Schedule B Schedule B—Summary Risk-Weighted Asset Information for B

Advanced Capital Adequacy Framework Regulatory Reporting Requirements

FFIEC 101 RWA inserts for draft final template 11-4-2013 clean

Advanced Capital Adequacy Framework Regulatory Reporting Requirements

OMB: 1557-0239

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INSERT #2
Schedule B—Summary Risk-Weighted Asset Information for Banks Approved to Use
Advanced Internal Ratings-Based and Advanced Measurement Approaches for Regulatory Capital Purposes
Dollar amounts in thousand
Exposure Category

Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default
Bil

Mil

(Column B)
Balance Sheet
Amount

Thou Bil

Mil

(Column C)
Total Undrawn
Amount

Thou Bil

Mil

(Column D)
Exposure
at Default

Thou Bil

Mil

(Column E)
Weighted-Average
Maturity
(Years)
Thou Number

(Column F)
Wtd-Avg LGD after
Consideration of
Credit Risk
Mitigants
Percentage

(Column G)
Risk-Weighted
Assets

Bil

Mil

Securitization Exposures
18. Subject to simplified

XXXXXXXX

XXXXXXXX

Supervisory formula approach
19. Subject to 1,250 % risk

XXXXXXXX

XXXXXXXX

XXXXXXXXX

XXXXXXXXX

XXXXXXXXX

XXXXXXXXX

XXXXXXXXX

XXXXXXXXX

weight………….....………………..

Cleared transactions
20. Derivative contracts and
netting sets to derivatives……
21. Repo-style
Transactions…………………..………
22. Default fund
Contributions …………………………

1

(Column H)
Expected
Credit Loss

Thou Bil

Mil

Thou

INSERT #3 (applies to Schedules C, Memoranda section)

Exposures subject to a wholesale correlation factor multiplier of 1.25
(Column A)
WeightedAverage
Obligor PD

(Column B)
Number of
Obligors

(Column
C Balance
Sheet
Amounts

Percentage

Number

Bil

2. Unregulated
XXXXXXXX
financial institutions…

XXXXXXXX

XXXXXXXX XXXXXXXX

XXXXXXXX

3. Regulated
XXXXXXXX
financial institutions…

XXXXXXXX

XXXXXXXX XXXXXXXX

XXXXXXXX

Mil

(Column D)
Total
Undrawn
Amount

Tho Bil

Mil

(Column E)
EAD

Tho Bil

Mil

Tho Bil

_ _._ _
_ _._ _

(Column F)
WeightedAverage
Effective
maturity
(Years)

Mil

(Column G)
WeightedAverage LGD
before
Consideration
of Eligible
Guarantees
and Credit
Derivatives
Tho Percentage

(Column H)
WeightedAverage LGD
after
Consideration
of Credit Risk
Mitigants

(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA

Percentage

Bil

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _._ _

_ _ _._ _

_ _ _._ _

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _._ _

_ _ _._ _

_ _ _._ _

2

Mil

(Column J)
Effect of
double
Default
Treatment
on RWA

Thou Bil

Mil

(Column K)
RiskWeighted
Assets

Tho Bil

Mil

(Column L)
Expected
Credit Loss

Tho Bil

Mil

Tho

M.2
M.3

INSERT #4 (applies to Schedules D, Memoranda section)

(Column A)
WeightedAverage
Obligor PD

(Column B)
Number of
Obligors

(Column
C Balance
Sheet
Amounts

Percentage

Number

Bil

2. Unregulated
XXXXXXXX
financial institutions…

XXXXXXXX

XXXXXXXX XXXXXXXX

3. Regulated
XXXXXXXX
financial institutions…

XXXXXXXX

Mil

(Column D)
Total
Undrawn
Amount

Tho Bil

Mil

(Column E)
EAD

Tho Bil

Mil

Tho Bil

XXXXXXXX

_ _._ _
_ _._ _

XXXXXXXX XXXXXXXX

(Column F)
WeightedAverage
Effective
maturity
(Years)

XXXXXXXX

Mil

(Column G)
WeightedAverage LGD
before
Consideration
of Eligible
Guarantees
and Credit
Derivatives
Tho Percentage

(Column H)
WeightedAverage LGD
after
Consideration
of Credit Risk
Mitigants

(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA

Percentage

Bil

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _._ _

_ _ _._ _

_ _ _._ _

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _._ _

_ _ _._ _

_ _ _._ _

3

Mil

(Column J)
RiskWeighted
Assets

Tho Bil

Tho Bil

(Column K)
Expected
Credit Loss

Mil

Tho Bil

M.2
M.3

INSERT #5 (applies to Schedule H)
Memoranda
Exposures subject to a wholesale correlation factor multiplier of 1.25
Exposures with EAD Adjustments
(Column
C)
EAD

Percentage

(Column B)
WeightedAverage
Effective
Maturity
(Years)
Number

1. Regulated
Institutions………….

XXXXXXXX

XXXXXXXX

XXXXXXXX XXXXXXXX

_ _._ _

_ _._ _

2. Unregulated
Institutions………….

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

PD Range

(Column A)
WeightedAverage PD

Bil

Mil

(Column D)
WeightedAverage
LGD

Tho Percentage

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets

Bil

Mil

(Column F)
Expected
Credit Loss

Tho Bil

XXXXXXXX

Mil

XXXXXXXX

XXXXXXXX
XXXXXXXX

_ _ _._ _

(Column H)
WeightedAverage
Maturity
(Years)

(Column I)
EAD

Number

Bil

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

Tho Percentage

_ _ _._ _
XXXXXXXX XXXXXXXX

(Column G)
WeightedAverage
PD

Mil

(Column J)
WeightedAverage
LGD

Tho Percentage

XXXXXXXX

(Column K)
RiskWeighted
Assets

Bil

Mil

(Column L)
Expected
Credit Loss

Tho Bil

Mil

Tho

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _ _._ _
XXXXXXXX

XXXXXXXX

M.1

_ _ _._ _

M.2

IMM Margin Period of Risk and Specific Wrong Way Risk
Exposures with specific wrongway risk for which the bank
would otherwise apply the
IMM.

(Column B)
Risk-Weighted
Assets

Holding period or Margin Period
of risk set for at least twice the
minimum holding period that
would otherwise be used (due to
at least 3 disputes)
(Column C)
(Column D)
Exposure
Risk-Weighted
Amount
Assets

XXXXXXX

XXXXXXX

XXXXXXX

Holding Period or
Margin Period of risk
set for 20 days
(Column A)
Exposure
Amount

(Column E)
Exposure
Amount

Holding Period, Margin Period of Risk and Specific Wrong Way Risk
XXXXXXX
3. Exposure amount and risk-weighted assets…………..………………………………………………

XXXXXXX

(Column F)
RiskWeighted
Assets
XXXXXXX
M.3

4

INSERT #6 (applies to Schedule I, Memoranda section)

Exposures subject to a wholesale correlation factor multiplier of 1.25
Exposures with EAD Adjustments
(Column
C)
EAD

Percentage

(Column B)
WeightedAverage
Effective
Maturity
(Years)
Number

2. Regulated
Institutions………….

XXXXXXXX

XXXXXXXX

XXXXXXXX XXXXXXXX

_ _._ _

_ _._ _

3. Unregulated
Institutions………….

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

PD Range

(Column A)
WeightedAverage PD

Bil

Mil

(Column D)
WeightedAverage
LGD

Tho Percentage

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets

Bil

Mil

(Column F)
Expected
Credit Loss

Tho Bil

XXXXXXXX

Mil

XXXXXXXX

XXXXXXXX
XXXXXXXX

_ _ _._ _

(Column H)
WeightedAverage
Maturity
(Years)

(Column I)
EAD

Number

Bil

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

Tho Percentage

_ _ _._ _
XXXXXXXX XXXXXXXX

(Column G)
WeightedAverage
PD

Mil

(Column J)
WeightedAverage
LGD

Tho Percentage

XXXXXXXX

(Column K)
RiskWeighted
Assets

Bil

Mil

(Column L)
Expected
Credit Loss

Tho Bil

Mil

Tho

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _ _._ _
XXXXXXXX

XXXXXXXX

M.2

_ _ _._ _

M.3

IMM Margin Period of Risk and Specific Wrong Way Risk
Exposures with specific wrongway risk for which the bank
would otherwise apply the
IMM.

(Column B)
Risk-Weighted
Assets

Holding period or Margin Period
of risk set for at least twice the
minimum holding period that
would otherwise be used (due to
at least 3 disputes)
(Column C)
(Column D)
Exposure
Risk-Weighted
Amount
Assets

XXXXXXX

XXXXXXX

XXXXXXX

Holding Period or
Margin Period of risk
set for 20 days
(Column A)
Exposure
Amount

(Column E)
Exposure
Amount

Holding Period, Margin Period of Risk and Specific Wrong Way Risk
XXXXXXX
4. Exposure amount and risk-weighted assets…………..………………………………………………

XXXXXXX

(Column F)
RiskWeighted
Assets
XXXXXXX
M.4

5

INSERT #7 (applies to Schedule J, Memoranda section)

Exposures subject to a wholesale correlation factor multiplier of 1.25
Exposures with EAD Adjustments
(Column
C)
EAD

Percentage

(Column B)
WeightedAverage
Effective
Maturity
(Years)
Number

2. Regulated
Institutions………….

XXXXXXXX

XXXXXXXX

XXXXXXXX XXXXXXXX

_ _._ _

_ _._ _

3. Unregulated
Institutions………….

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

PD Range

(Column A)
WeightedAverage PD

Bil

Mil

(Column D)
WeightedAverage
LGD

Tho Percentage

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets

Bil

Mil

(Column F)
Expected
Credit Loss

Tho Bil

Mil

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _ _._ _

(Column H)
WeightedAverage
Maturity
(Years)

(Column I)
EAD

Number

Bil

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

XXXXXXXX

XXXXXXXX

_ _._ _

_ _._ _

Tho Percentage

_ _ _._ _
XXXXXXXX XXXXXXXX

(Column G)
WeightedAverage
PD

Mil

(Column J)
WeightedAverage
LGD

Tho Percentage

XXXXXXXX

(Column K)
RiskWeighted
Assets

Bil

Mil

(Column L)
Expected
Credit Loss

Tho Bil

Mil

Tho

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

_ _ _._ _
XXXXXXXX

XXXXXXXX

M.2

_ _ _._ _

M.3

IMM Margin Period of Risk and Specific Wrong Way Risk
Exposures with specific wrongway risk for which the bank
would otherwise apply the
IMM.

(Column B)
Risk-Weighted
Assets

Holding period or Margin Period
of risk set for at least twice the
minimum holding period that
would otherwise be used (due to
at least 3 disputes)
(Column C)
(Column D)
Exposure
Risk-Weighted
Amount
Assets

XXXXXXX

XXXXXXX

XXXXXXX

Holding Period or
Margin Period of risk
set for 20 days
(Column A)
Exposure
Amount

(Column E)
Exposure
Amount

Holding Period, Margin Period of Risk and Specific Wrong Way Risk
XXXXXXX
4. Exposure amount and risk-weighted assets…………..………………………………………………

XXXXXXX

(Column F)
RiskWeighted
Assets
XXXXXXX
M.4

6

INSERT #8 (new Schedule P)

Schedule P—Securitization Exposures
Securitizations
(excluding resecuritizations)
(Column A)
Exposure
Amount

Dollar amounts in thousands
1. Exposures subject to the supervisory formula approach…………………..
2. Exposures subject to the simplified supervisory formula approach….
3. Exposures subject to 1,250 percent risk weight………………………………..

Bil

Mil

((Column B)
RiskWeighted
Assets

Thou Bil

Mil

(Column C)
Deduction

Thou Bil

Mil

(Column D)
Exposure
Amount

Thou Bil

Mil

((Column E)
RiskWeighted
Assets

Thou Bil

Mil

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX

XXXX XXXX
XXXX XXXX

7

XXXX XXXX

(Column F)
Deduction

Thou Bil

XXXX XXXX

4. Exposures subject to deduction……………………………………………………….
5. Total securitization exposures and risk-weighted assets

Resecuritizations

Mil

Thou

XXXX XXXX
XXXX XXXX

XXXX XXXX

INSERT #9 (new Schedule Q)
Schedule Q—Cleared Transactions
(Column A)
Exposure
amount with
QCCP
qualifying for
2% risk weight

Dollar amounts in thousands

Clearing Member Client Bank

1. Derivative contracts or netting sets of derivative contracts……………………………….………
2. Repo-style transactions………..……………………………………………………………….…………………..
Clearing Member Bank
3. Derivative contracts or netting sets of derivative contracts………………………………….……
4. Repo-style transactions………..…………………………….……………………………………………………..

Bil

Mil

Thou

(Column B)
Exposure
amount not
qualifying for
2% risk weight
Bil

Mil

Thou Bil

Mil

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

6. Default fund contributions to QCCP…………………………………………………………………………..
Total
XXXXXXXX
7. Total clearing member exposures and risk weighted assets…………………………………….

8

Mil

XXXXXXXX

5. Default fund contributions to non-QCCP …………………………………………………………………..

QCCP: qualifying central counterparty

Thou Bil

(Column D)
Risk-Weighted
Assets

XXXXXXXX

1

1

(Column C)
Exposure
amount for
default fund
contributions

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

XXXXXXXX

Thou
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Author	Andrew Willis
File Modified	2013-12-30
File Created	2013-11-05