business
Card, as appropriate).
M. Auto Loans (Domestic)
Include all domestic as defined in the Call Report, Schedule RC-C, item 6.c and repossessed
automobiles as defined in the Call Report, Schedule RC-F.
N. Auto Loans (International)
Include all non-domestic as defined in the Call Report, Schedule RC-C, item 6.c and
repossessed automobiles as defined in the Call Report, Schedule RC-F.
O. Auto Leases (Domestic)
Include domestic auto leases as defined in the Call Report, Schedule RC-C, item 10.a and
repossessed automobiles as defined in the Call Report, Schedule RC-F.
P. Auto Leases (International)
Include non-domestic auto leases as defined in the Call Report, Schedule RC-C, item 10.a
and repossessed automobiles as defined in the Call Report, Schedule RC-F.
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Q. Student Loan
Include student loans as defined in the Call Report, Schedule RC-C.
R. Small Business Loan - Scored (Domestic)
The loan population of domestic small business loans is dependent on two factors: 1) the
classification of the loan as defined in the Call Report, Schedule RC-C (i.e. based on the collateral,
counterparty, or purpose of the loan); and(2) whether the method to measure credit risk for the
loan is different than that used for ordinary corporate loans.
a. Reportable loans may include those small business loans that are included in the Call
Report, Schedule RC-C, items 2.a, 2.b, 3, 4.a and 4.b (excluding SME credit card loans
included on Item 4.a 7, 9.b.(1), 9,b.(2) and 10.b.
b. To be classified as a small business loan, the method to measure credit risk must be
different than the method used for other corporate loans. Commercial internal risk ratings
or grades tend to not be used to assess credit risk for ordinary corporate loans.
Meanwhile, small business loans tend to be scored or delinquency managed. Additionally,
loans that are nevertheless internally risk weighted but that use a scale different from that
used for ordinary corporate loans may also be considered small business loans.
S. Small Business Loan - Scored (International)
The population of international small business loans includes all non-domestic loans that fit the
definition of small business loans (see above).
T. Other Consumer Loans and Leases (Domestic)
a. Include all domestic loans as defined in the Call Report, Schedule RC-C, items 6.b and 6.d
excluding student loans and non-purpose based securities loans. Non-purpose based
securities loans are loans secured by a portfolio of securities that are used for the purpose of
something other than purchasing securities.
b. Include domestic non-auto leases as defined in the Call Report, Schedule RC-C, item 10.a.
U. Other Consumer Loans and Leases (International)
a. Include all non-domestic loans as defined in the Call Report, Schedule RC-C, items 6.b and
6.d excluding student loans and non-purpose securities based loans. Non-purpose
securities based loans are loans secured by a portfolio of securities that are used for the
purpose of something other than purchasing securities.
b. Include non-domestic non-auto leases as defined in the Call Report, Schedule RC-C, item 10.a.
For Sections A through U: Report line items 1 through 8 for the current quarter (CQ) and
nine subsequent projected quarters (PQ1 through PQ9). Reporting of projections for credit
cards should be based on all open accounts (active and inactive), but not charged-off accounts
Item 1 Balances
Report according to Call Report definitions (end of quarter levels). Report end of quarter levels for
each Section. Where requested, please segment the total balances reported by age. For those lines,
balances should be classified according to the origination date of the account with which the
balance is associated.
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Item 2 New Originations
Report the total dollar amount of new originations net of sales to Agencies. Report only originations
for those loans and leases that the bank holding company has the intent and ability to hold for the
foreseeable future or until maturity or payoff.
Item 3 Paydowns
Report the total dollar of repayments received in the given quarter.
Item 4 Asset Purchases
Report the total dollar of assets purchased in the given quarter. Include mortgages repurchased
from Ginnie Mae, Fannie Mae, Freddie Mac (GSEs), and private securitizations that are put back
into the accrual book.
Item 5 Asset Sales
Report the total dollar of assets sold in the given quarter, net of sales to Agencies.
Item 6 Loan Losses
Report the total dollar of net charge-offs recognized in the given quarter.
Item 7 Cumulative Interim Loan Losses – Non-PCI
Report the total unpaid principal balance that has been charged-off on loans in the segment through
quarter-end of the reporting period on non-Purchased Credit-Impaired (PCI)loans. Interim chargeoffs include all cumulative partial charge-offs/write-downs for loan that have not been fully
charged‐off or otherwise liquidated.
Item 8 Cumulative Interim Loan Losses – PCI
Report the total interim losses through quarter-end of the reporting period that have been or are
expected to be covered by the non-accretable mark or the reserve set up post-mark (ALLL) to cover
additional shortfalls in expected cash flows on Purchased Credit-Impaired (PCI) loans. . This
measure should not include liquidated loans. The amounts reported in this line should be
consistent with the Non-Accretable Difference Remaining and other information reported on the
ASC 310-30 worksheet.
For more information on purchased credit-impaired loans, refer to the Call Report, Schedule RCN, Memorandum item 9.
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F. RETAIL REPURCHASE
The Retail Repurchase worksheet collects data on loans sold by the bank that may be subject to
repurchase risk due to breaches of representations and warranties made during the sale of the
loans, as defined in the Call Report, Schedule RC-P, item 6. It also collects data on loans insured by
the US Government for which the insurance coverage could be denied or indemnification required if
loan defects are identified.
Table Information:
Information reported in this schedule will be collected in Tables A through G. Please report
information aggregated by Vintage for each table and corresponding data fields below. The Vintage
of each column refers to the calendar year that the loan was sold (i.e., 2004 through 2013).
In cases where the data may not be available by Vintage, report the data in the Unallocated column.
Loans sold prior to 2004 should be excluded from all data fields with the exception of Projected
Future Losses to Bank Charged to Repurchase Reserve. Projected Future Losses to Bank Charged to
Repurchase Reserve associated with Vintages prior to 2004 should be included in the Unallocated
column. It is expected that use of the Unallocated column will be very limited.
Loans that have been sold, repurchased and then sold again should be reported in the most recent
year of sale.
Tables A through F: For Tables A through F, data will be represented in three sections.
Section 1: Report in Section 1 loans for which the outstanding unpaid principal balance (UPB) and
delinquency information requested is available.
For row variables described with the note Excluding Exempt Population, the data submitted should
exclude any loans for which the bank has no risk of repurchase liability because of settlement or
previous repurchase. Firms should provide detailed explanations for all exempted populations in
the supporting documentation, detailing the amounts and reasons for exemption (i.e. settlement,
previously repurchased), and specifics of any finalized settlements (including exposures and
timeframes covered by these settlements and the date the settlements were finalized). The bank
should also explain any material changes in historical vintage exposure compared to prior year.
Only finalized settlements should be considered Exempt; any loans subject to a pending settlement
should be included on this worksheet. Loans for which a repurchase request has been made and
subsequently rescinded should also be considered Exempt. Loans paid in full are not part of the
exempt population unless they satisfy the exemption criteria defined above.
The row variables for Section 1 identified in Tables A through F should be completed using the
following categories:
Original UPB:
Report the original UPB of all of the loans, including closed loans.
Original UPB (Excluding Exempt Population):
Report the original UPB of the loans, including closed loans but excluding the exempt population.
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Outstanding UPB (Excluding Exempt Population):
Report the outstanding UPB as of September 30 of the reporting year, excluding the exempt
population.
Delinquency Status as of 3Q (Excluding Exempt Population):
Report the data as of September 30 of the reporting year, excluding the exempt population as
defined above. The table collects delinquency categories as defined above. The sum of the four
delinquency categories listed below should equal the outstanding UPB reported for that age.
As part of Section 1 for Tables A through F, when reporting the row variable for this item, the
following delinquency categories will be utilized:
•
•
•
•
Current: The UPB of loans less than 30 days past due
Past due 30 to 89 days: The UPB of loans 30-89 days past due
Past due 90 to 179 days: The UPB of loans 90-179 days past due
Past due 180+ days: the UPB of all loans that are 180 days or more past due and have
not yet been fully charged‐off
Net Credit Loss Realized to‐date (Excluding Exempt Population):
Report cumulative net credit losses realized by investors in the loans through September 30 of the
reporting year, excluding the exempt population as defined above.
Repurchase Requests Outstanding (Excluding Exempt Population):
Report Repurchase Requests Outstanding, which is the total UPB of the loans which the investor
has requested a repurchase of the loan or indemnification for any losses but a resolution had not
been reached as of September 30 of the reporting year. Note that this variable is by definition
exclusive of the exempt population as defined above.
Loss to-date Due to Denied Insurance and/or Indemnification (applicable to Table C.1 only):
Report losses realized through September 30 of the reporting year due to insurance claims denied
by the US Government due to an identified defect on the loan in question. Also include any losses
incurred due to indemnification agreements that were established with the US Government on
loans with identified defects.
Estimated Lifetime Net Credit Losses (Excluding Exempt Population):
Report the bank’s estimate of lifetime net credit losses by investors in the loans (inclusive of net
credit losses realized‐to‐date) under the scenario in question, excluding from the estimate losses on
the exempt population as defined above.
Projected Future Losses to Bank Charged to Repurchase Reserve (Excluding Exempt
Population):
Report lifetime future losses related to sold or government-insured loans under the scenario in
question that the bank expects to charge through its repurchase reserve. Refer to the Call
Report, Schedule RC-P, item 7 for a further definition of “repurchase reserve”. Any amount of
projected future losses associated with Vintages prior to 2004 should be highlighted in the
supporting documentation and included in the Unallocated column.
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Section 2: Report in Section 2 loans for which the outstanding UPB or delinquency information is
not available. Due to the missing data associated with loans reported in Section 2, loans in this
population will be treated with conservative assumptions.
The row variables for Section 2 identified in Tables A through F should be completed using the
following categories:
Original UPB:
Report the original UPB of all of the loans, including closed loans.
Original UPB (Excluding Exempt Population):
Report the original UPB of the loans, including closed loans but excluding the exempt population.
Outstanding UPB (Excluding Exempt Population):
Report the outstanding UPB as of September 30 of the reporting year, excluding the exempt
population.
For row variables described with the note Excluding Exempt Population, the data submitted should
exclude:
•
•
Any loans for which the bank has no risk of repurchase liability because of
settlement or previous repurchase. Note: Only exclude finalized settlements; any
loans subject to a pending settlement should be included on this worksheet.
Loans for which a repurchase request has been made and subsequently rescinded.
Note: Loans paid in full are not part of the exempt population unless they satisfy
the exemption criteria defined above.
Projected Future Losses to Bank Charged to Repurchase Reserve (Excluding Exempt
Population):
Report lifetime future losses related to sold or government-insured loans under the scenario in
question that the bank expects to charge through its repurchase reserve.
Data collected in Sections 1 and 2 should be mutually exclusive.
Section 3: Report in Section 3 the projected future lifetime losses that would be charged-off
through the repurchase reserve under each scenario, as defined in Part III of these instructions.
The row variable for Section 3 identified in Tables A through F should be completed using the
following category:
Projected Future Losses to Bank Charged to Repurchase Reserve:
Lifetime future losses related to sold or government-insured loans under the scenario in question
that the bank expects to charge through its repurchase reserve.
As part of Section 3 for Tables A through F, please distribute the projected future lifetime losses
that would be charged-off through the repurchase reserve under each scenario, as defined in Table
Instructions below, over the quarters displayed defined in each column header (i.e., PQ1 through
PQ9, and PQ10 or later).
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For Tables A through F, the sum of the projected future losses in Sections A.3 – F.3 expected to be
charged off to the repurchase reserve should equal the sum of the projected future losses expected
to be charged off through the repurchase reserve in Sections A.1 – F.1 and A.2 – F.2.
The Projection Validity Check cells will read “TRUE” when these projected losses are filled out
correctly.
Further, the sum of the projected future losses reported in Sections A.3 - F.3 is calculated in Section
G.3. The sum of losses expected to be charged to the repurchase reserve is linked to the net chargeoff lines in the Repurchase Reserve on the Income Statement to ensure consistency across the
sheets of the DFAST-14A summary workbook.
Table Instructions
Tables A—Loans Sold to Fannie Mae (FNMA)
Tables B—Loans Sold to Freddie Mac (FHLMC)
Tables C—Loans Insured by the US Government
Loans insured by the US Government include loans insured by the Federal Housing Administration
(FHA) or the Farmers Home Administration (FmHA) or guaranteed by the Veterans Administration
(VA) that back Government National Mortgage Association (GNMA) securities, i.e., ‘‘GNMA loans.”
Include all loans insured by the US Government including those on balance sheet (including any
GNMA buyouts or on-balance sheet FHA exposures) or sold into a GNMA security.
Tables D—Loans Securitized with Monoline Insurance
Include loans packaged into a securitization and wrapped with monoline insurance. If it cannot be
identified whether a given loan is monoline insured, include the loan in this category.
Tables E—Loans Securitized without Monoline Insurance
Include loans packaged into a securitization but not wrapped with monoline insurance;
Tables F—Whole Loans Sold
Include loans sold as whole loans to parties other than Fannie Mae or Freddie Mac, even if the
whole loans were subsequently sold to Fannie Mae or Freddie Mac.
Table G—Total Loss Projections
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A.2.c—ASC 310-30
The Retail ASC 310‐30 worksheet (Accounting Standards Codification (ASC) Subtopic 310‐30,
Receivables—Loans and Debt Securities Acquired with Deteriorated Credit Quality, formerly AICPA
Statement of Position 03‐3, “Accounting for Certain Loans or Debt Securities Acquired in a
Transfer”) collects information and projections on the bank’s retail purchased credit impaired (PCI)
portfolio reported as held for investment on the Call Report, Schedule RC-C, Items 1 through 9.
Do not report PCI loans that are either (1) loans held for sale; or (2) loans held for investment
accounted for under the fair value option. Provide actual information (required only in the baseline
scenarios) for the third quarter of the reporting period and projected information for the future
quarters (where applicable).
Submit the information requested by product loan type, as segregated on the worksheet. In the
event that a firm has ASC 310-30 pools that include more than one of the products provided on the
worksheet, please allocate the data between the products in question and provide documentation
for the methodology you used for the allocation.
The Call Report Glossary entry for “Purchased Credit Impaired Loans and Debt Securities” contains
further information on the carrying value, the nonaccretable difference, and the accretable yield.
For Sections A through, E, report line items 1 through 14 for the current quarter (CQ) and nine
subsequent projected quarters (PQ1 through PQ9). Information reported on this schedule will be
collected in Sections A through E, as follows:
A. First Lien Mortgages
The term “first lien mortgages” is defined as all loans meeting the definition of Call Report, Schedule
RC-C, item 1.c.(2)(a). The loan population includes all loans directly held in the bank’s portfolio.
B. Junior Lien HELOANs
The term “junior lien HELOANs” is defined as all loans meeting the definition of Call Report, Schedule
RC-C, Item 1.c.(2)(b). The loan population includes all loans directly held in the bank’s portfolio.
C. HELOCs
The term “HELOCs” (home equity line of credit) is defined as all loans meeting the definition of
Call Report, Schedule RC-C, Item 1.c.(1). The active loan population includes all loans directly held
in the bank’s portfolio
D. Other (specify in documentation)
Provide information on all other PCI retail loans that do not meet the definition of first lien
mortgages, junior lien HELOANs, or HELOCs (see above for definitions). Categorize “other loans”
according to their classification on the Retail Balance and Loss Projections worksheet. Specify the
applicable loan category(s), and report items 1 through 14 (e.g. Carry Value, Allowance, Net Carry
Value, etc.) for the current quarter and nine subsequent projected quarters for each loan category.
E. Portfolio to be Acquired (specify in documentation)
Provide information on all PCI loans that are to be acquired. Classify PCI loans to be acquired
according to the ASC 310-30 loan categories provided in Sections A through D (e.g. first lien
mortgages, junior lien HELOANS, HELOCs, corporate cards, etc.). Specify the applicable loan
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category(s), and report items 1 through 14 (e.g. Carry Value, Allowance, Net Carry Value, etc.) for
the current quarter and nine subsequent projected quarters for each loan category on the worksheet.
In supporting documentation, provide details on the composition of the portfolio(s) of
PCI loans to be acquired and on the deals related to the acquisition of these PCI loans.
Item 1 Carry Value
Report the carrying value of the ASC 310-30 PCI loans held for investment as they are reported on
the balance sheet. Carrying value does not reflect any allowance for loan losses, but includes
purchase accounting adjustments (including the nonaccretable difference and the accretable yield).
The reported amount should be consistent with the amount reported on the Call Report, Schedule
HC- C, Memoranda Item 7b.
Item 2 Allowance
Report the amount of any allowance for loan losses that has been established for the PCI loans. The
Call Report, Glossary entries for “Allowance for Loan and Lease Losses” and “Purchased CreditImpaired Loans and Debt Securities” contain further information.
Item 3 Net Carry Value
Report the carry value less any allowance. This field is automatically calculated.
Item 4 Unpaid Principal Balance
Report the total contractual unpaid principal balance of ASC 310‐30 (SOP 03‐3) PCI loans as of
quarter‐end.
Item 5 Initial Day 1 Nonaccretable Difference to Absorb Cash Flow Shortfalls on PCI
Loans
Report the initial Day 1 nonaccretable difference, which is the estimate at the date of acquisition of
contractual cash flows not expected to be collected. Specify whether this includes principal only or
principal plus interest. On the reporting form, this field only needs to be completed with data from
the third quarter of the current year (i.e. the first column). In Supporting Documentation, specify
whether this includes principal only or principal plus interest.
Item 6 Quarter Ending Non Accretable Difference (NAD)
Report the amount of the Day 1 NAD remaining (see Item 5, above), net of (1) the amount allocated
to offset ‘Charge Offs to Date’ (provided in Item 7) and (2) any amounts reclassified to accretable
yield under ASC 310-30.
Items 7 and 8 Cumulative “Charge-Offs” to Date
Report the amount of cumulative charge-offs that would have been recognized through the quarter
to date based upon contractual amounts due from the borrower under the firm's charge-off policy.
In other words, for these items, charge-offs should be calculated based upon the contractual
amount due from the borrower rather than the carrying amount recorded on the balance sheet,
considering the firm's charge-off policy. Report the cumulative amount of charge-offs to date, if
any, that have been charged against the nonaccretable difference (Item 7) and/or the allowance
(Item 8). In supporting documentation, Report the amount of cumulative charge-offs to date that
have been charged against the nonaccretabe difference and/or the allowance. Refer to the
Supporting Documentation Instructions for guidance on providing supporting documentation.
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Item 9 Provisions to Allowance
Report the amount of provisions to the allowance recognized in the income statement in the
quarter due to changes in expected cash flows for PCI loans. Provide increases to the allowance as a
positive number and reversals of the allowance as a negative number.
Items 10 and 11 Quarterly “Charge-Offs”
Report the amount of charge-offs for the quarter to date that would have been recognized based
upon contractual amounts due from the borrower under the firm's charge-off policy. In other
words, for these items, charge-offs should be calculated based upon the contractual amount due
from the borrower rather than the carrying amount recorded on the balance sheet, considering the
firm's charge-off policy. In Supporting Documentation, report the amount of charge-offs for the
quarter, if any, that have been charged against the nonaccretable difference and/or the allowance.
Item 12 Accretable Yield Remaining
Report the accretable yield remaining as of the quarter-end.
Item 13 Accretable Yield Accreted to Income
Report the amount of accretable yield recognized as income in the quarter.
Item 14 Effective Yield (%)
Report the effective interest rate at which income is recognized in the quarter.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.
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G. - SECURITIES OTTI (AFS/HTM)
General Instructions
High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio, Projected
OTTI for AFS and HTM Securities by Portfolio, Post-Trading Shock Market Values for AFS Securities,
and Actual AFS and HTM Fair Market Value Sources by Portfolio collect data on the following types
of securities:
•
•
•
•
•
•
•
•
•
•
government agency mortgage-backed
securities (MBS);
auction rate securities;
collateralized debt obligations (CDOs);
collateralized loan obligations (CLOs);
commercial mortgage-backed securities
(CMBS);
common stock (equity);
auto asset-backed securities (ABS);
Credit Card ABS;
Student Loan ABS;
Other ABS (excluding home equity loan
ABS);
•
•
•
•
•
•
•
•
corporate bonds;
domestic non-government agency residential
mortgage-backed securities (RMBS, includes
home equity loan ABS) such as Alt-A (option
ARM), Alt-A FRM, Alt-A ARM, closed- end
second, HELOC, Scratch & Dent, Subprime,
Prime Fixed, and Prime ARM securities;
Foreign RMBS;
municipal bonds;
mutual funds;
preferred stock (equity);
sovereign bonds;
U.S. Treasuries & other government agency
non-mortgage-backed securities; and other
securities (for "other" AFS and HTM
securities, please provide the security type
in item 28, currently labeled "Other", adding
extra rows below as necessary.
A.3.a—Projected OTTI for AFS Securities and HTM Securities by CUSIP
For each position that incurred a loss in P&L, state the identifier value (CUSIP or ISIN) and the
amount of loss projected (over the entire forecast horizon). Create a separate line item for each
position. Total projected losses should reconcile to the total sum of projected losses (across all
quarters) provided in the Securities OTTI by Portfolio tab of this schedule.
A.3.b—High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by
Portfolio
Complete the unshaded cells in the table provided. In the “Threshold for Determining OTTI”
column, report either the price-based threshold, the ratings-based threshold, the cash flow modelbased threshold, or other threshold. Report the aggregate cumulative lifetime loss on underlying
collateral (% original balance) as the total undiscounted loss amount (including both historical and
projected losses) for the underlying collateral as a percentage of original principal balance of the
securities aggregated by portfolio. In the “discount rate methodology” column, state whether a
market-based or accounting-based (e.g., book /purchase price) discount is used. In the final three
columns: provide the name(s) of any vendor(s) and any vendor models that are used, indicate
whether all securities were reviewed for potential OTTI for stress testing and provide the macroeconomic and financial variables used in loss estimation.
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A.3.c—Projected OTTI for AFS and HTM Securities by Portfolio
Provide the credit loss portion and non-credit loss portion of projected OTTI (for relevant
portfolios) for the quarters detailed in the tables provided in the Securities OTTI by Portfolio tab.
Values should be quarterly, not cumulative.
OTTI related to the security’s credit loss is recognized in earnings, whereas the OTTI related to
other factors (defined as the non‐credit loss portion) is included as part of a separate component of
other comprehensive income (OCI). For only those securities determined to be other-thantemporarily impaired, banks should provide both projected losses that would be recognized in
earnings and any projected losses that would be captured in OCI. Amortized Cost should represent
all Securities held, regardless of if they are impaired or not. Only securities projected to experience
an other-than-temporary impairment loss in the P&L should be reported in the "Credit Loss
Portion" and "Non-Credit Loss Portion" columns. Securities not projected to be other-thantemporarily impaired (for example, any securities implicitly or explicitly guaranteed by the U.S.
government or any other securities for which no OTTI is projected) should not be reported in these
columns. OTTI values should be stated as positive values.
A.3.d— Projected OCI and Fair Value for AFS Securities
Banks should estimate and provide fair values of AFS securities based on a re-pricing of 09/30
positions held on the reporting date. All banks should estimate results using the conditions specified
in the macroeconomic scenario. The “Total Actual Fair Market Value” column is the end-of-quarter
fair value of the portfolio assets for the reporting quarter. The “Projected OCI” in Columns D - L each
represent the pre-tax incremental change in Accumulated Other Comprehensive Income during the
period due to changes in the fair value of the securities in the portfolio and may also reflect changes
in amortized cost, including changes due to amortization and accretion, or any other anticipated
factors affecting the amortized cost amounts of AFS holdings. These columns, including the “Total
Projected OCI in all Quarters”, may be affected by changes in a securities' amortized cost due to a
projected experience of OTTI and estimate of OTTI write-down for a given quarter.
A.3.e—Actual AFS and HTM Fair Market Value Sources by Portfolio
Provide information on the sources of actual fair market values as of September 30 of the reporting
year. In the “Principal Market Value Source” column, state whether a vendor or proprietary model
is used. If using a third party vendor, provide the name of the vendor. Banks should also indicate
how often securities are normally marked to market (e.g., daily, weekly, quarterly, etc.).
Supporting documentation:
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.
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H. TRADING
Only the banks subject to the market shock scenario are required to complete
this worksheet.
The Trading worksheet collects firm-wide trading profit and loss (P/L) results decomposed into the
various categories listed (e.g., Equities, FX, Rates) as of a date specified by the OCC or another recent
reporting date prior to the supplied as-of date as appropriate (see When to Report section of the
General Instructions for additional detail). These categories are not meant to denote lines of
business or desks, but rather firm-wide totals by risk. The decomposition of losses into risk areas
should sum to equal the total trading mark-to-market (MTM) loss reported on the income
statement. Report total P/L for the entire scenario horizon. When reporting P/L numbers, report
profits as positive numbers and losses as negative numbers.
Column Instructions
Column A Firmwide Total
Report bank-wide total trading profit and loss for the entire scenario horizon.
Column B Contributions from Higher-Order Risks
Report contributions to P/L included in Column A from higher-order risks..
Column C Contributions from CVA Hedges
Report contributions to P/L included in column A from Credit Value Adjustment (CVA) hedges.
Item Instructions
The categories are not meant to denote lines of business or desks, but rather bank-wide totals
by risk. .
Item 1 Equity
Report the contribution to P/L from exposures associated with bank-wide Equity risk.
Item 2 FX
Report the contribution to P/L from exposures associated with bank-wide FX risk.
Item 3 Rates
Report the contribution to P/L from exposures associated with bank-wide Rates risk.
Item 4 Commodities
Report the contribution to P/L from exposures associated with bank-wide Commodities risk.
Item 5 Securitized Products
Report the contribution to P/L from exposures associated with Securitized Products.
Item 6 Other Credit
Report the contribution to P/L from all credit products.
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Item 7 Private Equity
Report the contribution to P/L from exposures associated with Private Equity.
Item 8 Other Fair Value Assets
Report the contribution to P/L from exposures associated with Other Fair Value Assets.
Item 9 Cross-Asset Terms
Report the contribution to P/L from intra-asset risks attributable to the co-movement of multiple
asset classes. For example, an equity option paying off in a foreign currency would have both
Equity and FX risk. The P/L due to this co-dependence would be entered into row 9.
Item 10 Total
Report the total of lines 1 through 9. This total must equal line 58, Trading mark-to-market (MTM)
loss, reported on the Income Statement worksheet of this Schedule.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.
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I. COUNTERPARTY CREDIT RISK (CCR)
The CCR worksheet collects projected counterparty credit losses as of a date specified by the OCC.
Losses should be reported as positive values.
Item 1 Trading Incremental Default Losses (Trading IDR)
Report incremental default risk (IDR) of credit sensitive assets in the trading book over
the projection horizon. Trading IDR represents the additional losses incurred from default
of
underlying securities (obligors) in the trading book, beyond the MTM losses already captured by the
MTM trading book shocks. To estimate Trading IDR, firms can leverage calculations under the
Basel methodology as defined in Basel Committee on Banking Supervision (BCBS) Guidelines for
Computing Capital for Incremental Risk in the Trading Book. Alternatively, Banks may use an
existing internal methodology/process for IDR. Default risk should be consistent with the
macroeconomic scenario. Where separate methodologies are used to calculate CCR IDR and
Trading IDR, provide separate data results and supporting details. Banks should not reflect
diversification benefits between Trading IDR and CCR IDR in their calculations.
Item 1a Trading Incremental Default losses from securitized products
Report trading IDR losses from securitized products, including RMBS, CMBS, and other
securitized products.
Item 1b Trading Incremental Default losses from other credit sensitive instruments
Report trading IDR losses from all other credit sensitive instruments (i.e., all products
considered in Trading IDR losses other than securitized products), such as sovereigns, advanced
economy corporate credits, and emerging market corporate credits.
Item 2 Counterparty Credit MTM Losses (CVA Losses)
Report Counterparty Credit MTM Losses. Report total losses as equivalent to the bank’s
calculation of aggregate stressed CVA less unstressed CVA for each scenario. This figure, the sum
of items 2a and 2b should correspond to the difference between aggregate stressed CVA and
aggregate unstressed CVA, as reported in Schedule F – Counterpart Credit Risk, Worksheet 1.e, for
all scenarios.
Item 2a Counterparty CVA losses
Report Counterparty CVA losses.
Item 2b Offline Reserve CVA losses
Report CVA losses that result from offline/additional CVA reserve.
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Item 3 Counterparty Incremental Default Losses (CCR IDR)
Report incremental default risk (IDR) over the projection horizon of over-the- counter (OTC)
derivative counterparties in the trading book, beyond the mark-to-market (MTM) losses already
captured by stressing CVA. A methodology conceptually similar to the Trading IDR book can
beapplied, where instead of obligor defaults, the CCR IDR would account for counterparty defaults.
Exposure at default (EAD) calculations should capture stressed counterparty exposures, and should
deduct stressed asset-side, unilateral CVA. Stressed EAD should be based on the trading asset stress
scenarios (adverse and severely adverse scenarios provided by the OCC), while default risk should
be consistent with the macroeconomic scenario. Where separate methodologies are used to
calculate CCR IDR and
Trading IDR, provide separate data results and supporting details. Only single name credit default
swap (CDS) hedges of the defaulting counterparty may be used to offset counterparty defaults in
CCR IDR losses.
Item 3a Impact of CCR IDR Hedges
Report the reduction to CCR IDR losses reported in item 3 due to the gains from single name CDS
hedges of defaulting counterparties.
Item 4 Other CCR losses
Report other CCR losses, such as jump to default (JTD) losses, as required by DFAST instructions
not reported in items 1, 2 or 3 above.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.
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J. OPERATIONAL RISK SCENARIO AND PROJECTIONS
Operational risk losses are defined in Basel II as losses arising from inadequate or failed internal
processes, people and systems, or from external events. Operational risk losses include legal losses
but exclude boundary events. Boundary events are operational losses that could also be classified
as credit event losses. The Interagency Final Rule further defines an operational loss as a financial
loss (excluding insurance or tax effects) resulting from an operational loss event and includes all
expenses associated with an operational loss event except for opportunity costs, forgone revenue,
and costs related to risk management and control enhancements implemented to prevent future
operational losses. An operational loss event is defined as an event that results in loss and is
associated with operational loss event type categories as outlined in the definition section of
these instructions.
Operational risk loss projections should be included in the PPNR Projections worksheet in item 29,
Operational Risk Expense, and should be excluded from reserves.
See Schedule E – Operational Risk for additional operational risk reportin requirements.
Definitions
Refer to the following definitions when completing the Operational Risk Scenario Inputs and
Projections worksheet:
1. Event Types: The event type is one of seven industry standard categories that reflect the
nature of the underlying operational loss. The seven categories are:
a) Internal Fraud: Losses due to acts of a type which involve at least one internal party
and are intended to defraud; misappropriate property; or circumvent regulations, the
law, or
company policy, excluding diversity and discrimination events.
b) External Fraud: Losses due to acts of a type intended to defraud, misappropriate
property or circumvent the law, by a third party.
c) Employment Practices and Workplace Safety: Losses arising from acts inconsistent
with employment, health or safety laws or agreements, from payment of personal
injury claims, or from diversity / discrimination events.
d) Clients, Products and Business Practices: Losses arising from an unintentional or
negligent failure to meet a professional obligation to specific clients (including
fiduciary and suitability requirements), or from the nature or design of a product.
e) Damage to Physical Assets: Losses arising from loss or damage to physical assets
from natural disaster or other events.
f) Business Disruption and System Failure: Losses arising from disruption of business or
system failures.
g) Execution, Delivery and Process Management: Losses from failed transaction processing
or process management, from relations with trade counterparties and vendors.
2. Type of Data:
a) External data: Historical operational losses experienced by other firms.
b) Internal data: Historical operational losses that have been experienced by the bank.
c) Operational Risk Scenario Analysis: A systematic process of obtaining expert opinions
from business managers and risk management experts to derive reasoned assessments of the
likelihood and loss impact of plausible high severity operational losses
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d) Business Environment and Internal Control Factors (BEICFs): Risk and control
assessments, key risk indicators, and other factors useful in identifying the level of
risk within an organization.
e) Model Output: Output generated by an internal or external model, such as a factor model
f) Other: Data types unique to an organization’s operational risk framework
3. Brief Description: Description of operational loss event or other factor considered.
4. Unit of Measure: The level at which the bank’s quantification model generates a separate
distribution for estimating potential operational losses (e.g., organizational unit, operational
loss event type, risk category).
5. Dollar Contribution to Operational Loss Estimate: For each row of operational risk data
considered in the operational loss projections, indicate the dollar amount that was used in
the operational loss projection included in PPNR. Total should agree to the projected
“Operational risk expense” amount included in Line 29 in the PPNR Projections worksheet.
Worksheet Instructions
The Operational Risk Scenario and Projections worksheet collects information about the
composition of the operational risk loss projections. Each bank should gather data using a number
of tools, including external data, internal data, scenario analysis, risk assessment, quantitative
methods, and so on. Each data tool produces an input to the overall loss projection. The Unit of
Measure (“UOM”) is used to capture the data from these tools in a uniform manner. Although an
institution can develop idiosyncratic UOMs, reporting institutions generally utilize the Basel II
Event Types and Business Lines (or combinations of these) to categorize the data into specific
inputs to the loss projection models. Reporting institutions are expected to provide the type of
data, a brief description of the loss event, how it was categorized (UOM), and the contribution the
data made to the loss projection.
Loss Projections based on Legal Reserves and Settlements
Banks should report the potential impact of significant amounts that may be paid to prevent or
mitigate an operational loss settlement with clients, or to prevent future legal action.
Each of the Operational Risk loss projections in each of the required scenarios should include all
projected settlements, make-whole payments, payouts that comply with adverse legal rulings, and
other legal losses if they are not covered on the PPNR Projections Worksheet under items 14N and
30 (Provisions to Repurchase Reserve / Liability for Residential Mortgage Reps and Warranties).
If specifically linked to operational risk, banks should include all legal consultation fees, retainer
fees, and provisions to the legal reserve within the Operational Risk loss projections.
Unrelated Professional Services
The cost of outside consulting, routine “business as usual” legal expenses, external audit, and other
professional services that are unrelated to operational risk should be included in item 31
(Professional and Outside Services Expenses) on the PPNR Projections Worksheet.
Supporting documentation:
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.
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K. PRE-PROVISION NET REVENUE (PPNR)
A. General Technical Details
This section provides general guidance and data definitions for the three PPNR worksheets
included in the Summary Schedule.
Certain commonly used terms and abbreviations, including PPNR, are defined at the end of this
section. Other definitions are embedded in the Schedule. Undefined terms should be assumed to
follow Call Report definitions. In cases where Call Report guidance is unavailable, banks should
use internal definitions and include information about the definitions used in the Supporting
Documentation.
•
•
•
•
•
All quarterly figures should be reported on a quarterly basis.
Provide data for all non-shaded cells, except where the data requested is optional.
If there are no data for certain numerical fields, then populate the fields with a zero
(0). If the the a bank chooses not to report an optional field, leave the field blank.
For numerical fields requesting information in percent (e.g. average rates earned),
use standard format where .01 = 1%. Do not use non-numerical characters in
numerical fields.
If there is no information for certain fields, populate the fields with “N/A.”
Banks need to ensure that:
(a) revenues and expenses reported always reconcile on a net basis to Call Report, Schedule RI, item
3 plus item 5.m minus 7.e plus item 7.c.(1) minus item 40 of PPNR Projections worksheet (note
that this does not include losses from the trading shock exercise),
(b) Net Interest Income is equal between the PPNR Projections and PPNR Net Interest Income
worksheets,
(c) Average balances reported for the purposes of the PPNR Net Interest Income worksheet equal
Call Report, Schedule RC-K, item 9 for average assets and an average of Call Report, Schedule RC,
item 21 for average liabilities.
Net Interest Income: Primary and Supplementary Designation
Banks are expected to report all line items for all worksheets subject to applicable thresholds as
detailed in the instructions.
B. Commonly Used Terms and Abbreviations
Domestic Revenues: Revenues from the US and Puerto Rico only. Note that this differs from the
definition of domestic on the Call Report.
International Revenues: Revenues from regions outside the US and Puerto Rico.
Pre-provision Net Revenue (PPNR): Sum of net interest income and noninterest income net of
noninterest expense, with components expected to reconcile with those reported in the Call Report
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when adjusted for certain items. As presented on the PPNR schedules, the adjustments include
exclusions of Valuation Adjustment for bank’s debt under fair value option (FVO), goodwill
impairment, loss resulting from trading shock exercise (if applicable), as well as adjustments related
to operational risk expense required for PPNR purposes. For the related items, reference the PPNR
Projections worksheet and related instructions for the items 29, 40-42. Gains and losses on AFS and
HTM securities, including other than temporary impairments (OTTI) estimates, are not a component
of PPNR. All revenue and expenses related to mortgage servicing rights (MSRs) are components of
PPNR to be reported in the associated noninterest income and noninterest expense line items on the
PPNR schedules. Total Loans Held for Sale and Loans Accounted for under the Fair Value Option
(item 57 of the Income Statement worksheet) are excluded only if they are a result of a market
shock exercise. Other Losses (item 66) are excluded as applicable and are expected to be infrequent.
Revenues: Sum of net interest income and noninterest income adjusted for selected exclusions, as
reported on line item 27 of the PPNR Projections worksheet.
Run-Off or Liquidating Businesses: operations that do not meet an accounting definition of
“discontinued operations” but which the bank intends to exit. In order to facilitate the calculation of
the proper net interest income on the Net Interest Income worksheet, report total balances related to
discontinued operations as a negative number in “Other” in items 15 and 38 and the corresponding
average rates earned in items 31 and 46. Banks should provide a detailed listing of the type (by
corresponding line item on the Net Interest Income worksheet) of such balances reported as
negative items in “Other” and the corresponding rates in the submission documentation.
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L. PPNR PROJECTIONS WORKSHEET
Banks should report data in the PPNR worksheets only per the standardized DFAST-14A
requirements. However, banks are encouraged to provide data consistent with their own internal
view in supporting documentation, accompanying the DFAST-14A Projections and discuss data
differences.
Revenue Components
Revenue items are divided into net interest income and noninterest income, with totals expected
to reconcile with what would be reported in the Call Report when adjusted for Valuation
Adjustment for bank’s own debt under fair value option (FVO), loss resulting from trading shock
exercise (if applicable), and operational risk expense adjustments required for PPNR purposes. In
the documentation supporting the DFAST-14A PPNR submission, banks are encouraged to discuss
operational risk losses reported as contra-revenues for Call Report purposes and their
reallocation to Operational Risk expense in accordance with the PPNR instructions.
Do not report gains and losses on AFS and HTM securities, including other than temporary
impairments (OTTI) estimates, as a component of PPNR.
Report all items either in the segments that generated them and/or segments that they were
allocated to through funds transfer pricing (FTP). Net interest income allocation to the defined
segments should be based on the cost of funds applicable to those segments as determined by the
bank. Supporting Documentation instructions regarding methodology used should be provided in
the memo required with the DFAST-14A Projections. Business segments and related subcomponents do not have to correspond to but may include certain line items on the Call Report
schedule.
The Business segment structure of the worksheet is defined by product/service (e.g., credit cards,
investment banking) and client type (e.g., retail, medium size businesses). It is not defined by
client relationship.
Banks are encouraged to note which line items contain Debit Valuation Adjustments (DVA) and/or
Credit Valuation Adjustments (CVA) (note: these are different from fair value adjustment on the
bank’s own debt under the Fair Value Option (FVO) which is excluded from PPNR by definition),
including amounts if available, and whether these are generated with the purpose to generate
profit.
All revenue and expenses related to mortgage servicing rights (MSRs) and the associated
noninterest income and noninterest expense line items should be evolved over the nine-quarter
projection horizons, and reported in the pre-provision net revenue (PPNR) schedules.
Business Segment Definitions
Subject to applicable thresholds, reporting of net interest income and noninterest income items
is requested based on a business segment/line view, with business segments/lines defined as
follows:
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•
•
As general guidance, small business clients are those with annual sales of less than $10 million.
Business, government, not-for-profit, and other institutional entities of medium size are those
with annual sales between $10 million and $2 billion. Large business and institutional entities
are those with annual sales of more than $2 billion. If a bank’s internal reporting for these client
segments deviates from this general guidance, continue to report according to internal
definitions and describe how the bank defined these or similar client segments and the scope of
related business segments/lines in the memo supporting the submission.
A bank may include public funds in the segment reporting based on the type of the relationship
that exists between the public funds and the bank. For example, if the bank acts in a custodial
or administrative capacity, the bank may report public funds in Investor Services. If a bank is
involved in the management of funds, the bank may report the public funds in Investment
Management.
Net Interest Income by Business Segment (unless specified otherwise, all numbers are global).
Item 1 Retail and Small Business
This item is a shaded cell and is derived, per column, from the sum of items 1A and 1G. For items
1A through 1F, domestic includes U.S. and Puerto Rico only.
Report in the appropriate sub-item all net interest income related to retail and small business
banking and lending, including both ongoing as well as run-off and liquidating businesses8. Exclude
any revenues related to Wealth Management/Private Banking (WM/PB) clients even if they are
internally classified as retail. Banks may include such revenues in WM/PB line items instead. In
case of WM/PB mortgage repurchase contra-revenues, if any, report them as outlined in the PPNR
Projection worksheet.
Item 1A Domestic
This item is a shaded cell and is derived, per column, from the sum of items 1B through 1F.
Item 1B Credit and Charge Cards
Report interest income from domestic bank issued credit and charge cards to retail customers
including those that result from partnership agreements. May include revenue that is generated
on domestic accounts due to foreign exchange transactions. Exclude the following:
•
•
•
•
other unsecured borrowing and debit cards;
small business cards (report in Other Retail and Small Business Lending, item 1F);
wholesale and commercial cards (report in Treasury Services, item 8).
Cards to Wealth Management/Private Banking clients (report in Wealth Management/Private
Banking, line 19B)
Item 1C Mortgages
Report interest income from domestic residential mortgage loans offered to retail customers.
Item 1D Home Equity
Report interest income from domestic home equity loans and lines of credit (HELOANs/HELOCs)
provided to retail customers.
8
See “Commonly Used Terms and Abbreviations” for the definition.
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Item 1E Retail and Small Business Deposits
Report interest income from domestic branch banking and deposit-related products and services
provided to retail and small business customers. Include debit card revenues in this line. May
include revenue that is generated on domestic accounts due to foreign exchange transactions. This
item does not include any lending revenues.
Item 1F Other Retail and Small Business Lending
Report interest income from other domestic retail and small business lending products and
services. These include, but are not limited to, small business cards, loans, auto loans, student
loans, or personal unsecured credit. All domestic lending revenues not captured in Credit Cards,
Mortgages, and Home Equity should be reported here.
Item 1G International Retail and Small Business
Report interest income from retail and small business generated outside of the U.S. and Puerto
Rico. Includes, but is not limited to, all international revenues from credit/charge/debit cards,
mortgages, home equity, branch and deposit services, auto, student, and small business loans.
Item 2 Commercial Lending
Report interest income from lending products and services provided to business, government, notfor-profit, and other institutional entities of medium size, as well as to commercial real estate
investors and owners. Exclude treasury, deposit, and investment banking services.
Item 3 Investment Banking
Report in the appropriate sub-item all interest income generated from investment banking services
provided to business and institutional entities of both medium and large size. Include revenues from
new issue securitizations for third parties. Business lines are defined as follows:
•
•
•
•
Advisory: Corporate strategy and financial advisory, such as services provided for mergers and
acquisitions (M&A), restructuring, financial risk management, among others.
Equity Capital Markets: Equity investment banking services (e.g., IPOs or secondary offerings).
Debt Capital Markets: Generally non-loan debt investment banking services.
Syndicated/Corporate Lending: Lending commitments to larger corporate clients, including
event or transaction-driven lending (e.g., to finance M&A, leveraged buyouts, bridge loans).
Generally, all syndicated lending origination activity should be included here (not in
Commercial Lending).
Item 4 Merchant Banking/ Private Equity
Report interest income from private equity (PE), real estate, infrastructure, and principal
investments in hedge funds. May include principal investment related to merchant banking
activities.
Item 5 Sales and Trading
This item is a shaded cell and is derived, per column, from the sum of items 5A and 5B.
Report in the appropriate sub-item all interest income generated from sales and trading activities.
Any interest income from carry should be included in Sales & Trading net interest income. May
include short-term trading made for positioning or profit generation related to the Sales & Trading
activities in this line item.
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Item 5A Prime Brokerage
Report interest income generated from securities financing, securities lending, custody, clearing,
settlement, and other services for hedge funds and other prime brokerage clients. Include all prime
brokerage revenues in this line and not in any other business segments/lines.
Item 5B Other
Report interest income from all other Sales & Trading activities. These include, but are not limited to:
•
•
•
Equities: Commissions, fees, dividends, and trading gains and losses on equity products. Exclude
prime brokerage services.
Fixed Income: Commissions, fees, and trading gains and losses on rates, credit, and other fixed
income products. Exclude prime brokerage services.
o Rates: Generally U.S. Treasury, investment grade sovereign, U.S. agency bonds, and interest
rate swaps. Rates revenues related to trading activities outside of the Sales & Trading
division need not be included into the Rates trading in this section, but describe where they
are allocated in the bank’s documentation supporting the submission.
o Credit: Generally corporate bonds, loans, ABS, muni, emerging markets, CDS. If a bank
classifies some of the credit related trading (such as distressed debt) in segments other
than “Sales & Trading,” it can continue to report it as in its internal financial reports but
indicate where they are reported in the documentation supporting submission.
o Other: e.g., FX/Currencies if not included above.
Commodities: Commissions, fees, and trading gains and losses on commodity products. Exclude
prime brokerage services.
Item 6 Investment Management
Report all interest income generated from investment management activities. Business lines are
defined as follows:
• Asset Management: Professional management of mutual funds and institutional accounts.
Institutional clients may include endowments, not-for-profit entities, governments, and others.
• Wealth Management/Private Banking (WM/PB): Professional portfolio management and
advisory services for individuals. Individual clients may be defined as mass market, affluent, and
high net worth. Activities may also include tax planning, savings, inheritance, and wealth
planning, among others. May include deposit and lending services to WM/PB clients here and
retail brokerage services for both WM/PB and non WM/PB clients.
Item 7 Investment Services
Report all interest income generated from investment servicing. Exclude prime brokerage
revenues. Business lines are defined as follows:
• Asset Servicing: Custody, fund services, securities lending, liquidity services, collateral
management; and other asset servicing. Include record keeping services for 401K and employee
benefit plans, but exclude funding or guarantee products offered to such clients.
• Issuer Services: Corporate trust, shareowner services, depository receipts
• Other Investment Services: Clearing and other investment services.
Item 8 Treasury Services
Report all interest income from cash management, global payments, working capital solutions,
deposit services, and trade finance from business and institutional entities of both medium and
large size. Include wholesale/corporate and commercial cards.
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Item 9 Insurance Services
Report all interest income from insurance activities including, but not limited to, individual (e.g.,
life, health), auto and home (property and casualty), title insurance and surety insurance, and
employee benefits insurance.
Item 10 Retirement/Corporate Benefit Products
Report premiums, fees, and other interest income generated from retirement and corporate benefit
funding products, such as annuities, guaranteed interest products, and separate account contracts.
The fees/revenues that may be recorded here are generally generated as a result of the bank
accepting risks related to actuarial assumptions or the estimation of market returns where
guarantees of future income streams have been made to clients.
Item 11 Corporate/Other
Report interest income associated with:
• Capital and asset-liability management (ALM) activities. Among other items, may include
investment securities portfolios (but not gains and losses on AFS and HTM securities, including
OTTI, as these are excluded from PPNR by definition). Also may include principal investment
supporting the corporate treasury function to manage firm-wide capital, liquidity, or structural
risks.
• Run-off or liquidating businesses9 (but exclude retail and small business run- off/liquidating
businesses, per Retail and Small Business segment definition)
• Non-financial businesses (e.g., publishing, travel services)
• Corporate support functions (e.g., Human Resources, IT)
• Other non-core revenues not included in other segments (e.g., intersegment eliminations).
Item 12 Optional Immaterial Business Segments
Banks have the option to report less material business segment revenue in Optional Immaterial
Business Segments. The reported total optional immaterial business segment revenue relative to
total revenue cannot exceed 10 percent. Banks should provide comprehensive information in the
Supporting Documentation Instructions on which business segments are included in the Optional
Immaterial Business segments line item, their relative contribution to the totals reported in both
schedules and the manner in which the revenues were projected.
Item 13 Total Net Interest Income
This item is a shaded cell and is derived, per column, from the sum of items 1, 2 through 5, and 6
through 12. Item 13, per column, should equal item 49 on PPNR NII Worksheet, if completed.
Noninterest Income by Business Segment (unless specified otherwise, all numbers are global).
Item 14 Retail and Small Business
This item is a shaded cell and is derived, per column, from the sum of items 14A and 14T.
Item 14A Domestic
This item is a shaded cell and is derived, per column, from the sum of items 14B, 14E, 14O, and 14S.
Report in the appropriate sub-item all domestic revenues related to retail and small business banking
and lending, including both ongoing as well as run-off and liquidating businesses. Exclude any
revenues related to Wealth Management/Private Banking (WM/PB) clients even if they are internally
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classified as retail. Banks may include such revenues in WM/PB line items instead. In case of WM/PB
mortgage repurchase contra-revenues, if any, report them as outlined in the PPNR Projection
worksheet.
Item 14B Credit and Charge Cards
This item is a shaded cell and is derived, per column, from the sum of items 14C and 14D.
Report in the appropriate sub-item all noninterest income generated from domestic bank issued
credit and charge cards to retail customers including those that result from a partnership
agreements. May include revenue that is generated on domestic accounts due to foreign
exchange transactions and corporate cards. Exclude the following:
•
•
•
•
other unsecured borrowing and debit cards;
small business cards (report in Other Retail and Small Business Lending, item 1F);
wholesale and commercial cards (report in Treasury Services, item 8);
Cards to Wealth Management/Private Banking clients (report in Wealth
Management/Private Banking, line 19B)
Item 14C Credit and Charge Card Interchange Revenues - Gross
Report interchange revenues from all domestic bank issued credit and charge cards including
those that result from a partnership agreement.
Item 14D Other
Report all other fee income and revenue earned from credit and charge cards not captured in
item 14C.
Item 14E Mortgage and Home Equity
This item is a shaded cell and is derived, per column, from the sum of items 14F, 14I and 14N.
Report in the appropriate sub-item noninterest income generated from domestic residential
mortgage loans offered to retail customers and domestic home equity loans and lines of credit
(HELOANs/HELOCs) provided to retail customers.
Item 14F Production
This item is a shaded cell and is derived, per column, from the sum of items 14G and 14H.
Item 14G Gains/Losses on Sale
Report gains/(losses) from the sale of domestic mortgages and home equity originated through
all production channels (retail, broker, correspondent, etc.) with the intent to sell. Such
gains/losses should include deferred fees and costs that are reported as adjustments to the
carrying balance of the sold loan, fair value changes on loan commitments with rate locks that
are accounted for as derivatives, fair value changes on mortgage loans held-for-sale designated
for fair value treatment, lower-of-cost or market adjustments on mortgage loans held-for-sale
not designated for fair value treatment, fair value changes on derivative instruments used to
hedge loan commitments and held-of-sale mortgages, and value associated with the initial
capitalization of the MSR upon sale of the loan.
Item 14H Other
Report all other fee income and revenue earned from mortgage production not captured in item
14G.
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Item 14I Servicing
This item is a shaded cell and is derived, per column, from the sum of items 14J, 14K, 14L, and 14M.
Item 14J Servicing & Ancillary Fees
Report fees received from activities relating to the servicing of mortgage loans, including (but not
limited to) the collection principal, interest, and escrow payments from borrowers; payment of
taxes and insurance from escrowed funds; monitoring of delinquencies; execution of foreclosures;
temporary investment of funds pending distribution; remittance of fees to guarantors, trustees, and
others providing services; and accounting for and remittance of principal and interest payments to
the holders of beneficial interests in the financial assets.
Item 14K MSR Amortization
Include economic amortization or scheduled and unscheduled payments, net of defaults under
both FV and LOCOM accounting methods.
Item 14L MSR Value Changes due to Changes in Assumptions/Model Inputs/Other
Net of Hedge Performance
Report changes in the MSR value here and not in any other items. Report changes in the MSR
hedges here and not in any other items. Include MSR changes under both FV and LOCOM
accounting methods.
Item 14M Other
Report all other revenue earned from servicing activities not captured in lines 14J through 14L.
Item 14N Provisions to Repurchase Reserve/Liability for Residential Mortgage
Representations and Warranties (contra-revenue)
Report provisions to build any non-litigation reserves/accrued liabilities that have been
established for losses related to sold or government-insured residential mortgage loans (first or
second lien). Do not report such provisions in any other items; report them only in line items
14N or 30, as applicable. Exclude all provisions to litigation reserves/liability for claims related
to sold residential mortgages (report in item 29).
Item 14O Retail and Small Business Deposits
This item is a shaded cell and is derived, per column, from the sum of items 14P, 14Q and 14R.
Report in the appropriate sub-item noninterest income from domestic branch banking and depositrelated products and services provided to retail and small business customers. Include debit card
revenues in this line. May include revenue that is generated on domestic accounts due to foreign
exchange transactions.
Item 14P Non-Sufficient Funds/Overdraft Fees – Gross
Report noninterest income from fees earned from insufficient fund deposit balances and
overdrawn client deposit accounts. Report before any contra-revenues (e.g., waivers, etc.).
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Item 14Q Debit Interchange – Gross
Report noninterest income from interchange fees earned on debit cards. Report before any
contra-revenues (e.g., rewards, etc.).
Item 14R Other
Among items included here are debit card contra-revenues and overdraft waivers, as applicable.
Item 14S Other Retail and Small Business Lending
Report noninterest income from other domestic retail and small business lending products and
services. These include, but are not limited to, small business cards, other small business loans,
auto loans, student loans, or personal unsecured credit.
Item 14T International Retail and Small Business
Report noninterest income from retail and small business generated outside of the US and Puerto
Rico. Includes, but is not limited to, all revenues from credit/charge/debit cards, mortgages, home
equity, branch and deposit services, auto, student, and small business loans.
Item 15 Commercial Lending
Report noninterest income from lending products and services provided to business, government,
not-for-profit, and other institutional entities of medium size, as well as to commercial real estate
investors and owners. Exclude treasury, deposit, and investment banking services provided to
commercial lending clients.
Item 16 Investment Banking
This item is a shaded cell and is derived, per column, from the sum of items 16A through 16D.
Report in the appropriate sub-item noninterest income generated from investment banking
services provided to business and institutional entities of both medium and large size. Include
revenues from new issue securitizations for third parties.
Item 16A Advisory
Corporate strategy and financial advisory, such as services provided for mergers and acquisitions
(M&A), restructuring, financial risk management, among others.
Item 16B Equity Capital Markets
Equity investment banking services (e.g., IPOs or secondary offerings).
Item 16C Debt Capital Markets
Generally non-loan debt investment banking services.
Item 16D Syndicated/Corporate Lending
Lending commitments to larger corporate clients, including event or transaction-driven lending
(e.g., to finance M&A, leveraged buyouts, bridge loans). Generally, all syndicated lending origination
activity should be included here (not in Commercial Lending).
Item 17 Merchant Banking/ Private Equity
This item is a shaded cell and is derived, per column, from the sum of items 17A through 17C.
Report in the appropriate sub-item revenues from the sponsorship of, management of, or from
investing in, distinct long-term investment vehicles, such as real estate funds, private equity funds,
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hedge funds or similar vehicles. Also include direct long-term investments in securities and assets
made primarily for capital appreciation, or investments where the bank is likely to participate
directly in corporate governance. Do not include revenues from sales & trading operations,
corporate lending outside of a fund structure, investing in a HTM or AFS securities portfolio,
brokerage or mutual fund operations.
Item 17A Net Investment Mark-to-Market
Report the net gain or loss from sale or from the periodic marking to market of Merchant
Banking/Private Equity investments.
Item 17B Management Fees
Report fees and commissions paid by third parties to the bank in connection with sale, placement or
the management of above described investment activities.
Item 17C Other
Report any noninterest income items not included in items 17A and 17B. Also include the bank’s
proportionate share of the income/other adjustments from its investments in equity method investees.
Item 18 Sales and Trading
This item is a shaded cell and is derived, per column, from the sum of items 18A, 18D, 18H, and 18K.
Report in the appropriate sub-item noninterest income generated from sales and trading activities.
Any interest income from carry should be included in Sales & Trading under net interest income.
May include short-term trading made for positioning or profit generation related to the Sales &
Trading activities in this line item.
Item 18A Equities
This item is a shaded cell and is derived, per column, from the sum of items 18B and 18C.
Item 18B Commission and Fees
Report commissions, fees, and dividends on equity products. Exclude prime brokerage services.
Item 18C Other
Report all noninterest income for equities sales and trading, excluding prime brokerage (to be
reported as a separate line item) and excluding commissions and fees. This includes trading profits
and other noninterest non-commission income.
Item 18D Fixed Income
This item is a shaded cell and is derived, per column, from the sum of items 18E, 18F, and 18G.
Report in the appropriate sub-item commissions, fees, and trading gains and losses on rates, credit,
and other fixed income products. Exclude prime brokerage services.
Item 18E Rates
Generally U.S. Treasury, investment grade sovereign, U.S. agency bonds, and interest rate swaps.
Rates revenues related to trading activities outside of the Sales & Trading division need not be
included into the Rates trading in this section, but describe where they are allocated in the bank’s
documentation supporting the DFAST-14A submission.
Item 18F Credit
Generally corporate bonds, loans, ABS, muni, emerging markets, CDS. If a bank classifies some of the
credit related trading (such as distressed debt) in segments other than “Sales & Trading,” it can
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continue to report it as in its internal financial reports but indicate where they are reported in
the documentation supporting DFAST-14A submission.
Item 18G Other
Report other fixed income products if not included above (e.g., FX/Currencies).
Item 18H Commodities
This item is a shaded cell and is derived, per column, from the sum of items 18I and 18J.
Item 18I Commission and Fees
Report commissions, fees, and trading gains and losses on commodity products. Exclude
prime brokerage services.
Item 18J Other
Report other noninterest income generated from commodity products, excluding prime
brokerage services.
Item 18K Prime Brokerage
This item is a shaded cell and is derived, per column, from the sum of items 18L and 18M. Report
in the appropriate sub-item noninterest income from securities financing, securities lending,
custody,
clearing, settlement, and other services for hedge funds and other prime brokerage clients. Include
all prime brokerage revenues in this line and not in any other business segments/lines.
Item 18L Commission and Fees
Report commissions and fees on prime brokerage services.
Item 18M Other
Report other noninterest income generated from prime brokerage services.
Item 19 Investment Management
This item is a shaded cell and is derived, per column, from the sum of items 19A and 19B. Report
in the appropriate sub-item all noninterest income generated from investment management
activities.
Item 19A Asset Management
Professional management of mutual funds and institutional accounts. Institutional clients
may include endowments, not-for-profit entities, governments, and others.
Item 19B Wealth Management/Private Banking (WM/PB)
Professional portfolio management and advisory services for individuals. Individual clients may
be defined as mass market, affluent, and high net worth. Activities may also include tax planning,
savings, inheritance, and wealth planning, among others. May include deposit and lending services
to WM/PB clients here and retail brokerage services for both WM/PB and non WM/PB clients.
Item 20 Investment Services
This item is a shaded cell and is derived, per column, from the sum of items 20A, 20D, and 20E.
Report in the appropriate sub-item all noninterest income generated from investment
servicing. Exclude prime brokerage revenues.
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Item 20A Asset Servicing
This item is a shaded cell and is derived, per column, from the sum of items 20B and 20C. Report in
the appropriate sub-item all noninterest income from custody, fund services, securities lending,
liquidity services, collateral management, and other asset servicing. Include record keeping services
for 401K and employee benefit plans, but exclude funding or guarantee products offered to such
clients.
Item 20B Securities Lending
Report noninterest income generated from securities lending.
Item 20C Other
Report all other noninterest income asset servicing, excluding securities lending.
Item 20D Issuer Services
Corporate trust, shareowner services, depository receipts, and other issuer services.
Item 20E Other
Report noninterest income from clearing and other investment services not included above.
Item 21 Treasury Services
Report cash management, global payments, working capital solutions, deposit services, and
trade finance from business and institutional entities of both medium and large size. Include
wholesale
and commercial cards.
Item 22 Insurance Services
Report all noninterest income from insurance activities including, but not limited to, individual
(e.g., life, health), auto and home (property and casualty), title insurance and surety insurance, and
employee benefits insurance.
Item 23 Retirement/Corporate Benefit Products
Report premiums, fees, and other noninterest income generated from retirement and
corporate benefit funding products, such as annuities, guaranteed interest products, and
separate account
contracts. The fees/revenues that may be recorded here are generally generated as a result of the
bank accepting risks related to actuarial assumptions or the estimation of market returns
where guarantees of future income streams have been made to clients.
Item 24 Corporate/Other
Report noninterest income associated with:
• Capital and asset-liability management (ALM) activities. Among other items, may include
investment securities portfolios (but not gains and losses on AFS and HTM securities,
including OTTI, as these are excluded from PPNR by definition). Also may include principal
investment supporting the corporate treasury function to manage firm-wide capital, liquidity,
or structural risks.
• Run-off or liquidating businesses12 (but exclude retail and small business runoff/liquidating businesses, per Retail and Small Business segment definition)
• Non-financial businesses (e.g., publishing, travel services)
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•
•
Corporate support functions (e.g., Human Resources, IT)
Other non-core revenues not included in other segments (e.g., intersegment eliminations).
Item 25 Optional Immaterial Business Segment
Banks have the option to report less material business segment revenue in separate line
items“Optional Immaterial Business Segments”. The reported total optional immaterial business
segment revenue relative to total revenue cannot exceed 10 percent. Banks should provide
comprehensive information in the Supportig Documendation on which business segments are
included in the Optional Immaterial Business segments line item. List segments included in this line
item in Footnote 7.
Item 26 Total Noninterest Income
This item is a shaded cell and is derived, per column, from the sum of items 14, 15, 16, 17, 18, 19,
20, and 21 through 25. Excludes Valuation Adjustment for firm's own debt under fair value option
(FVO) reported in item 40 and the result of trading shock exercise (where applicable), as it is
reported in item 42.
Item 27 Total Revenues
This item is a shaded cell and is derived, per column, from the sum of items 13 and 26.
Noninterest Expense Components
Noninterest Expense figures are to be broken out as detailed on the worksheet. The total is
expected to reconcile with what would be reported in the Call Report when adjusted for certain
items. As presented on the PPNR worksheets, the adjustments include exclusions of goodwill
impairment and adjustments related to operational risk expense required for PPNR purposes. For
the related items, reference PPNR Projections worksheet and relate instructions for the line items
29 and 41.
Expense data on the PPNR Submission worksheet are only intended to be reported as firm-wide
bank expenses, with exception of line item 34A, i.e. Marketing Expense for Domestic Credit Cards.
This line item is for Domestic Credit Cards business line only. .
Item 28 Compensation Expense
This item is a shaded cell and is derived, per column, from the sum of items 28A through 28E.
Item 28A Salary
Exclude stock based and cash variable pay compensation and report in items 28D and 28E,
respectively.
Item 28B Benefits
Exclude stock based and cash variable pay compensation and report in items 28D and 28E,
respectively.
Item 28C Commissions.
Report commissions only in "Commissions" line item 28C; do not report commissions in any other
compensation line items.
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Item 28D Stock Based Compensation
Report all expenses related to stock based compensation as defined by ASC Topic 718,
Compensation-Stock Compensation (formerly FASB Statement No. 123(R), Shared-Based Payment).
Item 28E Cash Variable Pay
Report expenses related to all discretionary variable compensation paid (or to be paid) in the form
of cash. Include deferred variable compensation plans not associated with bank stock.
Item 29 Operational Risk Expense
This item is a shaded cell and is derived, per column, from the item on the OpRisk Projected Losses
Worksheet. All operational loss items, including operational losses that are contra revenue
amounts or cannot be separately identified, should be reported in the operational risk expense. Any
legal consultation or retainer fees specifically linked to an operational risk event should be included
in the Operational Risk Expense. Include all provisions to litigation reserves/liability for claims
related to sold residential mortgages and all litigation settlements and penalties in this line item
and not in any other line item.
Item 30 Provisions to Repurchase Reserve/Liability for Residential Mortgage
Representations and Warranties
Provisions to build any non-litigation reserves/accrued liabilities that have been established for
losses related to sold or government-insured residential mortgage loans (first or second lien).
Do not report such provisions in any other items; report them only in line items 14N or 30, as
applicable. Exclude all provisions to litigation reserves/liability for claims related to sold
residential mortgages (report in item 29).
Item 31 Professional and Outside Services Expenses
Among items included are routine legal expenses (i.e., legal expenses not related to operational
losses), audit and consulting fees, and other fees for professional services.
Item 32 Expenses of Premises and Fixed Assets
Report expenses of premises and fixed assets, as defined in the Call Report, Schedule HI, item 7.b.
Item 33 Amortization Expense and Impairment Losses for Other Intangible Assets Report
amortization expense and impairment losses for other intangible assets, as defined in the Call
Report, Schedule RI, item 7.c.(2).
Item 34 Marketing Expense
This item is a shaded cell and is derived, per column, from the sum of items 34A and 34B.
Item 34A Domestic Credit and Charge Card Marketing Expense
Include domestic bank issued credit and charge cards, as defined in item 1B, including those that
result from a partnership agreement. Include both direct and allocated expenses. Report any
expenses that are made to expand the company’s card member and/or merchant base, facilitate
greater segment penetration, enhance the perception of the company’s credit card brand, and/or
increase the utilization of the existing card member base across the spectrum of marketing and
advertising mediums.
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Item 34B Other
Report all marketing expenses not related to domestic credit and charge cards captured in line
34A.
Item 35 Other Real Estate Owned Expense
All expenses associated with other real estate owned that would normally be reported in the Call
Report, Schedule RI, item 7.d., ‘‘Other noninterest expense’’.
Item 36 Provision for Unfunded Off-Balance Sheet Credit Exposures (to build/decrease item
139 in Balance Sheet)
Report the provision for credit losses on off-balance sheet credit exposures.
.
Item 37 Other Noninterest Expense
Provide a further break out of significant items included in Other Noninterest Expense in footnote 4,
such that no more than 5% of Noninterest Expense are reported without further breakout.
Report the line item breakout for the combined 9 quarters of projected “Other noninterest
expense” (line item 37). A quarterly breakout of these data should be included in the Supporting
Documentation.
Item 38 Total Noninterest Expense
This item is a shaded cell and is derived, per column, from the sum of items 28, 29 through 34, and
35 through 37. Excludes Goodwill Impairment included in item 41.
Item 39 Projected PPNR
This item is a shaded cell and is derived, per column, from item 27 less 38. By definition, PPNR will
calculate as net interest income plus noninterest income less noninterest expense, excluding items
broken out in items 40 and 41.
Item 40 Valuation Adjustment for Firm’s Own Debt Under Fair Value Option (FVO)
List segments from which item was excluded in Footnote 9. In footnote 27, list Call Report, Schedule
RI items in which this amount is normally reported and has been excluded from in this reporting
view.
Item 41 Goodwill Impairment
Report impairment losses for goodwill, as defined in the Call Report, Schedule RI, item 7.c.(1).
Item 42 Loss Resulting from Trading Shock Exercise (if applicable)
This item is a shaded cell and is derived, per column, from the sum of items 58 through 62 on the
Worksheet 1.a, Income Statement. Banks should not report changes in value of the MSR asset or
hedges within the trading book. List segments from which item was excluded in Footnote 25.
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M. PPNR NET INTEREST INCOME (NII) WORKSHEET
Banks for which deposits comprise 25% or more of total liabilities are required to submit the
Net Interest Income worksheet. Banks should complete non-shaded cells only.
Banks should provide average asset and liability balances and average yields to calculate net
interest income. The total net interest income calculated should equal the total net interest
income reported using a business segment/line view in the PPNR Projections worksheet.
The average balances and rates should reflect the average over each quarter as best as possible.
The OCC understands that because of changes in balances over the period, the simple
multiplication of average loan rates and balances may not yield the actual interest income. In
these cases, the banks may report the average loan rate so that it equals a weighted average rate
over the period and the interest income total for each quarter reflects historical results or the
bank’s projection, as applicable.
Rates on this worksheet are intended to provide a product level view exclusive of transfer pricing
activity and should be reported on a gross basis. The reporting of net interest income on the
PPNR Projections and PPNR Submission Worksheets provide a business line view and should be
reported net of transfer pricing adjustments.
Average Assets
Banks should reference Call Report and other definitions provided in the PPNR Net Interest Income
worksheet when completing this section. The Call Report code references are intended only to
provide guidance for the types of items to be included or excluded; but NOT the type of balance to
be provided. All requested balance items are averages.
In the case of loans, align definitions with the “total loans” section of the Balance Sheet worksheet.
Include purchased credit impaired loans PCI loan balances and the interest income recognized on
these loans. However, report the aggregate of all nonaccrual loans as line item 9, rather than
including them in each loan type.
Item 1 First Lien Residential Mortgages (in domestic offices)
Report the average balance of first lien residential mortgages in domestic offices (as defined in the
Call Report, Schedule RC-C, item 1.c.(2)(a), column B).
Item 2 Second/Junior Lien Residential Mortgages (in domestic offices)
This item is a shaded cell and is derived, per column, from the sum of items 2A and 2B.
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Item 2A Closed-End Junior Liens
Report the average balance of second/junior lien residential mortgages in domestic offices (as
defined in the Call Report, Schedule RC-C, item 1.c.(2)(b), column B).
Item 2B Home Equity Lines of Credit (HELOCs)
Report the average balance of home equity lines of credit in domestic offices (as defined in the
Call Report, Schedule RC-C, item 1.c.(1), column B).
Item 3 C&I Loans
Report the average balance of C&I Graded, Small Business (Scored/Delinquency Managed),
Corporate Card, and Business Card loans.
Item 4 CRE Loans (in domestic offices)
Report the average balance of CRE loans in domestic offices as defined in the Call Report, Schedule
RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1), and 1.e.(2), column B.
Item 5 Credit Cards
Report the average balance of credit cards (as defined in the Call Report, Schedule RC-C, item
6.a, column A).
Item 6 Other Consumer
This item is a shaded cell and is derived, per column, from the sum of items 6A through 6C.
Item 6A Auto Loans
Report the average balance of auto loans as defined in Call Report, Schedule RC-C, item 6.c, column A.
Item 6B Student Loans
Report the average balance of student loans.
Item 6C Other (including loans backed by securities (non-purpose lending))
Report the average balance of other loans.
Item 7 Real Estate Loans (not in domestic offices)
This item is a shaded cell and is derived, per column, from sum of items 7A and 7B. (Also, defined as
Call Report, Schedule RC-C, item 1, column A, less above items 1, 2, 5, and Call Report, Schedule RC-C,
item 1.b, column B.)
Item 7A Residential Mortgages (first and second lien)
Report the average balance of first and second lien residential mortgages not in domestic offices.
Item 7B Other
Report the average balance of other real estate loans not in domestic offices.
Item 8 Other Loans and Leases
Report the average balance of other loans and leases. Include loans secured by farmland as defined
in Call Report, Schedule RC-C, item 1.b, column B, and other loans not accounted for in the above
categories. If total net interest income does not reconcile to Call Report total per PPNR
definition using fair value average balances for AFS securities, use “Other” balances (line items
15 and 38) and corresponding rates (line items 31 and 46) to offset the difference.
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Item 9 Nonaccrual Loans
Report the average balance of nonaccrual loans, as defined in the Call Report, Schedule RC-N.
Institutions are to provide additional details within the supporting documentation; the
composition of the non-accrual loans by key loan type over the reported time periods for each of
the scenarios.
Item 10 Securities (AFS and HTM) – Treasuries and Agency Debentures
Report the average balance of AFS/HTM balances in Treasury and Agency debentures, as defined
in the Call Report, Schedule RC-B, items 1, 2.a and 2.b, columns A and D.
Item 11 Securities (AFS and HTM) – Agency RMBS (both CMOs and pass-throughs)
Report the average balance of AFS/HTM balances in Agency RMBS, as defined in the Call
Report, Schedule RC-B, items 4.a.(1), 4.a.(2), 4.b.(1) and 4.b.(2), columns A and D.
Item 12 Securities (AFS and HTM) - Other
Report the average balance of all AFS/HTM investments not reported in items 10 and 11, defined in
the Call Report, Schedule RC, items 2.a and 2.b less Net II Worksheet items 10 & 11.
Item 13 Trading Assets.
Report the average balance of trading assets as defined in the Call Report, Schedule RC-K, item 7.
Item 14 Deposits with Banks and Other
Report the average balance of deposits with banks.
Item 15 Other Interest/Dividend-Bearing Assets
Report the average balance of other interest/dividend-bearing asset not accounted for in the
above categories. In Footnote 2, breakout and explain nature of significant items included in other
average interest-bearing asset balances such that no more 5% of total average interest-bearing
asset balances are reported without a further breakout.
Item 16 Other Assets
Report the average balance of all non-interest bearing assets.
Item 17 Total Average Asset Balances
This item is a shaded cell and is derived, per column, from sum of items 1, 2, 3 through 6, 7, and 8
through 16, as defined in the Call Report, Schedule RC-K, item 9.
Average Rates Earned
All rates are annualized.
Item 18 First Lien Residential Mortgages (in domestic offices)
Report the earned average rate of first lien residential mortgages in domestic offices as defined in
the Call Report, Schedule RC-C, item 1.c.(2)(a), column B.
Item 19 Second/Junior Lien Residential Mortgages (in domestic offices)
This item is a shaded cell and is derived, per column, from sum of items 19A and 19B.
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Item 19A Closed-End Junior Liens
Report the earned average rate of second/junior lien residential mortgages in domestic offices as
defined in the Call Report, Schedule RC-C, item 1.c.(2)(b), column B.
Item 19B Home Equity Lines of Credit (HELOCs)
Report the earned average rate of home equity lines of credit in domestic offices as defined in the
Call Report, Schedule RC-C, item 1.c.(1), column B.
Item 20 C&I Loans (excluding small business (scored/delinquency managed)
Report earned average rate of large commercial credits and small business (graded) loans. Note
that the definitions for Large Commercial Credits and Small Business (Graded) are aligned with
Balance Sheet definitions.
Item 21 CRE Loans (in domestic offices)
Report the earned average rate of CRE loans in domestic offices as defined in the Call Report,
Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1), and 1.e.(2), column B.
Item 22 Credit Cards
Report earned average rate of credit cards as defined in the Call Report, Schedule RC-C, item
6.a, column A.
Item 23 Other Consumer
This item is a shaded cell and is derived, per column, from the sum of items 23A through 23C.
Item 23A Auto Loans
Report earned average rate of auto loans as defined in the Call Report, Schedule RC-C, item
6.c, column A.
Item 23B Student Loans
Report earned average rate of student loans.
Item 23C Other, incl. loans backed by securities (non-purpose lending)
Report earned average rate of other loans.
Item 24 Real Estate Loans (not in domestic offices)
Item 24 is a shaded cell and is derived, per column, from sum of items 24A and 24B. (Also, defined
as Call Report, Schedule RC-C, item 1, column A, less above items 18, 19, 21, and Call Report,
Schedule RC-C, item 1.b, column B.)
Item 24A Residential Mortgages (first and second lien)
Report the earned average rate of first and second lien residential mortgages not in domestic offices.
Item 24B Other
Report the earned average rate of other real estate loans not in domestic offices.
Item 25 Other Loans and Leases
Report the earned average rate of other loans and leases. Include loans secured by farmland as defined
in Schedule RC-C, Call Report, Schedule HC-C, item 1.b, column B, and other loans not accounted for in
the above categories. If total net interest income does not reconcile to Call Report total per PPNR
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definition using fair value average balances for AFS securities, use “Other” balances
(line items 15 and 38) and corresponding rates (line items 27 and 43) to offset the difference.
Item 26 Nonaccrual Loans
Report the earned average rate of nonaccrual loans. Interest income earned on nonaccrual
balances is generally expected to be small.
Item 27 Securities (AFS and HTM) – Treasuries and Agency Debentures
Report the earned average rate earned on AFS/HTM balances in Treasury and Agency debentures.
Item 28 Securities (AFS and HTM) – Agency RMBS (both CMOs and pass-throughs)
Report the earned average rate earned on AFS/HTM balances in Agency RMBS.
Item 29 Securities (AFS and HTM) - Other
Report the earned average rate earned on all other AFS/HTM balances.
Item 30 Trading Assets
Report the earned average rate of trading assets as defined in the Call Report, Schedule HC-K, item
4.a.
Item 31 Deposits with Banks and Other
Report the earned average rate of deposits with banks.
Item 32 Other Interest/Dividend-Bearing Assets
Report the earned average rate of other interest/dividend-bearing asset not accounted for in the
above categories.
Item 33 Total Interest Income
This item is a shaded cell and is derived, per column, from sum of the products of items 1 and 18, 2
and 19, 2A and 19A, 2B and 19B, 3 and 20, 4 and 21, 5 and 22, 6A and 23A, 6B and 23B, 6C and 23C,
7A and 24A, 7B and 24B, 8 and 25, 9 and 26, 10 and 27, 11 and 28, 12 and 29, 13 and 30, 14 and 31,
& 15 and 32 annualized.
Average Liability Balances
For the classification of domestic and foreign deposit liabilities, banks should report based on
internal definitions (those deemed to best represent the behavior characteristics of deposits).
For all other liabilities, bank should reference Call Report and other definitions provided in
the PPNR Net interest Income worksheet when completing this section.
Item 34 Deposits-Domestic
This item is a shaded cell and is derived, per column, from sum of items 34A through 34E.
A sum of average domestic and foreign deposits should be equal to a sum of average Call
Report, Schedule RC, items 13.a.(1), 13.a.(2), 13.b.(1), and 13.b.(2).
Item 34A Noninterest-bearing Demand
Report balances using internal definitions.
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Item 34B Money Market Accounts
Report balances using internal definitions.
Item 34C Savings
Report balances using internal definitions.
Item 34D Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and
other Transaction Accounts
Report balances using internal definitions.
Item 34E Time Deposits
Report balances using internal definitions.
Item 35 Deposits-Foreign
This item is a shaded cell and is derived, per column, from the sum of items 35A and 35B.
A sum of average domestic and foreign deposits should be equal to a sum of average Call
Report, Schedule RC, items 13.a.(1), 13.a.(2), 13.b.(1), and 13.b.(2).
Item 35A Foreign Deposits
Report balances using internal definitions.
Item 35B Foreign Deposits-Time
Report balances using internal definitions.
Item 36 Fed Funds, Repos, & Other Short Term Borrowing
This item is a shaded cell and is derived, per column, from the sum of items 36A through 36C.
Item 36A Fed Funds
Report the average balance of Fed Funds purchased in domestic offices as defined in the Call
Report, Schedule RC, item 14.a.
Item 36B Repos
Report the average balance of Securities sold under agreement to repurchase as defined in the
Call Report, Schedule RC, item 14.b.
Item 36C Other Short Term Borrowing
Report the average balance of liabilities reported as other borrowed money and subordinated notes
and debentures (as defined in the Call Report, Schedule RC, items 16 and items 19 which the firm
would define as short term borrowings). A sum of line items 36C and 39 equals Call Report,
Schedule RC, sum of items 16 & 19, less item 20.
Item 37 Trading Liabilities
Report the average balance of Trading Liabilities as defined in the Call Report, Schedule RC, item 15.
Item 39 Other Interest-Bearing Liabilities
Report the average balance of liabilities reported as Other Borrowed Money and Subordinated
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Notes and Debentures as defined in the Call Report, Schedule RC, items 16 and items 19 which
are not already reported in line item 35c Other Short Term Borrowing. This includes all longterm debt not included in line item 38 above.
Item 40 Other Liabilities
Report the average balance of liabilities reported as Other Liabilities as defined in the Call Report,
Schedule RC, item 20.
Item 41 Total Average Liability Balances
This item is a shaded cell and is derived, per column, from sum of items 34, 35, 36, and 37 to 40.
Average Liability Rates
All rates are annualized.
Item 42 Deposits—Domestic
This item is a shaded cell and is derived, per column, from sum of items 42A through 42E.
Item 42A Noninterest-bearing Demand
This item is a shaded cell; rates are equal to zero by definition.
Item 42B Money Market Accounts
Report the earned average rate of Money Market Accounts reported in item 34B.
Item 42C Savings
Report the earned average rate of Savings Accounts reported in item 34C.
Item 42D Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and
other Transaction Accounts
Report the earned average rate of Negotiable Order of Withdrawal (NOW), Automatic Transfer
Service (ATS), and other Transaction Accounts reported in item 34D.
Item 42E Time Deposits
Report the earned average rate of Time Deposits reported in item 34E.
Item 43 Deposits-Foreign
This item is a shaded cell and is derived, per column, from the sum of items 43A and 43B.
Item 43A Foreign Deposits
Report the earned average rate of Foreign Deposits reported in item 35A.
Item 43B Foreign Deposits-Time
Report the earned average rate of Foreign Deposits—Time reported in item 35B.
Item 44 Fed Funds, Repos, & Other Short Term Borrowing
This item is a shaded cell and is derived, per column, from the sum of items 44A through 44C.
Item 44A Fed Funds
Report the average rate paid for Fed Funds purchased in domestic offices as defined the Call
Report, Schedule RC, item 14a.
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Item 44B Repos
Report the average rate paid for Securities Sold under agreements to repurchase as defined in the
Call Report, Schedule RC, item 14b.
Item 44C Other Short Term Borrowing
Report the average rate paid on liabilities reported as other borrowed money and subordinated
notes and debentures as defined in the Call Report, Schedule RC, items 16 and items 19 which
the firm defined as short term borrowings.
Item 45 Trading Liabilities
Report the average rate of Trading Liabilities as defined in the Call Report, Schedule RC, item 15.
Item 47 Other Interest-Bearing Liabilities
Report the average rate paid on the liabilities reported as other borrowed money and subordinated
notes and debentures as defined in the Call Report, Schedule RC, items 16 and 19 which the firm
defined as Other Interest Bearing Liabilities.
Item 48 Total Interest Expense
This item is a shaded cell and is derived, per column, from sum of the products of items 34A and
42A, 34B and 42B, 34C and 42C, 34D and 42D, 34E and 42E, 35A and 43A, 35B and 43B, 36A and
44A, 36B and 44B, 36C and 44C, 37 and 45, 38 and 46, and 39 and 47, annualized.
Item 49 Total Net Interest Income
This item is a shaded cell and is derived, per column, from item 33 minus item 48. Amount should
equal Worksheet 7.a, PPNR Submission Worksheet, item 13.
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N. PPNR METRICS
The PPNR Metrics worksheet requests information on certain metrics relevant for the assessment
of various components of PPNR. Elements in Section C of the PPNR Metrics worksheet (line items
53 through 87 and either 884A or 88B&C) are required only for banks that must complete the Net
Interest Income worksheet. All other metrics are required of all banks, subject to applicable
thresholds.
Metrics in Section A, "Metrics by Business Segment/Line," correspond to Business Segments/Lines
on PPNR Submission worksheet. In contrast, Sections B and C are both for bank- wide metrics.
In providing industry market size information, banks can use third party data and are not required
to independently derive these metrics. Any supporting information should be described in detail,
including the data source, and corresponding data should be provided in the worksheet. A bank, if
relying upon third party data for building projections, should still be cognizant of how their
estimates would be appropriate across the range of assumed macro-economic conditions in various
scenarios or if some adjustment may be appropriate.
Banks should use internal definitions of proprietary trading and clearly describe the covered
activities and transactions in methodology narratives.
If a bank is unable to provide a metric on the PPNR Metrics worksheet, it should offer a data series
for alternative metrics that are considered by the bank in projecting the relevant component(s) of
PPNR and include in the Supporting Documentation required with the DFAST-14A Projections a
discussion of why the standard metric could not be provided.
Section A. Metrics by Business Segment (unless specified otherwise, all numbers are global).
"Metrics by Business Segment/Line" correspond to Business Segments/Lines on the PPNR
Submission Worksheet. This means that each metric is reflective of revenues reported on the
PPNR Submission worksheet for a given business segment/line, unless explicitly stated otherwise.
Retail and Small Business Segment
Domestic
For line items 1 through 9, domestic includes U.S. and Puerto Rico only.
Credit and Charge Cards
Item 1 Total Open Accounts – End of Period
Report number of total open accounts at the end of period for credit and charge cards.
Item 2 Credit and Charge Card Purchase Volume
Report credit and charge card purchase volume, net of returns. Exclude cash and balance transfer
volumes.
Item 3
Credit and Charge Card Rewards/Partner Sharing Expense
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Report credit card rewards/partner sharing expense for credit and charge cards.
In Footnote 23, list which line item(s) on PPNR Submission Worksheet contain(s) the Cards
Rewards/Partner Sharing contra-revenues and/or expenses.
Note if this item includes any contra-revenues other than Rewards/Partner Sharing (e.g.
Marketing Expense Amortization) in footnote 34.
Mortgages and Home Equity
Item 4 Average Third-Party Residential Mortgages Serviced
Report the average outstanding principal balance for residential mortgage loans the bank services
for others.
Item 5 Residential Mortgage Originations Industry Market Size – Volume
Report total volume of domestic mortgages that originated during the quarter.
Item 6 Mortgages and Home Equity Sold During the Quarter
Report first and junior lien mortgages and home equity loans sold during the quarter as defined in
Call Report, Schedule RC-P. This metric need not be limited to Mortgages and Home Equity business
line.
Item 7 Servicing Expenses
Report expenses for servicing first and junior lien mortgages and home equity loans. Include both
direct and allocated expenses.
Retail and Small Business Deposits
Item 8 Total Open Checking and Money Market Accounts – End of Period
Report only the number of checking and money market accounts that are deposit accounts under
Call Report guidance and are consistent with the definitions provided for “Retail and small
business banking and lending services” segment and “Retail and small business deposits”
business line within this segment in the PPNR instructions.
Item 9 Debit Card Purchase Transactions
Report number of transactions (not dollar value).
International Retail and Small Business
International retail and small business located in regions outside the U.S. and Puerto Rico.
Item 10 Credit and Charge Card Revenues
Provide metrics data for all quarters, but only if international retail and small business segment
revenues exceeded 5% of total retail and small business segment and total retail and small
business revenue exceeded 5% of total revenues in any of the last four actual quarters requested
in the PPNR schedule.
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Investment Banking Segment
Item 11 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the Call
Report, Schedule RI, Memorandum item 5, for investment banking segment.
Item 12 Compensation – Total
Include both direct and allocated expenses for investment banking segment.
Item 13 Stock Based Compensation and Cash Variable Pay
Include both direct and allocated expenses for investment banking segment.
Advisory
Item 14 Deal Volume
Report the dollar volume of all completed deals for the reporting bank.
Item 15 Industry Market Size - Fees
Report fees earned by all relevant industry participants in this area.
Item 16 Industry Market Size - Completed Deal Volume
Report the dollar volume of completed deals for all relevant industry participants.
Item 17 Backlog
A backlog should be based on probability weighted fees. The data should be consistent with
historical internal reporting, not by market measurement. The last quarter should be the bank’s
latest backlog estimate.
Equity Capital Markets
Item 18 Deal Volume
Report the dollar volume of all deals for the reporting bank.
Item 19 Industry Market Size – Fees
Report fees earned by all relevant industry participants in this area.
Item 20 Industry Market Size - Volume
Report dollar volume of completed deals for all relevant industry participants.
Debt Capital Markets
Item 21 Deal Volume
Report the dollar volume of all deals for the reporting bank.
Item 22 Industry Market Size – Fees
Report fees earned by all relevant industry participants in this area.
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Item 23 Industry Market Size – Volume
Report the dollar volume of completed deals for all relevant industry participants.
Syndicated Lending
Item 24 Deal Volume
Report the dollar volume of all deals for the reporting bank.
Item 25 Industry Market Size - Fees
Report fees earned by all relevant industry participants in this area.
Item 26 Industry Market Size - Volume
Report the dollar volume of completed deals for all relevant industry participants.
Merchant Banking/Private Equity
Item 27 Assets Under Management (AUM)
Report total assets under management for this division.
Sales and Trading Segment
Item 28 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the
Call Report, Schedule RI, Memorandum item 5, for sales and trading segment.
Item 29 Total Proprietary Trading Revenue
Report total proprietary trading revenue.
Item 30 Compensation – Total
Include both direct and allocated expenses for sales and trading segment.
Item 31 Stock Based Compensation and Cash Variable Pay
Include both direct and allocated expenses for sales and trading segment.
Equities
Item 32 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with
the equity sales and trading businesses.
Fixed Income
Item 33 Average Asset Balance
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Report average asset balance for the quarter of all mark-to-market assets associated directly with
the fixed income sales and trading businesses.
Commodities
Item 34 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with
the commodities sales and trading businesses.
Prime Brokerage
Item 35 Average Client Balances
Report the grossed up "interest balances" that result from prime brokerage activities.
Item 36 Transaction Volume
Report total dollar volume of all transactions during the quarter.
Investment Management Segment
Asset Management
Item 37 AUM – Total
This item is a shaded cell and is derived, per column, from the sum of items 37A through 37C.
Item 37A AUM – Equities
Report total assets under management for which the investment mandate/strategy is primarily
equities.
Item 37B AUM – Fixed Income
Report total assets under management for which the investment mandate/strategy is primarily
fixed income.
Item 37C AUM – Other
Report total assets under management for which the investment mandate/strategy cannot be
classified as either Equities or fixed income. For example, include alternative investments,
currency products, etc.
Item 38 Net Inflows/Outflow
Report impact of net inflows/outflows on assets under management.
Wealth Management/Private Banking
Item 39 AUM – Total
This item is a shaded cell and is derived, per column, from the sum of items 40A through 40C.
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Item 39A AUM – Equities
Report total assets under management for which the investment mandate/strategy is primarily
equities.
Item 39B AUM – Fixed Income
Report total assets under management for which the investment mandate/strategy is primarily
fixed income.
Item 39C AUM – Other
Report total assets under management for which the investment mandate/strategy cannot be
classified as either Equities or fixed income. For example, include alternative investments,
currency products, etc.
Item 40 Net Inflows/Outflow
Report impact of net inflows/outflows on assets under management.
Item 41 Number of Financial Advisors
Provide a relevant headcount number (e.g. financial advisors, portfolio managers) to facilitate the
assessment of revenue productivity in the Wealth Management/Private Banking business line.
Investment Services Segment
Asset Servicing
Item 42 Assets under Custody and Administration
Report total assets under custody and administration as of the end of the quarter.
Issuer Services
Item 43 Corporate Trust Deals Administered
Report total number of deals administered during the quarter.
Section B.
Bank Wide Metrics: PPNR Projections Worksheet
Item 44 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the
Call Report, Schedule RI, Memorandum item 5.
Item 45 Revenues – International
This item is a shaded cell and is derived, per column, from the sum of items 45A through 45D.
Item 45A Revenues - APAC
Provide Asia and Pacific (includes South Asia, Australia, and New Zealand) region breakouts for all
quarters, but only if international revenue exceeded 5% of the total revenue in any of the last four
actual quarters requested in the PPNR schedule.
Item 45B Revenues - EMEA
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Provide Europe, Middle East, and Africa region breakouts for all quarters, but only if international
revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the
PPNR schedule.
Item 45C Revenues - LatAm
Provide Latin America, including Mexico region breakouts for all quarters, but only if international
revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the
PPNR schedule.
Item 45D Revenues - Canada
Provide Canada region breakouts for all quarters, but only if international revenue exceeded 5% of
the total revenue in any of the last four actual quarters requested in the PPNR schedule.
Item 46 Revenues – Domestic
This item is a shaded cell and is derived, per column, from PPNR Submission Worksheet item 27
less item 45.
Item 47 Severance Costs
In Footnote 14, list items on PPNR Submission worksheet that include this item if any.
Item 48 Collateral Underlying Operating Leases for Which the Bank is the Lessor
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 126.
Refers to the balance sheet carrying amount of any equipment or other asset rented to others
under operating leases, net of accumulated depreciation. The amount included should only
reflect collateral rented under operating leases and not include collateral subject to capital/
financing type leases.
Item 48A Auto
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 127.
Item 48B Other
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 128.
Item 49 OREO Balance
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 122, as
defined in the Call Report, Schedule HC, item 7.
Item 49A Commercial
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 123.
Item 49B Residential
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 124.
Item 49C Farmland
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 125.
Item 50 Non-Recurring PPNR Items
Report the total income statement impact of all material non-recurring and infrequent items.
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Examples of such items include gains or losses on sales of business lines, gains or losses on
extinguishment of debt, gains or losses on mergers / joint ventures, etc. Break out and explain
these excluded items in footnote 32.
Item 51 Trading Revenue
Report trading revenue as defined in the Call Report, Schedule RI, item 5.c.
Item 52 Net Gains/(Losses) on Sales of Other Real Estate Owned
Report trading revenue as defined in the Call Report, Schedule RI, item 5.j.
In Footnote 19, list business segments reported on PPNR Submission Worksheet that include this
item, if any.
Section C. Firm Wide Metrics: Net Interest Income Worksheet (Required only for banks that
were required to complete the Net Interest Income Worksheet)
Item 53 Carrying Value of Purchased Credit Impaired (PCI) Loans
Report trading revenue as defined in the Call Report, Schedule RC-C, memorandum item 7.b.
Item 54 Net Accretion of discount on PCI Loans included in interest Revenues Report the
net accretion of discount on PCI loans included in net interest income as included on the PPNR
Submission Worksheet and Net Interest Income Worksheet.
Item 55 Loans Held for Sale – First Lien Residential Liens in Domestic Offices (Average
Balances)
Report average balance of first lien residential loans held for sale as included in the Net Interest
Income Worksheet.
Item 56 Average Rate on Loans Held for Sale – First Lien Residential Liens in Domestic
Offices
Report average rate paid on first lien residential loans held for sale as included in the Net Interest
Income Worksheet.
Quarter End Weighted Average Life of Assets
The Weighted Average Life (WAL) should reflect the current position, the impact of new business
activity, as well as the impact of behavioral assumptions such as prepayments or defaults, based
on the expected remaining lives, inclusive of behavioral assumptions. It should reflect the
weighted average of time to principal actual repayment (as modeled) for all positions in that
portfolio, rounded to the nearest monthly term. For revolving products, the WAL should reflect
the underlying repayment behavior assumptions assumed by the institution, which would include
contractual repayments, any assumed excess payments or prepayments, and defaults. The WAL
covers forecasted time periods, the WAL should be forward-looking which incorporates the
changes to the projected WAL, including new business activity.
Item 57 First Lien Residential Mortgages (in Domestic Offices)
Report the quarter end weighted average life of domestic first lien residential mortgages (as
defined in the Call Report, Schedule RC-C, item 1.c.(2)(a), column B).
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Item 58 Closed-End Junior Residential Liens (in Domestic Offices)
Report the quarter end weighted average life of domestic closed-end junior residential liens (as
defined in the Call Report, Schedule HC-C, item 1.c.(2)(b), column B).
Item 59 Home Equity Lines Of Credit (HELOCs)
Report the quarter end weighted average life of domestic home equity lines of credit (as defined in
the Call Report, Schedule RC-C, item 1.c.(1), column B).
Item 60 C&I Loans
Report the quarter end weighted average life of C&I Graded, Small Business (Scored/Delinquency
Managed), Corporate Card, and Business Card loans.
Item 61 CRE Loans (in Domestic Offices)
Report the quarter end weighted average life of domestic CRE loans (as defined in the Call
Report, Schedule RC-C, the sum of items 1.a.(1), 1.a.(2), 1.d., 1.e.(1) 1.e.(2)), Column B.
Item 62 Credit Cards
Report the quarter end weighted average life of credit cards (as defined in the Call Report, Schedule
RC-C, item 6.a., column A).
Item 63 Auto Loans
Report the quarter end weighted average life of auto loans (as defined in the Call Report, Schedule
RC-C, item 6.c., column A).
Item 64 Student Loans
Report the quarter end weighted average life of student loans.
Item 65 Other, incl. loans backed by securities (non-purpose lending)
Report the quarter end weighted average life of Other Consumer Loans, incl. loans backed by
securities (non-purpose lending).
Item 66 Residential Mortgages (First and Second Lien, Not in Domestic Offices) Report
the quarter end weighted average life of all residential mortgages (first and second lien) not in
domestic offices.
Item 67 Other Real Estate Loans (Not in Domestic Offices)
Report the quarter end weighted average life of other real estate loans not in domestic offices.
Item 68 Other Loans & Leases
Report the quarter end weighted average life of other loans and leases. Include loans secured by
farmland (as defined in the Call Report, Schedule RC-C, item 1.b, column B), and other loans not
accounted for in the above categories.
Item 69 Securities (AFS and HTM) - Treasuries and Agency Debentures
Report the quarter end weighted average life of AFS/HTM balances in Treasury and Agency
Debentures (as defined in the Call Report, Schedule RC-B, items 1, 2.a and 2.b, columns A and D).
Item 70 Securities (AFS and HTM) - Agency RMBS (both CMOs and pass-throughs) Report the
quarter end weighted average life of AFS/HTM balances in Agency RMBS (as defined in the Call
Report, Schedule RC-B, items 4.a.(1), 4.a.(2), 4.b.(1) and 4.b.(2), columns A and D).
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Item 71 Securities (AFS and HTM) - Other
Report the quarter end weighted average life of all other AFS/HTM (defined in the Call
Report, Schedule RC, as items 2.a and 2.b less PPNR Metrics Worksheet line items 69 & 70).
Item 72 Trading Assets
Report the quarter end weighted average life of trading assets (as defined in the Call Report,
Schedule RC-K, item 7.). For trading assets, WAL should be reflective of the timing assumed by the
institutions for those assets to be held on the balance sheet and not necessarily the duration of the
underlying positions.
Item 73 All Other Earning Assets
Report the quarter end weighted average life of all other interest-bearing assets not accounted for
in the above categories.
Quarter End Weighted Average Life of Liabilities
The Weighted Average Life (WAL) should reflect the current position, the impact of new business
activity, as well as the impact of behavioral assumptions such as prepayments or defaults, based
on the expected remaining lives, inclusive of behavioral assumptions. It should reflect the
weighted average of time to principal actual repayment (as modeled) for all positions in that
portfolio, rounded to the nearest monthly term. For revolving products, the WAL should reflect the
underlying repayment behavior assumptions assumed by the institution, which would include
contractual repayments, any assumed excess payments or prepayments, and defaults. The WAL
covers forecasted time periods and should be forward-looking which incorporates the changes to
the projected WAL, including new business activity.
Item 74 Domestic Deposits – Time
Report the quarter end weighted average life for Domestic Time Deposits (using internal
definitions).
Item 75 Foreign Deposits – Time
Report the quarter end weighted average life of Foreign Time Deposits (using internal definitions).
Item 76 Fed Funds
Report the quarter end weighted average life of Fed Funds purchased in domestic offices (as
defined in the Call Report, Schedule HC, item 14.a.).
Item 77 Repos
Report the quarter end weighted average life of Securities sold under agreement to repurchase (as
defined in the Call Report, Schedule HC, item 14.b.).
Item 78 Other Short Term Borrowing
Report the quarter end weighted average life of liabilities reported as other borrowed money and
subordinated notes and debentures (as defined in the Call Report, Schedule RC, items 16. and 19, of
which the firm would define as short term borrowings).
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Item 79 Trading Liabilities
Report the weighted average life of Trading Liabilities (as defined in the Call Report, Schedule
RC,item 15). For trading liabilities, WAL should be reflective of the timing assumed by the
institutions for those assets to be held on the balance sheet and not necessarily the duration of the
underlying positions.
Item 81 All Other Interest Bearing Liabilities
Report the quarter end weighted average life of all long-term debt not included in line item 80
above.
Average Domestic Deposit Repricing Beta in a “Normal Environment”
Domestic deposit repricing is rate movement in an environment where the repricing assumption
assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta
should be reported as a balance-weighted average of the betas of the line items that contribute to
the roll up point requested, with an as-of date equal to the reporting date.
Beta should be reported as a balance-weighted average of the betas of the line items that
contribute to the roll up point requested, with an as-of date equal to the reporting date. For the
balance-weighted average beta, each deposit category should be reported using a blend of
brokered and retail deposits. Beta refers to the average repricing response rate the firm projects
for each of the deposit products relative to movements in interest rates.
The beta ratios for line items 82 through 85should be reported in basis points (bp) movement in
the yield curve, either up or down.
Item 82 Money Market Accounts
Report (in basis points) the balance-weighted average beta of domestic money market accounts
(using internal definitions for this product).
Item 83 Savings
Report (in basis points) the balance-weighted average beta of domestic savings accounts (using
internal definitions for this product).
Item 84 NOW, ATS, and other Transaction Accounts
Report (in basis points) the balance-weighted average beta of Negotiable Order of Withdrawal
(NOW), Automatic Transfer Service (ATS), and other transaction accounts (using internal
definitions for these products).
Item 85 Time Deposits
Report (in basis points) the balance-weighted average beta of time deposits (using internal
definitions for this product).
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Average Foreign Deposit Repricing Beta in a “Normal Environment”
Foreign deposit repricing is rate movement in an environment where the repricing assumption
assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta
should be reported as a balance-weighted average of the betas of the line items that contribute
to the roll up point requested, with an as-of date equal to the reporting date.
Beta should be reported as a balance-weighted average of the betas of the line items that
contribute to the roll up point requested, with an as-of date equal to the reporting date. For the
balance-weighted average beta, each deposit category should be reported using a blend of
brokered and retail deposits. Beta refers to the average repricing response rate the firm projects
for each of the deposit products relative to movements in interest rates.
The beta ratios for line items 86 through 88C should be reported in basis points (bp) movement in
the yield curve, either up or down.
Item 86 Foreign Deposits
Report (in basis points) the balance-weighted average beta of foreign deposits (using internal
definitions for this product).
Item 87 Foreign Deposits-Time
Report (in basis points) the balance-weighted average beta of foreign time deposits (using internal
definitions for this product).
Item 88 New Domestic Business Pricing for Time Deposits
New business pricing for time deposits refers to the anticipated average rate on newly issued time
deposits, including renewals. Given that time deposits have a stated maturity, all time deposits
issued for that time period are considered new business. The worksheet is requesting re-pricing
beta under normal rate scenarios for both an upward and downward rate movement.
Item 88A Curve (if multiple terms assumed)
Report the primary reference curve used by the firm for pricing time deposits.
If more than one curve for the pricing of time deposits is used, the curve used to price the majority
of the time deposits should be noted on the schedule and additional pricing information should be
provided in the supplementary information. If the institution only assumes a single maturity term
for new issuance, then the institution should provide the relative index (line item 88B) and spread
used to estimate new business pricing in lieu of the curve (line item 88C).
The term “curve” refers to the reference rate used to price time deposits. Given that the pricing of
time deposits is dependent on the term, the institution should provide the overall curve used to
price time deposits.
Item 88B Index Rate (if single term assumed)
Report the index (e.g., 30 day LIBOR) used to price time deposits when a single maturity term for
new issuances is assumed. The index should be the one to which the beta in line item 85 is applied.
Item 88C Spread (Relative to the Index Rate)
Report the weighted average spread used to price time deposits above the index rate when a single
maturity term for new issuances is assumed.
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Schedule B—Scenario
These instructions provide guidance for reporting the variables used in the scenarios
underlying the projections of losses, revenue, and capital. These scenarios include the
supervisory baseline, adverse, and severely adverse scenarios, as well as, any additional
scenarios generated by the bank. (Additional Scenario #1; Additional Scenario #2; etc.)
Scenario Variable Definitions: This worksheet should be used to list and define the
variables included in scenarios.
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The worksheet provides space for the supervisory baseline scenario, supervisory adverse
scenario, supervisory severely adverse scenario, as well as, space for an additional
scenario.. If one or more additional scenarios are provided, then a section should be
created for each additional scenario and labeled accordingly (Additional Scenario #1;
Additional Scenario #2; etc.)
For each scenario, list the variables included in the scenario in the column titled "Variable
Name."
Variable definitions should be provided in the column titled "Variable Definition."
The forecasts and historical data for all the scenario variables are constructed on the
same basis. Thus, if a variable is, over history, constructed as an average, its forecast
should be
interpreted as an average as well. For reference, below are the definitions (i.e. periodaverage
or period-end) of the financial market variables in the scenario:
o U.S. 3-month Treasury yield: Quarterly average of 3-month Treasury bill secondary
market rate discount basis.
o U.S. 10-year Treasury yield: Quarterly average yield on 10-year U.S. Treasury bonds.
o U.S. BBB corporate yield: Quarterly average yield on 10-year BBB-rated corporate bonds.
o U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data.
o U.S. Dow Jones Total Stock Market Index: End of quarter value, Dow Jones.
o U.S. Market Volatility Index (VIX): Chicago Board Options Exchange converted to
quarterly by using the maximum value in any quarter.
For convenience, the worksheet provides space for 10 variables per scenario, but any
number of variables may be reported. Extra lines may be created as needed.
Banks should include all economic and financial market variables that were important in
projecting results, including those that affect only a subset of portfolios or positions. For
example, if asset prices had a meaningful impact, the assumed level of the equity market and
interest rates should be included, or if bankruptcy filings affect credit card loss estimates,
then the assumed levels of these should be reported.
For additional variables generated for the supervisory adverse scenario or supervisory
severely adverse scenario, bankss should set the paths to be as consistent as possible with
the paths of the variables already specified in the scenario.
Banks should also include any variables capturing regional or local economic or asset
value conditions, such as regional unemployment rates or housing prices, if these were
used in
the projections.
Banks should include historical data, as well as projections, for any macroeconomic,
regional, local, or financial market variables that are not generally available. Historical
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data for these variables can be included in a separate worksheet.
B.1—Supervisory Baseline Scenario
This worksheet should be used to report the values of any additional variables generated
for the supervisory baseline scenario.
B.2—Supervisory Adverse Scenario
This worksheet should be used to report the values of any additional variables generated
for the supervisory adverse scenario.
B.3—Supervisory Severely Adverse Scenario
This worksheet should be used to report the values of any additional variables generated
for the supervisory severely adverse scenario.
B.6+ —Additional Scenario #1/#2/etc.
These worksheets should be used to report the values of the variables included in any
additional scenarios.
Please create a separate worksheet (tab) for each additional scenario. Name the worksheets
“Additional Scenario #1;” “Additional Scenario #2;” etc.
All Scenarios: The following applies to all of the Scenario tabs:
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•
•
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The variables should be the same (and have the same names) as the variables
listed in the corresponding sections of the Scenario Variable Definitions Worksheet.
List quarterly values for the variables starting with the last realized value (3Q 2012)
through the end of the forecast horizon (4Q 2014).
If a bank needs to infer a monthly (instead of quarterly) progression of variables, it should
smooth or prorate the variables, rather than holding the quarterly value constant over the
quarter months.
Please enter all variables as levels rather than as changes or growth rates (for instance, the
dollar value of real GDP rather than the GDP growth rate).
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REGULATORY CAPITAL INSTRUMENTS SCHEDULE
General guidance
The Regulatory Capital Instruments schedule collects and projections of bank’s balances of the
funded instruments that are included in regulatory capital. The schedule collects data on projected
balances of funded regulatory capital instruments by instrument type, in addition to projections for
issuances and redemptions that contribute to changes in balances under the scenario.
The instructions for the worksheet should be read in conjunction with the regulatory capital
guidelines issued by the OCC and the revised capital rule issued in July 2013.
Projected Capital Actions and Balances Worksheet
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This worksheet collects information on the current and projected balances of regulatory
capital instruments aggregated by instrument type over the nine quarter horizon.
Banks are to report information on both a notional basis and on the basis of the dollar amount
included in regulatory capital. Banks may use the “Comments” fields to provide identification
of individual instruments that have changed in value or other characteristics.
• Notional Amount – Report the total notional amount of each instrument.
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Amount Recognized in Regulatory Capital – Report the portion of the notional
amount that is recognized in regulatory capital.
Quarterly Redemption/Repurchase Activity – Report the actual and projected aggregate
dollar amount ($Millions) of planned redemptions/repurchases to be conducted in each
quarter for each type of capital instrument. All redemptions/repurchases should be
reported as negative values. For any instrument type that the bank does not include in its
reported regulatory capital or for which there is no actual/planned redemption/repurchase
activity during a particular quarter, please enter “0” (zero).
A. General RBC Rules Section
In the General Risk-Based Capital section, for both the “Notional amount” and “Amount recognized in
regulatory capital” input the actual and projected aggregate dollar amounts ($Millions) for each item
number under this regulatory capital regime. If there is no actual or projected value for a specific
line item please fill in a “0” (zero).
B. Revised Regulatory Capital Section
For both the “Notional amount” and “Amount recognized in regulatory capital” input the projected
aggregate dollar amounts ($Millions) for each item number starting with the period your bank
becomes subject to the capital rule released on July 2, 2013. Under this section, for all projection
periods where your bank is not subject to the capital rule released on July 2, 2013, please fill in “0”
(zero) for all line item values. If there is no projected value for a line item please fill in a “0”.
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•
Quarterly Issuance Activity – Report the actual and projected aggregate dollar amount
($Millions) of planned issuances to be conducted in each quarter for each type of capital
instrument. For any instrument type that the bank does not include in its reported regulatory
capital or for which there is no planned issuance activity during a particular quarter, please enter
“0” (zero).
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Conversion of preferred stock to common stock should be reported as a redemption of
preferred stock and an issuance of common stock in the same quarter.
Capital Balances – Input the actual and projected aggregate balances ($Millions) of each type
of capital instrument for the relevant quarter, reflecting the impact of planned capital actions
For any instrument type the bank does not include in its reported regulatory capital, please
enter “0”.
o
For Common Stock (Items 37 and 111), please report this value as the sum of “Common
Stock (par value)” plus “Surplus” LESS “Treasury Stock in the form of Common Stock”
and LESS “Issuances associated with the U.S. Department of Treasury Capital Purchase
Program: Warrants to Purchase Common Stock”.
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REGULATORY CAPITAL TRANSITIONS SCHEDULE
For the purposes of the Regulatory Capital Transitions Schedule (formerly called the Basel III
schedule),
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Banks must reflect the revised regulatory capital rules on a fully phased-in basis (e.g., Banks
should apply 100% of all capital deductions, not assuming the transition provisions for
implementation of changes to the capital composition as in the revised capital rule).
The Regulatory Capital Transitions schedule collects actual data for the as-of date and projected
fourth quarter data for 6 years.
All projections in the Regulatory Capital Transitions schedule should be based under the
Supervisory Baseline scenario through the end of Projected Year 6.
Banks should report planned capital actions as included under the Supervisory Baseline scenario.
For reporting periods beyond the quarters projected in the Summary schedule, banks should adopt
assumptions necessary to make reasonable projections of capital ratios, including forecasts of
macroeconomic factors and potential earnings through projected year 6. All forecasts must be
well developed and well documented, consistent with the relevant baseline scenario, and internally
consistent with the bank’s planned capital actions.
Banks should provide projections of capital composition, exceptions bucket calculation, riskweighted assets, and leverage exposures through projected year 6 even if the bank anticipates
complying with the fully phase-in rule by an earlier date – i.e., 7% Common Equity Tier 1, 8.5%
Tier 1 capital, 4% Tier 1 leverage, and 3% supplementary leverage target ratios (inclusive the
capital conservation buffer, where applicable) plus any applicable surcharge for systemically
important financial institutions (SIFI surcharge).
Management must make a best estimate of a bank’s likely SIFI surcharge. In the process of assessing a
bank’s transition path toward Basel III compliance, supervisors will evaluate the methodology and
assumptions used by banks in determining the SIFI surcharge, and may adjust such estimates as
necessary when evaluating the transition path. See Appendix A: Supporting Documentation for more
details about the associated information that must be submitted in addition to this report template.
Relevant References
On July 9, 2013, the OCC finalized the regulatory capital rules that were proposed on August 30, 2012
and also issued the market risk NPR. All banks are required to follow the methodologies outlined in
the revised regulatory capital rule (July 2013), the final market risk capital rule (77 Federal
Register 53060, August 30, 2012), and market risk NPR (July 2013) for purposes of completing the
Regulatory Capital Transitions schedules for the entire forecast period. Banks should reflect the
revised regulatory capital framework on a fully phased-in basis.
Links to these reference documents are listed below:
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Basel global systemically important banks: updated assessment methodology and the higher
loss absorbency requirement (July 2013): http://www.bis.org/publ/bcbs255.pdf
Revised Regulatory Capital Rule (July 2013):
Final Market Risk Rule (OCC Bulletin 2012-25):
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OCC 2013-13 - Clarification of the Treatment of Certain Sovereign and Securitization
Positions (May 2013):
http://www.occ.treas.gov/news-issuances/bulletins/2013/bulletin-2013-13.html
Completing the Schedule
All data should be provided in the non-shaded cells in all worksheets; grey shaded cells include
embedded formulas and will be automatically populated.
All banks, including advanced approaches banks and non-advanced approaches banks must
complete the “RWA_General” worksheet for all reporting periods. For the purpose of completing
the “RWA_General” worksheet, banks are required to report credit risk-weighted assets using the
methodologies under the standardized approach of the revised regulatory capital rule. Advanced
approaches banks, including the banks that are considered mandatory advanced approaches
institutions or that have opted-in voluntarily as an advanced approaches institution, are also
required to complete the “RWA_Advanced” worksheet for all reporting periods.
Note that for purposes of completing the Regulatory Capital Transitions schedule, banks that have
received comprehensive risk model approval should base their projections on the comprehensive
risk measure plus the surcharge for the entire planning horizon. Banks should not assume that
the surcharge will be replaced by the floor approach in the schedule or as part of planned actions.
If a bank does not have an exposure relevant to any particular line item in the worksheets (except
for the Planned Action worksheet); it should enter zero (0) in those cells. In order for the
embedded formulas to automatically populate the shaded cells in the schedule with calculated
numbers, banks must complete all unshaded cells in the schedule with a value. In addition, banks
should ensure that the version of Microsoft Excel they use to complete the schedule is set to
automatically calculate formulas. This is achieved by setting “Calculation Options” (under the
Formulas function) to “Automatic” within Microsoft Excel.
A. Capital Composition
The “Capital Composition” worksheet and the “Exceptions Bucket Calculator” worksheet collect the
data necessary to calculate the composition of capital under the guidelines set forth by the
Revised Regulatory Capital Rule (July 2013). Please provide all data on a fully phased-in basis (i.e.,
not assuming any transitional or phase- out arrangements included in the revised regulatory
capital rule (July 2013).
Common Equity Tier 1
Item 1 AOCI opt-out election
Non-advanced approaches banks have the option to select either 1 for opt-out, or 0 for opt-in. Note
that there are no transition provisions if a bank makes an AOCI opt-out election.
Those banks who elect to opt-out must do so on the bank’s March 31, 2015 Call Report.
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Common equity tier 1 capital
Item 2 Common stock and related surplus (net of treasury stock and unearned
employee stock ownership plan (ESOP) shares
Report common shares and the related surplus issued by banks that meet the criteria of the final
rules. This should be net of treasury stock and other investments in own shares to the extent that
these are already not recognized on the balance sheet under the relevant accounting standards. This
line item should reflect the impact of share repurchases or issuances projected in the DFAST
forecast horizon. This line should also reflect the netting of any treasury stock, unearned ESOP
shares, and any other contra-equity components.
Item 3 Retained earnings
Retained earnings reported by banks. This should reflect the impact of dividend pay-outs projected
in the forecast horizon.
Item 4 Accumulated other comprehensive income
(AOCI)
Report the amount of AOCI as reported under generally accepted accounting principles (GAAP) in
the U.S. that is included in Schedule RC, item 26.b.
Item 5 Common equity tier 1 minority interest includable in common equity tier 1
capital (report this on a fully phased-in basis)
Report the aggregate amount of common equity tier 1 minority interest that is consistent with
section 21 of the revised regulatory capital rules. Common equity tier 1 minority interest means
the common equity tier 1 capital of a depository institution or foreign bank that is a consolidated
subsidiary of the holding company and that is not owned by the holding company. In addition, the
capital instruments issued by the subsidiary must meet all of the criteria for common equity tier 1
capital (qualifying common equity tier 1 capital).
Item 6 Common equity tier 1 capital before adjustments and deductions
This captures the sum of line items 2 through 5.
Common equity tier 1 capital: adjustments and deductions
Item 7 Goodwill net of associated deferred tax liabilities (DTLs)
Report the amount of goodwill included in Schedule RC, item 10(a).
However, if a bank has a DTL that is specifically related to goodwill acquired in a taxable purchase
business combination that it chooses to net against the goodwill, the amount of disallowed goodwill
to be reported in this item should be reduced by the amount of the associated DTL.
If a bank has significant investments in the capital of unconsolidated financial institutions in the
form of common stock, the holding company should report in this item goodwill embedded in the
valuation of a significant investment in the capital of an unconsolidated financial institution in the
form of common stock (embedded goodwill). Such deduction of embedded goodwill would apply to
investments accounted for under the equity method. Under GAAP, if there is a difference between
the initial cost basis of the investment and the amount of underlying equity in the net assets of the
investee, the resulting difference should be accounted for as if the investee
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were a consolidated subsidiary (which may include imputed goodwill).
Item 8 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net
of associated DTLs
Report all intangible assets (other than goodwill and MSAs) net of associated DTLs, included in
Schedule RC-M, items 2.b and 2.c, that do not qualify for inclusion in common equity tier 1 capital
under the regulatory capital rules. Generally, all purchased credit card relationships (PCCRs) and
non-mortgage servicing rights, reported in Schedule RC-M, item 2.b, and all other identifiable
intangibles, reported in Schedule RC-M, item 2.c, do not qualify for inclusion in common equity
tier 1 capital and should be included in this item.
Further, if the holding company has a DTL that is specifically related to an intangible asset (other
than servicing assets and PCCRs) acquired in a nontaxable purchase business combination that it
chooses to net against the intangible asset for regulatory capital purposes, the amount of
disallowed intangibles to be reported in this item should be reduced by the amount of the
associated DTL. However, a DTL that the holding company chooses to net against the related
intangible reported in this item may not also be netted against DTAs when the holding company
determines the amount of DTAs that are dependent upon future taxable income and calculates the
maximum allowable amount of such DTAs for regulatory capital purposes.
Item 9 Deferred Tax Assets (DTAs) that arise from net operating loss and tax credit
carryforwards, net of any related valuation allowances and net of DTLs
Report the amount of DTAs that arise from net operating loss and tax credit carryforwards, net of
any related valuation allowances and net of DTLs.
AOCI-related adjustments
If Item 1 is “1” for “Yes”, complete items 10 through 14 only for AOCI related adjustments.
Item 10 Net unrealized gains (losses) on available-for-sale securities
Report the amount of net unrealized holding gains (losses) on available-for-sale securities, net of
applicable taxes, that is included in Schedule RC, item 26.b, “Accumulated other comprehensive
income.” If the amount is a net gain, report it as a positive value in this item. If the amount is a net
loss, report it as a negative value in this item.
Item 11 Net unrealized loss on available-for-sale preferred stock classified as an equity
security under GAAP and available-for-sale equity exposures
Report as a positive value net unrealized loss on available-for-sale preferred stock classified as an
equity security under GAAP and available-for-sale equity exposures that is included in Schedule RC,
item 26.b, “Accumulated other comprehensive income.”
Item 12 Accumulated net gains (losses) on cash flow hedges
Report the amount of accumulated net gains (losses) on cash flow hedges that is included in
Schedule RC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net gain,
report it as a positive value in this item. If the amount is a net loss, report it as a negative value in
this item.
Item 13 Amounts recorded in AOCI attributed to defined benefit postretirement plans
resulting from the initial and subsequent application of the relevant GAAP standards that
pertain to such plans
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Report the amounts recorded in AOCI and included in Schedule RC, item 26.b, “Accumulated other
comprehensive income,” resulting from the initial and subsequent application of ASC Subtopic 71520 (formerly FASB Statement No. 158, “Employers’ Accounting for Defined Benefit Pension and
Other Postretirement Plans”) to defined benefit postretirement plans resulting from the initial and
subsequent application of the relevant GAAP standards that pertain to such plans. A holding
company may exclude the portion related to pension assets deducted in Schedule RC-R, item 10(b).
If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss,
report it as a negative value in this item.
Item 14 Net unrealized gains (losses) on held-to-maturity securities that are included in
AOCI
Report the amount of net unrealized gains (losses) that are not credit-related on held-to-maturity
securities and are included in AOCI as reported in Schedule HC, item 26.b, “Accumulated other
comprehensive income.” If the amount is a net gain, report it as a positive value. If the amount is a
net loss, report it as a negative value.
If Item 1 is “0” for “No”, complete item 15 only for AOCI related adjustments.
Item 15 Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable
tax effects, that relate to the hedging of items that are not recognized at fair value on the
balance sheet.
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net of
applicable tax effects that relate to the hedging of items not recognized at fair value on the balance
sheet. If the amount is a net gain, report it as a positive value. If the amount is a net loss, report it
as a negative value.
Other deductions from (additions to) common equity tier 1 capital before threshold-based
deductions:
Item 16 Unrealized net gain (loss) related to changes in the fair value of liabilities that are
due to changes in own credit risk
Report the amount of unrealized net gain (loss) related to changes in the fair value of liabilities that
are due to changes in the bank’s own credit risk. If the amount is a net gain, report it as a positive
value in this item. If the amount is a net loss, report it as a negative value in this item.
Advanced approaches banks only: include the credit spread premium over the risk free rate for
derivatives that are liabilities.
Item 17 All other deductions from (additions to) common equity tier 1 capital before
threshold-based deductions
Report the amount of other deductions from (additions to) common equity tier 1 capital that are
not included in items 1 through 15, as described below:
(1) After-tax gain-on-sale in connection with a securitization exposure
Include any after-tax gain-on-sale in connection with a securitization exposure. Gain-onsale means an increase in the equity capital of a holding company resulting from a
securitization (other than an increase in equity capital resulting from the bank’s
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receipt of cash in connection with the securitization or reporting of a mortgage servicing asset
on Schedule RC).
(2) Defined benefit pension fund assets, net of associated DTLs
A bank must deduct defined benefit pension fund assets, net of associated DTLs, held by a bank.
With the prior approval of the OCC, this deduction is not required for any defined benefit
pension fund net asset to the extent the holding company has unrestricted and unfettered
access to the assets in that fund.
(3) Investments in the bank’s own shares to the extent not excluded as part
of treasury stock.
Include the bank’s investments in (including any contractual obligation to purchase) its own
common stock instruments, including direct, indirect, and synthetic exposures to such
instruments (as defined in the revised regulatory capital rules), to the extent such instruments
are not excluded as part of treasury stock, reported in Line Item 54.
For example, if a bank already deducts its investment in its own shares (for example, treasury
stock) from its common equity tier 1 capital elements, it does not need to make such
deduction twice.
A holding company may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty credit risk.
The holding company must look through any holdings of index securities to deduct
investments in its own capital instruments.
In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital
instruments resulting from holdings of index securities may be netted against short
positions in the same underlying index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions may
be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is
being hedged may be used to offset the long position if both the exposure being
hedged and the short position in the index are covered positions under the market
risk capital rule, and the hedge is deemed effective by the holding company’s internal
control processes which would have been assessed by the OCC.
(4) Reciprocal cross-holdings in the capital of financial institutions in the form of
common stock
Include investments in the capital of other financial institutions (in the form of common
stock) that the holding company holds reciprocally (this is the corresponding deduction
approach). Such reciprocal crossholdings may result from a formal or informal arrangement
to swap, exchange, or otherwise intend to hold each other’s capital instruments.
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(5) Equity investments in financial subsidiaries
A bank must deduct the aggregate amount of its outstanding equity investment, including
retained earnings, in its financial subsidiaries and may not consolidate the assets and
liabilities of a financial subsidiary with those of the parent institution. No other deduction is
required for these investments in the capital instruments of financial subsidiaries.
(6) Amount of expected credit loss that exceeds its eligible credit reserves (Advanced
approaches institutions that exit parallel run only)
Include the amount of expected credit loss that exceeds the eligible credit reserves.
Item 18 Non-significant investments in the capital of unconsolidated financial
institutions in the form of common stock that exceed the 10 percent threshold for nonsignificant investments
A bank has a non-significant investment in the capital of an unconsolidated financial institution (as
defined in section 2 of the revised regulatory capital rules) if it owns 10 percent or less of the issued
and outstanding common shares of that institution.
Report the amount of non-significant investments in the capital of unconsolidated financial
institutions in the form of common stock that, in the aggregate, exceed the 10 percent threshold for
non-significant investments, calculated as described below. The bank may apply associated DTLs to
this deduction.
Item 19 Subtotal
This item is a shaded cell and is derived from other items in the schedule; no input required. This is
the total of common equity tier 1 prior to adjustments less all of the regulatory adjustments and
deductions.
Item 20 Significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of DTLs, that exceed the 10 percent common equity tier 1 capital
deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 21 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1
capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 22 DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs, that exceed
the 10 percent common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 23 Amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs arising
from temporary differences that could not be realized through net operating loss carrybacks,
net of related valuation allowances and net of DTLs; that exceeds the 15 percent common
equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
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Item 24 Deductions applied to common equity tier 1 capital due to insufficient
amounts of additional tier 1 capital and tier 2 capital to cover deductions
Report the total amount of deductions related to reciprocal cross holdings, non-significant
investments in the capital of unconsolidated financial institutions, and non-common stock significant
investments in the capital of unconsolidated financial institutions if the bank does not have a
sufficient amount of additional tier 1 capital and tier 2 capital to cover these deductions.
Item 25 Total adjustments and deductions for common equity tier 1 capital
This is the sum of line item 20 through 24.
Item 26 Common Equity Tier 1
This is the subtotal of line item 19 minus line item 25.
Item 27 Additional tier 1 capital instruments plus related surplus
Report the portion of noncumulative perpetual preferred stock and related surplus included in
Schedule RC, item 23, that satisfy all the criteria for additional tier 1 capital in the revised
regulatory capital rules of the OCC.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or, prior to
October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii) were included in
the tier 1 capital under the OCC’s general risk-based capital rules (12 CFR 3, appendix A, and, if
applicable, appendix E) (for example, tier 1 instruments issued under the TARP program that are
grandfathered permanently). Also include additional tier 1 capital instruments issued as part of an
ESOP, provided that the repurchase of such instruments is required solely by virtue of ERISA for a
banking organization that is not publicly-traded.
Item 28 Tier 1 minority interest not included in common equity tier 1 capital (report on a
fully phased-in basis)
Similar to item 5, this captures all qualifying tier 1 minority interest includable under additional tier
1 capital.
Item 29 Additional tier 1 capital before deductions
This is the sum of line items 27 and 28.
Item 30 Additional tier 1 capital deductions
Report additional tier 1 capital deductions as the sum of the following elements:
(1) Investments in own additional tier 1 capital instruments:
Report the holding company’s investments in (including any contractual obligation to
purchase) its own additional tier 1 instruments, whether held directly or indirectly.
A holding company may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty risk.
The bank must look through any holdings of index securities to deduct investments
in its own capital instruments. In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital
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instruments resulting from holdings of index securities may be netted against short
positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions can
be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being
hedged may be used to offset the long position if both the exposure being hedged and
the short position in the index are covered positions under the market risk capital rule,
and the hedge is deemed effective by the holding company’s internal control processes.
(2) Reciprocal cross-holdings in the capital of financial institutions.
Include investments in the additional tier 1 capital instruments of other financial institutions
that the holding company holds reciprocally, where such reciprocal crossholdings result
from a formal or informal arrangement to swap, exchange, or otherwise intend to hold each
other’s capital instruments. If the bank does not have a sufficient amount of a specific
component of capital to effect the required deduction, the shortfall must be deducted from
the next higher (that is, more subordinated) component of regulatory capital.
For example, if a bank is required to deduct a certain amount from additional tier 1 capital
and it does not have additional tier 1 capital, then the deduction should be from common
equity tier 1 capital.
(3) Non-significant investments in additional tier 1 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non-significant investments.
Calculate this amount as follows:
(i) Determine the aggregate amount of non-significant investments in the capital of
unconsolidated financial institutions in the form of common stock, additional tier 1,
and tier 2 capital.
(ii) Determine the amount of non-significant investments in the capital of unconsolidated
financial institutions in the form of additional tier 1 capital.
(iii) If the amount in (i) is greater than the 10 percent threshold for non-significant
investments then multiply the difference by the ratio of (ii) over (i).
(iv) If the amount in (i) is less than the 10 percent threshold for non-significant
investments, report zero.
(4) Significant investments in the capital of unconsolidated financial institutions not in the form
of common stock to be deducted from additional tier 1 capital.
Report the total amount of significant investments in the capital of unconsolidated financial
institutions in the form of additional tier 1 capital.
(5) Other adjustments and deductions.
Include adjustments and deductions applied to additional tier 1 capital due to insufficient
tier 2 capital to cover deductions (related to reciprocal cross holdings, non-significant
investments in the tier 2 capital of unconsolidated financial institutions, and significant
investments in the tier 2 capital of unconsolidated financial institutions).
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Item 31 Additional tier 1 capital (greater of item 29 minus item 30 or zero)
This item is a shaded cell and is derived from other items in the schedule. This provides the total of
additional tier 1 capital.
Tier 1 Capital
Item 32 Tier 1 capital (sum of items 26 and 31)
This item is a shaded cell and is derived from other items in the schedule. This provides the total
amount of tier 1 capital.
Periodic Changes in Common Stock
Item 33 Common Stock and Related Surplus (Net of Treasury Stock)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 34 Issuance of Common Stock (Including Conversion of Common Stock)
Captures the total issuance of common stock and related surplus in the reporting period. For each
Projection Year, report the incremental issuance since the previously reported period on the
worksheet. This figure should equal the sum of “Total issuance of common stock” reported in the
Summary Schedule, Capital worksheet for reporting periods that correspond on the Summary
schedule.
Item 35 Repurchases of Common Stock
Captures the total repurchases of common stock in the reporting period. For each Projection
Year, report the incremental repurchase since the previously reported period on the worksheet.
This figure should equal the “Total share repurchases” outlined reported in the Summary
Schedule, Capital worksheet that correspond on the Summary schedule.
Periodic Changes in Retained Earnings
Item 36 Net Income (Loss) Attributable to Bank
Refer to Call Report instructions for Schedule RI-A, item 4. Report losses as a negative value. Note
that income amounts should reflect the calendar year to date results.
Item 37 Cash Dividends Declared on Preferred Stock
Refer to Call Report instructions for Schedule RI-A, item 8.
Item 38 Cash Dividends Declared on Common Stock
Refer to Call Report instructions for Schedule RI-A, item 9.
Item 39 Previously Issued Tier 1 Capital Instruments (Excluding Minority Interest)
that would No Longer Qualify (please report 100% value)
Report 100% of the value of previously issued Tier 1 capital instruments that will no longer qualify as
Tier 1 capital as per the revised regulatory capital rule (July 2013) (including perpetual preferred
stock and trust preferred securities subject to phase-out arrangements). Report balances in full,
without reflecting any phase-out arrangements included in the revised regulatory capital rule (July
2013).
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Item 40 Previously Issued Tier 1 Minority Interest that Would No Longer Qualify (Please
Report 100% Value)
Report 100% of the value of previously issued tier 1 minority interest that will no longer qualify as
tier 1 capital as per the revised regulatory capital rule (July 2013). Report balances in full, without
reflecting any phase-out arrangements included in the revised regulatory capital rule (July 2013).
Item 41 Does Line 33, “Common Stock and Related Surplus” = Line 2 for “Common Stock and
Related Surplus”?
This item is a shaded cell and is a validation check to ensure Line 33 equals the value in
Line 2 within this worksheet; no input required. Ensure that “Yes” appears across all cells.
Item 42 Data Completeness Check
If "No", please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells
blank; enter "0" if not applicable.
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B. Exception Bucket Calculator
The Exception Bucket Calculator worksheet collects the data necessary to calculate the items that
may receive limited recognition in Common Equity Tier 1 (i.e., significant investments in the
common shares of unconsolidated financial institutions, mortgage servicing assets and deferred tax
assets arising from temporary differences). These items may be recognized in Common Equity
Tier 1 up to 10% of the bank’s common equity on an individual basis and 15% on an aggregated
basis after application of all regulatory adjustments.
Significant investments in the capital of unconsolidated financial institutions in the form of
common stock
Item 1 Gross significant investments in the capital of unconsolidated financial
institutions in the form of common stock
Aggregate holdings of capital instruments relevant to significant investments in the capital of
unconsolidated financial entities, including direct, indirect and synthetic holdings in both the
banking book and trading book.
Item 2 Permitted offsetting short positions in relation to the specific gross holdings
Offsetting positions in the same underlying exposure where the maturity of the short position either
matches the maturity of the long position or has a residual maturity of at least one year.
Item 3 Significant investments in the capital of unconsolidated financial institutions in the
form of common stock net of short positions
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 4 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 5 Amount to be deducted from common equity tier 1 due to 10% deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
MORTGAGE SERVICING ASSETS
Item 6 Total mortgage servicing assets classified as intangible
Mortgage servicing assets may receive limited recognition when calculating common equity tier 1,
with recognition typically capped at 10% of the bank’s common equity (after the application of all
regulatory adjustments).
Item 7 Associated deferred tax liabilities which would be extinguished if the
intangible becomes impaired or derecognized under the relevant accounting standards
The amount of mortgage servicing assets to be deducted from common equity tier 1 is to be offset by
any associated deferred tax liabilities, with recognition capped at 10% of the bank’s common equity
tier 1(after the application of all regulatory adjustments). If the bank chooses to net its deferred tax
liabilities associated with mortgage servicing assets against deferred tax assets (in Line
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17 of the Capital Composition worksheet), those deferred tax liabilities should not be deducted
again here.
Item 8 Mortgage servicing assets net of related deferred tax liabilities
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 9 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 10 Amount to be deducted from common equity tier 1 due to 10 percent deduction
threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
DEFERRED TAX ASSETS DUE TO TEMPORARY DIFFERENCES
Item 11 DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs
Net deferred tax assets arising from temporary differences may receive limited recognition in
common equity tier 1, with recognition capped at 10% of the bank’s common equity (after the
application of all regulatory adjustments).
Item 12 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 13 Amount to be deducted from common equity tier 1 due to 10% deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
AGGREGATE OF ITEMS SUBJECT TO THE 15% LIMIT (SIGNIFICANT INVESTMENTS, MORTGAGE
SERVICING ASSETS AND DEFERRED TAX ASSETS ARISING FROM TEMPORARY DIFFERENCES)
Item 14 Sum of items 3, 8, and 11
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 15 15 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 16 Sum of items 5, 10, and 15
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 17 Item 14 minus item 16
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 18 Amount to be deducted from common equity tier 1 due to 15 percent
deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
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C. Risk-Weighted Assets – Advanced
Advanced approaches banks, including banks that are considered as mandatory advanced
approaches institutions or that have opted-in voluntarily as an advanced approaches
institution, are required to complete the “RWA_Advanced” worksheet. All banks, including
advanced approaches banks and non-advanced approaches banks must complete the
“RWA_General” worksheet.
In the “RWA_Advanced” worksheet, banks should provide risk-weighted asset estimates reflecting
the final market risk capital rule and the advanced approaches of the revised regulatory capital
rule (July 2013) released by the U.S. banking agencies.
Banks that are subject to market risk capital requirements at the as of date are required to complete
the market risk-weighted asset section within the worksheet. However, if a bank projects to meet
the trading activity threshold that would require it to be subject to the market risk capital
requirements during the forecast period, then the bank should complete the market risk-weighted
asset section within the worksheet. Please refer to the final market risk capital rule released by the
U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for details of the requirements
of the rule.
Advanced approaches banks that are unable to provide advanced approaches risk weighted asset
estimates should send formal written notification to the OCC and specify the affected portfolios,
current limitations that preclude the OCC from providing advanced approaches RWA estimates as
well as management's plan for addressing those limitations. The notification should be sent
DFA165i2.reporting@occ.treas.gov.
Credit Risk (including Counterparty Credit Risk (CCR) and non-trading credit risk) –
Applicable to Advanced Approaches Banking Organizations
Risk-weighted assets should reflect the 1.06 scaling factor to the Internal Rating-Based Approach
(IRB) credit risk-weighted assets where relevant, unless noted otherwise.
Item 1 Corporate
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 2
Corporate (not including receivables); Counterparty Credit Risk Exposures (not
including credit value adjustment (CVA) charges or charges for exposures to central
counterparties (CCPs))
Overall risk-weighted assets for corporate (not including receivables) counterparty credit risk
exposures, not including credit value adjustment (CVA) capital charges or exposures to central
counterparties (CCPs), after applying the 1.06 scaling factor to the Internal Rating- Based Approach
(IRB) credit risk-weighted assets.
Item 3
Corporate (not including receivables); Other Exposures
Overall risk-weighted assets for other corporate exposures (not including receivables), after
applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted
assets.
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Item 4
Sovereign
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 5 Sovereign; Counterparty Credit Risk Exposures (not including credit value
adjustment (CVA) charges or charges for exposures to central counterparties (CCPs)) Overall
risk-weighted assets for sovereign counterparty credit risk exposures, not including credit value
adjustment (CVA) capital charges or exposures to central counterparties (CCPs), after applying the
1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Item 6 Sovereign; Other Exposures
Overall risk-weighted assets for other sovereign exposures, after applying the 1.06 scaling factor
to the Internal Rating-Based Approach (IRB) credit risk- weighted assets.
Item 7 Bank
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 8 Bank; Counterparty Credit Risk Exposures (not including credit value
adjustment (CVA) charges or charges for exposures to central counterparties (CCPs))
Overall risk-weighted assets for bank counterparty credit risk exposures, not including credit value
adjustment (CVA) capital charges or exposures to central counterparties (CCPs), after applying the
1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Item 9 Bank; Other Exposures
Overall risk-weighted assets for other bank exposures, after applying the 1.06 scaling factor to the
Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Item 10 Retail
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 11 Retail; Counterparty credit risk exposures (not including credit value
adjustment (CVA) charges or charges for exposures to Central counterparties (CCPs))
Overall risk-weighted assets for retail counterparty credit risk exposures, not including credit value
adjustment (CVA) capital charges or exposures to Central counterparties (CCPs), after applying the
1.06 scaling factor to IRB credit risk-weighted assets.
Item 12 Retail; Other Exposures
Overall risk-weighted assets for other retail exposures, after applying the 1.06 scaling factor to the
Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Item 13 Equity
Overall risk-weighted assets for equity exposures, where relevant after applying the 1.06 scaling
factor to the Internal Rating-Based Approach (IRB) credit risk- weighted assets.
Item 14 Securitization
Overall risk-weighted assets for securitizations that are held in the held-to-maturity or availablefor-sale portfolios, where relevant after applying the 1.06 scaling factor to the Internal RatingBased Approach (IRB) credit risk-weighted assets. For purposes of DFAST submission, banking
book securitization exposures subject to a 1250% risk weight or the equivalent of a deduction (i.e.
dollar-for-dollar capital requirement) should be included here.
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Item 15 Trading Book Counterparty Credit Risk Exposures (if not included in above)
Overall risk-weighted assets for counterparty credit risk exposures in the trading book if the bank
is not able to include them in the portfolio of the counterparty as specified above.
Item 16 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted Asset
Equivalent)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 17 Advanced Credit Valuation Adjustment (CVA) Approach
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 18 Credit Valuation Adjustment (CVA) capital charge (Risk-Weighted Asset
Equivalent); Advanced CVA Approach: Unstressed Value at Risk (VaR) with Multipliers
Stand-alone 10-day value-at-risk (VaR) calculated on the set of credit valuation adjustments (CVAs)
for all Over- the-counter (OTC) derivatives counterparties together with eligible credit valuation
adjustment (CVA) hedges. The reported value-at-risk should consist of both general and specific
credit spread risks and is restricted to changes in the counterparties credit spreads. The bank must
multiply the reported value-at-risk by three times, consistent with the approach used in calculating
market risk capital charge (three-time multiplier). The 1.06 scaling factor does not apply.
Bank should report 0 if it does not use the advanced credit value adjustment (CVA) approach.
Item 19 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted Asset
Equivalent); Advanced CVA Approach: Stressed Value at Risk (VaR) with multipliers
Stand-alone 10-day stressed Value-at-risk (VaR) calculated on the set of credit valuation
adjustments (CVAs) for all over-the-counter (OTC) derivatives counterparties together with
eligible credit valuation adjustments (CVA) hedges. The reported value-at-risk should consist of
both general and specific credit spread risks and is restricted to changes in the counterparties
credit spreads. It should reflect three-times multiplier. The 1.06 scaling factor does not apply. Bank
should report 0 if it does not use the advanced credit valuation adjustments (CVA) approach.
Item 20 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted Asset
Equivalent): Simple CVA Approach
Risk-weighted asset (RWA) equivalent using the simple credit valuation adjustment (CVA)
approach.
Item 21 Other Credit Risk
If the bank is unable to assign credit risk-weighted assets to one of the above categories, even on a
best-efforts basis, they should be reported in this line.
Item 22 Total Credit Risk-Weighted Assets (RWA)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Market Risk
If a bank does not have a particular portfolio or no trading book at all, risk-weighted assets
should be reported as 0.
Item 23 Standardized Specific Risk (excluding securitization and correlation)
Risk-weighted asset (RWA) equivalent for specific risk based on the standardized measurement
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method as applicable. This should not include the risk-weighted assets according to the
standardized measurement method for exposures included in the correlation trading portfolio or
the standardized approach for other non- correlation related traded securitization exposures.
Item 24 Value at Risk (VaR) with Multipliers (general and specific risk)
Bank-wide 10-day value-at-risk (VaR) inclusive of all sources of risks that are included in the
value-at-risk calculation. The reported value-at-risk should reflect actual multipliers as of the
reporting date.
Item 25 Stressed Value-at-Risk (VaR) with Multipliers (general and specific risk) Bankwide 10-day stressed value-at-risk (VaR) inclusive of all sources of risk that are included in the
stressed value- at-risk calculation. The reported stressed value-at-risk should reflect actual
multipliers as of the reporting date.
Item 26 Incremental Risk Capital Charge (IRC)
Risk-weighted asset (RWA) equivalent for incremental risk in the trading book.
Item 27 Correlation Trading
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 28 Correlation Trading: Comprehensive Risk Measurement (CRM), Before
Application of Surcharge
Risk-weighted asset (RWA) equivalent for exposures in the correlation trading portfolio which are
subject to the comprehensive risk measurement, before the application of the 8% surcharge based
on the standardized measurement method.
Item 29 Correlation Trading: Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 30 Correlation Trading: Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net long
100% of the risk-weighted asset (RWA) equivalent according to the standardized measurement
method for net long exposures in the correlation trading portfolio which are subject to the
comprehensive risk measurement.
Item 31 Correlation Trading; Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net Short
100% of the risk-weighted asset (RWA) equivalent according to the standardized measurement
method for net short exposures in the correlation trading portfolio which are subject to the
comprehensive risk measurement.
Item 32 Non-modeled Securitization
Formula embedded in the schedule; no input required. The capital charge (or risk-weighted asset
equivalent) for non-modeled traded securitization, including securitization positions that are not
correlation trading positions and non-modeled correlation trading positions, is the larger of the net
long and net short positions. For purposes of the DFAST submission, traded securitization
exposures subject to a dollar for dollar capital requirement (e.g. 1250% risk weight or the equivalent
of a deduction) should be captured here by including values in lines 33 and 34.
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Item 33 Non-modeled Securitization: Net Long
Risk-weighted asset equivalent according to the standardized measurement method for net
long non- modeled securitization exposures including nth-to- default credit derivatives. For
purposes of DFAST submission, traded securitization exposures subject to a dollar for dollar
capital requirement (e.g. 1250% risk weight or the equivalent of a deduction) should be
included here.
Item 34 Non-modeled Securitization: Net Short
Risk-weighted asset equivalent according to the standardized measurement method for net short
non- modeled securitization exposures including nth-to- default credit derivatives. For purposes
of DFAST submission, traded securitization exposures subject to a dollar for dollar capital
requirement (e.g. 1250% risk weight or the equivalent of a deduction) should be included here.
Item 35 Other Market Risk
If the bank is unable to assign market risk-weighted assets to one of the above categories, they
should be reported in this line. If no such requirements exist, 0 should be entered.
Item 36 Total Market Risk-Weighted Assets (RWA)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Other
Item 37 Other Capital Requirements
Risk-weighted assets (RWA) for settlement risk and other capital requirements. If no such
requirements exist, 0 should be entered.
Item 38 Operational Risk
Risk-weighted assets (RWA) for operational risk.
Item 39 Total Risk-Weighted Assets
This item is a shaded cell and is derived from other items in the schedule, no input required.
Item 40 Data Completeness Check
This item is a shaded cell and to check that all nonshaded cells have been completed. If
"No" appears, please complete all non-shaded cells until all cells to the right say "Yes." Do
not leave cells blank; enter "0" if not applicable. Please ensure that “Yes” appears across
all cells.
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D. Risk-Weighted Assets – General
All banks, including advanced approaches banks and non-advanced approaches banks
must complete “RWA_General” worksheet. In addition, advanced approaches banks are
required to complete “RWA_Advanced" worksheet due to the floor requirement per the
Collins Amendment under Section 171 of the DFA.
For the purpose of completing the “RWA_General” worksheet, banks are required to report
credit risk- weighted assets using the methodologies in the standardized approach of the revised
regulatory capital rule (July 2013). banks that are subject to market risk capital requirements at the
as of date are required to complete the market risk-weighted asset section within the worksheet.
However, if a bank projects to meet the trading activity threshold that would require it to be subject
to the market risk capital requirements during the forecast period, then the bank should complete
the market risk-weighted asset section within the worksheet. Please refer to the final market risk
capital rule released by the U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for
details of the requirements of the rule.
Credit Risk per Standardized Approach (Revised regulatory capital rule, July 2013)
Item 1 Cash items in the process of collection
Report risk-weighted asset of cash items in process of collection. For more guidance refer to the
preamble to the Revised Regulatory Capital Rule for additional information (see link under
“Relevant References” of these instructions).
Item 2 Exposures conditionally guaranteed by the U.S. government, its central bank, or U.S.
government agency
Report risk-weighted asset of claims conditionally guaranteed by the U.S. government, its central
bank, or a U.S. government agency. For more guidance refer to “Exposures to Sovereigns” in
Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised
Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Item 3 Claims on government-sponsored entities
Report risk-weighted asset of claims on government-sponsored entities. For more guidance refer
to “Exposures to Government-sponsored Entities” in Section VIII, “Standardized Approach for
Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under
“Relevant References” of these instructions).
Item 4 Claims on U.S. depository institutions and NCUA-insured credit unions Report riskweighted asset of claims on U.S. depository institutions and NCUA-insured credit unions. For
more guidance refer to “Exposures to Depository Institutions, Foreign Banks, and Credit Unions”
in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised
Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Item 5 Revenue bonds issued by state and local governments in the U.S., and general
obligation claims on and claims guaranteed by the full faith and credit of state and local
governments (and any other PSE) in the U.S.
Report risk-weighted asset of both revenue and general obligation bonds issued by state and local
governments in the U.S. For more guidance refer to “Exposures to Public-sector Entities” in Section
VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory
151 | P a g e
Capital Rule (see link under “Relevant References” of these instructions).
Item 6 Claims on and exposures guaranteed by foreign governments and their
central banks
Report risk-weighted asset of claims on and exposures guaranteed by foreign governments and
their central banks. For more guidance refer to “Exposures to Sovereigns” in Section VIII,
“Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory
Capital Rule (see link under “Relevant References” of these instructions).
Item 7 Claims on and exposures guaranteed by foreign banks
Report risk-weighted asset of claims and exposures guaranteed by foreign banks. For more
guidance refer to “Exposures to Depository Institutions, Foreign Banks, and Credit Unions” in
Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised
Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Item 8 Claims on and exposures guaranteed by foreign PSEs
Report risk-weighted asset of claims on and exposures guaranteed by foreign Public-sector
Entities. For more information refer to Section VIII, “Standardized Approach for Risk-weighted
Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant
References” of these instructions).
Item 9 Multifamily mortgage loans and presold residential construction loans Report
risk-weighted asset of multifamily mortgage loans and presold residential construction loans.
For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”,
of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Item 10 Residential mortgage loans subject to 50% risk-weight
Report risk-weighted asset of residential mortgage loans that qualify for a 50% risk-weight. For
more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these
instructions).
Item 11 Other residential mortgage loans
Report risk-weighted asset of residential mortgage loans not included in items 9 and 10 above. For
more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these
instructions).
Item 12 Past due exposures
Report risk-weighted asset of past due exposures. Note the risk-weighted asset of these exposures
should be excluded from the other items in this section. For more information refer to Section VIII,
“Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory
Capital Rule (see link under “Relevant References” of these instructions).
Item 13 High-volatility commercial real estate loans
Report risk-weighted asset of high-volatility commercial real estate loans. For more information
refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the
Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
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Item 14 Commercial loans/Corporate exposures
Report risk-weighted asset of all commercial and corporate exposures, including bonds and loans.
For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of
the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Item 15 Consumer loans and credit cards
Report risk-weighted asset of consumer loans and credit cards. For more information refer to the
preamble to the Revised Regulatory Capital Rule
).
Item 16 Other revised regulatory capital rule risk-weight items
Report risk-weighted asset of the threshold deduction items (mortgage servicing assets, certain
deferred tax assets, and investments in the common equity of financial institutions) that are not
deducted from capital and are subject to risk weight of 250 percent. In addition, certain high-risk
exposures such as credit-enhancing interest only (CEIO) strips that receive 1,250 percent risk
weight should be included in this line. For more information refer to the preamble to the Revised
Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Item 17 Off-balance sheet commitments with an original maturity of one year or less that
are not unconditionally cancelable
Report risk-weighted asset of off-balance sheet commitments with an original maturity of one year
or less that are not unconditionally cancelable. For more information refer to the preamble to the
Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Item 18 Off-balance sheet commitments with an original maturity of more than one year
that are not unconditionally cancelable
Report risk-weighted asset of off-balance sheet commitments with an original maturity of more
than one year that are not unconditionally cancelable. For more information refer to the preamble
to the Revised Regulatory Capital Rule (see link under “Relevant References” of these
instructions).
Item 19 Other off-balance sheet exposures
Report risk-weighted asset of off-balance sheet exposures. For more information refer to the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these
instructions).
Item 20 Over-the-counter derivative contracts
Report risk-weighted asset of over-the-counter derivative contracts. For more information refer to
the preamble to the Revised Regulatory Capital Rule
Item 21 Securitization exposures
Report risk-weighted asset of securitization exposures. For more information refer to Section VIII,
“Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory
Capital Rule (see link under “Relevant References” of these instructions).
Item 22 Equity exposures
Report risk-weighted asset of equity exposures. For more information refer to the preamble to the
Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
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Item 23 Other credit risk
Report risk-weighted asset of all other credit risk not captured above. For more information refer
to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Item 24 Total Credit RWA per Standardized Approach
This item is a shaded cell and is derived from other items in the schedule, no input required.
Market Risk
If a bank does not have a particular portfolio or no trading book at all, risk-weighted assets
should be reported as 0.
For items 25 to 38, refer to instructions for items 23 to 36, respectively, for market risk under
Worksheet 3—Risk Weighted Assets – Advanced.
Other
Item 39 Other Capital Requirements
Risk-weighted assets (RWA) for other capital requirements. Include in this line item the amount
of the bank’s ALLL that is not included in tier 2 capital and any amounts of allocated transfer risk
reserves; these amounts should be included as negative values to reflect their deduction from
total RWA. If no such requirements exist, 0 should be entered.
Item 40 Total Risk-Weighted Assets
This item is a shaded cell and is derived from other items in the schedule; no input required.
Item 41 Data Completeness Check
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No"
appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells
blank; enter "0" if not applicable. Please ensure that “Yes” appears across all cells.
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E. Leverage Exposure
All banks must complete the portion of the worksheet relevant to “Leverage Exposure for Tier 1
Leverage Ratio” (lines 1 - 4). Advanced approaches banks must also complete the portion of the
worksheet relevant to “Leverage Exposure for Supplementary Leverage Ratio” (lines 5 - 14).
The exposure measures for both leverage ratios are based upon methodologies in the revised
regulatory capital rule (July 2013). Banks should report supplementary leverage ratio components
as calculated using the average as of quarter end for the relevant period based upon the simple
arithmetic mean of exposures calculated on a monthly basis. Banks that are unable to calculate
monthly data may report exposures as of the quarter end.
LEVERAGE EXPOSURE FOR TIER 1 LEVERAGE RATIO (APPLICABLE TO ALL BANKS)
Item 1 Average Total Assets
Report average total on-balance sheet assets as reported in the Call Report, Schedule RC-K, item 9.
Item 2 Amounts Deducted from Common Equity Tier 1 and Additional Tier 1 Capital
Regulatory deductions from tier 1 capital. Deductions from tier 1 capital should be calculated as per
the revised regulatory capital rule.
Item 3 Other Deductions from (Additions to) Assets for Leverage Ratio Purposes Other
deductions from or additions to assets for purposes of the leverage ratio as per the revised
regulatory capital rule.
Item 4 Total Assets for the Leverage Ratio
This item is a shaded cell and is derived from other items in the schedule; no input required
LEVERAGE EXPOSURE FOR SUPPLEMENTARY LEVERAGE RATIO (APPLICABLE TO ADVANCED
APPROACHES BANKS ONLY)
Item 5 On-Balance Sheet Derivatives
Total carrying value of derivatives reported on-balance sheet.
Item 6 Derivatives, Potential Future Exposure
Potential future exposure amount for each derivative contract to which the bank is a counterparty
(or each single- product netting set for such transactions).
Item 7 On-Balance Sheet Repo-Style Transactions
Total carrying value of repo-style transactions (including repurchase agreements, securities lending
and borrowing transactions, and reverse repos) reported on-balance sheet.
Item 8 Other On-Balance Sheet Items, (Excluding Derivatives and Repo-Style
Transactions)
Carrying value of all other on-balance sheet assets.
Item 9 Off-Balance Sheet Items (Excluding Derivatives and Repo-Style Transactions)
This item is a shaded cell and is derived from other items in the schedule, no input required.
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Item 10 Off-Balance Sheet Items – Of which: Unconditionally Cancellable
Commitment eligible for 10% Credit Conversion Factor
Notional amount of unconditionally cancellable commitments made by the bank.
Item 11 Off-Balance Sheet Items – Of which: All Other
Notional amount of all other off-balance sheet exposures of the bank (excluding derivatives and
repo-style transactions including securities lending, securities borrowing and reverse repurchase
transactions)
Item 12 Amounts Deducted from Tier 1 Capital (Report as Negative)
Regulatory deductions from tier 1 capital. Deductions from tier 1 capital should be calculated as per
the revised regulatory capital rule. Input value as a negative number.
Item 13 Other Deductions from (Additions to) Leverage Exposure
Other deductions from or additions to assets for purposes of the supplementary leverage ratio as
per the revised regulatory capital rule.
Item 14 Total Leverage Exposure for Supplementary Leverage Ratio
This item is a shaded cell and is derived from other items in the schedule, no input required.
Data Completeness Check
Item 15 Leverage Exposure for Tier 1 Leverage Ratio (applicable to all banks)
Check to ensure worksheet is complete. Please ensure that “Yes” appears across all cells.
Item 16 Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced
approaches institutions only)
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No"
appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells
blank; enter "0" if not applicable. Please ensure that “Yes” appears across all cells.
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F. Planned Actions
The Planned Action worksheet collects information on all material planned actions that management
intends to pursue to address the revised regulatory capital rule.
Banks are required to factor the combined quantitative impact of all planned actions into the
projections reported on all other relevant worksheets of the Regulatory Capital Transitions
submission. Such actions might include, but are not limited to, the roll-off or sale of an existing
portfolio; development/implementation of risk-weighting models; data remediation to facilitate the
use of lower risk weights for existing exposures; the issuance of regulatory capital instruments; or
other strategic corporate actions.
Planned actions should be attributable to a specific strategy or portfolio; banks are not expected to
cite period-over-period changes in the balances of exposures as a planned action unless those
changes are attributable to a specific and identifiable strategy (e.g., citing “reduction in credit riskweighted assets” would not be considered a valid planned action, but citing sale or runoff of a
particular portfolio (which would have the effect of reducing credit risk-weighted assets) would be
a valid planned action).
For each reporting period, banks should report the incremental quantitative impact of each action
on:
•
•
•
•
•
•
•
Common equity tier 1 capital
Tier 1 capital
Risk-weighted assets (RWA)_General
RWA_Advanced
Average Total Assets for Leverage Capital Purposes (relevant to the tier 1 leverage ratio;
to be completed by all banks)
Total Leverage Exposure for the Supplementary Leverage Ratio (to be completed by
advanced approaches banks only); and
Balance sheet.
The quantitative impact of planned actions submitted by banks should represent the stand-alone,
incremental immediate impact of the action relevant to the time period in which it is planned
to be executed. For example, if a planned action were forecasted to reduce the bank’s
risk-weighted assets by $200 million as of Q4 in the current year and an additional $100 million as
of Q4 of the following year (for a total reduction of $300 million), the bank should report “(200)” for
PY1, “(100)” for PY2, and “0” for subsequent periods. Banks are required to factor the combined
quantitative impact of all planned actions into the projections reported on all other relevant
worksheets of the Basel III submission.
Additional Information Required for Each Planned Action
In addition to the information provided within the Planned Action worksheet, banks are also
required to submit additional details of each of its planned actions. This information should be
provided in a separate attachment. See Appendix A: Supporting Documentation for more
information.
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Column Instructions
Note that certain columns include an option of "other" in the drop down list that can be used if the
listed action cannot be described using the listed selections.
Column B Description
Brief description of the planned action.
Column C Action Type
Select from a list of available actions provided in the schedule. Banks should select the type of
action that best describes the planned action.
Column D Exposure Type
Select from a list of available exposure types provided in the schedule. Banks should select the
type of exposure that is most impacted by the planned action.
Column E RWA Type
Selection from a list of available RWA exposure types provided in the schedule. For planned
actions that have an impact on RWAs, the bank should report the type of RWA (i.e., Counterparty
Credit, Other Credit, Market, or Operational) that is most impacted by the planned action.
Columns F-AU Projected impact (for periods PY 1 though PY 6) on:
• Common Equity Tier 1
• Tier 1
• Risk-Weighted Assets (RWA)_General (impact on the RWA projections shown on
RWA_General worksheet)
• RWA_Advanced (impact on the RWA projections shown on RWA_Advanced worksheet)
• Average Total Assets for Leverage Capital Purposes
• Total Leverage Exposure for Supplementary Leverage Ratio
• Balance Sheet
Projected incremental impact year-over-year on the bank’s common equity tier 1 capital, Tier 1
capital, risk-weighted assets, leverage exposures and balance sheet in $Millions as of year-end. For
PY 1 only, report the incremental impact projected between the as of date and fourth quarter period
corresponding to PY 1.
Columns F-L Report the projected impact at year-end (PY 1) for each of the seven capital and
balance sheet items listed above.
Columns M-S
Report the projected impact at year-end (PY 2) for each of the seven capital and balance sheet items
listed above.
Columns T-Z
Report the projected impact at year-end (PY 3) for each of the seven capital and balance sheet items
listed above.
Columns AA-AG
Report the projected impact at year-end (PY 4) for each of the seven capital and balance sheet items
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listed above.
Columns AH-AN
Report the projected impact at year-end (PY 5) for each of the seven capital and balance sheet items
listed above.
Columns AO-AU
Report the projected impact at year-end (PY 6) for each of the seven capital and balance sheet items
listed above.
Columns AV-BB
These are shaded cells, no input is required. These items capture the projected cumulative impact of
for each of the seven capital and balance sheet items listed above.
Column BC
Enter the file name and or location of the additional information submitted for each planned action.
Supporting Documentation: See Appendix A: Supporting Documentation for more
information.
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OPERATIONAL RISK SCHEDULE
E.1—Operational Risk Historical Capital (Baseline Scenario Only)
The bank Operational Risk Historical Capital worksheet must be completed by Basel II Mandatory or
“Opt-In” firms only. Banks subject to the advanced approaches risk‐based capital rules (12
CFR 3) must submit the Operational Risk Historical Capital worksheet of the Operational Risk
Schedule. Institutions that are required to complete the Historical worksheet must also complete
the Operational Risk Scenario Inputs and Projections Worksheet within the Summary Schedule.
When completing the Historical worksheet, refer to the definitions section of the Summary
Schedule Instructions for Operational Risk. The institution should report the bank’s operational
risk capital by unit-of-measure (undiversified basis) from Q4 of the previous year to Q3 of the
reporting year. The unit-of-measure is the level at which the bank’s quantification model generates
a separate distribution for estimating potential operational losses (e.g., organizational unit,
operational loss event type, risk category, etc.). The institution must complete this worksheet for
the Baseline Scenario only.
E.2—Legal Reserves Reporting
The Legal Reserves Reporting worksheet must be completed by all institutions. For each year,
report the total dollar values of the institution’s legal reserve balance, representing the total legal
reserve balance that was included on the institution’s financial statements as of September 30. The
bank’s initial submission should contain annual legal reserve balances from Q3 2009 through Q3
2013.
On a voluntary basis for Q3 2013 report the total dollar value of the institution’s legal reserves
pertaining to repurchase litigation which was included on the institution’s financial statements as
part of the total legal reserve on September 30.
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COUNTERPARTY CREDIT RISK SCHEDULE
General Instructions
Only banks subject to the market shock exercise are required to fill in the cells in the
Counterparty Risk Worksheet on the Summary schedule.
This schedule has 9 worksheets for information on counterparty credit risk grouped as follows:
1. Derivatives profile by counterparty and aggregate
a. Top counterparties comprising 95% of firm Credit Valuation Adjustment (CVA), ranked
by CVA
b. Top 20 counterparties ranked by Severely Adverse Scenario Stressed CVA
c. Top 20 counterparties ranked by Net CE, Top 20 counterparties ranked by
Severely Adverse Scenario Stressed Net CE,
d. Top 20 collateralized counterparties ranked by Gross CE, Top 20 collateralized
counterparties ranked by Severely Adverse Scenario Stressed Gross CE,
e. Aggregate CVA by ratings and collateralization
2. Expected Exposure (EE) profile by counterparty: Top counterparties ranked by CVA comprising
95% of firm CVA
3. Credit quality by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA
4. CVA sensitivities and slides
5. Securities financing transactions profile by Top 20 counterparties and aggregate
Additionally, a Notes worksheet is provided to allow reporting institutions that so wish to explain
the content of specific items in this schedule. If the bank elects to provide additional data, this
should include an explanation of the additional data and why it is provided. If the data links to data
in other worksheets of the CCR schedule, then a clear data identifier must be provided such that
worksheets may be merged if necessary (see counterparty identification details below).
Data Formatting Instructions
Future time buckets (worksheet 2): The level of granularity of future revaluation time buckets
should be at the level used to calculate CVA at the bank, and should be as granular as available.
Readability: Data must be in machine readable format. Worksheets 1.a, 1.b, 1.c, 1.d, and 5 provide
data at the counterparty level (unit of observation = counterparty). Worksheet 2 provides all
available data at the counterparty + tenor bucket level (unit of observation = counterparty + tenor
bucket). Worksheet 3 provides data at the counterparty level for each date of market data inputs
used.
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Counterparty Identification
All counterparties must have a unique counterparty identifier. In addition, the name of the
counterparty should be provided. Unique identifiers must be consistent across tabs. In particular, it
must be possible to merge worksheets 1, 2, and 3 on the variables counterparty name, counterparty
ID, industry, country, internal rating, and external rating. If any netting set or sub-netting set IDs
are provided on one worksheet, they must be provided on all worksheets. For many counterparties,
all netting sets within the parent company will be a single counterparty and firms should report at
the consolidated counterparty level (with the exception of Central Counterparty reporting
described below.) However, if there are different market spreads attached to different legal
entities, those should be considered separate counterparties.
Central Counterparty Reporting:
When reporting losses relating to a central counterparty (CCP), Gross CE, Net CE, and CVA (as
defined in column instructions below) should include all exposures to the CCP, such as default fund
contributions, initial margin, and any other collateral provided to the CCP that exceeds contract
MTM amounts. Firms are requested to report CCPs at the legal entity level, as opposed to
consolidated entity level.
Worksheets 1a through 1e: Top Counterparties & Aggregate
Top counterparties ranked per instructions on worksheets 1.a, 1.b, 1.c, and 1.d. Aggregate data are
provided on worksheet 1.e. The following column instructions apply to each worksheet in this
section.
Column Instructions
Counterparty Identifiers
Columns A though G provide information identifying the counterparty. The identifiers must be
unique and consistent across tabs as per counterparty identification instructions above
Counterparty name
Report counterparty name should be a recognizable name rather than a code.
Counterparty ID
Report the unique identifier(for example, alphanumeric) assigned to the counterparty. The
counterparty ID must be unique and consistent across worksheets in this schedule.
Netting set ID (optional)
This field is optional. Netting sets should map to ISDA master agreements.
Sub-netting set ID (optional)
This field is optional. Used if CVA is calculated below the netting set level.
Industry
Report the category of the industry of the counterparty, as defined by the following categories.
Report the applicable category exactly as it appears below:
• Banks: Depository institutions and banks, both foreign and domestic
• CCPs: An intermediary counterparty that facilitates the transfer, clearance, and/or settlement
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•
•
•
•
•
•
•
for OTC derivatives on a collateralized basis
Financial guarantors: A monoline insurance company that insures financial instruments such as
municipal bonds or mortgage-backed securities
Local authorities: Local or regional governments and municipalities whose debt are not
explicitly guaranteed by the central government
Non-financial corporates: An institution whose main function is producing commercial goods
or non-financial services
Other financials: A financial institution other than a Bank, Financial Guarantor or SPV/SPE
Sovereigns: Central government of a country and quasi-sovereigns whose debt are explicitly
guaranteed by the central government
SPVs: A legal entity created to fulfill narrow, specific or temporary objective(s)Other: All other
counterparties not included in categories listed above
Other: All other counterparties not included in categories listed above
Country
Report the country of domicile of the counterparty. Countries’ standard ISO two-letter codes at:
http://www.iso.org/iso/country_codes/iso_3166_code_lists/country_names_and_code_elements.htm
Internal rating
Report the bank’s internal rating of the counterparty. If there are multiple ratings associated with
the different netting sets of the counterparty, the mean or median internal rating should be used.
Elaborate in the documentation the approach to selecting the internal rating for these types of
counterparties. As a reminder, even if there are multiple internal ratings for a counterparty, there is
always only one CDS for that counterparty. All data should be reported at the level at which CVA is
calculated; thus every counterparty must have only one CDS spread associated with it. See above for
definition of a counterparty.
External rating
Report the external rating associated with the counterparty's internal rating, not the external rating
associated with the specific counterparty. Provide an external rating from a Nationally Recognized
Statistical Rating Organization (NRSRO).
Gross CE
Report Gross CE, which is defined as pre-collateral exposure after bilateral counterparty netting.
Sometimes referred to as the replacement cost or current credit exposure, Gross CE is the fair value
of a derivative contract when that fair value is positive. Gross CE is zero when the fair value is
negative or zero. For purposes of this schedule, Gross CE to an individual counterparty should be
derived as follows: Determine whether a legally enforceable bilateral netting agreement is in place
between the bank and the counterparty. If such an agreement is in place, the fair values of all
applicable derivative contracts with that counterparty that are included in the scope of the netting
agreement are netted to a single amount, which may be positive, negative, or zero. Report Gross CE
when the fair value is positive, report it as a zero when the fair value is negative or zero.
Stressed Gross CE
Report the full revaluation of Gross CE under applicable stressed conditions.
Net CE
Report the sum of positive Gross CE netting agreements for a given counterparty less the value of
collateral posted by the counterparty to secure those trades. Net CE should be reported after
counterparty netting and after collateral. Net CE should reflect any excess collateral posted by the
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bank to the counterparty.
Stressed Net CE
Report the full revaluation of Net CE under applicable stressed conditions. Hold collateral constant;
assume no additional collection of collateral, but do apply stressed conditions to collateral.
CVA
Report the balance of all CVA, gross of hedges, for asset-side, unilateral CVA. Report CVA as a
positive value. CVA is an adjustment made to the market or fair value of derivatives receivables to
take into account the credit risk of a counterparty. This is different from "Net CVA", which would be
equivalent to CVA less debt valuation adjustment (DVA). Provide an explanation for counterparties
where this does not hold (e.g., adjustments). By requiring unilateral CVA, the default risk of the
counterparty should not be conditioned on the survival of the reporting institution. Please note that
CVA hedges should be reported on Schedule A, Worksheet 5, Trading.
Stressed CVA
The full revaluation of asset-side CVA under stressed conditions. Stressed CVA should incorporate
the full revaluation of exposure, probability of default (PD), and loss given default (LGD) under
stressed conditions.
CSA in place?
Report the indication of whether at least one of the netting sets comprising this counterparty has a
legally enforceable collateral agreement, for example, Credit Support Annex (CSA), in place. "Y" for
yes, "N" for no.
% Gross CE with CSAs
Report the percentage of Gross CE that is associated with netting sets that have a legally
enforceable collateral agreement in place. For example, if there are two netting sets, one
collateralized and one not, with equal Gross CEs in both netting sets, report a value of 50%.
Downgrade trigger modeled?
For the bank specification, report the indication of whether at least one of the netting sets
comprising this counterparty has an EE profile where a downgrade trigger is modeled. "Y" for yes,
"N" for no.
Single name credit hedges
Report the net notional amount of single name credit hedges on the default of the counterparty.
Only a single name CDS hedge of the counterparty should be reported. Report net bought positions
as positive values.
Aggregate CVA and stressed CVA
Report the difference between Aggregate Stressed CVA and Aggregate CVA should equal the CVA
losses reported on Schedule A, Summary, Worksheet 5- Counterparty Credit Risk, Item 2,
Counterparty Credit MTM Losses (CVA losses). If this is not the case, provide a rationale in the
methodology documentation.
Additional/ offline CVA reserves
Additional or offline CVA reserves are reported here. If there is a Gross CE or a Net CE figure
associated with these reserves, those should be reported as well. If not, enter "0". Accompanying
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documentation should elaborate about the nature of these reserves.
Collateralized counterparty
A collateralized counterparty is a counterparty with at least one netting set with a legally
enforceable collateral agreement in place.
Collateralized netting set
Netting sets with a CSA agreement in place.
Worksheet Instructions
Top counterparties comprising 95% of firm CVA, ranked by CVA
Report information for the top counterparties that comprise 95% of total firm CVA, ranked by CVA
in columns as described above.
Top 20 counterparties ranked by applicable Stressed CVA
This worksheet is comprised of two tables of Top 20 Counterparties:
1. Top 20 Counterparties ranked by Severely Adverse Scenario Stressed CVA
Report information in columns as described above.
Top 20 counterparties ranked by Net CE
This worksheet is comprised of three tables of Top 20 Counterparties:
1. Top 20 Counterparties ranked by Net CE
2. Top 20 Counterparties ranked by Severely Adverse Scenario Stressed Net CE
Report information for these three tables in columns as described above.
Top 20 collateralized counterparties ranked by Gross CE
This worksheet is comprised of three tables of Top 20 Counterparties:
1. Top 20 Collateralized Counterparties ranked by Gross CE
2. Top 20 Collateralized Counterparties ranked by Severely Adverse Scenario
Stressed Gross CE
Report information for these three tables in columns as described above. Include counterparties
with at least one netting set with a CSA agreement in place.
Aggregate CVA by ratings and collateralization
This worksheet is comprised of four tables, as described below:
1. Aggregate: Report aggregate data by internal ratings category in columns as described above.
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2. Additional offline CVA Reserves: Report aggregate data for additional offline CVA in columns as
described above.
3. Collateralized netting sets: Report aggregate data for collateralized netting sets by internal
ratings category in columns as described above. Include only netting sets with a CSA agreement
in place.
4. Uncollateralized netting sets: Report aggregate data for uncollateralized netting sets (netting
sets without a CSA agreement in place) by internal ratings category in columns as described
above.
EE profile by counterparty: Top counterparties by CVA comprising 95% of CVA
Column Instructions
Tenor bucket in years
The time provided should be as granular as possible. Use years as the unit. For example, if the time
is 6 months, the bank should report “0.5” not “6”.
Tenor buckets are defined as the time between time t and time t-1. Therefore if the value provided
is one year, and the previous time provided is 6 months, the tenor bucket over which marginal
(forward) probabilities of default is calculated would be from 6 months to one year. Typically EE
will be calculated at time t (the endpoint of the tenor bucket). If not, clarify if the value provided
corresponds to a midpoint during the tenor bucket, an average, or some other value.
The level of granularity of future revaluation time buckets should be at the level used to calculate
CVA at the bank, and the data provided should be as granular as available.
EE - Bank specification
The (unstressed) EE metric used to calculate CVA for each tenor bucket. Along each simulation
path, the exposure at time t used to estimate EE(t) should be non-negative; if any exposures along a
simulation path calculated at time t are negative, these should be set to 0 before calculating the
expected value. The EE reference point refers to the end-point of the time bucket between time t
and t-1. A time bucket is considered the time between time t and time t-1. Indicate in separate
methodology notes if another approach is used (e.g., average over time bucket, mid- point, etc.).
EE (unstressed) calculated using the bank’s own specification.
Marginal PD
Value provided should be the interpolated unilateral marginal PD for each time bucket between
time t and t-1. For most banks, marginal PD will reflect default probability over tenor bucket and be
equivalent to the difference between the cumulative PD at the beginning and the end of the tenor
bucket. If not, provide additional explanation. PDs should not be conditioned on the survival of the
bank.
LGD (CVA)
Loss Given Default (1-Recovery Rate) used to calculate CVA.
LGD (PD)
Loss Given Default (1-Recovery Rate) used to calculate PDs from spreads. If the LGDs used to
calculate PDs are different from the LGDs used to calculate CVA, provide a rationale in the
methodology documentation as requested in the Summary Instructions.
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Discount factor
The discount factor should be roughly equal to e-zt or (1+z)-t, where z is the value of the zero curve
at time t for the LIBOR or some other risk free rate.
Stressed EE - OCC scenario & OCC specification
Stressed EE calculated under the OCC shock scenario using OCC specification. Calculate the EE
under the OCC specification with a 10 day margin period of risk (MPOR) for all counterparties for
which collateral is collected, and exclude the collection of additional collateral due to downgrade
of a counterparty (i.e., downgrade triggers).
Stressed EE - OCC scenario & BHC specification
Stressed EE calculated under the OCC shock scenario using the bank’s own specification. If MPOR
and downgrade trigger assumptions are the same as in the OCC specification, this field may be
populated with N/A.
Stressed marginal PD
The (unilateral) marginal PD associated with the counterparty's stressed spread. PDs should not be
conditioned on the survival of the bank.
Stressed LGD (CVA)
LGD used to calculate CVA in the applicable stressed scenario.
Stressed LGD (PD)
LGD used to calculate PD in the stressed scenario.
Item Instructions
Report the top counterparties that comprise 95% of total CVA, ranked by unstressed CVA using the
column instructions above.
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Credit Quality by Counterparty comprising 95% of firm CVA
Column Instructions
Time period
The date for which the CDS (or other input) applies. For a one year CDS spread, enter "1". For grid
pricing, do not enter the interpolated CDS spreads. Enter only the dates for which market data was
available.
Market spread (bps)
Enter the market value. If this value comes from a proxy grid, enter the value from the grid. The
whole grid is not necessary. For example, if the grid is computed based on 1, 3, 5, and 10 years
spreads, enter only 1, 3, 5, and 10 year data. All spread data should be reported as the all-in-cost
spread, with any upfront costs incorporated into the current all-in spread.
Spread adjustment (bps)
Provide the amount and operator (e.g., "*" and "+") of adjustments (in bps), if any, applied to the
market spread. This may be zero or blank if no add-on is used.
Spread (bps) used in CVA calculation
Enter the value used in the CVA calculation. This may be left blank if the market spread of the single
name or proxy is used without any adjustment.
Stressed spreads
The stressed values of CDS spreads used in the stressed CVA calculation.
Mapping approach
Indicate the type of proxy mapping approach used. Report either Single name own or Proxy in this
field. Single name own indicates that the single name reference entity is the same as the
counterparty name. Proxy indicates that the counterparty's own spread was not used; rather, a
proxy spread was used.
Proxy mapping approach
If single name mapping approach is not used, indicate the type of proxy mapping approach used.
Report one of the following: Single name-related party, Industry (indicate industry based on list
provided above), Ratings class (indicate the rating; e.g., AAA, AA), Industry-rating, Industrygeography, Industry-rating-geography, Rating-geography, or Other. This field may be left blank
when mapping approach is Single name own.
Proxy name
Identify the specific proxy used.
Market input type
Indicate the type of market input used, by reporting one of the following in this field: CDS spreads,
Bond spreads, KMV-EDFs, or Other.
Ticker / identifier
Where applicable, enter the ticker number used (e.g., CDX IG AA, single name ticker).
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Report date
Enter the date of the market data.
Source
Enter the source of the market data (e.g., Bloomberg, Markit).
Comments
Enter any relevant comments.
Item Instructions
Report the top counterparties that comprise 95% of total CVA, ranked by CVA in the columns as
described above.
CVA Sensitivities
Column Instructions
Aggregate CVA sensitivities and slides
Change in aggregate asset-side CVA for a given change in the underlying risk factor. A sensitivity
refers to a 1 unit change in the risk factor, and a slide refers to a larger change in the risk factor.
Report an increase in CVA as a positive figure. Reported figures should be gross of CVA hedges. The
bank may provide their own values for slides (e.g., +20bps instead of +10bps). However, if a bank
chooses to report slides other than those listed, at least one slide must be consistent with the size of
the shock to that risk factor under the scenario. All slides should be reported only if they are based
on a full revaluation of the portfolio given the change in the risk factor; slides should not be reported
if they are simple linear scaling of the associated sensitivity. At a minimum there should
be slides that represent a significant positive and negative move for that risk factor. For credit,
when a basis point move is requested, this refers to an absolute move in the risk factor, and when a
percentage move is requested, this refers to the relative move in the risk factor.
Sensitivities for top 10 counterparties (ranked by CVA)
Change in CVA of each counterparty for a given change in the underlying risk factor. Report an
increase in CVA as a positive figure. Reported sensitivities should be gross of CVA hedges.
Other material sensitivities
Material sensitivities are other large and/or important risk factors for the bank. Add the relevant
risk factors for the bank. Make sure that the label clearly identifies the risk factor. If an additional
risk factor is provided that is not listed in the template, provide a description of this sensitivity in
the tab Notes to the CCR Schedule. For example, for equity indices, include a reference to the
country or region to which index corresponds.
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Securities Financing Transactions Profile by Counterparty and Aggregate
Column Instructions
Net CE
The sum of current credit exposures to the counterparty, taking into account legal netting
agreements with each legal entity of that counterparty. For a single netting agreement, this is
calculated as the max of zero and the difference between the aggregate mark-to-market value of
securities or cash posted to the counterparty and the aggregate mark-to-market value of securities or
cash received from that counterparty.
Stressed Net CE
The full revaluation of Net CE under the stressed market environment – one value for each global
market shock scenario. For a single netting agreement, this is calculated as the max of zero and
the difference between the aggregate stressed mark-to-market value of securities or cash
posted to the counterparty and the aggregate stressed mark-to-market value of securities or
cash received from that counterparty.
Indemnified Securities Lent (Notional Balance)
The current aggregate mark-to-market value of securities lent, where the firm, acting as an agent,
indemnifies the client against losses resulting from a borrower’s (counterparty’s) default.
Indemnified Cash Collateral Reinvestment (Notional Balance)
The current aggregate mark-to-market value of positions within cash collateral reinvestment
vehicles, where the firm indemnifies the client against loss of principal and interest.
Repo and Reverse Repo – Gross Value of Instruments on Reporting Date
Posted: the aggregate mark-to-market value of all securities posted to a counterparty as part of a
repurchase agreement as a cash borrower or total cash amount posted to a counterparty as part of a
reverse repurchase agreement as cash lender. Include situations in which the firm is acting as a
principal or on behalf of a client for which lender indemnification has been provided against the
borrower’s default.
Received: the aggregate mark-to-market value of all securities received from a counterparty as
part of a reverse repurchase agreement as a cash lender or total cash amount received from a
counterparty as part of a repurchase agreement as cash borrower. Include situations in which the
firm is acting as a principal or on behalf of a client for which lender indemnification has been
provided against the borrower’s default.
Securities Lending and Borrowing – Gross Value of Instruments on Reporting Date
Posted: the aggregate mark-to-market value of all securities or cash posted to a borrower/lender
(counterparty) as a securities lender/borrower in situations in which the firm is acting as a
principal, or on behalf of a client for which the firm is acting as an agent, but, in the case of a lending
agreement, has indemnified such securities lending clients against the borrower’s default.
Received: the aggregate mark-to-market value of all securities or cash received from a borrower or
lender (counterparty) as a securities lender/borrower in situations in which the firm is acting as a
principal, or on behalf of a client for which the firm is acting as an agent, but, in the case of a lending
agreement, has indemnified such securities lending clients against the borrower’s default.
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Asset Categories
US Treasury
This category includes all U.S. Treasury securities, obligations issued by U.S. government agencies,
and obligations issued by U.S. government-sponsored enterprises (GSEs). U.S. Treasury securities
include all bills, certificates of indebtedness, notes, and bonds, including those issued under the
Separate Trading of Registered Interest and Principal of Securities (STRIPS) program and those that
are ‘‘inflation indexed.”
For purposes of this category, a U.S. government agency is defined as an instrumentality of the
U.S. government whose debt obligations are fully and explicitly guaranteed as to the timely
payment of principal and interest by the full faith and credit of the U.S. government. Include,
among others, debt securities (but not mortgagebacked securities) of the following U.S.
government agencies:
a. Export–Import Bank (Ex-Im Bank)
b. Federal Housing Administration (FHA)
c. Government National Mortgage Association
(GNMA)
d. Maritime Administration
e. Small Business Administration (SBA)
Government-sponsored agencies are defined as agencies originally established or chartered by
the U.S. government to serve public purposes specified by the U.S. Congress but whose debt
obligations are not explicitly guaranteed by the full faith and credit of the U.S. government.
Include, among others, debt securities (but not mortgage-backed securities) of the following
government-sponsored agencies:
(1) Federal Agricultural Mortgage Corporation (Farmer Mac)
(2) Federal Farm Credit Banks
(3) Federal Home Loan Banks (FHLBs)
(4) Federal Home Loan Mortgage Corporation (FHLMC or Freddie Mac)
(5) Federal Land Banks (FLBs)
(6) Federal National Mortgage Association (FNMA or Fannie Mae)
(7) Financing Corporation (FICO)
(8) Resolution Funding Corporation (REFCORP)
(9) Student Loan Marketing Association (SLMA or Sallie Mae)
(10) Tennessee Valley Authority (TVA)
(11) U.S. Postal Service
Agency MBS
This category includes mortgage-backed securities issued by a U.S. government agency as defined
above.
Equities
This category includes publicly traded and privately issued equity securities.
Corporate Bonds
This category includes all types of bonds issued by any private or public company.
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Non-Agency (ABS, RMBS)
This category includes asset-backed securities and residential mortgage-backed securities not issued
by a U.S. government agency as defined above.
Sovereigns
This category includes debt issued by any soverign state other than debt issued by the U.S. Treasury.
Other
This category includes any asset not defined in any of the above asset categories (US Treasury,
Agency
MBS, Equities, Corporate Bonds, Non-Agency (ABS, RMBS), and Sovereigns) and excludes cash.
Cash
This category includes currency to be reported in U.S. dollar amount.
Item Instructions:
In the first table report the information required by each column for the top 20 counterparties as
ranked by Stressed Net CE (defined above) as stressed according to the Severely Adverse Scenario.
All legal entities within a consolidated organization, including any subsidiaries and related
companies, should be treated as a single consolidated counterparty. Net CE and Stressed Net CE
should be calculated at the subsidiary (affiliate) level first and then aggregated to the consolidated
counterparty. In the second table report aggregate data similarly to the first table in F.1.e, Aggregate
CVA by Ratings.
Notes to the CCR Schedule
Use this worksheet to submit voluntarily any additional information (e.g., data) that gives clarity on
the portfolio. More than one additional tab may be provided. If the bank elects to provide additional
data, this should include an explanation of the additional data and why it is provided. If the data
links to data in other tabs of the CCR schedule, then a clear data identifier must be provided such
that tabs may be merged if necessary (see mergeability requirements above).
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SUPPORTING DOCUMENTATION (APPENDIX A)
Documentation on Summary Schedule
•
•
•
•
•
•
Submit documentation that clearly describes the methodology used to produce the bank’s
projections for each part of the Summary Schedule
Describe how the bank translated the macroeconomic factors (or market shock for the Trading
and Counterparty Risk sections) associated with the scenario into the bank’s projections and
technical details of any underlying statistical methods used
Provide information on model validation and independent review
Where judgment is an essential part of the forecast, include documentation that demonstrates
rationale and magnitude, as well as the process involved to ensure consistency of projections with
scenario conditions
Include thorough discussion of any material deviations from the instructions and how the
materiality of such deviations was decided upon
Additional information to be included in the documentation is described below and in more detail
in each section of the schedule instructions
Documentation on Model Risk Management
Banks should include in their submission their model risk management policies, which should
provide the bank’s general framework for model development, calibration, validation, escalation,
and oversight by specifying criteria and controls across various stages of the model lifecycle
(Identification; Inventory/ Tracking; Development and Documentation; Independent Validation;
Approval for Implementation; Ongoing monitoring; Model Retirement).
Documentation of Risk Measurement Practices
Capital plan submissions should include documentation of key risk identification and measurement
practices supporting the bank-wide stress testing required in the capital plans. Bank submissions
should also include internal documentation describing the bank’s framework for development,
calibration, estimation, validation, oversight, and escalation of key risk identification and
measurement practices. As noted above, an assessment of the robustness of these practices is a
critical aspect of the supervisory assessment of capital adequacy processes.
Documentation of Internal Stress Testing Methodologies
Banks should include in their submissions thorough documentation that describes and makes
transparent key methodologies and assumptions for performing stress testing on their portfolios.
In particular, the design, theory, and logic underlying the methodology should be well documented
and generally supported by published research and sound industry practice. The documentation
should include
• Discussion of historical data set construction, including data sources, adjustments to the data
set, and documentation validating the use of any external data;
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• Rationale for portfolio segmentation and a discussion on how a particular methodology and
model captures the key characteristics and the unique risk drivers of each portfolio;
• Explanation of the theory, logic, and design behind each model;
• Description of model selection and specification, variable choice, and estimation methodology,
including the statistical results used to arrive at the selected model;
• Analysis of the model output, including the congruence of inputs with the assumed economic
scenario, the justification of any qualitative adjustment, along with the statistical analysis used to
support the model output;
• Model inventory log specifying the model’s version, the date of model approval, the date of its last
revision, its intended use, the name of its model owner and developer, the model’s priority, the
date of the model’s last independent validation, and the date of the model’s next expected
independent validation.
Documentation should also include mapping that clearly conveys the methodology used for each
product line under each stress scenario.
If third-party models are used, the documentation should describe how the model was
constructed, validated, and any known limitations of the model. Documentation should clearly
describe assumptions concerning new growth and changes to credit policy. Supporting
documentation should transparently describe internal governance around the development of
comprehensive capital plans. Documentation should demonstrate that senior management has
provided the board of directors with sufficient information to facilitate the board’s full
understanding of the stress testing used by the bank for capital planning purposes.
Documentation of Assumptions and Approaches
Banks should provide credible support for all assumptions used to derive loss estimates,
including assumptions related to the components of loss, severity of loss, and any known
weaknesses in the translation of assumptions into loss estimates. Banks should demonstrate that
these assumptions are clearly conditioned on the stated macroeconomic scenario, are consistent
with stated business strategies, and reflect the competitive environment of each business line. If
firm-specific assumptions (other than broad macroeconomic assumptions) are used, also
describe these assumptions and how they relate to reported projections. If the bank models rely
upon historical relationships, provide the historical data and clearly describe why these
relationships are expected to be maintained in each scenario. The impact of assumptions
concerning new growth or changes to credit policy on forecasted loss estimates relative to
historical performance should be clearly documented.
While judgment is an essential part of risk measurement and risk management, including for loss
forecasting, Banks should not be over-reliant on judgment to prepare their loss estimations
without providing documentation or evidence of transparency and discipline around the process.
Banks should adequately support their judgments and should ensure that judgments are in line
with scenario conditions. Banks should be consistently conservative in the assumptions they make
to arrive at loss rates. Where appropriate, documentation should quantify the impact of qualitative
adjustments from modeled output.
Supporting documentation also should transparently describe internal governance around the
development of stress testing models and methodologies, and discuss how the stress testing
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methodologies have been implemented in the bank’s existing firm-wide risk management practices.
Furthermore, documentation should include a discussion of the stress testing outcomes in terms of
the nature of the portfolio and the modeled scenario. The bank should demonstrate that senior
management provided the board of directors with sufficient information to facilitate the board’s full
understanding of the stress testing used by the firm for capital planning purposes and allow for the
appropriate level of challenge of assumptions and outcomes.
Documentation of Validation and Independent Review
In addition to being properly documented, models employed by banks (either developed
internally or supplied by a vendor) should be independently validated or otherwise reviewed in
line with model risk management expectations presented in existing supervisory guidance,
including OCC Bulletin 2011-12.
Banks should also provide their model validation policy. Institutions should provide model
validation documentation on the following elements: conceptual soundness, inputs, transparency,
implementation, reporting, model robustness and limitations, use of expert judgment, exception
reports, outcomes analysis (back-testing and/or benchmarking) and qualitative adjustments.
Validation documentation should include the bank’s assessment of the vulnerability of their models
to error, an understanding of any of their other limitations, and consideration of the risk to the
bank should estimates based on those models prove materially inaccurate. Specifically, validation
reviews should examine the efficacy of model use in both base case and stress scenarios. Validation
efforts should consider whether these processes generate outputs that are relevant in a stressful
scenario or if the use of models should be supplemented with other data elements and alternative
methodologies.
Documentation on Income Statement, Balance Sheet, and Capital
Banks should submit supporting documentation that clearly describes the methodologies used to
make the loss, reserve change, and revenue projections that underlie the pro forma projections of
equity capital. The supporting document should be titled
RSSD_BANKMNEMONIC_CAPITAL_METHODOLOGY_YYMMDD.
Each bank should include in its supporting documentation a clear description of how the various
balance sheet and income statement line items were reported.
Provide information on the specific assumptions used to calculate regulatory capital, including a
discussion of any proposed capital distributions. When appropriate, clearly state assumptions
related to the corporate tax rate and the evolution of the deferred tax assets. In situations where
the bank chooses not to project components of the balance sheet, those components should be
held constant at the last current level and the bank should explain why the zero delta assumption
is appropriate in the given scenario.
Banks should submit any other information and documentation necessary to support or understand
its capital calculations. Where applicable, banks should link the additional supporting
documentation to the Summary Memo of Capital Methodology and Assumptions and the Capital
worksheet.
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Documentation on Retail
Banks should submit separate documentation for their Retail-related projections. The supporting
document should be titled
RSSD_BANKMNEMONIC_RETAIL_METHODOLOGY_YYMMDD.
You may submit separate documents for different models and/or methodologies. In this case, title
the documents: RSSD_BANKMNEMONIC_RETAIL_METHODOLOGY_MODELTYPE_YYMMDD.
Model Type refers to the type of Retail model. Documentation should be submitted for all aspects of
the retail portfolio, including purchased credit impaired loans and mortgage repurchase risk.
Mortgage repurchase documentation should include descriptions of all important assumptions
made in each scenario, including, but not limited to, assumptions about legal process outcomes and
counterparty behavior. All retail documentation should include documentation of assumptions,
governance, validation and independent review as outlined in the Supporting Documentation
section of the Overview.
Documentation on Wholesale
Banks should submit separate documentation for their Wholesale (Corporate and CRE) loan
balances and loss projections. The supporting document should be titled
RSSD_BANKMNEMONIC_WHOLESALE_METHODOLOGY_YYMMDD.
You may submit separate documents for different methodologies. In this case, title the documents:
RSSD_BANKMNEMONIC_ WHOLESALE_METHODOLOGY_MODELTYPE_YYMMDD. Model Type
refers to the type of Wholesale model.
Banks should include supporting documentation that describes the key methodologies and
assumptions for performing stress testing on each wholesale portfolio. Documentation should
include an index of documents submitted, a general overview document providing a broad
summary of the stress testing methodologies utilized, and detailed supporting documentation that
clearly describe the model development process, the derivation of outcomes, and validation
procedures as outlined below. The methodologies’ formulaic specification, assumptions, numerical
techniques, and approximations should be explained in detail with particular attention to both their
merits and limitations.
Specifically, documentation should include:
• Discussion of historical data set construction, including data sources, adjustments to the
data set, and documentation validating the use of any external data.
• Time period of model calibration.
• Rationale for portfolio segmentation and a discussion on how a particular methodology and
model captures the key characteristics and the unique risk drivers.
• A description of how the loss estimates appropriately capture the severity of the
macroeconomic scenario, reflecting both industry and borrower characteristics.
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•
•
•
Documentation should include a justification for explanatory variables selected, including
coefficients from statistical models, measures of their statistical significance, and qualitative
assessments where appropriate. Where relevant, descriptive statistics, including their
mean, median, minimum, maximum, and standard deviation should be outlined.
Step-by-step examples of loss calculation, including a transparent breakdown of all
components of forecasted loss (i.e., probability of default, severity of loss, exposure at
default) and how each component is adjusted for the given macroeconomic scenario.
Discussion of how losses were distributed to each quarter in the forecasted period as it
relates to changes in the macroeconomic factors within the modeled scenario.
Qualitative or quantitative adjustment to main model output. Firms should perform preadjustment/post-adjustment loss analysis and supply that analysis for material disparity.
Where the current total balances in the wholesale line items do not tie directly to the corresponding
category on the Call Report, banks should provide a reconciliation which accounts for all wholesale
balances. To the extent that loss projection line items include the consolidation of various loan
portfolios which have different risk characteristics, supporting documentation should break out the
relevant sub- portfolio losses. Furthermore, banks should provide supporting documentation and
forecasts for any wholesale loan portfolios acquired after the beginning quarter of the stress
scenario and/or for loans covered by loss sharing agreements with the FDIC.
Documentation on Loans HFS and Loans Under FVO
Banks should submit separate documentation for their Fair Value Option and Held for Sale retail
and wholesale loans. The supporting document should be titled
RSSD_BANKMNEMONIC_FVOHFS_METHODOLOGY_YYMMDD.
You may submit separate documents for different models and/or methodologies. In this case, title
the documents: RSSD_BANKMNEMONIC_FVOHFS_METHODOLOGY_MODELTYPE_YYMMDD.
The documentation should include:
• Total loss and outstanding fair market value balances segmented by Commercial/Wholesale,
Commercial Real Estate and Retail along with explanation as to the main drivers of loss for each
category noted above.
• Please document the amount of funded and non-funded commitments for wholesale loans and
for retail loans please include the average amount of loans that had been rejected or were in not
in conformance with agency standards.
• An attestation to completeness: describe the process and governance & oversight for ensuring
the full set of positions were accounted for and included,
• Documentation should clearly make note of instances where different methodologies were used
across different business lines with like assets,
• Documentation should make note where judgment was used in defining and allocating exposure,
• Where shocks were used that differed from prescribed shocks,
• Document approach and asset coverage under these approaches,
• Describe any additional broadening or simplification of the scenario done to get the requisite
amount of granularity needed to run to scenario,
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Documentation on AFS/HTM Securities
The supporting document should be titled
RSSD_BANKMNEMONIC_SECURITIES_METHODOLOGY_YYMMDD.
You may submit separate documents for different methodologies. In this case, title the documents:
RSSD_BANKMNEMONIC_SECURITIES_METHODOLOGY_MODELTYPE_YYMMDD. The
documentation should clearly addresses the OTTI and OCI methodologies used by banks to
complete the Summary schedule. The documentation should, at a minimum, address the questions
outlined below by major product/portfolio type (e.g., non‐agency residential mortgage- backed
securities (RMBS), commercial mortgage-backed securities (CMBS), auto asset-backed securities
(ABS), corporate bonds, etc.).
Projected OTTI for AFS Securities and HTM Securities by CUSIP OTTI Methodology
•
•
•
•
•
•
•
•
•
•
•
Describe the model/methodology used to develop stressed OTTI losses. Please state
whether a vendor or proprietary model was used.
If a vendor model was used, please provide the name of the vendor model. If a vendor
model was used, has the bank independently reviewed the vendor model?
What data source(s) was used to estimate the model?
What were the key inputs/variables and how were these determined? (e.g., how were
default, severity, and other elements determined? What were the key inputs in determining
default, severity, and other elements? What were the key assumptions and how were these
assumptions determined?)
If using a cash flow model, was a vendor or proprietary model used? If using a vendor
model, please provide the name of the vendor and model.
How did the model/methodology (whether vendor or proprietary) incorporate
macroeconomic assumptions?
If relevant, how were macroeconomic assumptions (as prescribed under the supervisory
stress scenario) used to determine projected collateral default and severity?
Were all securities reviewed for impairment? If not, describe the rationale, decision rule, or
filtering process.
If the threshold for determining OTTI on structured products was based on a loss coverage
multiple, describe the multiple used.
If OTTI was estimated for multiple quarters, describe the process for determining OTTI in
each period of the forecast time horizon.
Is the bank using shortcuts or rules of thumb to recognize the OTTI charges for this analysis
or going through the bank’s normal process for recognizing OTTI charges? If using shortcuts
or rules of thumb, state how this process differs from the normal process for recognizing
OTTI charges.
Validation and Independent Review
• Has the model undergone model validation, with results reviewed independently of the
business line?
• Has any performance testing been conducted on the model? If so, what type of performance
testing has been conducted?
• Has the model been validated for its appropriate use?
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Fair Market Value Determination
• If more than one third-party vendor is used as the principal pricing source for a given
security, what are the criteria for determining the final price? (e.g., is a mean, median,
weighting scheme or high/low price taken?) Is there a hierarchy of sources? If appropriate,
describe responses by major product or portfolio type (e.g., non-agency RMBS, CMBS,
Consumer ABS).
• If an internal model is used as the principal pricing source for a given security, are prices
(from an internally created model) compared with third party vendor prices? If so, which
vendors are used? If prices are not compared with third party vendors, state the reason. If
appropriate, describe responses by major product/portfolio type (e.g., non-agency RMBS,
CMBS, Consumer ABS.).
• Describe any additional adjustments made to prices determined by internal model(s)
and/or third parties. How is the ultimate price determined?
• If an internal model is used as the principal pricing source for a given security, what are the
primary market pricing variables used for fair value estimation?
• Describe briefly the bank’s price validation and verification process. Provide readily
available documentation related to the bank’s price validation and verification process.
Projected OCI and Fair Market Value for AFS Securities
• Describe the model/methodology used to develop stressed OCI losses. If appropriate,
describe responses by major product or portfolio type (e.g., non‐agency RMBS, CMBS,
Consumer ABS). State whether the same model was used to derive OTTI losses. If not, detail
the specific model/methodology and rationale for utilizing a different model.
• Detail if a vendor or proprietary model was used. If a vendor model was used, provide the
name of the vendor model. If a vendor model was used, has the bank performed an
independent review of the vendor model?
• What data source(s) was used to estimate the model?
• What were the key inputs/variables and how were these determined? (e.g., how were fair
value losses, and other elements determined?) What were the key inputs in determining
OCI loss and how were they determined?
• If using a cash flow model, was a vendor or proprietary model used? If using a vendor
model, please provide the name of the vendor and model.
• How did the model/methodology (whether vendor or proprietary) incorporate
macroeconomic assumptions? How were macroeconomic assumptions (as prescribed under
the supervisory stress scenario) used to determine projected OCI?
• Were all securities reviewed for OCI? If not, describe the rationale, decision rule, or filtering
process. If OCI was estimated for multiple quarters, describe the process for determining
OCI in each period of the forecast time horizon.
• Is the bank using shortcuts or rules of thumb to recognize the OCI charges for this analysis
or going through the bank’s normal process for recognizing OCI charges? If using
shortcuts or rules of thumb, state how this process differs from the normal process for
recognizing OCI charges.
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Documentation on Trading
The supporting document should be titled
RSSD_BANKMNEMONIC_TRADING_METHODOLOGY_YYMMDD.
You may submit separate documents for different methodologies. In this case, title the
documents: RSSD_BANKMNEMONIC_TRADING_METHODOLOGY_MODELTYPE_YYMMDD.
•
•
•
•
•
•
•
•
Documentation should include supporting details explaining the main drivers and
attribution of loss for the overall trading and MTM loss estimate, and for each respective
primary risk/business unit area details on the loss attribution by the primary risk factors.
Documentation should provide a complete and technical definition of second and higher
order risk factors (cross gamma, vanna, etc.) and describe the methods undertaken by the
firm to estimate the cross gamma and higher order effects.
Estimate the contribution to total losses from higher-order risks.
Describe the evolution of risk per each risk area two weeks before and after the submission
date, i.e. make note of positions that may expire or terminate within this time frame that
significantly alters a risk profile.
Describe the process and governance & oversight for ensuring the full set of positions were
accounted for and included.
A detailed and technical description of modeling methods (including pricing models) used,
Documentation should clearly make note of instances where different
methodologies were used across different business lines with like assets.
Document approach (full revaluation vs. grid based approach, e.g.) and asset
coverage under these approaches,
Please identify those products or exposures where the firm used models or
systems that were outside of the normal routine stress testing framework
for the FRB stress scenario and indicate if they were reviewed or validated
by an independent Model Review function.
The decision-making used for allocating exposures according to risk area. Documentation
should make note where judgment was used in defining and allocating exposure per each
risk area.
Where shocks were used that differed from prescribed shock
Describe any additional broadening or simplification of the scenario done to get the
requisite amount of granularity needed to run to scenario,
Documentation on Counterparty Credit Risk
The supporting document should be titled
RSSD_BANKMNEMONIC_CCR_METHODOLOGY_YYMMDD.
You may submit separate documents for different models and/or methodologies. In this case, title
the documents: RSSD_BANKMNEMONIC_CCR_METHODOLOGY_MODELTYPE_YYMMDD. Model
Type refers to CVA, CCR IDR, Trading IDR, and Other CCR Losses.
The documentation should include a detailed description of the methodologies used to estimate
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Trading IDR, CVA, and CCR IDR losses under the stress scenario as well as methodologies used to
produce the data in the CCR schedule. All information relevant for supervisors to understand the
approach should be included. Any differences between the bank and the scenarios in
methodology, position capture, or other material elements of the loss modeling approach should
be clearly described.
As part of the detailed methodology document, banks should provide an Executive Summary that
gives an overview of each model and answers each of the questions below. If one of the questions
below is not fully addressed in the Executive Summary, cite the page number(s) of the methodology
document that fully addresses the question.
In addition to the Executive Summary, there should be a section of the methodology document
devoted to any divergence from the instructions to the Counterparty Risk Worksheet or the
Schedule. Use this section to explain any data that is missing or not provided as requested. This
section should also be used to describe where and how judgment was used to interpret an
instruction.
1. Data and systems
a. What product types are included and excluded? Specifically, comment on whether
equities are excluded and what types of securitized products, if any, are excluded.
Comment on the materiality of any exclusions.
b. Are there any issuer type exclusions? Comment on the materiality of any exclusions.
c. Are there any exposure measurement or trade capture limitations impacting the
Trading IDR loss estimate in Item 1 on the Counterparty Risk Worksheet in the
SUMMARY_SCHEDULE? If so, make
sure to elaborate in the documentation, particularly where these limitations
understate losses.
d. Are there any discrepancies in position capture between the MV and Notionals
reported in Worksheets Corporate Credit-Advanced, Corporate Credit-EM,
Sovereign Credit, Credit Correlation, or IDR- Corporate Credit? If so,
elaborate on the discrepancies in the documentation.
e. Are any index or structured exposures decomposed/unbundled into single name
exposures? If so, provide a description of the exposures that are decomposed and the
methodology used.
f. What types of CVA hedges are included in Item 10 on the Trading Worksheet of the
SUMMARY_SCHEDULE (e.g., market risk hedges, counterparty risk hedges)? Which, if any, of
these hedges are excluded from the Trading IDR loss estimates (Item 1 on the Counterparty
Risk Worksheet of the SUMMARY_SCHEDULE)? Confirm that hedges modeled in Trading IDR
are excluded from CCR IDR.
2. PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an
outcome in the tail of the default distribution? If an outcome in the tail is used, what is
the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative
two- year PD or a one-year PD used as a model input? How is migration risk
captured?
c. What data sources and related time periods are used to generate the assumptions
on stressed expected PD or the default distribution? In the documentation, provide a
breakdown of PDs (e.g., by rating, asset category). Provide stressed PDs if a stressed PD
is used, or provide PD inputs if an outcome in the tail is used.
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3. Correlation assumptions
a. What correlation assumptions are used in the Trading IDR models?
4. LGD methodology
b. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery
rate volatility?
i. If a static LGD is used, were the mean LGDs stressed? What data sources and
related time periods were used to determine the LGDs? In the methodology
documentation, provide the relevant breakdown of LGDs used in the model
(e.g., by ratings, asset category).
ii. If a stochastic LGD is used, elaborate on the assumptions generating the
stochastic LGD in the documentation, including assumptions on the LGD
mean and volatility and rationale for modeling choices.
5. Liquidity horizon
a. What liquidity horizon assumptions are used?
6. Exposure at default (EAD)
a. What Exposure at Default (EAD) is used for Trading IDR? For example, is the
calculation based on actual issuer exposures, stressed exposures, a mix of both, or
something else? If exposures are stressed, please explain how the exposures were
stressed.
7. Treatment of gains
a. Are any gains being reflected in the Trading IDR calculations? If so, elaborate in the
documentation how gains are treated.
8. Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the DFAST-14A
Trading that are also used in Business as Usual (BAU) production, have those models
been validated as used in BAU? If so, attach model validation documents. If not, elaborate
in the documentation on any review process.
b. For any ad-hoc models used for DFAST that would not have been previously validated,
what review if any has occurred? Elaborate in the documentation where
appropriate.
CVA
1. Divergence from instructions
a. In the CCR or Summary Schedules, is liability-side CVA (i.e., DVA)
included in any element of the submission? If so, elaborate in the documentation.
b. In the CCR or Summary Schedules, is bilateral CVA included in any
element of the submission (i.e., CVA where the counterparty default probabilities
are conditional on the survival of the bank)? If so, elaborate in the documentation.
c. Is there any place where CVA data is reported net of hedges on the CCR Schedule or
Item 2 on the Counterparty Risk Worksheet in the
SUMMARY_SCHEDULE?
d. In calculating Stressed Net CE in Worksheets 1a, 1b, 1c, 1d, and 1e in CCR, are there
any occasions where it is assumed additional collateral has been collected
after the shock? If so, elaborate in the documentation.
e. Are there any counterparties for which your firm did not fully implement the OCC
specification for the EE profiles on Worksheets 2a and 2b in the CCR? If so,
elaborate in the documentation.
2. Data and systems: In the documentation, clearly identify, describe, and comment on the
materiality of any exclusions that prevent 100% capture of counterparties or trades. At a
minimum, address the questions below and elaborate in the documentation where
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appropriate.
a. Are any counterparties on Worksheet 1a of CCR excluded from Worksheet 2a?
Where specific counterparties are reported as top 200 counterparties on one
Worksheet of the Schedule, but are not listed on other top
200 Worksheets, list these counterparties in the documentation by name and
provide a reason for their exclusion.
b. Are any counterparties excluded from the unstressed or stressed aggregate data
reported in Worksheets 1e, 2b, or 3b of CCR or the losses reported in
the SUMMARY_SCHEDULE SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk
Worksheet)? In the documentation, elaborate on the nature, materiality, and
rationale for these exclusions.
c. Do the expected exposure (EE) profiles, CDS spreads, PDs, LGDs, discount factors,
as provided on CCR Schedule (Worksheets 2a and 2b), come from the same
systems as that used for the calculation of CVA losses as provided in the
SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk Worksheet)? If not,
elaborate in the documentation.
d. For unstressed and stressed CVA reported in the CCR Schedule,
which counterparties, counterparty types, or trade types are calculated
offline or using separate methodologies? Why are they calculated offline or
with a different methodology? Elaborate in the documentation.
e. Are any add-ons used to calculate stressed CVA in the CCR Schedule?
Elaborate regarding the nature and rationale for each type
of add-on in the documentation.
f. Are there any additional/ offline CVA reserves are reported in Worksheet 1e in
the CCR Schedule? If so, elaborate about the nature of these reserves in the
documentation. Explain what counterparties, counterparty types, or trade types
are included, why are they calculated as reserves, and how they are stressed.
g. Are there any exposure measurement or product capture limitations impacting the
loss estimate in Item 2 on the Counterparty Risk Worksheet in the
SUMMARY_SCHEDULE? If so, make sure to elaborate in the documentation,
particularly where these limitations understate losses.
i. Are all sensitivities/ slides provided as requested? If slides are not provided as
requested in the CCR Schedule, elaborate in the documentation why they
are missing or not provided correctly.
j. Are the sensitivities/ slides provided in Worksheet 4 of CCR sourced from the same
calculation engine and systems as used for the firm's loss estimates (Item 2 in the
Counterparty Risk Worksheet in the SUMMARY_SCHEDULE)? If not, elaborate in the
documentation.
k. Elaborate on how sensitivities/ slides in Worksheet 4 of CCR were
determined to be material. What qualifies a risk factor as immaterial?
3. LGD methodology
a. For the LGD used to calculate PD, are market implied recovery rates used? If
not, elaborate on the source of the LGD assumption in the methodology
documentation.
b. Is the same recovery/LGD used in the CVA calculation as is used to calculate PDs
from the CDS spread? If not, in the documentation provide a detailed rationale
and backup data to support the use of a different LGD, and provide the source of the
LGD used to calculate CVA.
4. Exposure at default (EAD)
a. What Margin Period of Risk (MPOR) assumptions are used for unstressed and
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stressed CVA?
b. Are collateral values stressed in the numbers reported in the CCR Schedule or
Items 2 or 3 on the Counterparty Risk Worksheet in the
SUMMARY_SCHEDULE? If so, elaborate on the stress assumptions applied.
5. Application of shocks
a. Are the shocks applied to CVA (for calculating Item 2 in the Counterparty Risk
Worksheet in the SUMMARY_SCHEDULE as well as the Stressed figures reported in CCR)
the same as those applied to the Trading Book (Item 10 in the Trading Worksheet in the
SUMMARY_SCHEDULE)? Where they are different, or where shocks applied diverge from
the OCC shock scenario, elaborate in the documentation.
b. Have the models for CVA been validated? If not, elaborate on the review process, if
any.
6. Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the
CCR that are also used in Business as Usual (BAU) production, have those models been
validated as used in BAU? If so, attach model validation documents. If not, elaborate in
the documentation on any review process.
b. For any ad-hoc models used for DFAST that would not have been previously validated,
what review if any has occurred? Elaborate in the documentation where
appropriate.
CCR IDR
1. Data and systems
a. Are there any exposure measurement or product capture limitations impacting
the loss estimate in Item 3 on the Counterparty Risk Worksheet in the
SUMMARY_SCHEDULE? If so, make sure to elaborate in the documentation,
particularly where these limitations understate losses.
b. What types of CVA hedges are included in CCR IDR? Confirm that hedges modeled
in CCR IDR were excluded from Trading IDR.
2. PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it
an outcome in the tail of the default distribution? If an outcome in the tail is used,
what is the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a
cumulative two- year PD or a one-year PD used as a model input? How is
migration risk captured?
c. What data sources and related time periods are used to generate the assumptions
on stressed expected PD or the default distribution? In the documentation, provide
a breakdown of PDs (e.g., by rating, counterparty type). Provide stressed PDs if a
stressed PD is used, or provide PD inputs if an outcome in the tail is used.
3. Correlation assumptions
a. What correlation assumptions are used in the CCR IDR models?
4. LGD methodology
a. Do the models assume a static LGD or a stochastic LGD with a non-zero
recovery rate volatility?
b. If a static LGD is used, are the mean LGDs stressed? What data sources and related
time periods are used to determine the LGDs? In the methodology documentation,
provide the relevant breakdown of LGDs used in the model (e.g., by ratings,
counterparty type).
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c.
5.
6.
7.
8.
If a stochastic LGD is used, elaborate on the assumptions generating the
stochastic LGD in the documentation, including assumptions on the LGD mean
and volatility and rationale for modeling choices.
Liquidity horizon
a. What liquidity horizon assumptions are used?
Exposure at default (EAD)
a. Provide an overview of how EAD is modeled for CCR IDR.
b. Are any downgrade triggers assumed in the CCR IDR model? If so, elaborate in the
documentation.
c. What Margin Period of Risk (MPOR) assumptions are modeled in CCR IDR?
Treatment of gains
a. Are any gains being reflected in the CCR IDR calculations? If so, elaborate
in the documentation how gains are treated.
Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the
CCR that are also used in Business as Usual (BAU) production, have those models
been validated as used in BAU? If so, attach model validation documents. If not,
elaborate in the documentation on any review process.
b. For any ad-hoc models used for DFAST that would not have been previously
validated, what review if any has occurred? Elaborate in the documentation where
appropriate.
Other CCR Losses
a. Data and Systems
a. What types of CCR losses are included in the "Other CCR Losses" Counterparty
Risk Worksheet of the SUMMARY_SCHEDULE? What are the loss amounts for
each major category of "Other CCR Losses"? For any material losses, discuss the
methodology and rationale in the documentation.
Documentation on Operational Risk
The reporting institution should provide any supporting information including statistical results,
data, summary tables, and additional descriptions in a separate document and cross reference the
document to the respective question/item.
The supporting document should be titled
RSSD_BANKMNEMONIC_OP_METHODOLOGY_YYMMDD.
Banks may submit separate documents for different methodologies. In this case, title the
documents: BHCRSSD_BHCMNEMONIC_OP_METHODOLOGY_MODELTYPE_YYMMDD.
Documentation
Generally, a bank should have robust internal controls governing its operational risk loss projection
methodology and process components, including sufficient documentation, model validation and
independent review. Supporting documentation should cover all models, loss and resource
forecasting methodologies and processes. Adequate documentation includes comprehensive and
clear policies and procedures. For models, adequate documentation includes specific delineation of
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all key assumptions for projecting operational losses under each scenario, a description of the
underlying operational risk data used to determine projected losses and the approach for
translating the data into loss projections. If a budgeting process was used, the bank should describe
the budgeting process and provide specific detail on how operational losses are estimated.
Adequate documentation includes articulating the models’ vulnerability to error, and estimates of
an error’s impact should parameter specifications prove inaccurate. Documentation of all models
should clearly identify the exact statistical process employed by the bank including:
1. How the current set of explanatory factors was chosen, what variables were tested and then
discarded, and how often the set of possible explanatory factors is reviewed and, if
appropriate, revised;
2. If applicable, description of work the bank has done to assess relationships between
macroeconomic factors and operational risk losses, including relationships that were found
to have the highest level of dependency, a summary of statistical results, and how these
results were incorporated in the estimates;
3. A discussion of how pending litigation and reserves for litigation were incorporated into
operational loss projections for all requested scenarios;
4. A detailed, transparent, and credible description of the foundation, approach, and process
for making management adjustments to modeled results;
5. A description of the methodology for allocating an operational loss amount to a particular
quarter;
6. A description of internal controls that ensure the integrity of reported results and that all
material changes to the process and its components are appropriately reviewed and
approved. Banks should ensure that change control principles apply to forecasting
models used in the stress scenario analysis program, including processes that rely on
management judgment;
7. An assessment of how effective or accurate the model is;
8. Identification of possible drawbacks and limitations of the selected approach.
Documentation on Pre-Provision Net Revenue (PPNR)
The supporting document should be titled
RSSD_BANKMNEMONIC_PPNR_METHODOLOGY_YYMMDD.
Separate documents may be submitted for different methodologies. In this case, title the
documents: BHCRSSD_BHCMNEMONIC_PPNR_METHODOLOGY_MODELTYPE_YYMMDD.
Each methodological memo should clearly describe how a bank approached the PPNR projection
process and translated macro-economic factors into the reported projections.
Projected Outcomes
1) Provide an explanation summarizing the reasonableness of projected outcomes relative
to the stated macroeconomic scenario, business profile, as well as regulatory and
competitive environment. Especially in the more adverse scenario(s), include substantial
supporting evidence for PPNR estimates materially exceeding recently realized values.
2) Banks should discuss linkages between PPNR projections and the balance sheet as well
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as other exposure assumptions used for related loss projections.
3) Include discussion of PPNR outcomes by component (i.e. Net Interest Income, Non
Interest Income, and Non-Interest Expense) and by major source of each component
(e.g. by major balance/rate category, type of revenue/expense, and/or business
activity).
4) Consideration should be given to how changes in regulation will impact the bank’s
revenues and expenses over the projection period. The memo should include a section
that addresses how recent or pending regulatory changes have impacted projected
figures and business strategies and in which line items these adjustments are reflected.
Models and Methodology
1) The documentation should include a full list of all models and parameters used to
generate projections of PPNR components for DFAST purposes and whether these models
are also used as part of other existing processes (e.g. the business-as-usual budgeting and
forecasting process). Where existing processes are leveraged, discuss how these are
deemed appropriate for stress testing purposes, including any modifications that were
necessary to fit a stressful scenario.
Also discuss those items that are particularly challenging to project and identify
limitations and weaknesses in the process.
2) Thorough discussion of use of management/expert judgment, including information
about rationale and process involved in translation of macroeconomic scenario variables
into projections of various PPNR components should be provided. Where a combination
of a modeled approach and management judgment was used to project an item, quantify
the impact of qualitative adjustments to modeled output.
3) Provide support for all key assumptions used to derive PPNR estimates, with a focus on the
link of these assumptions to projected outcomes and whether the assumptions are
consistent with the stated macroeconomic scenario, regulatory and competitive
environment as well as business strategies for each of major business activities. Document
the impact of assumptions concerning new growth, divestitures or other substantial
changes in business profile on PPNR estimates. In cases where there is a high degree of
uncertainty surrounding assumptions, discuss and reference sensitivity of projections to
these assumptions. Also ensure that all relevant macro-economic factors used for PPNR
projections are also reported on the firm submitted Scenario Schedule.
4) In addition to broad macro-economic assumptions that will guide the exercise, it is expected
that more specific assumptions will be used by banks in projections of PPNR,
Including macro-economic factors other than those provided by the OCC as well as bank
specific assumptions. Such assumptions and their link to reported figures, standardized
and/or bank business segments and lines should be discussed in the methodology memo.
5) Where historical relationships are relied upon (e.g. ratios of compensation expense to total
revenues), banks are expected to document the historical data used and describe why
these relationships are expected to hold true in each scenario.
6) Projecting future business outcomes inevitably relies on the identification of key
relationships between business metrics and other explanatory variables. Key
limitations and difficulties encountered by the bank in the process to model these
relationships should be identified and discussed in the memo.
7) Highlight changes in various aspects of bank’s PPNR forecasting models and methodology,
primarily focusing on the changes that occurred since the last DFAST submission.
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Projections Governance and Data
1) Banks are asked to describe governance aspects for the PPNR
projections development. This includes but is not limited to a
description of:
a. The roles of business lines and management teams involved in theprocess
b. How the projections are generated. Particular attention should be given to
how the bank ensures that assumptions are consistent across different
business line projections, how assumptions are translated into projections of
revenue and expenses, and the process of aggregating and reporting the
results.
c. Senior management’s involvement of the process and the process in
which the assumptions are vetted and challenged.
Also note whether established policies and procedures are in place related to this process.
2) Also include a separate section devoted to any divergence from the instructions in
completing the PPNR worksheets. Use this section to explain any data that is
missing or not provided as requested. Use this section to discuss major instances
where judgment was used to interpret PPNR instructions.
3) Highlight changes in various aspects of bank’s PPNR forecasting governance and data,
primarily focusing on the changes that occurred since the last DFAST submission.
Other
1) Banks are also expected to address items requested in the Supporting
Documentation portion of the Overview section (beginning on page 4) as applicable
to PPNR if not
already addressed per PPNR documentations guidance as stated above.
2) Banks are encouraged to submit any other information and documentation
(including data series) that would support of the bank’s PPNR projections. One
example of such information would be identification and discussion of major
deviations of bank historical performance from forecasted figures, focusing on the
last four quarters and noting items that the bank regards as non-recurring and/or
non-core. Where applicable, it would be useful to reference this additional
supporting information in the memo outlined above.
Documentation on MSR Projection
The supporting document should be titled
RSSD_BANKMNEMONIC_MSR_METHODOLOGY_YYMMDD.
Separate documents may be submitted for different models and/or methodologies. In this case,
title the documents: BHCRSSD_BHCMNEMONIC_MSR_METHODOLOGY_MODELTYPE_YYMMDD.
The documentation should address the questions outlined below.
1. Models and Methodologies
• Describe the models and related sub-models that were used to complete the submission,
and please state whether the model is a third-party vendor or proprietary model.
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•
•
•
•
•
•
o Income/Expense/Valuation Engine
o Prepayment Model
o Default Model
o Delinquency Model
o Hedging Simulation
If a vendor model was used, please provide the name of the vendor model. If a vendor model
was used, has the bank performed an independent review of the vendor model?
Has the model undergone rigorous model validation, with results reviewed independently of
the business line?
Has any performance testing been conducted on the model? If so, what type of performance
testing has been conducted?
What data sources were used to calibrate each model?
What were the key inputs/variables and how were these determined?
How did the model (whether vendor or proprietary) incorporate macroeconomic assumptions?
2. Assumptions
• For each quarter, what new loan capitalizations and amortizations are assumed over both the
baseline and supervisory stress scenarios?
• How were the new loan capitalization forecast assumptions developed?
• What excess spread assumptions were made with respect to new loan capitalizations in
each scenario and how was this assumption derived (e.g., historical buy-up/buy-down
grids, etc.)?
• How were HARP assumptions, if any, estimated?
• What market share is assumed, and does this change within the stress scenario?
• Does the submission include any MSR sales or purchases under the supervisory stress?
If yes, please provide detail.
• What is the composition of the underlying portfolio of loans serviced for others with respect to
the following, and how does this composition change (if at all) during the supervisory stress
scenario?
i. Loan type
ii. Geographical region
iii. FICO score
• How were macroeconomic assumptions as prescribed under the supervisory baseline and
stress scenarios used to determine the respective projected loan prepayment, delinquency, and
default experience for each quarter?
• How were macroeconomic assumptions that were not prescribed under the supervisory
baseline and stress scenarios (for example, interest rate volatility, option adjusted spreads,
primary to secondary spreads) used to determine the respective projected loan prepayment,
delinquency, and default experience for each quarter?
• What are the voluntary prepayment speeds (e.g., conditional prepayment rates (CPRs)
associated with refinancing) assumed for each quarter in the respective baseline and
supervisory stress scenarios? Do not include constant default rates (CDRs).
• What are the factors that drive or explain the level and trend in prepayment speeds through the
nine quarters over the baseline and supervisory stress scenarios?
• What are the default rates assumed for each quarter in the respective baseline and supervisory
stress scenarios?
• What are the factors that drive or explain the level and trend in default rates through the nine
quarters over the baseline and supervisory stress scenarios?
• How were the assumptions regarding cost of service with respect to both the baseline and
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•
•
•
•
•
•
•
stressed scenarios derived?
Was inflation incorporated into the projection?
What is the servicing cost structure on a per loan basis on a base and incremental basis for each
level of delinquency? What are the foreclosure costs per loan?
Does the cost structure per loan stay the same throughout the nine quarters with the number of
delinquent loans changing, or do both change?
What foreclosure time frames are used in the baseline scenario? Do these lengthen or contract
in the supervisory stress?
Is late fee income included in the submission?
• If so, what is the bank’s actual late fee income structure, as well as waiver policy if
applicable?
• What is the late fee income assumed in the baseline and stress scenarios?
• Is it assumed that late fees are 100% collectable in the stress scenario?
Are earnings on escrow and other balances included in the submission?
• If yes, how are the balances forecasted, and what is the crediting rate?
Is cost to finance advances to investors relating to delinquent loans incorporated in the
submission?
• If yes, how is the borrowing rate determined?
3. Hedging and Rebalancing
• Are MSR hedges assumed to be rebalanced or rolled-over at any time during the nine quarter
DFAST horizon? How often are hedges assumed to be rebalanced or rolled-over? What is the
timing of such rebalancing or roll-over trades?
• What are the hedge rebalancing and/or roll-over rules applied during the baseline and stress
scenarios?
• Are the hedge rebalancing and/or roll-over rules applied in the baseline and stress scenarios
consistent with the firm’s risk appetite statement and Board/management approved limit
structure?
• To what degree does hedge effectiveness decline in the stress scenarios? How was this
estimated?
• How is the impact of hedging instrument bid-ask spreads captured in the submission? To what
degree does the bid-ask spread widen in the stress scenario? How was this estimated?
• How does the firm account for the liquidity risk from concentrated hedge positions?
• What is assumed regarding collateral requirements?
• What are the current risk tolerance limits with respect to MSR hedging
Scenario
No supporting documentation is required for this schedule.
Regulatory Capital Instruments
No supporting documentation is required for this schedule.
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Documentation on Regulatory Capital Transitions – SIFI Surcharge
In November 2011, the Basel Committee on Banking Supervision (BCBS) published its methodology
for assessing an additional loss absorbency requirement for global systemically important banks
(SIFI surcharge) that effectively serves as an extension of the capital conservation buffer.
As part of the DFAST filing, each bank must submit a separate document that includes management’s
best estimate of the likely SIFI surcharge that would be assessed under this methodology, along with an
explanation of assumption used when determining the estimate.
Any bank not currently designated as a global systemically important financial institution (G-SIFI)
should include a SIFI surcharge assessment if management expects changes to its business mode
that would potentially lead to the bank’s designation as a G-SIFI. Supervisors will evaluate the
methodology and assumptions used by banks in determining the SIFI surcharge, and may adjust
such estimates as necessary when evaluating the Basel III transition path.
The supporting document should be titled
BHCRSSD_BHCMNEMONIC_SIFI_CHARGE_ESTIMATE_METHODOLOGY_YYMMDD.
Documentation for Each Planned Action
Banks are required to provide a detailed description of each planned action in a separate
attachment(s). The description of each planned action should include:
• Discussion of how each planned action aligns with the bank’s long term business strategy
and risk appetite on a going concerns basis;
• Assessment of each planned action’s impact on the bank’s capital and funding needs,
earnings, and overall risk profile;
• Assessment of market conditions and market capacity around each planned action (e.g.,
planned sale size and the availability and appetite of buyers and other potential sellers);
• Assessment of any potential execution risks to each planned action (e.g., contractual,
accounting or structural limitations). The estimation of execution risk should be well
documented for each planned action that are to occur;
• Discussion of any recent transactions conducted either by the bank or by other institutions
that would demonstrate or support the bank’s ability to execute each planned action at the
level of impact projected.
The supporting document related to each planned action should be titled:
BHCRSSD_BHCMNEMONIC_REGCAPTRANS_PLANNEDACTION#_YYMMDD.
Note that the “#” in this file name must correspond with the appropriate “Action #” in column
A of the Planned Actions Worksheet.
Included below are examples of other supporting documentation which should be included along
with the description of each planned action:
• Detailed information on planned sales such as risk profile and size of the positions,
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•
•
•
•
•
indicative term sheets and contracts; potential buyer information; current marked to
market (MTM), support for the execution price; potential associated loans, financing, or
liquidity credit support arrangements; potential buy back commitments; and impact on any
offsetting positions. If similar recent transactions have taken place, banks should provide
information as a point of reference. Banks should also describe any challenges that may
be encountered in executing the sale.
Detailed information on planned unwinds, such as risk profile and size of the positions,
profit and loss (P&L) impact at execution or in the future; funding implications; impact on
any offsetting positions; and trigger of consolidation or on-boarding of the underlying
assets.
Detailed information on planned run-offs, such as risk profile and size of the positions,
impact on any offsetting positions; details on trades; and maturity dates.
Detailed information on planned hedging, such as indicative term sheets and contracts; P&L
impact at execution or during life of the hedges; and impact on counterparty credit RWA.
Detailed information on changes to risk-weighted assets calculation methodologies, such as
which data or parameters would be changed, whether the firm has submitted model
application to its supervisors, and remaining work to be completed and expected
completion date.
Detailed information on expanded use of clearing houses, such as types of products to be
cleared and central counterparties to be used.
Banks should also provide detailed information on any alternative Regulatory Capital Transitions
action plans in the event the firm falls short of the targets outlined in the Capital Plan, and trigger
events that would result in a need to pursue any alternative action plans.
A supporting document related to an alternative Regulatory Capital Transitions action plan should
be titled: BHCRSSD_BHCMNEMONIC_REGCAPTRANS_ALTACTION#_YYMMDD.
Schedule E – Operational Risk
No supporting documentation is required for this schedule.
Schedule F – Counterparty Credit Risk
No supporting documentation is required for this schedule.
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| File Type | application/pdf |
| Subject | 106 |
| Author | Russell, William |
| File Modified | 2013-11-04 |
| File Created | 2013-10-24 |