(MA)-Reports of Condition and Income (Interagency Call Report)

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Draft Revisions to the Call Report Instructions for Proposed 
Revisions to the FFIEC 051 Call Report with Proposed Effective 
Dates Beginning with March 31, 2020 

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These draft instructions, which are subject to change, present the pages in the 
FFIEC 051 instruction book proposed to be revised beginning with the March 31, 
2020, report date (subject to approval by the U.S. Office of Management and 
Budget).  These proposed revisions are described in the federal banking agencies’ 
final Paperwork Reduction Act (PRA) Federal Register notice published on January 
27, 2020, which is available on the FFIEC’s web page for the FFIEC 051 Call 
Report.  These proposed revisions would implement changes to the capital rule 
that the agencies have finalized.  Draft instructions for certain other proposed 
revisions outlined in the final PRA Federal Register notice are included as well. 

Draft as of February 6, 2020 

1

Table of Contents
Page

Effective as of the March 31, 2020, Report Date
1. Schedule RC-C, Part I, Item 1.c
2. Schedule RC-G, item 4
3. Schedule RC-M, item 5
4. Schedule RC-O, General Instructions
5. Schedule RC-O, item 11
6. Schedule SU, item 1

4-6
7-9
10-11
12
13-14
15

Effective as of the March 31, 2020, and
June 30, 2020, Report Dates
7. Schedule RC-R, Part I, Regulatory Capital1
8. Schedule RC-R, Part II, Regulatory Capital1

18-69
70-165

Effective as of the March 31, 2021, Report Date
9. Schedule RC-C, Part I, Memorandum item 13

167

Effective as of the June 30, 2021, Report Date
10. Schedule RC-C, Part I, Memorandum item 16

169

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Impacted Instructions

The revisions to the Schedule RC-R instructions to implement the capital simplifications rule and the
community bank leverage ratio rule will be effective March 31, 2020, and will be included in the FFIEC
051 Call Report instruction book update for that report date. The revisions to the Schedule RC-R
instructions to implement the standardized approach for counterparty credit risk final rule and the high
volatility commercial real estate exposures final rule will be effective June 30, 2020, and will be included
in the FFIEC 051 Call Report instruction book update for that report date.

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1

Questions concerning these draft revisions to the Call Report forms and instructions, which are subject
to change, may be submitted to the FFIEC by going to https://www.ffiec.gov/contact/default.aspx,
clicking on “Reporting Forms” under the “Reports” caption on the Web page, and completing the
Feedback Form.

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Note: The changes to Schedule RC-C, item 1.c, Schedule RC-G,
Schedule RC-M, Schedule RC-O, and Schedule SU, on pages 4 through
15 are effective as of the March 31, 2020, report date.

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FFIEC 051

RC-C - LOANS AND LEASES

Part I. (cont.)
Caption and Instructions

1.a.(2)

Other construction loans and all land development and other land loans. Report the
amount outstanding of all construction loans for purposes other than constructing 1-4 family
residential properties, all land development loans, and all other land loans. Include loans for
the development of building lots and loans secured by vacant land, unless the same loan
finances the construction of 1-4 family residential properties on the property.

1.b

Secured by farmland. Report loans secured by farmland and improvements thereon, as
evidenced by mortgages or other liens. Farmland includes all land known to be used or
usable for agricultural purposes, such as crop and livestock production. Farmland includes
grazing or pasture land, whether tillable or not and whether wooded or not.

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Item No.

Include loans secured by farmland that are guaranteed by the Farmers Home Administration
(FmHA) or by the Small Business Administration (SBA) and that are extended, serviced, and
collected by any party other than FmHA or SBA.

1.c

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Exclude loans for farm property construction and land development purposes (report in
Schedule RC-C, Part I, item 1.a).

Secured by 1-4 family residential properties. Report in the appropriate subitem open-end
and closed-end loans secured by real estate as evidenced by mortgages (FHA, FmHA, VA,
or conventional) or other liens on:
(1) Nonfarm property containing 1-to-4 dwelling units (including vacation homes) or more
than four dwelling units if each is separated from other units by dividing walls that extend
from ground to roof (e.g., row houses, townhouses, or the like).
(2) Mobile homes where (a) state laws define the purchase or holding of a mobile home as
the purchase or holding of real property and where (b) the loan to purchase the mobile
home is secured by that mobile home as evidenced by a mortgage or other instrument on
real property.

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(3) Individual condominium dwelling units and loans secured by an interest in individual
cooperative housing units, even if in a building with five or more dwelling units.
(4) Housekeeping dwellings with commercial units combined where use is primarily
residential and where only 1-to-4 family dwelling units are involved.

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Reverse 1-4 family residential mortgages should be reported in the appropriate subitem
based on whether they are closed-end or open-end mortgages. A reverse mortgage is an
arrangement in which a homeowner borrows against the equity in his/her home and receives
cash either in a lump sum or through periodic payments. However, unlike a traditional
mortgage loan, no payment is required until the borrower no longer uses the home as his or
her principal residence. Cash payments to the borrower after closing, if any, and accrued
interest are added to the principal balance. These loans may have caps on their maximum
principal balance or they may have clauses that permit the cap on the maximum principal
balance to be increased under certain circumstances. Homeowners generally have one of
the following options for receiving tax free loan proceeds from a reverse mortgage: (1) one
lump sum payment; (2) a line of credit; (3) fixed monthly payments to homeowner either for a
specified term or for as long as the homeowner lives in the home; or (4) a combination of the
above.

FFIEC 051

RC-C-7
(3-17)

RC-C - LOANS AND LEASES

4

FFIEC 051

RC-C - LOANS AND LEASES

Part I. (cont.)
Caption and Instructions

1.c
(cont.)

Reverse mortgages that provide for a lump sum payment to the borrower at closing, with no
ability for the borrower to receive additional funds under the mortgage at a later date, should
be reported as closed-end loans in Schedule RC-C, Part I, item 1.c.(2). Normally, closed-end
reverse mortgages are first liens and would be reported in Schedule RC-C, Part I,
item 1.c.(2)(a). Reverse mortgages that are structured like home equity lines of credit in
that they provide the borrower with additional funds after closing (either as fixed monthly
payments, under a line of credit, or both) should be reported as open-end loans in
Schedule RC-C, Part I, item 1.c.(1). Open-end reverse mortgages also are normally first
liens. Where there is a combination of both a lump sum payment to the borrower at closing
and payments after the closing of the loan, the reverse mortgage should be reported as an
open-end loan in Schedule RC-C, Part I, item 1.c.(1).

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Item No.

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A home equity line of credit (HELOC) is a revolving open-end line of credit secured by a
lien on a 1- to- 4 family residential property that generally provides a draw period followed
by a repayment period. During the draw period, a borrower has revolving access to
unused amounts under a specified line of credit. During the repayment period, the
borrower can no longer draw on the line of credit and the outstanding principal is either due
immediately in a balloon payment or repaid over the remaining term through monthly
payments. HELOCs in the draw period or in the repayment period should be reported in
Schedule RC-C, Part I, item 1.c.(1).1 Revolving open-end lines of credit that are no longer
in the draw period and have converted to non-revolving closed-end status also should be
reported in Schedule RC-C, Part I, Memorandum item 16 (in the June and December
reports only).

Exclude loans for 1-to-4 family residential property construction and land development
purposes (report in Schedule RC-C, Part I, item 1.a.(1)). Also exclude loans secured by
vacant lots in established single-family residential sections or in areas set aside primarily for
1-to-4 family homes (report in Schedule RC-C, Part I, item 1.a).

Revolving, open-end loans secured by 1-4 family residential properties and extended
under lines of credit. Report the amount outstanding under revolving, open-end lines of
credit secured by 1-to-4 family residential properties, i.e., HELOCs. These lines of credit,
commonly known as home equity lines, are typically secured by a junior lien and are usually
accessible by check or credit card.

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1.c.(1)

Include revolving, open-end lines of credit secured by 1-to-4 family residential properties for
which the draw periods have ended and the loans have converted to non-revolving closedend status.1 After their conversion, such loans should also be reported in Schedule RC-C,
Part I, Memorandum item 16 in the June and December reports only beginning June 30,
2021.

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Also include amounts drawn on a HELOC during its draw period that the borrower has
converted to a closed-end loan before the end of this period (sometimes referred to as a
HELOC flex product).

1.c.(2)

Closed-end loans secured by 1-4 family residential properties. Report in the appropriate
subitem the amount of all closed-end loans secured by 1-to-4 family residential properties
(i.e., closed-end first mortgages and junior liens).

Exclude loans that were extended under revolving, open-end lines of credit secured by
1-to-4 family residential properties for which the draw periods have ended and the loans
have converted to non-revolving closed-end status (report in Schedule RC-C, Part I, item
1.c.(1) above).1

FFIEC 051

RC-C-8
(3-1720)

RC-C - LOANS AND LEASES

5

RC-C - LOANS AND LEASES

All HELOCs that convert to non-revolving, closed-end status on or after January 1, 2021, must be
reported as open-end loans in item 1.c.(1). An institution that, as of March 31, 2020, reports HELOCs
that convert to non-revolving, closed-end status as closed-end loans in Schedule RC-C, Part I, item
1.c.(2)(a) or 1.c.(2)(b), as appropriate, may continue to report HELOCs that convert on or before
December 31, 2020, as closed-end loans in Call Reports for report dates after that date. Alternatively,
the institution may choose to begin reporting some or all of these closed-end HELOCs as open-end
loans in item 1.c.(1) as of the March 31, 2020, or any subsequent report date, provided this reporting
treatment is consistently applied.
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FFIEC 051

FFIEC 051

RC-C-8
(3-1720)

RC-C - LOANS AND LEASES

6

FFIEC 051

RC-G - OTHER LIABILITIES

SCHEDULE RC-G – OTHER LIABILITIES
Item Instructions
Item No.

Caption and Instructions
Interest accrued and unpaid on deposits. Report the amount of interest on deposits
accrued through charges to expense during the current or prior periods, but not yet paid or
credited to a deposit account. For savings banks, include in this item "dividends" accrued
and unpaid on deposits.

1.b

Other expenses accrued and unpaid. Report the amount of income taxes, interest on
nondeposit liabilities, and other expenses accrued through charges to expense during the
current or prior periods, but not yet paid. Exclude interest accrued and unpaid on deposits
(report such accrued interest in Schedule RC-G, item 1.a above).

2

Net deferred tax liabilities. Report the net amount after offsetting deferred tax assets
(net of valuation allowance) and deferred tax liabilities measured at the report date for a
particular tax jurisdiction if the net result is a credit balance. If the result for a particular tax
jurisdiction is a net debit balance, report the amount in Schedule RC-F, item 2, "Net deferred
tax assets." If the result for each tax jurisdiction is a net debit balance, enter a zero in this
item. (A bank may report a net deferred tax debit, or asset, for one tax jurisdiction, such as
for federal income tax purposes, and also report at the same time a net deferred tax credit, or
liability, for another tax jurisdiction, such as for state or local income tax purposes.)

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1.a

For further information on calculating deferred taxes for different tax jurisdictions, see the
Glossary entry for "income taxes."

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Allowance for credit losses on off-balance sheet credit exposures. Report the amount
of any allowance for credit losses on off-balance sheet credit exposures established in
accordance with generally accepted accounting principles.

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Institutions that have adopted FASB Accounting Standards Update No. 2016-13, which
governs the accounting for credit losses, should exclude off-balance sheet credit exposures
that are unconditionally cancellable by the institution when estimating expected credit losses.

NOTE: Items 4.a through 4.gh are to be completed semiannually in the June and December reports only.
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All other liabilities. Report the amount of all other liabilities (other than those reported in
Schedule RC-G, items 1, 2, and 3, above) that cannot properly be reported in Schedule RC,
items 13 through 19.

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Disclose in items 4.a through 4.gh each component of all other liabilities, and the dollar
amount of such component, that is greater than $100,000 and exceeds 25 percent of the
amount reported for this item.
For each component of all other liabilities that exceeds this disclosure threshold for which a
preprinted caption has not been provided in Schedule RC-G, items 4.a through 4.de, describe
the component with a clear but concise caption in Schedule RC-G, items 4.ef through 4.gh.
These descriptions should not exceed 50 characters in length (including spacing between
words).

FFIEC 051

RC-G-1
(3-1920)

RC-G - OTHER LIABILITIES

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FFIEC 051

RC-G - OTHER LIABILITIES

Item No.

Caption and Instructions

4
(cont.)

Include as all other liabilities:
(1) Accounts payable (other than expenses accrued and unpaid). (Report the amount of
accounts payable in Schedule RC-G, item 4.a, if this amount is greater than $100,000
and exceeds 25 percent of the amount reported in Schedule RC-G, item 4.)
(2) Deferred compensation liabilities. (Report the amount of such liabilities in
Schedule RC-G, item 4.b, if this amount is greater than $100,000 and exceeds
25 percent of the amount reported in Schedule RC-G, item 4.)

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(3) Dividends declared but not yet payable, i.e., the amount of cash dividends declared on
limited-life preferred, perpetual preferred, and common stock on or before the report date
but not payable until after the report date. (Report the amount of such dividends in
Schedule RC-G, item 4.c, if this amount is greater than $100,000 and exceeds 25
percent of the amount reported in Schedule RC-G, item 4.) (Report dividend checks
outstanding as deposit liabilities in Schedule RC-E, item 1, column A, and item 7,
column B.)

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(4) Derivative instruments that have a negative fair value that the reporting bank holds for
purposes other than trading. For further information, see the Glossary entry for
"derivative contracts." (Report this negative fair value in Schedule RC-G, item 4.d, if this
amount is greater than $100,000 and exceeds 25 percent of the amount reported in
Schedule RC-G, item 4.)

(5)

For institutions that have adopted FASB Accounting Standards Update No. 2016-02 on
accounting for leases, lease liabilities for operating leases. (Report the amount of such
liabilities in Schedule RC-G, item 4.e, if this amount is greater than $100,000 and
exceeds 25 percent of the amount reported in Schedule RC-G, item 4.)

(6) Deferred gains from sale-leaseback transactions.

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(67)Unamortized loan fees, other than those that represent an adjustment of the interest
yield, if material (refer to the Glossary entry for "loan fees" for further information).
(78)Bank's liability for deferred payment letters of credit.

(89)Recourse liability accounts arising from asset transfers with recourse that are reported as
sales.

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(910) Unearned insurance premiums, claim reserves and claims adjustment expense
reserves, policyholder benefits, contractholder funds, and "separate account liabilities" of
the reporting bank's insurance subsidiaries.
(101) The full amount (except as noted below) of the liability represented by drafts and bills
of exchange that have been accepted by the reporting bank, or by others for its
account, and that are outstanding. The bank's liability on acceptances executed and
outstanding should be reduced prior to the maturity of such acceptances only when the
reporting bank acquires and holds its own acceptances, i.e., only when the acceptances
are not outstanding. See the Glossary entry for "bankers acceptances" for further
information.

(112) Servicing liabilities.
(123) The negative fair value of unused loan commitments (not accounted for as derivatives)
that the bank has elected to report at fair value under a fair value option.

FFIEC 051

RC-G-2
(3-1920)

RC-G - OTHER LIABILITIES

8

FFIEC 051

RC-G - OTHER LIABILITIES

Item No.

Caption and Instructions

4
(cont.)

(134) Cash payments and other consideration received in connection with transfers of the
reporting institution’s other real estate owned that have been financed by the institution
and do not qualify for sale accounting, which applicable accounting standards describe
as a “liability,” a “deposit,” or a “deposit liability.” See the Glossary entry for “foreclosed
assets” for further information.
Exclude from all other liabilities (report in appropriate items of Schedule RC-E, Deposit
Liabilities):
Proceeds from sales of U.S. savings bonds.

(2)

Withheld taxes, social security taxes, sales taxes, and similar items.

(3)

Mortgage and other escrow funds (e.g., funds received for payment of taxes or
insurance), sometimes described as mortgagors' deposits or mortgage credit balances.

(4)

Undisbursed loan funds for which borrowers are liable and on which they pay interest.
The amounts of such undisbursed funds should be included in both loans and deposits.

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(1)

(5)

Funds held as dealer reserves (see the Glossary entry for "dealer reserve accounts" for
the definition of this term).

(6)

Payments collected by the bank on loans secured by real estate and other loans
serviced for others that have not yet been remitted to the owners of the loans.

(7)

Credit balances on credit cards and other revolving credit plans as a result of customers'
overpayments.

Also exclude from all other liabilities due bills or similar instruments representing the bank's
receipt of payment and the bank's liability on capital lease obligations (report in Schedule RC,
item 16, "Other borrowed money").
Total. Report the sum of items 1 through 4. This amount must equal Schedule RC, item 20,
"Other liabilities."

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FFIEC 051

RC-G-4
(9-18)

RC-G - OTHER LIABILITIES

9

FFIEC 051

RC-M - MEMORANDA

Item No.

Caption and Instructions

5.a.(1)(d)

Over five years. Report the amount of:
x
x

Advances with a remaining maturity of one year or less. Report all Federal Home Loan
Bank advances with a remaining maturity of one year or less. Include both fixed rate and
floating rate advances with a remaining maturity of one year or less.

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5.a.(2)

fixed rate Federal Home Loan Bank advances with a remaining maturity of over five
years, and
floating rate Federal Home Loan Bank advances with a next repricing date occurring in
over five years.

The fixed rate advances that should be included in this item will also have been reported by
remaining maturity in Schedule RC-M, item 5.a.(1)(a), above. The floating rate advances
that should be included in this item will also have been reported by next repricing date in
Schedule RC-M, item 5.a.(1)(a), above. However, exclude those floating rate advances
included in Schedule RC-M, item 5.a.(1)(a), with a next repricing date of one year or less that
have a remaining maturity of over one year.

5.b

Structured advances. Report the amount of structured Federal Home Loan Bank advances
outstanding. Structured advances are advances containing options. Structured advances
include (1) callable advances, i.e., fixed rate advances that the Federal Home Loan Bank has
the option to call after a specified amount of time, (2) convertible advances, i.e., fixed rate
advances that the Federal Home Loan Bank has the option to convert to floating rate after a
specified amount of time, and (3) puttable advances, i.e., fixed rate advances that the bank
has the option to prepay without penalty on a specified date or dates. Any other advances
that have caps, floors, or other embedded derivatives should also be reported as structured
advances.

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5.a.(3)

Other borrowings. Report in the appropriate subitem the specified information about
amounts borrowed by the consolidated bank:

(1) on its promissory notes;

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(2) on notes and bills rediscounted (including commodity drafts rediscounted):

(3) on financial assets (other than securities) sold under repurchase agreements that have
an original maturity of more than one business day and sales of participations in pools of
loans that have an original maturity of more than one business day;

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(4) by transferring financial assets in exchange for cash or other consideration (other than
beneficial interests in the transferred assets) in transactions that do not satisfy the criteria
for sale treatment under ASC Topic 860, Transfers and Servicing (formerly FASB
Statement No. 140, “Accounting for Transfers and Servicing of Financial Assets and
Extinguishments of Liabilities,” as amended) (see the Glossary entry for "transfers of
financial assets" for further information);
(5) by the creation of due bills representing the bank's receipt of payment and similar
instruments, whether collateralized or uncollateralized (see the Glossary entry for
"due bills");
(6) from Federal Reserve Banks;

FFIEC 051

RC-M-9
(63-1820)

RC-M - MEMORANDA

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FFIEC 051

RC-M - MEMORANDA

Item No.

Caption and Instructions

5.b
(cont.)

(7) by overdrawing "due from" balances with depository institutions, except overdrafts
arising in connection with checks or drafts drawn by the reporting bank and drawn on, or
payable at or through, another depository institution either on a zero-balance account or
on an account that is not routinely maintained with sufficient balances to cover checks or
drafts drawn in the normal course of business during the period until the amount of the
checks or drafts is remitted to the other depository institution (in which case, report the
funds received or held in connection with such checks or drafts as deposits in
Schedule RC-E until the funds are remitted);

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(8) on purchases of so-called "term federal funds" (as defined in the Glossary entry for
"federal funds transactions");

(9) on notes and debentures issued by consolidated subsidiaries of the reporting bank;

(10) through mortgages, liens, or other encumbrances on bank premises and other real
estate owned;

andfor institutions that have not adopted FASB Accounting Standards Update No.
2016-02 (ASU 2016-02) on accounting for leases, through obligations under capitalized
leases, and for institutions that have adopted ASU 2016-02, through lease liabilities for
finance leases;

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(11)

(112) by borrowing immediately available funds in foreign offices that have an original
maturity of one business day or roll over under a continuing contract that are not
securities repurchase agreements; and
(123) on any other obligation for the purpose of borrowing money not reported elsewhere on
Schedule RC, Balance Sheet, or in Schedule RC-M, item 5.a, “Federal Home Loan
Bank advances.”

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Also include any borrowings by an Employee Stock Ownership Plan (ESOP) that the
reporting bank must report as a borrowing on its own balance sheet in accordance with
generally accepted accounting principles. For further information, see ASC Subtopic 718-40,
Compensation-Stock Compensation – Employee Stock Ownership Plans (formerly AICPA
Statement of Position 93-6, Employers' Accounting for Employee Stock Ownership Plans”).
Exclude from other borrowings:

(1) federal funds purchased and securities sold under agreements to repurchase (report in
Schedule RC, items 14.a and 14.b, respectively);
(2) liability for short positions (report in Schedule RC, item 15);

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(3) subordinated notes and debentures (report in Schedule RC, item 19).; and
(4) for institutions that have adopted FASB Accounting Standards Update No. 2016-02 on
accounting for leases, lease liabilities for operating leases (report in Schedule RC-G,
item 4, “All other liabilities”).

5.b.(1)

Other borrowings with a remaining maturity or next repricing date of. Report the
amount of the bank’s fixed rate other borrowings in the appropriate subitems according to the
amount of time remaining until their final contractual maturities. Report the amount of the
bank’s floating rate other borrowings in the appropriate subitems according to their next
repricing dates.

5.b.(1)(a)

One year or less. Report the amount of:

FFIEC 051

RC-M-10
(63-1820)

RC-M - MEMORANDA

11

FFIEC 051

RC-O - ASSESSMENTS

SCHEDULE RC-O – OTHER DATA FOR DEPOSIT INSURANCE
ASSESSMENTS
General Instructions
Each FDIC-insured depository institution that files the FFIEC 051 must complete Schedule RC-O each
quarter on an “unconsolidated single FDIC certificate number basis,” unless otherwise indicated below.

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Each separately chartered depository institution that is insured by the FDIC has a unique FDIC certificate
number. When one FDIC-insured institution that files the FFIEC 051 owns another FDIC-insured
institution as a subsidiary, the parent institution should complete items 1 through 11 (except item 9.a) and
Memorandum items 1, 2 (if applicable), and 3 of Schedule RC-O by accounting for the insured institution
subsidiary under the equity method of accounting instead of consolidating it, i.e., on an “unconsolidated
single FDIC certificate number basis.” Thus, each FDIC-insured institution should report only its own
amounts in items 1 through 11 (except item 9.a) and Memorandum items 1, 2 (if applicable), and 3 of
Schedule RC-O under its own FDIC certificate number without eliminating the parent and subsidiary
institutions’ intercompany balances. (However, an FDIC-insured institution that owns another FDICinsured institution should complete item 9.a by consolidating its subsidiary institution.) In contrast, when
an FDIC-insured institution has entities other than FDIC-insured institutions that must be consolidated for
purposes of Schedule RC, Balance Sheet, the parent institution should complete items 1 through 11 and
Memorandum items 1, 2 (if applicable), and 3 of Schedule RC-O on a consolidated basis with respect to
these other entities.
An institution that has a community bank leverage ratio (CBLR) framework election in effect as of the
quarter-end report date, as reported in Schedule RC-R, Part I, item 31.a (and further described in the
General Instructions for Schedule RC-R, Part I), shall be classified as a small institution for deposit
insurance assessments, even if that institution otherwise would be classified as a large institution.
Item Instructions
Item No.

Total deposit liabilities before exclusions (gross) as defined in Section 3(l) of the
Federal Deposit Insurance Act and FDIC regulations. Report on an unconsolidated single
FDIC certificate number basis the gross total deposit liabilities as of the calendar quarter-end
report date that meet the statutory definition of deposits in Section 3(l) of the Federal Deposit
Insurance Act before deducting allowable exclusions from total deposits. An institution’s
gross total deposit liabilities are the combination of:

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1

Caption and Instructions

All deposits reported in Schedule RC, item 13.a;
Interest accrued and unpaid on deposits reported in Schedule RC-G, item 1.a;
Uninvested trust funds held in the institution’s own trust department;
Deposits of consolidated subsidiaries (except any consolidated subsidiary that is an
FDIC-insured institution) and the interest accrued and unpaid on such deposits;
The amount by which demand deposits reported in Schedule RC, item 13.a, have been
reduced from the netting of the reporting institution’s reciprocal demand balances with
foreign banks and foreign offices of other U.S. banks (other than insured branches in
Puerto Rico and U.S. territories and possessions); and
The amount by which any other deposit liabilities reported in Schedule RC, item 13.a,
have been reduced by assets netted against these liabilities in accordance with generally
accepted accounting principles;
Less the amount of unamortized premiums included in the amount of deposit liabilities
reported in Schedule RC, item 13.a;
Plus the amount of unamortized discounts reflected in the amount of deposit liabilities
reported in Schedule RC, item 13.a;

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FFIEC 051

RC-O-1
(93-1920)

RC-O - ASSESSMENTS

12

FFIEC 051

RC-O - ASSESSMENTS

Item No.

Caption and Instructions

10.a
(cont.)

Reserve Banks for maintaining an institution’s excess balances that are eligible to earn
interest on their Federal Reserve balances. See the Glossary entry for “pass-through reserve
balances.”
Federal funds sold are defined in the instructions for Schedule RC, item 3.a, “Federal funds
sold.” See also the Glossary entry for “federal funds transactions.”
Banker’s bank deduction limit. A qualifying banker’s bank is eligible to have the FDIC
deduct certain assets from its assessment base, subject to a limit. Report in this item on an
unconsolidated single FDIC certificate number basis the banker’s bank deduction limit, which
equals the sum of a qualifying banker’s bank’s average deposits of commercial banks and
other depository institutions in the U.S. plus its average federal funds purchased. These
averages should be calculated on a daily or weekly basis consistent with the qualifying
banker’s bank’s calculation of its average consolidated total assets in Schedule RC-O, item 4
(and as reported in Schedule RC-O, item 4.a).

T

10.b

AF

Deposits of commercial banks and other depository institutions in the U.S. are defined in the
instructions for Schedule RC-E, item 4.

Federal funds purchased are defined in the instructions for Schedule RC, item 14.a, “Federal
funds purchased.” See also the Glossary entry for “federal funds transactions.”

11

Custodial bank certification: Does the reporting institution meet the definition of a
custodial bank set forth in FDIC regulations? If the reporting institution meets the
custodial bank definition on an unconsolidated single FDIC certificate number basis, it should
answer “Yes” to item 11 and complete Schedule RC-O, items 11.a and 11.b. However, if a
custodial bank’s deduction limit as reported in item 11.b is zero, the custodial bank may leave
item 11.a blank.
If the reporting institution does not meet the custodial bank definition, it should answer “No” to
item 11 and it should not complete Schedule RC-O, items 11.a and 11.b.

R

A custodial bank, as defined in Section 327.5(c)(1) of the FDIC’s regulations, is an insured
depository institution that had:
(1) “Fiduciary and custody and safekeeping assets” (the sum of item 10, columns A and B,
plus item 11, column B, in Schedule RC-T – Fiduciary and Related Services) of
$50 billion or more as of the end of the previous calendar year, or

D

(2) Income from fiduciary activities (Schedule RI, item 5.a) that was more than 50 percent of
its total revenue (interest income plus noninterest income, which is the sum of items 1.h
and 5.m of Schedule RI) during the previous calendar year.

11.a

Custodial bank deduction. An institution that meets the definition of a custodial bank is
eligible to have the FDIC deduct certain assets from its assessment base, subject to the limit
reported in Schedule RC-O, item 11.b. If a custodial bank’s deduction limit as reported in
Schedule RC O, item 11.b, is zero, the custodial bank may leave this item 11.a blank.
Report in this item on an unconsolidated single FDIC certificate number basis the custodial
bank deduction, which equals average qualifying low-risk liquid assets.1 Qualifying low-risk

An institution that has a community bank leverage ratio (CBLR) framework election in effect as of the quarter-end
report date, as reported in Schedule RC-R, Part I, item 31.a (and further described in the General Instructions for
Schedule RC-R, Part I) that meets the definition of a custodial bank is not required to separately report its riskweighted assets in Schedule RC-R, Part II, in order to use the deduction.
1

FFIEC 051

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RC-O - ASSESSMENTS

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Item No.

Caption and Instructions

11.a
(cont.)

liquid assets are determined without regard to the maturity of the assets. Average qualifying
low-risk liquid assets equals the sum of the following amounts, all on an unconsolidated
single FDIC certificate number basis:

T

(1) The average amount of cash and balances due from depository institutions with a
standardized approach risk weight for risk-based capital purposes of zero percent
(as defined for Schedule RC-R, Part II, item 1, column C) plus 50 percent of the average
amount of cash and balances due from depository institutions with a standardized
approach risk weight of 20 percent (as defined for Schedule RC-R, Part II, item 1,
column G);
(2) The average amount of held-to-maturity securities with a standardized approach risk
weight for risk-based capital purposes of zero percent (as defined for Schedule RC-R,
Part II, item 2.a, column C) plus 50 percent of the average amount of held-to-maturity
securities with a standardized approach risk weight of 20 percent (as defined for
Schedule RC-R, Part II, item 2.a, column G);

AF

(3) The average amount of available-for-sale securities with a standardized approach risk
weight for risk-based capital purposes of zero percent (as defined for Schedule RC-R,
Part II, item 2.b, column C) plus 50 percent of the average amount of available-for-sale
securities with a standardized approach risk weight of 20 percent (as defined for
Schedule RC-R, Part II, item 2.b, column G);

(4) The average amount of federal funds sold with a standardized approach risk weight for
risk-based capital purposes of zero percent (as defined for Schedule RC-R, Part II,
item 3.a, column C) plus 50 percent of the average amount of federal funds sold with a
standardized approach risk weight of 20 percent (as defined for Schedule RC-R, Part II,
item 3.a, column G);

R

(5) The average amount of securities purchased under agreements to resell (as defined for
Schedule RC, item 3.b) that would qualify for a standardized approach risk weight for
risk-based capital purposes of zero percent plus 50 percent of the average amount of
securities purchased under agreements to resell (as defined for Schedule RC, item 3.b)
that would qualify for a standardized approach risk weight of 2 percent, 4 percent, or
20 percent; and

D

(6) Fifty percent of the average amount of balances due from depository institutions, held-tomaturity securities, available-for-sale securities, federal funds sold, and securities
purchased under agreements to resell (as defined for Schedule RC, items 1, 2.a, 2.b, 3.a,
and 3.b, respectively) that qualify as on-balance sheet securitization exposures (as
defined for Schedule RC-R, Part II, item 9, column A) and have a standardized approach
risk weight for risk-based capital purposes of exactly 20 percent.

These averages should be calculated on a daily or weekly basis consistent with the custodial
bank’s calculation of its average consolidated total assets in Schedule RC-O, item 4 (and as
reported in Schedule RC-O, item 4.a).

FFIEC 051

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FFIEC 051

SU – SUPPLEMENTAL

LINE ITEM INSTRUCTIONS FOR SCHEDULE SU
The line item instructions should be read in conjunction with the Glossary and other sections of these
instructions. See the discussion of the Organization of the Instruction Books in the General Instructions.
For purposes of these Consolidated Report of Income instructions, the Financial Accounting Standards
Board (FASB) Accounting Standards Codification is referred to as the “ASC.”

General Instructions

T

SCHEDULE SU – SUPPLEMENTAL INFORMATION
Schedule SU should be completed on a fully consolidated basis.
Item Instructions

Item No.
1

AF

Derivatives
Caption and Instructions

Does the institution have any derivative contracts?

If your institution has derivative contracts, place an “X” in the box marked “Yes” and complete
items 1.a through 1.d, below.
If your institution has no derivative contracts, place an “X” in the box marked “No,” skip
items 1.a through 1.d, and go to item 2.

R

For purposes of this item and items 1.a through 1.d, derivative contracts include all contracts
that meet the definition of a derivative and must be accounted for in accordance with ASC
Topic 815, Derivatives and Hedging (formerly FASB Statement No. 133, “Accounting for
Derivative Instruments and Hedging Activities,” as amended). Include both freestanding
derivative contracts and those embedded derivatives that have been bifurcated from their
host contracts and are accounted for separately under ASC Topic 815. For further
information, see the Glossary entry for “Derivative Contracts.”
Exclude spot foreign exchange contracts, which are agreements for the immediate delivery,
usually within two business days or less (depending on market convention), of a foreign
currency at the prevailing cash market rate. Report spot foreign exchange contracts as
“Other off-balance sheet liabilities” in Schedule RC-L, item 9, subject to the existing reporting
threshold for this item.

D

Also exclude notional amounts for derivative contracts that have matured, but have
associated unsettled receivables or payables that are reported as assets or liabilities,
respectively, on the balance sheet as of the quarter-end report date.
In items 1.a through 1.d, an institution should report the notional amount (stated in U.S.
dollars) of each derivative contract according to both its underlying risk exposure – either as
“interest rate,” as defined below, or as “other” – and its designation as held for trading or for
purposes other than trading, also defined below. All notional amounts to be reported in
items 1.a through 1.d should be based on the notional amount definition in U.S. generally
accepted accounting principles, which states that this amount is the number of currency units,
shares, bushels, pounds, or other units specified in a derivative contract.

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A contract with multiple risk characteristics should be classified based upon its predominant
risk characteristic at the origination of the derivative.

D

R

AF

T

For purposes of reporting the gross notional amount of derivative contracts in items 1.a
through 1.d:

FFIEC 051

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16

D

R

AF

T

Note: The changes to Schedule RC-R, Part I and Part II, on pages
18 through 165 are effective as of the March 31, 2020, and June
30, 2020, report dates.

17

FFIEC 051

RC-R – REGULATORY CAPITAL

SCHEDULE RC-R – REGULATORY CAPITAL
General Instructions for Schedule RC-R
The instructions for Schedule RC-R should be read in conjunction with the regulatory capital rules issued
by the primary federal supervisory authority of the reporting bank or saving association (collectively,
banks): for national banks and federal savings associations, 12 CFR Part 3; for state member banks,
12 CFR Part 217; and for state nonmember banks and state savings associations, 12 CFR Part 324.

T

Part I. Regulatory Capital Components and Ratios
Contents – Part I. Regulatory Capital Components and Ratios
General Instructions for Schedule RC-R, Part I

Community Bank Leverage Ratio Framework

RC-R-X
RC-R-2

AF

Item Instructions for Schedule RC-R, Part I

RC-R-1

Common Equity Tier 1 Capital

RC-R-2

Common Equity Tier 1 Capital: Adjustments and Deductions

RC-R-6

RC-R-19

Tier 1 Capital

RC-R-24

Total Assets for the Leverage Ratio

RC-R-XX

Leverage Ratio

RC-R-XX

Qualifying Criteria for Using the CBLR Framework

RC-R-XX

Tier 2 Capital

RC-R-24

Total Capital

RC-R-29

Total Assets for the Leverage Ratio

RC-R-30

Total Risk-Weighted Assets

RC-R-32

Risk-Based Capital Ratios

RC-R-32

Leverage Capital Ratios

RC-R-32

Capital Buffer

RC-R-32

D

R

Additional Tier 1 Capital

General Instructions for Schedule RC-R, Part I.
Transition Provisions: Transition provisions apply to the minimum regulatory capital ratios, the capital
conservation buffer, the regulatory capital adjustments and deductions, and non-qualifying capital
instruments. For example, transition provisions for the regulatory capital adjustments and deductions
specify that certain items that were deducted from tier 1 capital previously will be deducted from common
equity tier 1 capital under the regulatory capital rules, with the amount of the deduction changing each
calendar year until the transition period ends. For some regulatory capital deductions and adjustments,
the non-deducted portion of the item is either risk-weighted for the remainder of the transition period or
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deducted from additional tier 1 capital, as described in the instructions for the applicable items below.
NOTE: For small institutions eligible to file the FFIEC 051 Call Report, the transition provisions applicable
during 2017 under the banking agencies’ regulatory capital rules have been extended indefinitely for
certain regulatory capital deductions and risk weights as well as certain minority interest requirements.
The Schedule RC-R instructions reflect the extension of the regulatory capital treatment of these capital
deductions, risk weights, and minority interest requirements applicable to eligible small institutions during
2017.
Community Bank Leverage Ratio Framework:
Opting into the Community Bank Leverage Ratio (CBLR) framework

T

A qualifying institution may opt into the CBLR framework. A qualifying institution opts into and out of the
framework through its reporting in Call Report Schedule RC-R. A qualifying institution that opts into the
CBLR framework (CBLR electing institution) must complete Schedule RC-R, Part I, items 1 through 38
and can make that election on Schedule RC-R, Part I, item 31.a. A qualifying institution can opt out of the
CBLR framework by completing Schedule RC-R, Parts I and II, excluding Schedule RC-R, Part I, items 32
through 38.

AF

In general, an institution may qualify for the CBLR framework if it has a leverage ratio greater than 9
percent (as reported in Schedule RC-R, Part I, item 31); has less than $10 billion in total consolidated
assets (Schedule RC-R, Part I, item 32); is not an advanced approaches institution; has total trading
assets and trading liabilities of 5 percent or less of total consolidated assets (Schedule RC-R, Part I, item
33); and has total off-balance sheet exposures (excluding derivatives other than sold credit derivatives
and unconditionally cancelable commitments) of 25 percent or less of total consolidated assets (Schedule
RC-R, Part I, item 34). However, the primary federal supervisory authority may disallow an otherwise
qualifying institution’s use of the CBLR framework based on the supervisory authority’s evaluation of the
risk profile of the institution.
A qualifying institution that has a leverage ratio that exceeds 9 percent and opts into the CBLR framework
shall be considered to have met: (i) the generally applicable risk-based and leverage capital requirements
in the agencies’ capital rules; (ii) the capital ratio requirements to be considered well capitalized under the
agencies’ prompt corrective action (PCA) framework (in the case of insured depository institutions); and
(iii) any other applicable capital or leverage requirements. 1

R

Ceasing to Have a CBLR Greater Than 9 Percent or Failing to Meet Any of the Qualifying Criteria

D

A qualifying institution that temporarily fails to meet any of the qualifying criteria, including the greater
than 9 percent leverage ratio requirement, generally would still be deemed well-capitalized so long as the
institution maintains a leverage ratio greater than 8 percent. At the end of the grace period (see below),
the institution must meet all qualifying criteria to remain in the CBLR framework or otherwise must apply
and report under the generally applicable capital rule. Similarly, an institution with a leverage ratio of 8
percent or less is not eligible for the grace period and must comply with the generally applicable capital
rule, i.e., for the calendar quarter in which the institution reports a leverage ratio of 8 percent or less, by
completing all of Schedule RC-R, Parts I and II, excluding Schedule RC-R, Part I, items 32 through 38.
Under the CBLR framework, the grace period will begin as of the end of the calendar quarter in which the
CBLR electing institution ceases to satisfy any of the qualifying criteria and will end after two consecutive
calendar quarters. For example, if a CBLR electing institution no longer meets one of the qualifying
criteria as of February 15, and still does not meet the criteria as of the end of that quarter, the grace
period for such an institution will begin as of the end of the quarter ending March 31. The institution may
continue to use the CBLR framework as of June 30, but will need to comply fully with the generally
applicable capital rule (including the associated Schedule RC-R reporting requirements) as of September
30, unless the institution once again meets all qualifying criteria of the CBLR framework, including a
leverage ratio of greater than 9 percent, before that time.

1 See 12 CFR 3 (OCC); 12 CFR 217 (Board); 12 CFR 324 (FDIC).
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Item Instructions for Schedule RC-R, Part I.
Item No.

Caption and Instructions

Common Equity Tier 1 Capital
1

Common stock plus related surplus, net of treasury stock and unearned employee
stock ownership plan (ESOP) shares. Report the sum of Schedule RC, items 24, 25,
and 26.c, as follows:

T

(1) Common stock: Report the amount of common stock reported in Schedule RC, item 24,
provided it meets the criteria for common equity tier 1 capital based on the regulatory
capital rules of the institution’s primary federal supervisor. Include capital instruments
issued by mutual banking organizations that meet the criteria for common equity tier 1
capital.

AF

(2) Related surplus: Adjust the amount reported in 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
before the report date; exclude adjustments arising from treasury stock transactions.
(3) Treasury stock, unearned ESOP shares, and any other contra-equity components:
Report the amount of contra-equity components reported in Schedule RC, item 26.c.
Because contra-equity components reduce equity capital, the amount reported in
Schedule RC, item 26.c, is a negative amount.

2

Retained earnings. Report the amount of the institution’s retained earnings as reported in
Schedule RC, item 26.a.

R

An institution that has adopted FASB Accounting Standards Update No. 2016-13
(ASU 2016-13), which governs the accounting for credit losses and introduces the current
expected credit losses methodology (CECL), and has elected to apply the CECL transition
provision (CECL electing institution) should also include in this item its applicable CECL
transitional amount, in accordance with section 301 of the regulatory capital rules.
Specifically, ana CECL electing institution includes 75 percent of its CECL transitional
amount during the first year of the transition period, 50 percent of its CECL transitional
amount during the second year of the transition period, and 25 percent of its CECL
transitional amount during the third year of the transition period.
Example and a worksheet calculation:
Assumptions:

For example, consider an institution that elects to apply the CECL transition and that has
a CECL effective date of January 1, 2020, and a 21 percent tax rate.
On the closing balance sheet date immediately prior to adopting CECL (i.e., December
31, 2019), the electing institution has $10 million in retained earnings and $1 million in the
allowance for loan and lease losses. On the opening balance sheet date immediately
after adopting CECL (i.e., January 1, 2020), the electing institution has $1.2 million in
allowances for credit losses (ACL), which also equals $1.2 million of adjusted allowances
for credit losses (AACL), as defined in the regulatory capital rules.
The CECL electing institution recognizes the effect of the adoption of CECL as of
January 1, 2020, by recording an increase in its ACL of $200,000 (credit), with an
offsetting increase in temporary difference deferred tax assets (DTAs) of $42,000 (debit)
and a reduction in beginning retained earnings of $158,000 (debit).

D

•

•

•

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Part I. (cont.)
Item No.

Caption and Instructions

2
(cont.)

•

Table X
Dollar Amounts in
Thousands

DTA transitional
amount = $42

$31.50

$21

$10.50

AACL transitional
amount = $200

$150

$100

$50

To be completed only by institutions that have adopted ASU 2016-13: Does your
institution have a CECL transition election in effect as of the quarter-end report date?
An institution may make a one-time election to use the CECL transition provision, as
described in section 301 of the regulatory capital rules. Such an institution is required to
begin applying the CECL transition provision as of the institution’s CECL adoption date. An
institution must indicate its election to use the CECL transition provision beginning in the
quarter that it first reports its credit loss allowances in the Call Report as measured under
CECL. An institution that does not elect to use the CECL transition provision in the quarter
that it first reports its credit loss allowances in the Call Report as measured under CECL
would not be permitted to make an election in subsequent reporting periods. For example,
an institution that adopts CECL as of January 1, 2020, and does not elect to use the CECL
transition provision in its Call Report for the March 31, 2020, report date would not be
permitted to use the CECL transition provision in any subsequent reporting period.

R

2.a

Transitional Amounts Applicable During Each Year
of the Transition Period
Year 1 at 75%
Year 2 at 50%
Year 3 at 25%
Column B
Column C
Column D
$118.50
$79
$39.50

AF

1. Increase retained
earnings and average total
consolidated assets by the
CECL transitional amount
2. Decrease temporary
difference DTAs by the
DTA transitional amount
3. Decrease AACL by the
AACL transitional amount

Transitional
Amounts
Column A
CECL transitional
amount = $158

T

For each of the quarterly reporting periods in year 1 of the transition period (i.e., 2020),
the CECL electing institution increases both retained earnings and average total
consolidated assets by $118,500 ($158,000 x 75 percent), decreases temporary
difference DTAs by $31,500 ($42,000 x 75 percent), and decreases AACL by $150,000
($200,000 x 75 percent) for purposes of calculating its regulatory capital ratios. The
remainder of the CECL transition provision of the electing institution is transitioned into
regulatory capital according to the schedule provided in Table X below.

D

An institution that has adopted CECL and has elected to apply the CECL transition provision
must enter “1” for “Yes” in item 2.a for each quarter in which the institution uses the transition
provisions. An institution that has adopted CECL and has elected not to use the CECL
transition provision must enter a “0” for “No” in item 2.a. An institution that has not adopted
CECL must not complete item 2.a.

Each institution should complete item 2.a beginning in the quarter that it first reports its
credit loss allowances in the Call Report as measured under CECL and in each subsequent
Call Report thereafter until item 2.a is removed from the report. Effective December 31,
2025, item 2.a will be removed from Schedule RC-R, Part I, because the optional three-year
phase-in period will have ended for all electing institutions. If an individual electing
institution’s three-year phase-in period ends before item 2.a is removed (e.g., its phase-in
period ends December 31, 2022), the institution would report “0” in item 2.a to indicate that
it no longer has a CECL transition election in effect.

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Part I. (cont.)
Item No.

Caption and Instructions
Accumulated other comprehensive income (AOCI). For institutions that have made the
AOCI opt-out election in item 3.a below, reportReport the amount of AOCI as reported under
U.S. generally accepted accounting principles (GAAP) that is included in Schedule RC, item
26.b. For institutions that have not made the AOCI opt-out election in item 3.a below, report
the amount of AOCI as reported under U.S. GAAP included in Schedule RC, item 26.b,
subject to the transition provisions described in section (ii) of the instructions for item 3.a
below.

3.a

AOCI opt-out election.

T

3

AF

An institution that is not an advanced approaches institution as defined in the regulatory
capital rules may make a one-time election to become subject to the AOCI-related
adjustments in Schedule RC-R, Part I, items 9.a through 9.e. That is, such an institution may
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). An institution that makes
an AOCI opt-out election must enter “1” for “Yes” in item 3.a. There are no transition
provisions applicable to reporting Schedule RC-R, item 3, if an institution makes an AOCI
opt-out election.this item 3.a.

R

Each institution (except an advanced approaches institution) in existence as of March 31,
2015, made its AOCI opt-out election on the institution’s March 31, 2015, Call Report. For an
institution that comes into existence after March 31, 2015, or becomes a non-advanced
approaches institution, the institution must make its AOCI opt-out election on the institution’s
first Call Report. After an institution initially makes its AOCI opt-out election, the institution
must report its election in each quarterly Call Report thereafter. Each of the institution’s
depository institution subsidiaries, if any, must elect the same option as the institution. With
prior notice to its primary federal supervisor, an institution resulting from a merger,
acquisition, or purchase transaction may make a new AOCI opt-out election, as described in
section 22(b)(2) of the regulatory capital rules.

D

An institution that does not make an AOCI opt-out election and enters “0” for “No” in this item
3.a is subject to the AOCI-related adjustment in Schedule RC-R, Part I, item 9.f.

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Part I. (cont.)
Caption and Instructions

4

In order to complete this item, institutions need to complete items 6 to 10 of Schedule RC-R,
Part I. Non-advanced approaches institutions are able to include common equity tier 1
minority interest limitation applies only if a subsidiary has a surplusup to 10 percent of the
parent banking organization’s common equity tier 1 capital (that . The 10 percent limitation
is, in excess of measured before the subsidiary’s minimuminclusion of any minority interest
and after the deductions from and adjustments to the regulatory capital requirements and the
applicableof the parent banking organization described in sections 22(a) and (b) of the
regulatory capital conservation buffer). rule.

AF

the

Common equity tier 1 minority interest includable in common equity tier 1 capital.
Report the aggregate amount of common equity tier 1 minority interest, calculated as
described below and in section 21 of the regulatory capital rules. Common equity tier 1
minority interest is the portion of common equity tier 1 capital in a reporting institution’s
subsidiary not attributable, directly or indirectly, to the parent institution. Note that a bank
may only include common equity tier 1 minority interest if: (a) the subsidiary is a depository
institution; and (b) the capital instruments issued by the subsidiary meet all of the criteria for
common equity tier 1 capital (qualifying common equity tier 1 capital instruments).

T

Item No.

Example and a worksheet calculation: For each consolidated subsidiary that is a
depository institution, calculateCalculate common equity tier 1 minority interest includable at
the reporting institution’s level as follows:
Assumptions:
•
•
•

R

•

For this example, assume that risk-weighted assets of the consolidated subsidiary are the
same as the risk-weighted assets of the institution that relate to the subsidiary ($1,000);
The subsidiary’sparent banking organization’s common equity tier 1 capital is $80100 and
has two subsidiaries (subsidiary A and subsidiary B) and has $10 of common equity tier 1
capital adjustments and deductions;
The subsidiary’sSubsidiary A has $7 of common equity tier 1 minority interest (that is,
owned by minority shareholders) ).
Subsidiary B has $5 of common equity tier 1 minority interest (that is $24. , owned by
minority shareholders).
Determine the risk-weighted assets of the subsidiary.
Using the standardized approach, determine the risk-weighted assets of
the reporting institution that relate to the subsidiary depository institution.
Note that the amount in this step (2) may differ from the amount in step (1)
due to intercompany transactions and eliminations in
consolidation.Common Equity Tier 1 Capital Elements Before Minority
Interest and Adjustments and Deductions =
Schedule RC-R, Part I, sum of items 1, 2, and 3
Determine the lower of (1) or (2), and multiply that amount by 7.0%. 2

D

(1)
(2(1)

(3)

(42)

Determine the dollar amount of the subsidiary’s common equity tier 1
capital (assumed $80 in this example). If this amount is less than step (3),
include common equity tier 1 minority interest (assumed to be $24 in this
example) in Schedule RC-R, Part I, item 4. Otherwise, continue to step
(5).Common Equity Tier 1 Capital: Adjustments and Deductions =
Schedule RC-R, Part I, sum of items 6, 7, 8, 9.a through 9.f, 10.a, and
10.b

$1,000
$1,000100

$1,000 x 7%
= $70
$8010

The percentage multiplier in step (3) is the capital ratio necessary for the depository institution to avoid restrictions
on distributions and discretionary bonus payments.
2

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(53)
(6)
(74)

(8)

$80 - $70 =
$100-$10 =
$90
$24/$80 =
30%
30%$90 x
$10 = $3% =
$9
$24 - $3 =
$21
$21Minimum
of ($9 from
Step 4 or $12
($7+$5) from
the
assumptions)
= $9

T

(95)

Subtract the amount in step (32) from the amount in step (41). This is the
“surplus common equity tier 1 capital ofbase to calculate the subsidiary.”
10 percent limitation.
Determine the percent of the subsidiary’s common equity tier 1 capital
owned by third parties (the minority shareholders).
Multiply the percentage from step (63) by the dollar amount in step (5).10
percent. This is the “surplusmaximum includable common equity tier 1
minority interest of the subsidiary,” subject to the transition provisions
belowfrom all subsidiaries.
Subtract the amount in step (7) from the subsidiary’s common equity tier 1
minority interest.
Determine the lower of (4) and the total common equity tier 1 minority
interest from all subsidiaries. This is the “common equity tier 1 minority
interest includable at the reporting institution’s level” to be included in
Schedule RC-R, Part I, item 4, for this subsidiary..

AF

Transition provisions for surplus minority interest or non-qualifying minority interest:
a. Surplus minority interest:

An institution may include in common equity tier 1 capital, tier 1 capital, or total capital the
percentage of the common equity tier 1 minority interest, tier 1 minority interest and total
capital minority interest outstanding as of January 1, 2014, that exceeds any common equity
tier 1 minority interest, tier 1 minority interest or total capital minority interest includable under
section 21 of the regulatory capital rules (surplus minority interest) as follows:

Item No.

Caption and Instructions

R

(ii) Multiply the amounts in (i) by 20 percent.
(iii) Include the amounts in (ii) in the corresponding line items (that is, Schedule RC-R, Part I,
item 4, item 22, or item 29).
In the worksheet calculation above, the transition provisions for surplus minority interest
would apply at step (7). Specifically, if the institution has $3 of surplus common equity tier 1
minority interest of the subsidiary as of January 1, 2014, it may include $0.60 (that is, $3
multiplied by 20%) in Schedule RC-R, Part I, item 4.
b. Non-qualifying minority interest:

D

An institution may include in tier 1 capital or total capital the percentage of the tier 1 minority
interest and total capital minority interest outstanding as of January 1, 2014, that does not
meet the criteria for additional tier 1 or tier 2 capital instruments in section 20 of the regulatory
capital rules (non-qualifying minority interest). The institution must phase-out non-qualifying
minority interest in accordance with Table 2, using the following steps for each subsidiary:
(i) Determine the amounts of the outstanding non-qualifying minority interest (in the form of
additional tier 1 and tier 2 capital).
(ii) Multiply the amounts in (i) by the appropriate percentage in Table 2 below.
(iii) Include the amounts in (ii) in the corresponding item (that is, Schedule RC-R, Part I,
item 22 or item 29).
For example, if an institution has $10 of non-qualifying minority interest that previously
qualified as tier 1 capital, it may include $2 (that is, $10 multiplied by 20%) during calendar
year 2017, and $0 starting on January 1, 2018.

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Table 2 – Percentage of the amount of non-qualifying minority interest includable in
regulatory capital during the transition period
Common equity tier 1 capital before adjustments and deductions. Report the sum of
Schedule RC-R, Part I, items 1, 2, 3, and 4.

D

R

AF

T

5

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Part I. (cont.)
Common Equity Tier 1 Capital: Adjustments and Deductions
General Instructions for Common Equity Tier 1 Capital: Adjustments and Deductions
Note 1: As described in section 22(b) of the regulatory capital rules, regulatory adjustments to common
equity tier 1 capital must be made net of associated deferred tax effects.
Note 2: As described in section 22(e) of the regulatory capital rules, netting of deferred tax liabilities
(DTLs) against assets that are subject to deduction is permitted if the following conditions are met:

T

(i) The DTL is associated with the asset;
(ii) The DTL would be extinguished if the associated asset becomes impaired or is derecognized under
GAAP; and
(iii) A DTL can only be netted against a single asset.

AF

The amount of deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards,
net of any related valuation allowances, and of DTAs arising from temporary differences that the
institution could not realize through net operating loss carrybacks, net of any related valuation
allowances, may be offset by DTLs (that have not been netted against assets subject to deduction)
subject to the following conditions:
(i) Only the DTAs and DTLs that relate to taxes levied by the same taxation authority and that are
eligible for offsetting by that authority may be offset for purposes of this deduction.
(ii) The amount of DTLs that the institution nets against DTAs that arise from net operating loss and tax
credit carryforwards, net of any related valuation allowances, and against DTAs arising from
temporary differences that the institution could not realize through net operating loss carrybacks, net
of any related valuation allowances, must be allocated in proportion to the amount of DTAs that arise
from net operating loss and tax credit carryforwards (net of any related valuation allowances, but
before any offsetting of DTLs) and of DTAs arising from temporary differences that the institution
could not realize through net operating loss carrybacks (net of any related valuation allowances, but
before any offsetting of DTLs), respectively.

R

An institution may offset DTLs embedded in the carrying value of a leveraged lease portfolio acquired in a
business combination that are not recognized under GAAP against DTAs that are subject to section 22(a)
of the regulatory capital rules in accordance with section 22(e).

An institution must net DTLs against assets subject to deduction in a consistent manner from reporting
period to reporting period. An institution may change its DTL netting preference only after obtaining the
prior written approval of the primary federal supervisor.

D

In addition, note that even though certain deductions may be net of associated DTLs, the risk-weighted
portion of those items may not be reduced by the associated DTLs.

Item Instructions for Common Equity Tier 1 Capital: Adjustments and Deductions
Item No.
6

Caption and Instructions
LESS: Goodwill net of associated deferred tax liabilities (DTLs). Report the amount of
goodwill included in Schedule RC-M, item 2.b.
However, if the institution has a DTL that is specifically related to goodwill 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.

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Part I. (cont.)
Caption and Instructions
If an institution has significant investments in the capital of unconsolidated financial
institutions in the form of common stock, the institution 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).

T

Item No.
6
(cont.)

There are no transition provisions for this item.

LESS: Intangible assets (other than goodwill and mortgage servicing assets (MSAs)),
net of associated DTLs. Report all intangible assets (other than goodwill and MSAs)
included in Schedule RC-M, item 2.c, that do not qualify for inclusion in common equity tier 1
capital based on the regulatory capital rules of the institution’s primary federal supervisor.
Generally, all purchased credit card relationships (PCCRs), nonmortgage servicing assets,
and all other 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.

AF

7

However, if the institution has a DTL that is specifically related to an intangible asset (other
than goodwill and MSAs) 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. Furthermore, a DTL that the institution
chooses to net against the related intangible reported in this item may not also be netted
against DTAs that arise from net operating loss and tax credit carryforwards, net of any
related valuation allowances, and DTAs that arise from temporary differences, net of any
related valuation allowances, for regulatory capital purposes.

R

For state member banks, if the amount reported for other intangible assets in
Schedule RC-M, item 2.c, includes intangible assets that were recorded on the reporting
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.
Transition provisions:

D

(i) Calculate the amount as described in the instructions for this item 7.
(ii) Multiply the amount in (i) by the appropriate percentage in accordance with Table 3
below. Report the product in this item 7.
(iii) Subtract (ii) from (i), without regard to any associated DTLs, to calculate the balance
amount that must be risk weighted during the transition period.
(iv) Multiply the amount in (iii) by 100 percent and report the risk-weighted assets as part of
“All other assets” in Schedule RC-R, Part II, item 8.

Table 3 – Deduction of intangible assets other than goodwill and MSAs
during the transition period
7
For example, in calendar year 2017, an institution will deduct 80 percent of intangible
assets
(cont.)
(other than goodwill and MSAs), net of associated DTLs, from common equity tier 1 capital.
The institution must apply a 100 percent risk weight to the remaining 20 percent of the intangible assets
that are not deduct
8
LESS: 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
associated valuation allowances and net of associated DTLs.
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Transition provisions:
(i) Determine the amount as described in the instructions for this item 8.
(ii) Multiply the amount in (i) by the appropriate percent in column A of Table 4 below.
Report this product in Schedule RC-R, Part I, item 8.
(iii) Multiply the amount in (i) by the appropriate percent in column B of Table 4 below.
Report this product as part of Schedule RC-R, Part I, item 24, “Additional tier 1 capital
deductions.”

T

Table 4 – Deductions of DTAs that arise from net operating loss and tax credit
carryforwards, net of any valuation allowances and net of DTLs; gain-on-sale in
connection with a securitization exposure; defined benefit pension fund assets; changes
in fair value of liabilities; and expected credit losses during the transition period

9

AF

Note for Table 4: An institution may only take a deduction from additional tier 1 capital up to the amount of
additional tier 1 capital before deductions, as reported in Schedule RC-R, Part I, item 23, that the institution has.
For example, if an institution does not have any additional tier 1 capital before deductions (i.e., the institution
reports $0 in Schedule RC-R, Part I, item 23), then the entire deduction amount will be from common equity tier 1
capital. In this case, include the deduction amount that applies to additional tier 1 capital in Schedule RC-R, Part I,
item 24, and also include it in Schedule RC-R, Part I, item 17, “LESS: Deductions applied to common equity tier 1
capital due to insufficient amounts of additional tier 1 capital and tier 2 capital to cover deductions.”

AOCI-related adjustments. Institutions that entered “1” for Yes in Schedule RC-R, Part I,
item 3.a, and have not adopted FASB Accounting Standards Update No. 2016-01
(ASU 2016-01), which includes provisions governing the accounting for investments in equity
securities, including investment in mutual funds, and eliminates the concept of available-forsale equity securities (see the Note preceding the instructions for Schedule RC, item 2.c)
must complete Schedule RC-R, Part I, items 9.a through 9.e, only.
Institutions that entered “1” for Yes in Schedule RC-R, Part I, item 3.a, and have adopted
ASU 2016-01 must complete Schedule RC-R, Part I, items 9.a and 9.c through 9.e, only.

D

R

Institutions that entered “0” for No in Schedule RC-R, Part I, item 3.a, must complete
Schedule RC-R, Part I, item 9.f, only.

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Part I. (cont.)
Item No.
9.a

Caption and Instructions
LESS: Net unrealized gains (losses) on available-for-sale securities.

T

For institutions that entered “1” for Yes in Schedule RC-R, Part I, item 3.a, and have not
adopted ASU 2016-01 (as referenced in the instructions for item 9 above), report the amount
of net unrealized gains (losses) on available-for-sale debt and equity securities, net of
applicable income 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.
For such institutions, include in this item net unrealized gains (losses) on available-for-sale
debt and equity securities reported in Schedule RC-B, items 1 through 7, columns C and D,
and on those assets not reported in Schedule RC-B, that the bank accounts for like availablefor-sale debt securities in accordance with applicable accounting standards (e.g., negotiable
certificates of deposit and nonrated industrial development obligations).

AF

For institutions that entered “1” for Yes in Schedule RC-R, Part I, item 3.a, and have adopted
ASU 2016-01, report the amount of net unrealized gains (losses) on available-for-sale debt
securities, net of applicable income 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.

For such institutions, include in this item net unrealized gains (losses) on available-for-sale
debt securities reported in Schedule RC-B, items 1 through 6, columns C and D, and on
those assets not reported in Schedule RC-B, that the bank accounts for like available-for-sale
debt securities in accordance with applicable accounting standards (e.g., negotiable
certificates of deposit and nonrated industrial development obligations).

R

NOTE: Schedule RC-R, Part I, item 9.b is to be completed only by institutions that entered “1” for Yes in
Schedule RC-R, Part I, item 3.a, and have not adopted ASU 2016-01 (as referenced in the instructions for
Schedule RC-R, Part I, item 9, above).
Institutions that entered “1” for Yes in Schedule RC-R, Part I, item 3.a, and have adopted ASU 2016-01
should leave Schedule RC-R, Part I, item 9.b, blank.
LESS: 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 the amount of any net unrealized loss on available-for-sale preferred stock classified as
an equity security under GAAP and available-for-sale equity exposures, net of applicable
income taxes, that is included in Schedule RC, item 26.b, “Accumulated other comprehensive
income.” Available-for-sale preferred stock classified as an equity security under GAAP and
available-for-sale equity exposures are reported in Schedule RC-B, item 7, columns C and D,
and include investments in mutual funds.

D

9.b

9.c

FFIEC 051

LESS: Accumulated net gains (losses) on cash flow hedges. Report the amount of
accumulated net gains (losses) on cash flow hedges, net of applicable income taxes, that is
included in Schedule RC, item 26.b, “Accumulated other comprehensive income.” The
amount reported in Schedule RC-R, Part I, item 9.c, should include gains (losses) on cash
flow hedges that are no longer effective but included in AOCI. 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.

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Part I. (cont.)
Item No.

Caption and Instructions
LESS: 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, net of applicable income
taxes, and included in Schedule RC, item 26.b, “Accumulated other comprehensive income,”
resulting from the initial and subsequent application of ASC Topic 715, Compensation‒
Retirement Benefits (formerly FASB Statement No. 158, “Employers’ Accounting for Defined
Benefit Pension and Other Postretirement Plans”) to defined benefit postretirement plans (an
institution may exclude the portion relating to pension assets deducted in Schedule RC-R,
Part I, 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.

9.e

LESS: Net unrealized gains (losses) on held-to-maturity securities that are included in
AOCI. Report the amount of net unrealized gains (losses) on held-to-maturity securities that
is not credit-related, net of applicable taxes, and is included in AOCI as reported in
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.

AF

T

9.d

Include (i) the unamortized balance of the unrealized 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, net of applicable income taxes, and (ii) the unaccreted portion of
other-than-temporary impairment losses on available-for-sale and held-to-maturity debt
securities that was not recognized in earnings in accordance with ASC Topic 320,
Investments-Debt Securities (formerly FASB Statement No. 115, “Accounting for Certain
Investments in Debt and Equity Securities”), net of applicable income taxes.

9.f

To be completed only by institutions that entered “0” for No in Schedule RC-R,
Part I, item 3.a:

R

LESS: Accumulated net gain (loss) on cash flow hedges included in AOCI, net of
applicable income taxes, that relates 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 income taxes, that relates to the hedging of
items that are 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 thresholdbased deductions:

10.a

LESS: 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 institution’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.

D

10

Transition provisions: Follow the transition provisions in the instructions for
Schedule RC-R, Part I, item 8.

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Part I. (cont.)
Item No.
10.b

Caption and Instructions
LESS: All other deductions from (additions to) common equity tier 1 capital before
threshold-based deductions. Report the amount of all other deductions from (additions
to) common equity tier 1 capital that are not included in Schedule RC-R, Part I, items 1
through 9, as described below.

T

(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-on-sale means
an increase in the equity capital of an institution resulting from a securitization (other than
an increase in equity capital resulting from the institution’s receipt of cash in connection
with the securitization or reporting of a mortgage servicing asset on Schedule RC).

AF

Transition provisions: Follow the transition provisions in the instructions for
Schedule RC-R, Part I, ite
(2)
Defined benefit pension fund net asset, net
of associated DTLs. An institution that is not an insured depository institution should
include any defined benefit pension fund net asset. This amount may be net of any
associated DTLs in accordance with section 22(e) of the capital rules.
Transition provisions: Follow the transition provisions in the instructions for
Schedule RC-R, Part I, item 8.
(3) Investments in the institution’s own shares to the extent not excluded as part of
treasury stock. Include the institution’s investments in (including any contractual
obligation to purchase) its own common stock instruments, including direct, indirect, and
synthetic exposures to such capital instruments (as defined in the regulatory capital
rules), to the extent such capital instruments are not excluded as part of treasury stock,
reported in Schedule RC-R, Part I, item 1.
If an institution 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.

R

An institution may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty credit risk and all
other criteria in section 22(h) of the regulatory capital rules are met.
The institution must look through any holdings of index securities to deduct investments
in its own capital instruments. In addition:

D

(i) Gross long positions in investments in an institution’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 to hedge long cash or synthetic positions may be
decomposed to recognize the hedge; and
(iii) The portion of the index composed of the same underlying exposure that is being
hedged may be used to offset the long position only if both the exposure being
hedged and the short position in the index are covered positions under the market
risk rule, and the hedge is deemed effective by the institution’s internal control
processes.

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Part I. (cont.)
Item No.

Caption and Instructions

10.b
(cont.)

(4) Reciprocal cross-holdings in the capital of financial institutions in the form of

T

common stock. Include investments in the capital of other financial institutions (in the
form of common stock) that the institution 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.
10.b
Transition provisions: Follow the transition provisions in Table 5 below.
(cont.)
Table 5 – Deductions related to investments in capital instruments
during the transition period
Transition period

AF

Calendar year 2017
Calendar year 2018 and
thereafter

Transition deductions – percentage of the deductions
from common equity tier 1 capital
80
100

Transition provisions: Follow the transition provisions in Table 5 above.
(5) Equity investments in financial subsidiaries. Include the aggregate amount of the
institutions’ outstanding equity investments, including retained earnings, in its financial
subsidiaries (as defined in 12 CFR 5.39 (OCC); 12 CFR 208.77 (Board); and
12 CFR 362.17 (FDIC)). The assets and liabilities of financial subsidiaries may not be
consolidated with those of the parent institution for regulatory capital purposes. No other
deduction is required for these investments in the capital instruments of financial
subsidiaries. This deduction is not subject to transition provisions.

R

(6) Deductions for non-includable subsidiaries. A savings association that has a nonincludable subsidiary must deduct its outstanding investments (both equity and debt) in,
and extensions of credit to, the subsidiary in this item 10.b. This deduction is not subject
to transition provisions.

11

LESS: 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. 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.

D

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 institution may
apply associated DTLs to this deduction.

11

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Not applicable.

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Part I. (cont.)
Item No.
12

Caption and Instructions
Subtotal. Report the amount in Schedule RC-R, Part I, item 5, less the amounts in
Schedule RC-R, Part I, items 6 through 1110.b.
This subtotal will be used in Schedule RC-R, Part I, items 13 through 1615, to calculate the
amounts of items subject to the 10 and 1525 percent common equity tier 1 capital threshold
deductions (threshold items):

LESS: Significant investmentsInvestments in the capital of unconsolidated financial
institutions in the form of common stock, net of associated DTLs, that exceed the 1025
percent common equity tier 1of item 12.

AF

13

T

(i) Significant investmentsInvestments in the capital of unconsolidated financial institutions
in the form of common stock, net of associated DTLs,
(ii) MSAs, net of associated DTLs; and
(iii) DTAs arising from temporary differences that could not be realized through net operating
loss carrybacks, net of related valuation allowances and net of DTLs.

Items that are not deducted from the appropriate capital deduction threshold. An institution
has a significant investment intier are risk-weighted based on the exposure on Schedule RCR, Part II, except for institutions under the capital of an unconsolidated financial
institutionCBLR framework. Institutions have the flexibility when it owns more than 10 percent
of the issueddeciding which investments in the capital of unconsolidated financial institutions
to risk weight and outstanding common shares of that institutionwhich to deduct.
Report the amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock, net of associated DTLs, that exceed the 1025
percent common equity tier 1 capital deduction threshold, calculated as follows:

R

(1) Determine the amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock, net of associated DTLs.
(2) If the amount in (1) is greater than 1025 percent of Schedule RC-R, Part I, item 12, report
the difference in this itemacross items 13., 24, or 45, depending on the tier of capital the
investments in the capital of unconsolidated financial institutions qualifies. As mentioned
above, the institution can elect which investments it must deduct and which it must risk
weight. The institution’s election and the component of capital for which the underlying
instrument would qualify will determine if it will be deducted and reported in item 13 or be
deducted and reported in item 24 or 45.
(3) If the amount in (2) is less than 10or equal to 25 percent of Schedule RC-R, Part I, item
12, report zero in this item 13.

D

If the institution included embedded goodwill in Schedule RC-R, Part I, item 6, to avoid
double counting, the institution may net such embedded goodwill already deducted against
the exposure amount of the significant investment. For example, if an institution 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 institution would be
allowed to net such embedded goodwill against the exposure amount of such significant
investment (that is, the value of the investment would be $90 for purposes of the calculation
of the amount that would be subject to deduction).
Transition provisions for items subject to the threshold deductions:1a
(i) Calculate the amount as described in the instructions for this item 13.
(ii) Multiply the amount in (i) by 80 percent. Report this product as this item amount. In
addition:

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(iii) Subtract the amount in (ii) from the amount in (i), without regard to any associated DTLs;
assign it a 100 percent risk weight in accordance with transition provisions in section 300
of the regulatory capital rules. Report this amount in Schedule RC-R, Part II, item 2.b, 7,
or 8, as appropriate.

NOTE: The FFIEC 031 and FFIEC 041 instructions for Schedule RC-R, Part I, item 13, include Table 6. However,
Table 6 is not applicable to institutions that file the FFIEC 051 Call Report and, therefore, is not included in these
FFIEC 051 instructions for item 13.

D

R

AF

T

1a

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Part I. (cont.)
Item No.

Caption and Instructions

13
(cont.)

Example and a worksheet calculation:

(1)

Total investments in the capital of unconsolidated financial
institutions
Multiply the total common equity tier 1 capital subtotal by
25 percent.
Determine if (1) is greater than (2), and, if so, the difference
between (1) and (2) must be deducted from regulatory capital.
The amount of investments deducted from regulatory capital
can be deducted from the corresponding total amounts of
regulatory capital held by the institution that meet each type of
capital, as an institution chooses.

$20

$60 x 25% = $15

AF

(2)

T

Assumptions:
For example, assume that an institution:
• Has $20 of total investments in the capital of unconsolidated financial institutions;
• Of that $20, $9 are investments in common equity tier 1 capital instruments,
$7 are investments in tier 1 capital instruments, and $4 are investments in tier 2
capital instruments;
• Has total common equity tier 1 capital subtotal (reported in Schedule RC-R,
Part I, item 12) of $60;
• Has total additional tier 1 capital of $20; and
• Has total tier 2 capital of $3.

(3)

R

(4)

$20 > $15, so the amount
deducted is $20-$15 = $5
Total of $5 must be
deducted from regulatory
capital. Of that, $3 will be
deducted from the
institution’s $3 of tier 2
capital, and $2 will be
deducted from the
institution’s $20 of
additional tier 1 capital. No
deduction from common
equity tier 1 will be
reported in this item 13.

D

Since the CBLR framework does not have a total capital requirement, a CBLR electing
institution is neither required to calculate tier 2 capital nor make any deductions that would
have been taken from tier 2 capital under the generally applicable capital rule. Therefore, if a
CBLR electing institution has investments in the capital instruments of an unconsolidated
financial institution that would qualify as tier 2 capital of the electing institution under the
generally applicable capital rule (tier 2 qualifying investments), and the institution’s total
investments in the capital of unconsolidated financial institutions exceed the threshold for
deduction, the institution is not required to deduct the tier 2 qualifying investments.

FFIEC 051

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Part I. (cont.)
Item No.

Caption and Instructions

13
(cont.)

Example for a CBLR electing institution and a worksheet calculation:

(1)
(2)

Total investments in the capital of unconsolidated financial
institutions
Multiply the total common equity tier 1 capital subtotal by
25 percent.
Determine if (1) is greater than (2), and, if so, the difference
between (1) and (2) must be deducted from regulatory capital.
The amount of investments deducted from regulatory capital
can be deducted from the corresponding total amounts of
regulatory capital held by the institution that meet each type of
capital, as an institution chooses.

$20

$60 x 25% = $15

$20 > $15, so the amount
deducted is $20-$15 = $5
Total of $5 must be
deducted from regulatory
capital. Since institutions
have the flexibility to
choose which items are
deducted, they can elect to
allocate the tier 1
investments first. As a
result, the remaining
investment that exceeds
the threshold would be tier
2 instruments. Therefore,
since CBLR electing
institutions are not required
to make tier 2 deductions,
no deduction is necessary.

AF

(3)

T

Assumptions:
For example, assume that a CBLR electing institution:
• Has $20 of total investments in the capital of unconsolidated financial institutions;
• Of that $20, $15 are investments in tier 1 capital instruments, and $5 are investments
in tier 2 capital instruments; and
• Has total common equity tier 1 capital subtotal (reported in Schedule RC-R, Part I,
item 12) of $60.

D

R

(4)

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FFIEC 051

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Part I. (cont.)
Item No.
14

Caption and Instructions
LESS: MSAs, net of associated DTLs, that exceed the 1025 percent common equity
tier 1 capital deduction thresholdof item 12. Report the amount of MSAs included in
Schedule RC-M, item 2.a, net of associated DTLs, that exceed the 1025 percent common
equity tier 1 capital deduction threshold as follows:

T

(1) Take the amount of MSAs as reported in Schedule RC-M, item 2.a, net of associated
DTLs.
(2) If the amount in (1) is greater than 1025 percent of Schedule RC-R, Part I, item 12, report
the difference in this item 14.
(3) If the amount in (1) is less than 1025 percent of Schedule RC-R, Part I, item 12, enter
zero in this item 14.

AF

Transition provisions: Follow the transition provisions in the instructions for
Schedule RC-R, Part I, item 13 (that is, apply 80 percent of the deduction and a 100 Apply a
250 percent risk -weight to the portion of itemsMSAs that are not deducted from common
equity tier 1 capital, without regard to any associated DTLs, except for institutions that are
subject to the CBLR framework.
Example and a worksheet calculation:).

Assumptions:
For example, assume that an institution:
• Has $20 of MSAs, net of associated DTLs; and
• Has total common equity tier 1 capital subtotal (reported in RC-R, Part I, item 12)
of $60.

(1)

Total amount of MSAs, net of associated DTLs.

$20

(2)

Multiply the total common equity tier 1 capital subtotal by
25 percent.
Determine if (1) is greater than (2), and, if so, the difference
between (1) and (2) must be deducted from regulatory capital.

$60 x 25% = $15

R

(3)

15

$20 > $15, so the amount
deducted is $20-$15 = $5

LESS: 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 1025 percent common equity tier 1 capital deduction thresholdof item
12.

D

(1) Determine the amount of DTAs arising from temporary differences that could not be
realized through net operating loss carrybacks net of any related valuation allowances
and net of associated DTLs (for example, DTAs resulting from the institution’s allowance
for loan and lease losses (ALLL) or allowances for credit losses (ACL), as applicable).
(2) If the amount in (1) is greater than 1025 percent of Schedule RC-R, Part I, item 12, report
the difference in this item 15.
(3) If the amount in (1) is less than 1025 percent of Schedule RC-R, Part I, item 12, enter
zero in this item 15.

DTAs arising from temporary differences that could be realized through net operating loss
carrybacks are not subject to deduction, and instead must be assigned to a 100 percent riskweight category. For an institution that is a member of a consolidated group for tax purposes,
the amount of DTAs that could be realized through net operating loss carrybacks may not
exceed the amount that the institution could reasonably expect to have refunded by its parent
holding company.

FFIEC 051

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(3-1920)

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FFIEC 051

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Part I. (cont.)

15

16
(cont.)

Caption and Instructions
Transition provisions: Follow the transition provisions in the instructions for Schedule RC-R,
Part I, item 13 (that is, apply 80 percent of the deduction and a 100Apply a 250 percent risk weight to the portion of items not deducted).
LESS: Amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock, net of associated DTLs; 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 that are not deducted from common equity tier 1
capital deduction threshold. , without regard to any associated DTLs, except for institutions
subject to the CBLR framework.

T

Item No.

The aggregate amount of the threshold items (that is, significant investments in the capital of
unconsolidated financial institutions in the form of common stock, net of associated DTLs;
MSAs, net of associated DTLs; and Example and a worksheet calculation:

AF

Assumptions:

D

R

For example, assume that an institution:
• Has $20 of DTAs arising from temporary differences that could not be realized
through net operating loss carrybacks, net of any related valuation allowances and
net of associated DTLs) may not exceed 15 percent of the institution’s common
equity tier 1 capital, net of applicable adjustments; and deductions (the 15 percent
common equity tier 1 capital deduction threshold).

FFIEC 051

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(3-1920)

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Part I. (cont.)
Item No.

Caption and Instructions

16
(cont.)

Transition provisions:

AF

T

A. Calculate this item 16 as follows:
(i) Calculate the aggregate amount of the threshold items before deductions:
a. Significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs (Schedule RC-R, Part I, item 13,
step 1);
b. MSAs, net of associated DTLs (Schedule RC-R, Part I, item 14, step 1); and
c. DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of any related valuation allowance and net of
DTLs (Schedule RC-R, Part I, item 15, step 1).
(ii) Multiply the amount in Schedule RC-R, Part I, item 12 (Subtotal) by 15 percent. This
is the 15 percent common equity deduction threshold for transition purposes.
(iii) Sum up the amounts that would have been reported in Schedule RC-R, Part I,
items 13, 14, and 15 prior to applying the transition provisions (that is, as if the
10 percentHas total common equity tier 1 capital deduction threshold were fully phased
in).
(iv) Deduct (iii) from (i).
(v) Deduct (ii) from (iv). If this amount is negative, enter zero in this item 16.
(vi) Multiply the amount in (v) by 80 percent. Report the resulting amount in this item 16.
Example and a worksheet calculation:

D

R

Assume the following balance sheet amounts prior to deduction of these items:
• Common equity tier 1 capital subtotal amount (reported in Schedule RC-R, Part I,
item 12 = $100 ) of $60.
• Significant investments in the common shares of unconsolidated financial institutions,
net of associated DTLs = $15
• MSAs, net of associated DTLs = $7
• DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of any related valuation allowance and net of
DTLs = $6
• Amount of each item that exceeds the 10% common equity tier 1 capital deduction
threshold (as if the amounts subject to the 10% limit were fully phased in):
 Significant investments in the common shares of unconsolidated financial
institutions net of associated DTLs = $5 (amount that would have been reported
in Schedule RC-R, Part I, item 13, if the amount were fully phased in)
 MSAs net of associated DTLs = $0 (amount that would have been reported in
Schedule RC-R, Part I, item 14, if the amount were fully phased in)
 DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks net of any related valuation allowances and net of
DTLs = $0 (amount that would have been reported in Schedule RC-R, Part I,
item 15, if the amount were fully phased in).
Calculation steps:
(i) Sum of the significant investments in the common shares of unconsolidated financial
institutions, MSAs, and DTAs (all net of associated DTLs) before deductions:
$15 + $7 + $6 = $28
(ii) 15% of the amount from Schedule RC-R, Part I, item 12: 15% x $100 = $15
(iii) Sum of the amounts that would have been reported in Schedule RC-R, Part I,
items 13, 14, and 15, if the amounts subject to the 10% common equity tier 1 capital
deduction threshold were fully phased in: $5

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(3-1920)

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Part I. (cont.)
Item No.

Caption and Instructions
(1)

(2)

$60 x 25% = $15
$20 > $15, so the amount
deducted is $20-$15 = $5

(iv) Deduct the amount in step (iii) from the amount in step (i): $28 - $5 = $23 (This is
the amount of these three items that remains after the 10% deductions are taken.)
(v) Deduct the amount in step (ii) from the amount in step (iv): $23 - $15 = $8 (This is an
additional deduction that must be taken).
(vi)
Determine the amount of the deduction for theNot applicable calendar year: $8 x
80% (amount that applies in calendar year 2017) = $6.40.

D

R

AF

16
(cont.)

$20

T

(3)

Total amount of DTAs arising from temporary differences that
could not be realized through net operating loss carrybacks,
net of any related valuation allowances and net of associated
DTLs.
Multiply the total common equity tier 1 capital subtotal by
25 percent.
Determine if (1) is greater than (2), and, if so, the difference
between (1) and (2) must be deducted from regulatory capital.

FFIEC 051

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(3-1820)

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FFIEC 051

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Part I. (cont.)
Item No.

T

17

Caption and Instructions
Report $6.40 in this item 16.
LESS: 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 investments in own additional tier 1 and tier 2 capital instruments,
reciprocal cross-holdings, non-significant investments in the capital of unconsolidated
financial institutions, and non-common stock significantand investments in the capital of
unconsolidated financial institutions if the reporting institution does not have a sufficient
amount of additional tier 1 capital before deductions (reported in item 23) and tier 2 capital
before deductions (reported in item 3242.a) to absorb these deductions in Schedule RC-R,
Part I, items 24 or 3345, as appropriate. Similarly, institutions should report the total amount
of any deductions to be made during the transition period pursuant to section 300(b) of the
regulatory capital rules if the reporting institution does not have a sufficient amount of
additional tier 1 capital before deductions or tier 2 capital before deductions to absorb these
deductions.

18

Total adjustments and deductions for common equity tier 1 capital. Report the sum of
Schedule RC-R, Part I, items 13 through 17.
Common equity tier 1 capital. Report Schedule RC-R, Part I, item 12 less item 18.
TheExcept for a CBLR electing institution under the CBLR framework, the amount reported in
this item is the numerator of the institution’s common equity tier 1 risk-based capital ratio.

D

R

19

AF

Since the CBLR framework does not have a total capital requirement, a CBLR electing
institution is neither required to calculate tier 2 capital nor make any deductions that would
have been taken from tier 2 capital under the generally applicable capital rule. Therefore, if
an electing institution has investments in the capital instruments of an unconsolidated
financial institution that would qualify as tier 2 capital of the CBLR electing institution under
the generally applicable capital rule (tier 2 qualifying investments), and the institution’s total
investments in the capital of unconsolidated financial institutions exceed the threshold for
deduction, the institution is not required to deduct the tier 2 qualifying investments.

FFIEC 051

RC-R-23
(3-1820)

RC-R – REGULATORY CAPITAL

41

T
AF

D

R

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Part I. (cont.)
Item No.

Caption and Instructions

Additional Tier 1 Capital
20

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, and any other capital instrument and related surplus that satisfy all the eligibility
criteria for additional tier 1 capital instruments in section 20(c) of the regulatory capital rules
of the institution’s primary federal supervisor.

Non-qualifying capital instruments subject to phase out from additional tier 1 capital.
Report the amount of non-qualifying capital instruments that may not be included in additional
tier 1 capital, as described in Schedule RC-R, Part I, item 20, and that is subject to phase out
from additional tier 1 capital.

AF

21

T

Include instruments that (i) were issued under the Small Business Jobs 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 primary federal supervisor’s general risk-based capital
rules (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 an
institution that is not publicly-traded.

Depository institutions may include in regulatory capital debt or equity instruments issued
prior to September 12, 2010, that do not meet the criteria for additional tier 1 or tier 2 capital
instruments in section 20 of the regulatory capital rules but that were included in tier 1 or
tier 2 capital, respectively, as of September 12, 2010 (non-qualifying capital instruments
issued prior to September 12, 2010) up to the percentage of the outstanding principal amount
of such non-qualifying capital instruments as of January 1, 2014, in accordance with Table 7
below.

R

The amount of non-qualifying capital instruments that is excluded from additional tier 1 capital
in accordance with Table 7 may be included in tier 2 capital (in Schedule RC-R, Part I,
item 2840) without limitation, provided the instruments meet the criteria for tier 2 capital set
forth in section 20(d) of the regulatory capital rules.
Transition provisions for non-qualifying capital instruments includable in additional
tier 1 or tier 2 capital:

D

Table 7 applies separately to additional tier 1 and tier 2 non-qualifying capital instruments.
For example, an institution that has $100 in non-qualifying tier 1 instruments may include up
to $50 20 in additional tier 1 capital in 20172020, and $4010 in 20182021. If that same
institution has $100 in non-qualifying tier 2 instruments, it may include up to $5020 in tier 2
capital in 20172020 and $4010 in 20182021.
If the institution is involved in a merger or acquisition, it should treat its non-qualifying capital
instruments following the requirements in section 300 of the regulatory capital rules.

FFIEC 051

RC-R-25
(3-1820)

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43

FFIEC 051

RC-R – REGULATORY CAPITAL

Part I. (cont.)
Caption and Instructions

21
(cont.)

Transition period

Percentage of non-qualifying capital instruments
includable in additional tier 1 or tier 2 capital

Calendar year 2017
Calendar year 2018
Calendar year 2019
Calendar year 2020
Calendar year 2021
Calendar year 2022
and thereafter

50
40
30
20
10
0

Tier 1 minority interest not included in common equity tier 1 capital. Report the amount
of tier 1 minority interest not included in common equity tier 1 capital that is includable at the
consolidated level, calculated as described below and in section 21 of the regulatory capital
rules.

AF

22

Table 7 – Percentage of non-qualifying capital instruments includable in additional
tier 1 or tier 2 capital during the transition period

T

Item No.

For each consolidated subsidiary, perform the calculations in steps (1) through (10) of the
worksheet below. Sum the results from step 10 for each consolidated subsidiary and report
the aggregate number in this item 22.
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.

R

Institutions are able to include tier 1 minority interest up to 10 percent of the parent banking
organization’s tier 1 capital. The 10 percent limitation is measured before the inclusion of any
minority interest and after the deductions from and adjustments to the regulatory capital of
the parent banking organization described in sections 22(a) and (b) of the regulatory capital
rules. Tier 1 minority interest is the portion of tier 1 capital in a reporting institution’s
subsidiary not attributable, directly or indirectly, to the parent institution. Note that an
institution may only include tier 1 minority interest if the capital instruments issued by the
subsidiary meet all of the criteria for tier 1 capital (qualifying tier 1 capital instruments).

D

Example and a worksheet calculation: Calculate tier 1 minority interest not included in
common equity tier 1 capitalminority interest includable at the institutionreporting institution’s
level as follows:
Assumptions:
Assumptions:
•
•
•

FFIEC 051

This is a continuation of the example for all institutions, except advanced approaches
institutions, used for common equity tier 1 minority interest in the instructions for
Schedule RC-R, Part I, item 4.
Assumptions and calculation from Schedule RC-R, Part I, item 4.:
For this example, assume that risk-weighted assets of the subsidiary are the same as the
risk-weighted assets of the institution that relate to the subsidiary: $1,000 in each case.

RC-R-26
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Subsidiary’s tier 1 capital: $110, which is composed of subsidiary’s The parent
banking organization’s common equity tier 1 before minority interest and
common equity tier 1 capital $80adjustments and deductions is $100.
o Common equity tier 1 capital adjustments and deductions is $10.
The parent banking organization’s additional tier 1 capital instruments before minority
interest and additional tier 1 capital of $30.deductions equal $15.
Subsidiary’s common equityAdditional tier 1 capital deductions equal $4.
Subsidiary A has $6 of additional tier 1 minority interest (that is, owned by minority
shareholders: $24.).
Subsidiary’sSubsidiary B has $6 of additional tier 1 capitalminority interest (that is, owned
by minority shareholders: $15).
Other relevant numbers are taken from the example in Schedule RC-R, Part I, item 4.

•
•
•
•
•
(1)
(2)

Determine the risk-weighted assets of the subsidiary.
$1,000
Using the standardized approach, determine the standardized risk$1,000
weighted assets of the reporting institution that relate to the subsidiary.
Note that the amount in this step (2) may differ from the amount in step
(1) due to intercompany transactions and eliminations in consolidation.
The subsidiary’s tier 1 minority interest (that is, owned by minority shareholders) is $24
($12 of common equity tier 1 minority interest and $12 of minority interest in the form of
additional tier 1 instruments).

AF

•

T

o

(1)

(2)

R

(3)

Common equity tier 1 capital before CET1 minority interest + Additional tier
1 capital instruments before minority interest - additional tier 1 capital
deductions =
Schedule RC-R, Part I, sum of items 19, 20, and 21, minus item 4 minus
item 24.
Multiply step (1) by 10 percent. This is the maximum includable tier 1
minority interest from all subsidiaries.
Determine the lower of (2) or the tier 1 minority interest from all
subsidiaries.

From (3), subtract out the common equity tier 1 minority interest reported in
Schedule RC-R, Part I, item 4. This is the “tier 1 minority interest not
included in common equity tier 1 minority interest includable at the reporting
institution’s level” to be included in Schedule RC-R, Part I, item 22.

$101 x 10%
= $10.1
Minimum of
($10.1 from
Step 2 or $24
from the
assumptions)
= $10.1
$10.1 - $9 =
$1.1

D

(4)

$90+$15$4=$101

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FFIEC 051

(3)

Multiply the lower of (1) or (2) by 8.5%. 3

(4)

Determine the dollar amount of tier 1 capital for the subsidiary. If this
amount is less than step (3), enter the sum of common equity tier 1 and
additional tier 1 minority interest ($39 in this example) in step (9).
Otherwise continue on to step (5).
Subtract the amount in step (3) from the amount in step (4). This is the
“surplus tier 1 capital of the subsidiary.”
Determine the percent of the subsidiary’s qualifying tier 1 capital
instruments that are owned by third parties (the minority shareholders).

(5)
(6)

(7)

Multiply the percentage from step (6) by the dollar amount in step (5).
This is the “surplus tier 1 minority interest of the subsidiary.”
Determine the total amount of tier 1 minority interest of the subsidiary.
Then subtract the surplus tier 1 minority interest of the subsidiary
(step 7) from this amount.

AF

(8)

(9)

(10)

$1,000 x
8.5% = $85
$110

$110 - $85 =
$25
$24 + 15 =
$39. Then
$39/$110 =
35.45%
35.45% x $25
= $8.86
$24 + $15 =
$39. Then
$39 - $8.86 =
$30.14
$30.14

T

22
(cont.)

RC-R – REGULATORY CAPITAL

The “tier 1 minority interest includable at the reporting institution’s level”
is the amount from step (8) (or from step (4) when there is no surplus
tier 1 minority interest of the subsidiary).
Subtract any minority interest that is included in common equity tier 1
capital (from Schedule RC-R, Part I, item 4). The result is the minority
interest included in additional tier 1 capital.

$30.14 - $21
(from
example in
item 4) =
$9.14.

R

Note: As indicated, this example built onto the example under the instructions for item 4,
where the subsidiary was a depository institution, and where its common equity tier 1 minority interest
was includable in common equity tier 1 capital. However, if this were a subsidiary other than a depository
institution, none of its minority interest arising from common equity tier 1 would have been includable in
common equity tier 1 capital. If the subsidiary in the example were not a depository institution, the full
calculated amount of minority interest ($30.14) would be includable in additional tier 1 capital of the
reporting institution since none of it would have been includable in common equity tier 1 capital.

D

Transition provisions: If an institution has non-qualifying minority interest and/or surplus
minority interest, it will report the amount includable in additional tier 1 capital in this item 22. For surplus
minority interest and non-qualifying minority interest that can be included in additional tier 1 capital during
the transition period, follow the transition provisions in the instructions for Schedule RC-R, Part I, item 4,
after taking into consideration (that is, excluding) any amount of surplus common equity tier 1 minority
interest (from step 7 of the worksheet in item 4). In the example (and assuming no outstanding amounts
of non-qualifying minority interest), the institution has $5.86 of surplus tier 1 minority interest available to
be included during the transition period in additional tier 1 capital ($8.86 (from step 7 of the worksheet in
item 22) of surplus tier 1 minority interest minus $3.00 (from step 7 of the worksheet in

The percentage multiplier in step (3) is the capital ratio necessary for the subsidiary depository institution to avoid
restrictions on distributions and discretionary bonus payments.
3

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FFIEC 051

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Part I. (cont.)
Item No.

Caption and Instructions

22
(cont.)

item 4) of common equity tier 1 minority interest). In 2017, the institution would include an
additional $1.17 in item 22 (20% of $5.86). Starting in 2018, the institution would include the
amount of surplus minority interest included in 2017 (20% of $5.86 or $1.17) in regulatory
capital.
Additional tier 1 capital before deductions. Report the sum of Schedule RC-R, Part I,
items 20, 21, and 22.

24

LESS: Additional tier 1 capital deductions. Report additional tier 1 capital deductions as
the sum of the following elements.

T

23

AF

Note that an institution should report additional tier 1 capital deductions in this item 24
irrespective of the amount of additional tier 1 capital before deductions reported in
Schedule RC-R, Part I, item 23. If an institution does not have a sufficient amount of
additional tier 1 capital before deductions in item 23 to absorb these deductions, then the
institution must deduct the shortfall from common equity tier 1 capital in Schedule RC-R,
Part I, item 17. For example, if an institution reports $0 of “Additional tier 1 capital before
deductions” in Schedule RC-R, Part I, item 23, and has $100 of additional tier 1 capital
deductions, the institution would report $100 in this item 24, add $100 to the amount to be
reported in Schedule RC-R, Part I, item 17, and report $0 in Schedule RC-R, Part I, item 25,
“Additional tier 1 capital.”

(1) Investments in own additional tier 1 capital instruments. Report the institution’s
investments in (including any contractual obligation to purchase) its own additional tier 1
capital instruments, whether held directly or indirectly.
An institution may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty risk.

R

The institution must look through any holdings of index securities to deduct investments
in its own capital instruments. In addition:

D

(i) Gross long positions in investments in an institution’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 institution’s internal control
processes.

Transition provisions: Follow the transition provisions for investments in the
institution’s own shares, including Table 5, in the instructions for Schedule RC-R, Part I, item 1
(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 institution
holds reciprocally, where such reciprocal cross-holdings result from a formal or informal
arrangement to swap, exchange, or otherwise intend to hold each other’s capital
instruments. If the institution 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.

FFIEC 051

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Part I. (cont.)
Item No.
24
(cont.)

Caption and Instructions
For example, if an institution 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 Schedule RC-R, Part I, item 17.
Transition provisions: Follow the transition provisions for reciprocal cross-holdings
in the capital of financial institutions, including Table 5, in the instructions for
Schedule RC-R, Part I, item 10.b.

T

(3) Non-significant investments in additional tier 1Investments in the capital of
unconsolidated financial institutions that exceed the 1025 percent threshold for
non-significant investments. As noted in the instructions for Schedule RC-R, Part I,
item 11 above, 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:

AF

(1)
Determine the aggregate amount of non-significantto be deducted from
additional tier 1 capital. Report the total amount of investments in the capital of
unconsolidated financial institutions in the form of common stock, additional tier 1 capital,
and tier 2 capital. 1 capital that exceeds the 25 percent threshold. Calculate this amount
as follows:
(2
(1) Determine the amount of non-significantinvestments in the capital of unconsolidated
financial institutions, net of associated DTLs.

R

(2) If the amount in (1) is greater than 25 percent of Schedule RC-R, Part I, item 12,
report the difference across items 13, 24, or 43, depending on the tier of capital for
which the investments in the capital of unconsolidated financial institutions qualify.
The institution can elect which investments it must deduct and which it must risk
weight. Depending on the institution’s election and the component of capital for
which the underlying instrument would qualify will determine if it will be deducted and
reported in Schedule RC-R, Part I, item 13, or be deducted and reported in
Schedule RC-R, Part I, item 24 or 43.
(3) If the amount in (1) is less than 25 percent of Schedule RC-R, part I, item 12, no
deduction is needed.

D

See Schedule RC-R, Part I, item 13 for an example of how to deduct amounts of 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 ten percent threshold for non-significant
investments (Schedule RC-R, Part I, item 11, step (4)), then multiply the difference by
the ratio of (2) over (1). Report this product in this item 24.
(4)
If the amount in (1) is less than that exceed the 1025 percent
threshold for non-significant investments, report zero.
For example, assume an institution has a total of $200 in non-significant investments
(step 1), including $60 in the form of additional tier 1 capital (step 2), and its ten percent
threshold for non-significant investments is $100 (as calculated in step 4 of item 11).
Since the aggregate amount of non-significant investments exceeds the ten percent
threshold for non-significant investments by $100 ($200-$100), the institution would
multiply $100 by the community bank leverage ratio of 60/200 (step 3). Thus, theframework
does not have a total capital requirement, a CBLR electing institution would needis neither
required to deduct $30 from its additionalcalculate tier 12 capital.

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Transition provisions: Follow the transition provisions for investments in nor make any
deductions that would have been taken from tier 2 capital instruments in the instructions for
Schedule RC-R, Part I, item 11.

T

(4)
Significant under the generally applicable rule. Therefore, if a CBLR
electing institution has investments in the capital instruments of an unconsolidated
financial institutions not in the form of common stock to be deducted from
additional institution that would qualify as tier 12 capital. Report the of the CBLR
electing institution under the generally applicable rule (tier 2 qualifying investments),
and the institution’s total amount of significant investments in the capital of
unconsolidated financial institutions in the form of additional tier 1 capitalexceed the
threshold for deduction, the institution is not required to deduct the tier 2 qualifying
investments.
Transition provisions: Follow the transition provisions for investments in capital
instruments in the instructions for Schedule RC-R, Part I, item 11.

AF

(5
(4) 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 and investments in the tier 2 capital
of unconsolidated financial institutions).

D

R

Also include adjustments and deductions related to DTAs that arise from net operating
loss and tax credit carryforwards, gain-on-sale in connection with a securitization CBLR
eligible institutions that opt into the community bank leverage ratio framework are not
required to calculate tier 2 capital and would not be required to make any deductions that
would be taken from tier 2 capital.

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Part I. (cont.)
Caption and Instructions

24
(cont.)

In addition, insured state banks with real estate subsidiaries whose continued operations
have been approved by the FDIC pursuant to Section 362.4 of the FDIC's Rules and
Regulations generally should include as a deduction from additional tier 1 capital their equity
investment in the subsidiary. (Insured state banks with FDIC-approved phase-out plans for
real estate subsidiaries need not make these deductions.) Insured state banks with other
subsidiaries (that are not financial subsidiaries) whose continued operations have been
approved by the FDIC pursuant to Section 362.4 should include as a deduction from
additional Tier 1 capital the amount required by the approval order. exposure, 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
described in Table 4 in the instructions for Schedule RC-R, Part I, item 8.
Additional tier 1 capital. Report the greater of Schedule RC-R, Part I, item 23 minus
item 24, or zero.

25

Tier 1 Capital

Tier 1 capital. Report the sum of Schedule RC-R, Part I, items 19 and 25.

AF

26

T

Item No.

Total Assets for the Leverage Ratio
27

Average total consolidated assets. All banks and savings associations must report the
amount of average total consolidated assets as reported in Schedule RC-K, item 9.

R

An institution that has adopted FASB Accounting Standards Update No. 2016-13, which
governs the accounting for credit losses and introduces the current expected credit losses
methodology (CECL), and has elected to apply the CECL transition provision (CECL electing
institution) should increase its average total consolidated assets by its applicable CECL
transitional amount, in accordance with section 301(c)(1)(iv) of the regulatory capital rules.
For example, a CECL electing institution should increase its average total consolidated
assets as reported on the Call Report for purposes of the leverage ratio by 75 percent of its
CECL transitional amount during the first year of the transition period, 50 percent of its CECL
transitional amount during the second year of the transition period, and 25 percent of its
CECL transitional amount during the third year of the transition period (see Table X in the
instructions for Schedule RC-R, Part I, item 2).

28

LESS: Deductions from common equity tier 1 capital and additional tier 1 capital.

Report the sum of the amounts deducted from common equity tier 1 capital and additional
tier 1 capital in Schedule RC-R, Part I, items 6, 7, 8, 10.b, 13 through 15, 17, and 24.

D

Also exclude the amount reported in Schedule RC-R, Part I, item 17 that is due to insufficient
amounts of additional tier 1 capital, and which is included in the amount reported in
Schedule RC-R, Part I, item 24. (This is to avoid double counting.)

29

FFIEC 051

LESS: Other deductions from (additions to) assets for leverage ratio purposes. Based
on the regulatory capital rules of the bank’s primary federal supervisor, report the amount of
any deductions from (additions to) total assets for leverage capital purposes that are not
included in Schedule RC-R, Part I, item 28, as well as the items below, if applicable. 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.

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Institutions that make the AOCI opt-out election in Schedule RC-R, Part I, item 3.a –
Defined benefit postretirement plans:
If the reporting institution sponsors a single-employer defined benefit postretirement plan,
such as a pension plan or health care plan, accounted for in accordance with ASC Topic 715,
Part I. (cont.)
Caption and Instructions

29
(cont.)

Compensation-Retirement Benefits (formerly FASB Statement No. 158, “Employers’
Accounting for Defined Benefit Pension and Other Postretirement Plans”), the institution
should adjust total assets for leverage ratio purposes for any amounts included in
Schedule RC, item 26.b, “Accumulated other comprehensive income” (AOCI), affecting
assets as a result of the initial and subsequent application of ASC Topic 715. The
adjustment also should take into account subsequent amortization of these amounts from
AOCI into earnings. The intent of the adjustment reported in this item (together with the
amount reported in Schedule RC-R, Part I, item 9.d) is to reverse the effects on AOCI of
applying ASC Topic 715 for regulatory capital purposes. Specifically, assets recognized or
derecognized as an adjustment to AOCI as part of the incremental effect of applying ASC
Topic 715 should be reported as an adjustment to total assets for leverage ratio purposes.
For example, the derecognition of an asset recorded as an offset to AOCI as part of the initial
incremental effect of applying ASC Topic 715 should be added back to total assets for
leverage ratio purposes by reporting the amount as a negative number in this item. As
another example, the portion of a benefit plan surplus asset that is included in Schedule RC,
item 26.b, as an increase to AOCI and in total assets should be deducted from total assets
for leverage ratio purposes by reporting the amount as a positive number in this item.

AF

T

Item No.

Institutions that do not make the AOCI opt-out election and all advanced approaches
institutions – Available-for-sale securities:

D

R

Available-for-sale debt securities and available-for-sale equity securities are reflected at
amortized cost and at the lower of cost or fair value, respectively, when calculating average
total consolidated assets for Schedule RC-K, item 9. Therefore, include in this item as
deductions from (additions to) assets for leverage ratio purposes the amounts needed to
adjust (i) the quarterly average for available-for-sale debt securities included in
Schedule RC-K, item 9, from an average based on amortized cost to an average based on
fair value, and (ii) the quarterly average for available-for-sale equity securities included in
Schedule RC-K, item 9, from an average based on the lower of cost or fair value to an
average based on fair value. If the deferred tax effects of any net unrealized gains (losses)
on available-for-sale debt securities were excluded from the determination of average total
consolidated assets for Schedule RC-K, item 9, also include in this item as a deduction from
(addition to) assets for leverage ratio purposes the quarterly average amount necessary to
reverse the effect of this exclusion on the quarterly average amount of net deferred tax
assets included in Schedule RC-K, item 9.
Financial Subsidiaries:
If a financial subsidiary is not consolidated into the bank for purposes of the bank’s balance
sheet, include in this item 29 as a deduction from the bank’s average total assets (as
reported in Schedule RC-R, Part I, item 27) the quarterly average for the bank's ownership
interest in the financial subsidiary accounted for under the equity method of accounting that is
included in the bank’s average total assets reported in Schedule RC-K, item 9.
If a financial subsidiary is consolidated into the bank for purposes of the bank’s balance
sheet, include in this item 29 as a deduction from the bank’s average total assets (as
reported in Schedule RC-R, Part I, item 27) the quarterly average of the assets of the
subsidiary that have been included in the bank’s consolidated average total assets reported
in Schedule RC-K, item 9; minus any deductions from common equity tier 1 capital and

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additional tier 1 capital attributable to the financial subsidiary that have been included in
Schedule RC-R, Part I, item 28; and plus the quarterly average of bank assets representing
claims on the financial subsidiary, other than the bank’s ownership interest in the subsidiary,
that were eliminated in consolidation. Because the bank’s claims on the subsidiary were
eliminated in consolidation, these bank assets were not included in the bank’s consolidated
Part I. (cont.)
Item No.

Caption and Instructions

29
(cont.)

average total assets reported in Schedule RC-K, item 9.

T

Non-Includable Subsidiaries:

30

AF

A savings association with a non-includable subsidiary should include in this item 29 a
deduction from average total assets (as reported in Schedule RC-R, Part I, item 27)
determined in the same manner as described above for financial subsidiaries, except that for
a non-includable subsidiary accounted for under the equity method of accounting, the
deduction should be the quarterly average for the savings association’s outstanding
investments (both equity and debt) in, and extensions of credit to, the subsidiary.
Total assets for the leverage ratio. Report Schedule RC-R, Part I, item 27, less items 28
and 29.

Leverage Ratio
31
31.a

Leverage ratio. Report the institution’s leverage ratio as a percentage, rounded to four
decimal places. Divide Schedule RC-R, Part I, item 26 by item 30.
Does your institution have a community bank leverage ratio (CBLR) framework
election in effect as of the quarter-end report date?
Enter “1” for Yes or enter “0” for No. Refer to the qualifying criteria for using the CBLR
framework, which are explained in Schedule RC-R, Part I, items 32 through 34, below.

R

Qualifying Criteria and Other Information for CBLR Institutions

D

Schedule RC-R, Part I, items 32 through 38, are to be completed only by qualifying institutions that have
elected to adopt the community bank leverage ratio (CBLR) framework or are within the grace period as
of the quarter-end report date. (For further information on the grace period, see the General Instructions
for Schedule RC-R, Part I.) If your institution entered “1” in item 31.a, then items 32 through 38 must be
completed. Institutions that do not qualify for, or have not adopted, the community bank leverage ratio
framework as of the quarter-end report date should leave Schedule RC-R, Part I, items 32 through 38,
blank and go to Schedule RC-R, Part I, item 39. A qualifying institution can opt out of the community
bank leverage ratio framework by completing Schedule RC-R, Parts I and II, excluding Schedule RC-R,
Part I, items 32 through 38.
32

Total assets. Report total assets from Schedule RC, item 12. A bank’s total assets must be
less than $10 billion as part of the qualifying criteria for the CBLR framework.

33

Trading assets and trading liabilities. Report in Column A the sum of trading assets from
Schedule RC, item 5, and trading liabilities from Schedule RC, item 15 (i.e., added, not
netted).
Report in Column B the sum of trading assets and trading liabilities as a percentage of total
assets by dividing the amount of trading assets and trading liabilities reported in column A of
this item by total assets reported in Schedule RC-R, Part I, item 32 above, rounded to four
decimal places. The percentage reported in this item must be 5 percent or less of total
assets as part of the qualifying criteria for the CBLR framework.

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34

Off-balance sheet exposures. Report in the appropriate subitem the specified off-balance
sheet exposure amounts.
Part I. (cont.)
Caption and Instructions

34.a

Unused portion of conditionally cancellable commitments. Report the amounts of
unused commitments, excluding unconditionally cancellable commitments that are reported
in Schedule RC-R, Part I, item 35, below. Include in this item legally binding arrangements
(other than letters of credit, which are reported in Schedule RC-R, Part I, item 34.c below)
that obligate a bank to extend credit or to purchase assets. Where a bank provides a
commitment structured as a syndication or participation, include the amount for the bank’s
pro rata share of the commitment.

T

Item No.

In general, this item would include the unused portion of commitments reported in
Schedule RC-L, item 1, that are not unconditionally cancelable.

Other off-balance sheet exposures. Report the sum of:
•

Financial standby letters of credit: Include the amount outstanding and unused of
financial standby letters of credit reported in Schedule RC-L, item 2.

•

Transaction-related contingent items, including performance bonds, bid bonds,
warranties, and performance standby letters of credit: Report transaction-related
contingent items, which include the amount outstanding and unused of performance
standby letters of credit reported in Schedule RC-L, item 3, and any other transactionrelated contingent items.

•

Self-liquidating, trade-related contingent items that arise from the movement of
goods: Include the amount outstanding and unused of self-liquidating, trade-related
contingent items that arise from the movement of goods reported in Schedule RC-L,
item 4, “Commercial and similar letters of credit.”

R

34.c

Securities lent and borrowed. Report the sum of securities lent from Schedule RC-L,
item 6.a, and securities borrowed from Schedule RC-L, item 6.b.

AF

34.b

Sold credit protection in the form of guarantees and credit derivatives: Include the
notional amount of sold credit protection in the form of guarantees or credit derivatives
(such as written credit option contracts). Do not include any non-credit derivatives, such
as foreign exchange swaps and interest rate swaps.

•

Credit-enhancing representations and warranties: Include the off-balance sheet
amount of exposures transferred with credit-enhancing representations and warranties as
defined in §.2 of the regulatory capital rule. Credit-enhancing representations and
warranties obligate an institution “to protect another party from losses arising from the
credit risk of the underlying exposures” and “include provisions to protect a party from
losses resulting from the default or nonperformance of the counterparties of the
underlying exposures or from an insufficiency in the value of the collateral backing the
underlying exposures.” Thus, when loans or other assets are sold “with recourse” and
the recourse arrangement provides protection from losses as described in the preceding
definition, the recourse arrangement constitutes a credit- enhancing representation and
warranty.

D

•

•

FFIEC 051

Forward agreements that are not derivative contracts: Include the notional amount of
all forward agreements, which are defined in §.2 of the regulatory capital rule as legally
binding contractual obligations to purchase assets with certain drawdown at a specified
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future date, not including commitments to make residential mortgage loans or forward
foreign exchange contracts.
•
Part I. (cont.)

Off-balance sheet securitizations: Report the notional amount of off-balance sheet

Caption and Instructions

34.c
(cont.)

items that qualify as securitization exposures. Refer to the definitions of securitization
exposure, synthetic securitization, traditional securitization, and tranche in §.2 of the
regulatory capital rules and to §.42 of the regulatory capital rules to calculate the relevant
exposure amount.

34.d

Total off-balance sheet exposures. Report in column A the sum of items 34.a through
34.c.

T

Item No.

AF

Report in column B total off-balance sheet exposures as a percentage of total assets by
dividing the total amount of off-balance sheet exposures reported in column A of this item by
total assets reported in Schedule RC-R, Part I, item 32 above, rounded to four decimal
places. The percentage reported in this item must be 25 percent or less as part of the
qualifying criteria for the CBLR framework.

NOTE: Items 35 through 38 are to be completed only by qualifying institutions that have a
leverage ratio that exceeds 9 percent or are within the grace period and have elected to adopt the
CBLR framework.
35

Unconditionally cancellable commitments. Report the unused portion of commitments
(facilities) that are unconditionally cancelable (without cause) at any time by the bank (to the
extent permitted by applicable law). In general, this item would include the amounts reported
in Schedule RC-L, items 1.a, 1.b, and 1.e.

R

In the case of consumer home equity or mortgage lines of credit secured by liens on 1-4
family residential properties, a bank is deemed able to unconditionally cancel the commitment
if, at its option, it can prohibit additional extensions of credit, reduce the credit line, and
terminate the commitment to the full extent permitted by relevant federal law.
Retail credit cards and related plans, including overdraft checking plans and overdraft
protection programs, are included in this item if the bank has the unconditional right to cancel
the line of credit at any time in accordance with applicable law.

Investments in the tier 2 capital of unconsolidated financial institutions. Report the
amount of investments in the tier 2 capital of unconsolidated financial institutions, net of
associated DTLs.

37

Allocated transfer risk reserve. Report the entire amount of any allocated transfer risk
reserve (ATRR) the reporting bank is required to establish and maintain as specified in
Section 905(a) of the International Lending Supervision Act of 1983, in the agency
regulations implementing the Act (Subpart D of Federal Reserve Regulation K, Part 347 of
the FDIC's Rules and Regulations, and 12 CFR Part 28, Subpart C (OCC)), and in any
guidelines, letters, or instructions issued by the agencies. The entire amount of the ATRR
equals the ATRR related to loans and leases held for investment (which is reported in
Schedule RI-B, Part II, Memorandum item 1) plus the ATRR for assets other than loans and
leases held for investment.

D

36

NOTE: Schedule RC-R, Part I, items 38.a through 38.c, should be completed only by institutions that
have adopted FASB Accounting Standards Update No. 2016-13 (ASU 2016-13), which governs the
accounting for credit losses. Institutions that have not adopted ASU 2016-13 should leave items 38.a
through 38.c blank.
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38

Amount of allowances for credit losses on purchased credit-deteriorated assets.
ASU 2016-13 introduces the concept of purchased credit-deteriorated (PCD) assets as a
replacement for purchased credit-impaired (PCI) assets. The PCD asset definition covers a
Part I. (cont.)
Caption and Instructions

38
(cont.)

broader range of assets than the PCI asset definition. As defined in ASU 2016-13,
“purchased credit-deteriorated assets” are acquired individual financial assets (or acquired
groups of financial assets with similar risk characteristics) accounted for in accordance with
ASC Topic 326, Financial Instruments‒Credit Losses, that, as of the date of acquisition, have
experienced a more-than-insignificant deterioration in credit quality since origination, as
determined by the acquiring institution’s assessment.

T

Item No.

38.a
38.b
38.c

AF

ASU 2016-13 requires institutions to estimate and record a credit loss allowance for a PCD
asset at the time of purchase. The credit loss allowance is then added to the purchase price
to determine the amortized cost basis of the asset for financial reporting purposes.
Post-acquisition increases in credit loss allowances on PCD assets will be established
through a charge to earnings. This accounting treatment for PCD assets is different from the
current treatment of PCI assets, for which institutions are not permitted to estimate and
recognize credit loss allowances at the time of purchase. Rather, in general, credit loss
allowances for PCI assets are estimated subsequent to the purchase only if there is
deterioration in the expected cash flows from the assets.
Loans and leases held for investment. Report all allowances for credit losses on PCD
loans and leases held for investment.

Held-to-maturity debt securities. Report all allowances for credit losses on PCD held-tomaturity debt securities.
Other financial assets measured at amortized cost. Report all allowances for credit
losses on all other PCD financial assets, excluding PCD loans and leases held for
investment, held-to-maturity debt securities, and available-for-sale debt securities.

R

NOTE: A qualifying institution that has decided to opt into the community bank leverage ratio
(CBLR) framework, does not need to complete any further items in Schedule RC-R, Parts I and II.
Tier 2 Capital

Tier 2 capital instruments plus related surplus. Report the portion of cumulative perpetual
preferred stock and related surplus included in Schedule RC, item 23; the portion of
subordinated debt and limited-life preferred stock and related surplus included in
Schedule RC, item 19; and any other capital instrument and related surplus that satisfy all the
eligibility criteria for tier 2 capital instruments in section 20(d) of the regulatory capital rules of
the institution’s primary federal supervisor.

D

2739

Include instruments that (i) were issued under the Small Business Jobs 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 non-qualifying capital instruments (e.g., trust preferred stock and
cumulative perpetual preferred stock) under the primary federal supervisor’s general riskbased capital rules.

2840

FFIEC 051

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 that are subject to phase-out.
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Depository institutions may include in regulatory capital debt or equity instruments issued
prior to September 12, 2010, that do not meet the criteria for additional tier 1 or tier 2 capital
instruments in section 20 of the regulatory capital rules but that were included in tier 1 or
tier 2 capital respectively as of September 12, 2010 (non-qualifying capital instruments issued
Part I. (cont.)

2941

prior to September 12, 2010) up to the percentage of the outstanding principal amount of
such non-qualifying capital instruments as of January 1, 2014, in accordance with Table 7 in
the instructions for Schedule RC-R, Part I, item 21.
Total capital minority interest that is not included in tier 1 capital. Report the aggregate
amount of total capital minority interest not included in tier 1 capital,, calculated as described
below. For each consolidated and in section 21 of the regulatory capital rules. Nonadvanced approaches institutions are able to include total capital minority interest up to 10
percent of the parent banking organization’s total capital. The 10 percent limitation is
measured before the inclusion of any minority interest and after the deductions from and
adjustments to the regulatory capital of the parent banking organization described in sections
22(a) and (b) of the regulatory capital rules. Total capital minority interest is the portion of
total capital in a reporting institution’s subsidiary, perform the calculations in steps (1) through
(10) below. Sum the results not attributable, directly or indirectly, to the parent institution.
Note that a reporting institution may only include total capital minority interest if the capital
instruments issued by the subsidiary meet all of the criteria for each consolidated subsidiary
and report the aggregate number in this item 29. capital (qualifying capital instruments).

T

40
(cont.)

Caption and Instructions

AF

Item No.

Part I. (cont.)
Item No.

Example and a worksheet calculation: Calculate total capital minority interest that is not
included in tier 1 capital includable at the institutionreporting institution’s level as follows:

D

R

29
(cont.)

Caption and Instructions

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Part I. (cont.)
Item No.

Caption and Instructions

41
(cont.)

Assumptions:

•
•

AF

•

This is a continuation of the example for all institutions, except advanced approaches
institutions, used in the instructions for Schedule RC-R, Part I, items 4 and 22.
For this example, assume that risk-weighted assets of the subsidiary are the same as the
risk-weighted assets of the institution that relate to the subsidiary: $1,000 in each case.
Subsidiary’s total capital: $130, which is composed of subsidiary’s Assumptions and
calculation from Schedule RC-R, Part I, item 4:
o Includable common equity tier 1 capital $80, andminority interest (see Schedule
RC-R, Part I, item 4) is $9.
o The parent banking organization’s common equity tier 1 capital before minority
interest and after deductions and adjustments is $90.
Assumptions and calculation from Schedule RC-R, Part I, item 22:
o Includable tier 1 minority interest that is not included in common equity tier 1
minority interest (see Schedule RC-R, Part I, item 22) is $1.1
o The parent banking organization’s additional tier 1 capital of $30, and tier 2
capital of $20.before minority interest and after deductions is $11 ($15 - $4).
Subsidiary’s common equityThe parent banking organization’s tier 12 capital owned
byinstruments before minority shareholders: $24.
Subsidiary’s additionalinterest and allowance for loan and lease losses includable in tier
12 capital (or adjusted allowances for credit losses (AACL), as applicable) is $20;
Additional tier 2 capital deductions equal $2.
The subsidiary’s total capital minority interest (that is, owned by minority shareholders:
$15) is $14.
Subsidiary’s total capitalSubsidiary A has $8 of minority interest in the form of tier 2
instruments (that is, owned by minority shareholders: $15.).
Other relevant numbers are taken from the examples in Schedule RC-R, Part I, items 4
and 22.

T

•

•
•
•
•
•
•

Subsidiary B has $6 of minority interest in the form of tier 2 instruments (that is, owned by
minority shareholders).

R

•

(1)
(2)

D

(3)

Determine the risk-weighted assets of the subsidiary.
Using the standardized approach, determine the risk-weighted
assets of the reporting institution that relate to the subsidiary. Note
that the amount in this step (2) may differ from the amount in step
(1) due to intercompany transactions and eliminations in
consolidation.
Determine the lower of (1) or (2), and multiply that amount by
10.5%. 4
Determine the dollar amount of total capital for the subsidiary. If this
amount is less than step (3), enter the sum of common equity tier 1,
additional tier 1, and total capital minority interest ($54 in this
example) in step (9). Otherwise continue on to step (5).Tier 1
capital after deductions and before minority interest + tier 2 capital
instruments before minority interest + allowance for loan and lease
losses (ALLL) or adjusted allowances for credit losses (AACL), as
applicable, for regulatory capital purposes that is includable in tier 2
capital - tier 2 capital deductions =

(4(1)

$1,000
$1,000

$1,000 x 10.5%
= $105
$130$101+$20$2=$119

The percentage multiplier in step (3) is the capital ratio necessary for a subsidiary depository institution to avoid
restrictions on distributions and discretionary bonus payments.
4

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(5)
(6)

(72)

Multiply the percentage from step (61) by the dollar amount in step
(5).10 percent. This is the “surplusmaximum includable total capital
minority interest of the subsidiary”from all subsidiaries.
Determine the lower of (2) or the total amount of total capital
minority interest of the subsidiary. Then subtract the surplus total
capital minority interest of the subsidiary (step 7) from this amountall
subsidiaries.

$130 - $105
= $25
$24 + $15 + $15
= $54. Then
$54/$130 =
41.54%
41.54%$119 x
$25 = $10.39%
= $11.9
$24 + $15 + $15
= $54. Then $54
- $10.39 =
$43.62.Minimum
of ($11.9 from
Step 2 or $38
from the
assumptions) =
$11.9
$43.62 (report
the lesser of
$43.62 or $54).
$43.62 – ($21 +
$9.14 (from
examples in
items 4 and 22))
= $13.48.$11.9 $9 - $1.1 = $1.8

AF

T

(83)

Schedule RC-R, Part I, sum of items 26, 39, 40, and 42.a, minus
item 45
Subtract the amount in step (3) from the amount in step (4). This is
the “surplus total capital of the subsidiary.”
Determine the percent of the subsidiary’s total capital instruments
that are owned by third parties (the minority shareholders).

(9)

D

R

(104)

The “total capital minority interest includable at the institution level”
is the amount from step (8) or step (4) where there is no surplus
total capital minority interest of the subsidiary.
Subtract from (9) any From (3), subtract out the includable common
equity tier 1 minority interest reported in Schedule RC-R, Part I, item
4, and includable tier 1 minority interest that is not included in
common equity tier 1 and additional tier 1 capital. The
resultminority interest reported in Schedule RC-R, Part I, item 22.
This is the “total capital minority interest not included in tier 1 capital
includable in total capital. minority interest includable at the
reporting institution’s level” to be included in Schedule RC-R, Part I,
item 41.

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Part I. (cont.)
Caption and Instructions

29
(cont.)

Transition provisions: For surplus minority interest and non-qualifying minority interest that
can be included in tier 2 capital during the transition period, follow the transition provisions in
the instructions for Schedule RC-R, Part I, item 4, after taking into consideration (that is,
excluding) any amount of surplus tier 1 minority interest (from step 7 of the worksheet in
item 22). In the example (and assuming no outstanding amounts of non-qualifying minority
interest), the institution has $1.53 of surplus total capital minority interest available to be
included during the transition period in tier 2 capital ($10.39 (from step 7 of the worksheet in
item 29) of surplus total capital minority interest minus $8.86 (from step 7 of the worksheet in
item 22) of tier 1 minority interest). In 2017, the institution would include an additional $0.31
in item 29 (20% of $1.53). Starting in 2018 the institution would include the same amount of
surplus minority interest in its regulatory capital as it included in 2017 (20% of $1.53 or
$0.31). NOTE: If the amount of surplus total capital minority interest (from step 7 of the
worksheet in item 29) is less than the amount of surplus tier 1 minority interest (from step 7 of
the worksheet in item 22), the amount of surplus total capital minority interest available to be
included during the transition period in tier 2 capital is zero.

AF

30
42

T

Item No.

Allowance for loan and lease losses includable in tier 2 capital. Report the portion of
the institution’s allowance for loan and lease losses (ALLL) or adjusted allowances for credit
losses (AACL), as applicable, for regulatory capital purposes that is includable in tier 2
capital. None of the institution’s allocated transfer risk reserve, if any, is includable in tier 2
capital.

For an institution that has not adopted FASB Accounting Standards Update No. 2016-13
(ASU 2016-13), which governs the accounting for credit losses and introduces the current
expected credit losses methodology (CECL), the institution’s ALLL for regulatory capital
purposes equals Schedule RC, item 4.c, “Allowance for loan and lease losses”; less any
allocated transfer risk reserve included in Schedule RC, item 4.c; plus Schedule RC-G,
item 3, “Allowance for credit losses on off-balance sheet credit exposures.”

D

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For an institution that has adopted ASU 2016-13, the institution’s AACL for regulatory capital
purposes equals Schedule RI-B, Part II, item 7, columns A and B, “Balance end of current
period” for loans and leases held for investment and held-to-maturity debt securities,
respectively; plus Schedule RI-B, Part II, Memorandum item 6, “Allowance for credit losses
on other financial assets measured at amortized cost (not included in item 7, above)”;
less Schedule RC-R, Part II, sum of Memorandum items 4.a, 4.b, and 4.c, “Amount of
allowances for credit losses on purchased credit-deteriorated assets” for loans and leases
held for investment, held-to-maturity debt securities, and other financial assets measured
at amortized cost, respectively; less any allocated transfer risk reserve included in
Schedule RI-B, Part II, item 7, columns A and B, and Memorandum item 6; plus
Schedule RC-G, item 3, ‘‘Allowance for credit losses on off-balance sheet credit exposures.’’
An institution that has adopted ASU 2016-13 and has elected to apply the CECL transition
provision (CECL electing institution) should decrease its applicable AACL transitional amount
in accordance with section 301 of the regulatory capital rules. Specifically, ana CECL
electing institution should reduce the amount of its AACL includable in tier 2 capital by 75
percent of its AACL transitional amount during the first year of the transition period, 50
percent of its AACL transitional amount during the second year of the transition period, and
25 percent of its AACL transitional amount during the third year of the transition period (see
Table X in the instructions for Schedule RC-R, Part I, item 2).

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Part I. (cont.)
Item No.

The amount to be reported in this item is the lesser of (1) the institution’s ALLL or AACL, as
applicable, for regulatory capital purposes, as defined above, or (2) 1.25 percent of the
institution’s risk-weighted assets base for the ALLL or AACL calculation, as applicable, as
reported in Schedule RC-R, Part II, item 26. In calculating the risk-weighted assets base for
this purpose, an institution would not include items that are deducted from capital under
section 22(a). However, an institution would include risk-weighted asset amounts of items
deducted from capital under sections 22(c) through (f) of the regulatory capital rule, in
accordance with the applicable transition provisions. While amounts deducted from capital
under sections 22(c) through (f) are included in the risk-weighted assets base for the ALLL or
AACL calculation, as applicable, such amounts are excluded from standardized total riskweighted assets used in the denominator of the risk-based capital ratios.

T

30
42
(cont.)

Caption and Instructions

D

R

AF

The amount, if any, by which an institution’s ALLL or AACL, as applicable, for regulatory
capital purposes exceeds 1.25 percent of the institution’s risk-weighted assets base for the
ALLL or AACL calculation (as reported in Schedule RC-R, Part II, item 26), as applicable,
should be reported in Schedule RC-R, Part II, item 29, “LESS: Excess allowance for loan
and lease losses.” For an institution that has not adopted ASU 2016-13, the sum of the
amount of ALLL includable in tier 2 capital reported in Schedule RC-R, Part I, item 3043, plus
the amount of excess ALLL reported in Schedule RC-R, Part II, item 29, must equal
Schedule RC, item 4.c, less any allocated transfer risk reserve included in Schedule RC,
item 4.c, plus Schedule RC-G, item 3.

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Part I. (cont.)
Item No.

Caption and Instructions

NOTE: Item 3143 is to be completed only by institutions that have not adopted FASB Accounting
Standards Update No. 2016-01 (ASU 2016-01), which includes provisions governing the accounting for
investments in equity securities, including investment in mutual funds, and eliminates the concept of
available-for-sale equity securities (see the Note preceding the instructions for Schedule RC, item 2.c).
Institutions that have adopted ASU 2016-01 should leave item 3143 blank.
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.

T

3143

(i) Institutions that entered “1” for “Yes" in Schedule RC-R, Part I, item 3.a:

AF

Report the pretax net unrealized holding gain (i.e., the excess of fair value as reported in
Schedule RC-B, item 7, column D, over historical cost as reported in 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 limit
in section 20(d) of the regulatory capital rules. The amount to be reported in this item equals
45 percent of the institution’s pretax net unrealized gains on available-for-sale preferred stock
classified as an equity security under GAAP and available-for-sale equity exposures.
(ii) Institutions that entered “0” for “No” in Schedule RC-R, Part I, item 3.a:, should
report a zero in this item 42.

44

Transition provisions for phasing out unrealized gains on available-for-sale preferred stock
classified as an equity security under GAAP and available-for-sale equity exposures:
(1)
Determine the amount of net unrealized gains on available-for-sale preferred stock classified
as an equity security under GAAP and available-for-sale equity exposures that an institution currently
includes in tier 2 capital.
(2)
Multiply (1) by the percentage in Table 8 and include this amount in tier 2 capital.

D

R

Table 8 – Percentage of unrealized gains on available-for-sale preferred stock
classified as an equity security under GAAP and available-for-sale equity exposures that may be
included in tier 2 capital
Tier 2 capital before deductions. Report the sum of Schedule RC-R, Part I, items 2739
through 3143.
Transition period
Percentage of unrealized gains on available-for-sale
preferred stock classified as an equity
security under GAAP and available-forsale equity exposures that may be
included in tier 2 capital
Calendar year 2017
9
Calendar year 2018 and
0
thereafter
For example, during calendar year 2017, include up to 9 percent of net unrealized gains on availablefor-sale preferred stock classified as an equity security under GAAP and available-for-sale equity
exposures in tier 2 capital. During calendar year 2018 (and thereafter), this percentage goes down to
ze

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Part I. (cont.)
Item No.
3345

Caption and Instructions
LESS: Tier 2 capital deductions. Report total tier 2 capital deductions as the sum of the
following elements.

T

Note that an institution should report tier 2 capital deductions in this item 3345 irrespective of
the amount of tier 2 capital before deductions reported in Schedule RC-R, Part I, item 3244.
If an institution does not have a sufficient amount of tier 2 capital before deductions in item
3244 to absorb these deductions, then the institution must deduct the shortfall from additional
tier 1 capital before deductions in Schedule RC-R, Part I, item 24, or, if there is not enough
additional tier 1 capital before deductions, from common equity tier 1 capital in Schedule
RC--R, Part I, item 17.

AF

For example, if an institution reports $98 of “Tier 2 capital before deductions” in Schedule
RC-R, Part I, item 3244, and must make $110 in tier 2 capital deductions, the institution
would report $110 in this item 3345, include the additional $12 in deductions in Schedule RCR, Part I, item 24 (and in Schedule RC-R, Part I, item 17, in the case of insufficient “Additional
tier 1 capital before deductions” in Schedule RC-R, Part I, item 23, from which to make the
deduction in Schedule RC-R, Part I, item 24), and report $0 in item 3446, “Tier 2 capital.”
(1) Investments in own tier 2 capital instruments. Report the institution’s investments in
(including any contractual obligation to purchase) its own tier 2 instruments, whether held
directly or indirectly.
An institution may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty risk.
The institution must look through any holdings of index securities to deduct investments
in its own capital instruments. In addition:

R

(i) Gross long positions in investments in an institution’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 institution’s internal control
processes.

D

Transition provisions: Follow the transition provisions for investments in the
institution’s own shares, including Table 5, in the instructions for Schedule RC-R, Part I,
item 10.b.

(2) Reciprocal cross-holdings in the capital of financial institutions. Include
investments in the tier 2 capital instruments of other financial institutions that the
institution 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.
Transition provisions: Follow the transition provisions for reciprocal cross-holdings
in the capital of financial institutions, including Table 5, in the instructions for
Schedule RC-R, Part I, item 10.b.

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Part I. (cont.)
Item No.
3345
(cont.)

Caption and Instructions
(3) Non-significant investmentsInvestments in tier 2 capital of unconsolidated
financial institutions
that exceed the 1025 percent threshold for non-significant investments.
Calculate this amount as follows (similar to Schedule RC-R, Part I, item 11):

Calculate this amount as follows:

T

(1) Determinebe deducted from tier 2 capital. Report the aggregate amount of nonsignificant investments in the capital of unconsolidated financial institutions in the
form of common stock, additional tier 1, and tier 2 capital.
(2)
Determine that exceeds the 25 percent threshold.

(1) Determine the amount of non-significant investments in the capital of unconsolidated
financial institutions in the form, net of tier associated DTLs.

AF

(2 capital.
(3) If the amount in (1) is greater than the ten percent threshold for non-significant
investments (25 percent of Schedule RC-R, Part I, item 12, report the difference
across Schedule RC-R, Part I, item 11, step (4)), then multiply the difference by13,
item 24, or item 45, depending on the ratio of (2) over (1). Report this product in this
item.
(4) If (1) is less than the ten percent threshold for non-significant investments, enter zero.
For example, assume an institution has a total tier of $200 in non-significant investments
(step 1), including $40 in the form of tier 2 capital (step 2), and its ten percent threshold
for non-significant investments is $100 (as calculated in Schedule RC-R, Part I, item 11,
step 4). Since the aggregate amount of non-significant investments exceed the ten
percent threshold for non-significant investments by $100 ($200-$100), the institution
would multiply $100 by the ratio of 40/200 (step 3). Thus, the institution would need to
deduct $20 from its tier 2 capital.

R

Transition provisions: Follow the transition provisions for investments in capital
instruments in the instructions for Schedule RC-R, Part I, item 11.

D

(4) Significantfor which the investments in the capital of unconsolidated financial institutions
not in the form of common stock to be deducted from tier 2 capital. Report the
total qualify. The institution can elect which investments it must deduct and which it
must risk weight. The institution’s election and the component of capital for which the
underlying instrument would qualify will determine if it will be deducted and reported
in Schedule RC-R, Part I, item 13, or be deducted and reported in Schedule RC-R,
Part I, item 24 or item 45.
(3) If the amount of significantin (1) is less than 25 percent of Schedule RC-R, Part I,
item 12, no deduction is needed.
See Schedule RC-R, Part I, item 13, for an example of how to deduct amounts of
investments in the capital of unconsolidated financial institutions inthat exceed the form of
tier 2 capital25 percent threshold.
Transition provisions: Follow the transition provisions for investments in capital
instruments in the instructions for Schedule RC-R, Part I, item 11.

(5(4)
Other adjustments and deductions. Include any other applicable adjustments and
deductions applied to tier 2 capital in accordance with the regulatory capital rules of the primary
federal supervisor.

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3446

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Tier 2 capital. Report the greater of Schedule RC-R, Part I, item 3244 less item 3345, or
zero.

Total Capital
Total capital. Report the sum of Schedule RC-R, Part I, items 26 and 3446.

D

R

AF

T

3547

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Part I. (cont.)
Item No.

Caption and Instructions

Total Risk-Weighted Assets
4048

Total risk-weighted assets. Report the amount of total risk-weighted assets using the
standardized approach (as reported in Schedule RC-R, Part II, item 31).

Risk-Based Capital Ratios
Common equity tier 1 capital ratio. Report the institution’s common equity tier 1 risk-based
capital ratio as a percentage, rounded to four decimal places. Divide Schedule RC-R, Part I,
item 19 by item 4048.

4250

Tier 1 capital ratio. Report the institution’s tier 1 risk-based capital ratio as a percentage,
rounded to four decimal places. Divide Schedule RC-R, Part I, item 26 by item 4048.

4351

Total capital ratio. Report the institution’s total risk-based capital ratio as a percentage,
rounded to four decimal places. Divide Schedule RC-R, Part I, item 3547 by item 4048.

AF

T

4149

Leverage Capital Ratios
44
45

Tier 1 leverage ratio. Report the institution’s tier 1 leverage ratio as a percentage, rounded
to four decimal places. Divide Schedule RC-R, Part I, item 26 by item 39.
Not applicable.

Capital Buffer

46General Instructions for Schedule RC-R, Part I, item 52.

For all institutions: In order to avoid limitations on distributions, including dividend payments, and
certain discretionary bonus payments to executive officers, an institution must hold a capital conservation
buffer above its minimum risk-based capital requirements.

R

The amount reported in Schedule RC-R, Part I, item 52, must be greater than the capital conservation
buffer of 2.50 percent. Otherwise, the institution will face limitations on distributions and certain
discretionary bonus payments and will be required to complete Schedule RC-R, Part I, items 53 and 54.
Institution-specific capital conservation buffer necessary to avoid limitations on
distributions and discretionary bonus payments. Report the institution’s capital
conservation buffer as a percentage, rounded to four decimal places. Except as described
below, the capital conservation buffer is equal to the lowest of the following ratios (1), (2), and
(3) below.:

D

52

For example, the capital conservation buffer to be reported in this item 46 for the
December 31, 2019, report date would be based on the capital ratios reported in
Schedule RC-R, Part I, of the Call Report for December 31, 2019.
(1) Schedule RC-R, Part I, item 4149, less 4.5000 percent, which is the minimum common
equity tier 1 capital ratio requirement under section 10 of the regulatory capital rules;
(2) Schedule RC-R, Part I, item 4250, less 6.0000 percent, which is the minimum tier 1
capital ratio requirement under section 10 of the regulatory capital rules; and
(3) Schedule RC-R, Part I, item 4351, less 8.0000 percent, which is the minimum total capital
ratio requirement under section 10 of the regulatory capital rules.
However, if any of the three ratios calculated above is less than zero (i.e., is negative), the
institution’s capital conservation buffer is zero.

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Part I. (cont.)
Item No.

Caption and Instructions

NOTE: Institutions must complete Schedule RC-R, Part I, items 4753 and 48, if the amount
reported in Schedule RC-R, Part I, item 4652, is less than or equal to the applicable required
minimum capital conservation buffer of 2.5000 percent.

Eligible retained income. Report the amount of eligible retained income as the net income
attributable to the institution for the four most recent calendar quarters preceding, based on
the current calendar quarterinstitution’s most recent quarterly Call Report or Reports, as
appropriate, net of any distributions and associated tax effects not already reflected in net
income. (See the instructions for Schedule RC-R, Part I, item 4854, for the definition of
“distributions” from section 2 of the regulatory capital rules.)

AF

53

T

47Institutions must complete Schedule RC-R, Part I, item 54 to report the amount of
distributions and discretionary bonus payments made during the calendar quarter ending on the
report date if the amount of its capital conservation buffer as of the end of the previous calendar
quarter report date was less than its applicable required buffer percentage on that previous
calendar quarter report date.

For example, the amount of eligible retained income to be reported in this item 4753 for the
December 31, 2019, report date would be based on the net income attributable to the
institution for the four calendar quarters ending on December 31, 2019. This net income
amount would equal the net income attributable to the institution most recently reported in
Schedule RI, item 14, for December 31, 2019 (i.e., after adjustments for amended
Consolidated Reports of Income).

R

This net income amount would next be reduced by any distributions and associated tax
effects not already reflected in net income; the resulting amount would be the eligible retained
income to be reported in this item 4753. Thus, if the institution had declared dividends on its
common stock during each calendar quarter in 2019 and had no other distributions during
2019, the institution would reduce its net income amount by the total amount of the dividends
declared in 2019 and report the resulting amount as its eligible net income in this item 4753.
As an additional example, the amount of eligible retained income to be reported in this
item 4753 for the March 31, 2020, report date would be based on the net income attributable
to the institution for the four calendar quarters ending on March 31, 2020. This net income
amount would be calculated by:

D

(1) Subtracting the net income attributable to the institution most recently reported in
Schedule RI, item 14, for March 31, 2019 (i.e., after adjustments for amended
Consolidated Reports of Income), from the net income attributable to the institution most
recently reported in Schedule RI, item 14, for December 31, 2019 (i.e., after adjustments
for amended Consolidated Reports of Income), and
(2) Adding the result from (1) above to the net income attributable to the institution most
recently reported in Schedule RI, item 14, for March 31, 2020 (i.e., after adjustments for
amended Consolidated Reports of Income).

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Part I. (cont.)
Item No.

Caption and Instructions

53
(cont.)

This net income amount would next be reduced by any distributions and associated tax
effects not already reflected in net income (e.g., dividends declared on the institution’s
common stock between April 1, 2019, and March 31, 2020); the resulting amount would be
the eligible retained income to be reported in this item 4753.

54Part I. (cont.)

48

Caption and Instructions

T

Item No.

Distributions and discretionary bonus payments during the quarter. Institutions must
complete this item if the amount of its capital conservation buffer as of the end of the previous
calendar quarter report date was less than its applicable required buffer percentage on that
previous calendar quarter report date. Report the amount of distributions and discretionary
bonus payments during the calendar quarter ending on the report date.

AF

For example, report the amount of distributions and discretionary bonus payments made
during the calendar quarter ending March 30, 2020, if the amount of its capital conservation
buffer as of the end of the December 31, 2019, was less than its applicable required buffer
percentage on December 31, 2019.
As defined in section 2 of the regulatory capital rules, “distribution” means:

D

R

(1) A reduction of tier 1 capital through the repurchase of a tier 1 capital instrument or by
other means, except when an institution, within the same quarter when the repurchase is
announced, fully replaces a tier 1 capital instrument it has repurchased by issuing
another capital instrument that meets the eligibility criteria for:
(i) A common equity tier 1 capital instrument if the instrument being repurchased was
part of the institution's common equity tier 1 capital, or
(ii) A common equity tier 1 or additional tier 1 capital instrument if the instrument being
repurchased was part of the institution's tier 1 capital;
(2) A reduction of tier 2 capital through the repurchase, or redemption prior to maturity, of a
tier 2 capital instrument or by other means, except when an institution, within the same
quarter when the repurchase or redemption is announced, fully replaces a tier 2 capital
instrument it has repurchased by issuing another capital instrument that meets the
eligibility criteria for a tier 1 or tier 2 capital instrument;
(3) A dividend declaration or payment on any tier 1 capital instrument;
(4) A dividend declaration or interest payment on any tier 2 capital instrument if the institution
has full discretion to permanently or temporarily suspend such payments without
triggering an event of default; or
(5) Any similar transaction that the institution’s primary federal regulator determines to be in
substance a distribution of capital.

As defined in section 2 of the regulatory capital rules, “discretionary bonus payment” means a
payment made to an executive officer of an institution, where:

(1) The institution retains discretion as to whether to make, and the amount of, the payment
until the payment is awarded to the executive officer;
(2) The amount paid is determined by the institution without prior promise to, or agreement
with, the executive officer; and
(3) The executive officer has no contractual right, whether express or implied, to the bonus
payment.
As defined in section 2 of the regulatory capital rules, “executive officer” means a person who
holds the title or, without regard to title, salary, or compensation, performs the function of one

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T

or more of the following positions: president, chief executive officer, executive chairman,
chief operating officer, chief financial officer, chief investment officer, chief legal officer, chief
lending officer, chief risk officer, or head of a major business line, and other staff that the
board of directors of the institution deems to have equivalent responsibility.

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Part II. Risk-Weighted Assets
Contents – Part II. Risk-Weighted Assets
General Instructions for Schedule RC-R, Part II

RC-R-36

Exposure Amount Subject to Risk Weighting

RC-R-36

Amounts to Report in Column B

RC-R-37

Treatment of Collateral and Guarantees

RC-R-38
RC-R-38

b. Guarantees and Credit Derivatives
Treatment of Equity Exposures

T

a. Collateralized Transactions

RC-R-39

RC-R-40

RC-R-42

Treatment of Exposures to Sovereign Entities and Foreign Banks

RC-R-42

Summary of Risk Weights for Exposures to Government and
Public Sector Entities

RC-R-43

Risk-Weighted Assets for Securitization Exposures

RC-R-44

AF

Treatment of Sales of 1-4 Family Residential First Mortgage Loans
With Credit-Enhancing Representations and Warranties

a. Exposure Amount Calculation

RC-R-44

b. Simplified Supervisory Formula Approach

RC-R-45

c. Gross-Up Approach

RC-R-47

d. 1,250 Percent Risk Weight Approach

RC-R-49

RC-R-50

Adjustments for Financial Subsidiaries

RC-R-51

R

Banks That Are Subject to the Market Risk Capital Rule

RC-R-51

Reporting Exposures Hedged with Cleared Eligible Credit Derivatives

RC-R-51

Treatment of Certain Centrally Cleared Derivative Contracts

RC-R-52

Treatment of FDIC Loss-Sharing Agreements

RC-R-52

Allocated Transfer Risk Reserve (ATRR)

RC-R-52

D

Treatment of Embedded Derivatives

Item Instructions for Schedule RC-R, Part II

RC-R-53

Balance Sheet Asset Categories

RC-R-53

Derivatives, Off-Balance Sheet Items, and Other Items Subject
To Risk Weighting (Excluding Securitization Exposures)

RC-R-90

Totals

RC-R-108

Memoranda

RC-R-110

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Part II. (cont.)
Community Bank Leverage Ratio Framework:
A qualifying community banking organization that decides to opt into the community bank leverage ratio
(CBLR) framework should not complete Schedule RC-R, Part II. All other institutions should complete
Schedule RC-R, Part II. A qualifying institution can opt out of the community bank leverage ratio
framework by completing Schedule RC-R, Parts I and II, excluding Schedule RC-R, Part I, items 32
through 38. Please refer to the General Instructions for Schedule RC-R, Part I, for information on the
reporting requirements that apply when an institution ceases to have a leverage ratio greater than
9 percent or fails to meet any of the qualifying criteria and is no longer in the grace period.
General Instructions for Schedule RC-R, Part II.

T

NOTE: Schedule RC-R, Part II, items 1 through 25, columns A through U, as applicable, are to be completed
semiannually in the June and December reports only. Items 26 through 31 are to be completed quarterly.

AF

The instructions for Schedule RC-R, Part II, items 1 through 22, provide general directions for the
allocation of bank balance sheet assets, credit equivalent amounts of derivatives and off-balance sheet
items, and unsettled transactions to the risk-weight categories in columns C through Q (and, for items 1
through 10 only, to the adjustments to the totals in Schedule RC-R, Part II, column A, to be reported in
column B). In general, the aggregate amount allocated to each risk-weight category is then multiplied by
the risk weight associated with that category. The resulting risk-weighted values from each of the risk
categories are added together, and generally this sum is the bank's total risk-weighted assets, which
comprises the denominator of the risk-based capital ratios.

These instructions should provide sufficient guidance for most banks for risk-weighting their balance sheet
assets and credit equivalent amounts. However, these instructions do not address every type of exposure.
Banks should review the regulatory capital rules of their primary federal supervisory authority for the complete
description of capital requirements.
Exposure Amount Subject to Risk Weighting

In general, banks need to risk weight the exposure amount. The exposure amount is defined in §.2 of the
regulatory capital rules as follows:
(1) For the on-balance sheet component of an exposure,1 the bank’s carrying value of the exposure.

R

(2) For a security2 classified as AFS or HTM where the bank has made the AOCI opt-out election in
Schedule RC-R, Part I, item 3.a, the carrying value of the exposure (including net accrued but
uncollected interest and fees)3 less any net unrealized gains on the exposure plus any net unrealized
losses on the exposure included in AOCI.

D

(3) For AFS preferred stock classified as an equity security under GAAP where the bank has made the
AOCI opt-out election in Schedule RC-R, Part I, item 3.a, the carrying value less any net unrealized
gains that are reflected in such carrying value, but are excluded from the bank’s regulatory capital
components.

Not including: (1) an available-for-sale (AFS) or held-to-maturity (HTM) security where the bank has made the
Accumulated Other Comprehensive Income (AOCI) opt-out election in Schedule RC-R, Part I, item 3.a, (2) an overthe-counter (OTC) derivative contract, (3) a repo-style transaction or an eligible margin loan for which the bank
determines the exposure amount under §.37 of the regulatory capital rules, (4) a cleared transaction, (5) a default
fund contribution, or (6) a securitization exposure.
1

Not including: (1) a securitization exposure, (2) an equity exposure, or (3) preferred stock classified as an equity
security under generally accepted accounting principles (GAAP).

2

3
Where the bank has made the AOCI opt-out election, accrued but uncollected interest and fees reported in
Schedule RC, item 11, “Other assets,” associated with AFS or (HTM) debt securities that are not securitization
exposures should be reported in Schedule RC-R, Part II, item 8, “All other assets.”

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(4) For the off-balance sheet component of an exposure,4 the notional amount of the off-balance sheet
component multiplied by the appropriate credit conversion factor in §.33 of the regulatory capital rules.
(5) For an exposure that is an OTC derivative contract, the exposure amount determined under §.34 or
§.132 of the regulatory capital rules.

D

R

AF

T

(6) For an exposure that is a derivative contract that is a cleared transaction, the exposure amount
determined under §.35 or §.133 of the regulatory capital rules.

4 Not including: (1) an OTC derivative contract, (2) a repo-style transaction or an eligible margin loan for which the
bank calculates the exposure amount under §.37 of the regulatory capital rules, (3) a cleared transaction, (4) a default
fund contribution, or (5) a securitization exposure.

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
(7) For an exposure that is an eligible margin loan or repo-style transaction (including a cleared
transaction) for which the bank calculates the exposure amount as provided in §.37, the exposure
amount determined under §.37 of the regulatory capital rules.
(8) For an exposure that is a securitization exposure, the exposure amount determined under §.42 of the
regulatory capital rules.

Amounts to Report in Column B

T

As indicated in the definition in §.2 of the regulatory capital rules, carrying value means with respect to an
asset, the value of the asset on the balance sheet of the bank determined in accordance with GAAP.

The amount to report in column B will vary depending upon the nature of the particular item.

AF

For items 1 through 8 and 11 of Schedule RC-R, Part II, column B should include the amount of the
reporting bank's on-balance sheet assets that are deducted or excluded (not risk weighted) in the
determination of risk-weighted assets. Column B should include assets that are deducted from capital
(subject to the transition provisions of the regulatory capital rules, as applicable) such as goodwill;
intangiblesother intangible assets; gain on sale of securitization exposures; threshold deductions above
the 1025 percent individual or 15 percent combined limits for (1) deferred tax assets (DTAs) arising from
temporary differences that could not be realized through net operating loss carrybacks, (2) mortgage
servicing assets (MSAs), net of associated deferred tax liabilities (DTLs), and (3) significant investments
in the capital of unconsolidated financial institutions in the form of common stock; and any other assets
that must be deducted in accordance with the requirements of a bank's primary federal supervisory
authority.

R

Column B should also include items that are excluded from the calculation of risk-weighted assets, such
as the allowance for loan and lease losses, or allowances for credit losses, as applicable; allocated
transfer risk reserves,; and certain on-balance sheet asset amounts associated with derivative contracts
that are included in the calculation of the credit equivalent amounts of the derivative contracts. In
addition, for items 1 through 8 and 11 of Schedule RC-R, Part II, column B should include any difference
between the balance sheet amount of an on-balance sheet asset and its exposure amount as described
above under “Exposure Amount Subject to Risk Weighting.” Note: For items 1 through 8 and 11 of
Schedule RC-R, Part II, the sum of columns B through R must equal the balance sheet asset amount
reported in column A.

D

For items 9.a through 9.d of Schedule RC-R, Part II, the amount a reporting bank should report in
column B will depend upon the risk-weighting approach it uses to risk weight its securitization exposures
and whether the bank has made the AOCI opt-out election in Schedule RC-R, Part I, item 3.a. For each
of items 9.a through 9.d, a mathematical relationship similar to the one described above will hold true,
such that the sum of columns B through Q must equal the balance sheet asset amount reported in
column A.


If a bank uses the 1,250 percent risk weight approach to risk weight an on-balance sheet
securitization exposure, the bank will report in column B the difference between the carrying value of
the exposure and the exposure amount that is to be risk weighted. For example, if a bank has a
securitization exposure that is an AFS debt security with a $105 carrying value (i.e., fair value)
including a $5 unrealized gain (in other words, a $100 amortized cost), the bank would report the
following:
o

If the bank has not made (or cannot make) the AOCI opt-out election, the bank would report zero
in item 9.b, column B. The bank would report the $105 exposure amount to be risk weighted in
item 9.b, column Q–1250% risk weight.

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If the bank has made the AOCI opt-out election, the bank would report any unrealized gain as a
positive number in item 9.b, column B, and any unrealized loss as a negative number in item 9.b,
column B. Therefore, in this example, the bank would report $5 in item 9.b, column B. Because

D

R

AF

T

o

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
the bank reverses out the unrealized gain for regulatory capital purposes because it has made
the AOCI opt-out election, it does not have to risk weight the gain. (Note: The bank also would
report the $100 exposure amount to be risk weighted in item 9.b, column Q–1250% risk weight.)


If the bank uses the Simplified Supervisory Formula Approach (SSFA) or the Gross-Up Approach to
risk weight an on-balance sheet securitization exposure, the bank will report in column B the same
amount that it reported in column A.

AF

T

For item 10 of Schedule RC-R, Part II, the amount a reporting bank should report in column B also will
depend upon the risk-weighting approach it uses to risk weight its securitization exposures. If a bank
uses the 1,250 percent risk weight approach to risk weight an off-balance sheet securitization exposure,
the bank will report in column B any difference between the notional amount of the off-balance sheet
securitization exposure that is reported in column A and its exposure amount. If the bank uses the SSFA
or the Gross-Up Approach to risk weight an off-balance sheet securitization exposure, the bank will report
in column B the same amount that it reported in column A. An example is presented in the instructions
for Schedule RC-R, Part II, item 10. For item 10 of Schedule RC-R, Part II, the sum of columns B through
Q must equal the amount of the off-balance sheet securitization exposures reported in column A.
For items 12 through 21 of Schedule RC-R, Part II, column B should include the credit equivalent
amounts of the reporting bank's derivative contracts and off-balance sheet items that are covered by the
regulatory capital rules. For the off-balance sheet items in items 12 through 19, the credit equivalent
amount to be reported in column B is calculated by multiplying the face, notional, or other amount
reported in column A by the appropriate credit conversion factor. The credit equivalent amounts in
column B are to be allocated to the appropriate risk-weight categories in columns C through J (or to the
securitization exposure collateral category in column R, if applicable). For items 12 through 21 of
Schedule RC-R, Part II, the sum of columns C through J (plus column R, if applicable) must equal the
credit equivalent amount reported in column B.
Treatment of Collateral and Guarantees
a. Collateralized Transactions

R

The rules for recognition of collateral are in §.37 and pertinent definitions in §.2 of the regulatory capital
rules. The regulatory capital rules define qualifying financial collateral as cash on deposit, gold bullion,
investment grade long- and short-term debt exposures (that are not resecuritization exposures), publicly
traded equity securities and convertible bonds, and money market fund or other mutual fund shares with
prices that are publicly quoted on a daily basis.

D

Banks may apply one of two approaches, as outlined in §.37, to recognize the risk-mitigating effects of
qualifying financial collateral:
(1) Simple Approach: can be used for any type of exposure. Under this approach, banks may apply a risk
weight to the portion of an exposure that is secured by the fair value of the financial collateral based
on the risk weight assigned to the collateral under §.32. However, under this approach, the risk
weight assigned to the collateralized portion of the exposure may not be less than 20 percent, unless
one of the following exceptions applies:


Zero percent risk weight: May be assigned to an exposure to an over-the-counter (OTC)
derivative contract that is marked-to-market on a daily basis and subject to a daily margin
requirement, to the extent that the contract is collateralized to cash on deposit; to the portion of
an exposure collateralized by cash on deposit; to the portion of an exposure collateralized by an
exposure to a sovereign that qualifies for the zero percent risk weight under §.32 and the bank
has discounted the fair value of the collateral by 20 percent.

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)


10 percent risk weight: May be assigned to an exposure to an OTC derivative contract that is
marked-to-market on a daily basis and subject to a daily margin requirement, to the extent that
the contract is collateralized by an exposure to a sovereign that qualified for a zero percent risk
weight under §.32.

T

(2) Collateral Haircut Approach: can be used only for repo-style transactions, eligible margin loans,
collateralized derivative transactions, and single-product netting sets of such transactions. Under this
approach, banks would apply either standard supervisory haircuts or own internal estimates for
haircuts to the value of the collateral. See §.37(c) of the regulatory capital rules for a description of
the calculation of the exposure amount, standard supervisory market price volatility haircuts, and
requirements for using own internal estimates for haircuts.
Banks may use any approach described in §.37 that is valid for a particular type of exposure or
transaction; however, they must use the same approach for similar transactions or exposures.

AF

If an exposure is partially secured, that is, the market value (or in cases of using the Collateral Haircut
Approach, the adjusted market value) of the financial collateral is less than the face amount of an asset or
off-balance sheet exposure, only the portion that is covered by the market value of the collateral is to be
reported in the risk-weight category item appropriate to the type of collateral. The uncovered portion of
the exposure continues to be assigned to the initial risk-weight category item appropriate to the exposure.
The face amount of an exposure secured by multiple types of qualifying collateral is to be reported in the
risk-weight category items appropriate to the collateral types, apportioned according to the market value
of the types of collateral.
Exposures collateralized by deposits at the reporting institution
The portion of any exposure collateralized by deposits at the reporting institution would be eligible for a
zero percent risk weight. The remaining portion of the exposure that is not collateralized by deposits
should be risk-weighted according to the regulatory capital rules.
b. Guarantees and Credit Derivatives

R

The rules for recognition of guarantees and credit derivatives are in §.36 and pertinent definitions are in
§.2 of the regulatory capital rules. A bank may recognize the credit risk mitigation benefits of an eligible
guarantee or eligible credit derivative by substituting the risk weight associated with the protection
provider for the risk weight assigned to the exposure. Please refer to the definitions of eligible guarantee,
eligible guarantor, and eligible credit derivative in §.2 of the regulatory capital rules. Note that in the
definition of eligible guarantee, where the definition discusses contingent guarantees, only contingent
guarantees of the U.S. government or its agencies are recognized.

D

The coverage amount provided by an eligible guarantee or eligible credit derivative will need to be
adjusted downward if:


The residual maturity of the credit risk mitigant is less than that of the hedged exposure (maturity
mismatch adjustment), see §.36(c);



The credit risk mitigant does not include as a credit event a restructuring of the hedged exposure
involving forgiveness or postponement of principal, interest, or fees that results in a credit loss
event (that is, a charge-off, specific provision, or other similar debit to the profit and loss account),
see §.36(d); or



The credit risk mitigant is denominated in a currency different from that in which the hedged
exposure is denominated (currency mismatch adjustment, see §.36(e).

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
For further information on credit derivatives, refer to the instructions for Schedule RC-L, item 7, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

Treatment of Equity Exposures

T

Exposures covered by Federal Deposit Insurance Corporation (FDIC) loss-sharing agreements
The portion of any exposure covered by an FDIC loss-sharing agreement would be eligible for a
20 percent risk weight. The remaining uncovered portion of the exposure should be risk weighted
according to the regulatory capital rules.

The treatment of equity exposures are outlined in §.51 through §.53 of the regulatory capital rules. Banks
must use different methodologies to determine risk weighted assets for their equity exposures:


AF



The Simple Risk Weight Approach, which must be used for all types of equity exposures that are
not equity exposures to a mutual fund or other investment fund, and
Full look-through, simple modified look-through, and alternative modified look-through
approaches for equity exposures to mutual funds and other investment funds.

Treatment of stable value protection
The regulatory capital rules define stable value protection (SVP) in §.51(a)(3).

A bank that purchases SVP on an investment in a separate account must treat the portion of the carrying
value of the investment attributable to the SVP as an exposure to the provider of the protection. The
remaining portion of the carrying value of the investment must be treated as an equity exposure to an
investment fund.
A bank that provides SVP must treat the exposure as an equity derivative with an adjusted carrying value
equal to the sum of the on-balance and off-balance sheet adjusted carrying value.

R

Adjusted carrying value
The adjusted carrying value of an equity exposure is equal to:





On-balance sheet equity exposure: The carrying value of the exposure.
On-balance sheet equity exposure that is classified as AFS where the bank has made the
AOCI opt-out election: The carrying value of the exposure less any net unrealized gains on the
exposure that are reflected in the carrying value but excluded from regulatory capital.
Off-balance sheet portion of an equity exposure (that is not an equity commitment): The
effective notional principal amount5 of the exposure minus the adjusted carrying value of the onbalance sheet component of the exposure.

D

For an equity commitment (a commitment to purchase an equity exposure), the effective notional principal
amount must be multiplied by the following credit conversion factors: 20 percent for conditional equity
commitments with an original maturity of one year or less, 50 percent for conditional equity commitments
with an original maturity of more than one year, and 100 percent for unconditional equity commitments.

Equity exposure risk weighting methodologies
(1) Simple Risk Weight Approach: Must be used for all types of equity exposures that are not equity
exposures to a mutual fund or other investment fund. Under this approach, banks must determine
the risk weighted asset amount of an individual equity exposure by multiplying (1) the adjusted

The regulatory capital rules define the “effective notional principal amount” as an exposure of equivalent size to a
hypothetical on-balance sheet position in the underlying equity instrument that would evidence the same change in
fair value (measured in dollars) given a small change in the price of the underlying equity instrument.
5

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
carrying value of the exposure or (2) the effective portion and ineffective portion of a hedge pair by
the lowest possible risk weight below:
Zero percent risk weight: An equity exposure to a sovereign, Bank for International
Settlements, the European Central Bank, the European Commission, the International
Monetary Fund, a multilateral development bank (MDB), and any other entity whose credit
exposures receive a zero percent risk weight under §.32 of the regulatory capital rules.



20 percent risk weight: An equity exposure to a public sector entity, Federal Home Loan
Bank, and the Federal Agricultural Mortgage Corporation (Farmer Mac).



100 percent risk weight: Equity exposures to:
o Certain qualified community development investments,
o The effective portion of hedge pairs, and
o Significant investments in the capital of unconsolidated financial institutions in the form of
common stock that are not deducted from capital, and
o Non-significant equityEquity exposures, to the extent that the aggregate carrying value of
the exposures does not exceed 10 percent of total capital. To utilize this risk weight, the
bank must aggregate the following equity exposures: unconsolidated small business
investment companies or held through consolidated small business investment
companies; publicly traded (including those held indirectly through mutual funds or other
investment funds); and non-publicly traded (including those held indirectly through mutual
funds or other investment funds).



300 percent risk weight: Publicly traded equity exposures.

400 percent risk weight: Equity exposures that are not publicly traded.

600 percent risk weight: An equity exposure to an investment firm, provided that the
investment firm would (1) meet the definition of traditional securitization in §.2 of the
regulatory capital rules were it not for the application of paragraph (8) of the definition and
(2) has greater than immaterial leverage.

R



AF



T



(2) Full look-through approach: Used only for equity exposures to a mutual fund or other investment
fund. Requires a minimum risk weight of 20 percent. Under this approach, banks calculate the
aggregate risk-weighted asset amounts of the carrying value of the exposures held by the fund as if
they were held directly by the bank multiplied by the bank’s proportional ownership share of the fund.

D

(3) Simple modified look-through approach: Used only for equity exposures to a mutual fund or other
investment fund. Requires a minimum risk weight of 20 percent. Under this approach, risk-weighted
assets for an equity exposure is equal to the exposure’s adjusted carrying value multiplied by the
highest risk weight that applies to any exposure the fund is permitted to hold under the prospectus,
partnership agreement, or similar agreement that defines the funds permissible investments.
(4) Alternative modified look-through approach: Used only for equity exposures to a mutual fund or other
investment fund. Requires a minimum risk weight of 20 percent. Under this approach, banks may
assign the adjusted carrying value on a pro rata basis to different risk-weight categories based on the
limits in the fund’s prospectus, partnership agreement, or similar contract that defines the fund’s
permissible investments.

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
Treatment of Sales of 1-4 Family Residential First Mortgage Loans with Credit-Enhancing
Representations and Warranties

T

When a bank transfers mortgage loans with credit-enhancing representations and warranties in a
transaction that qualifies for sale accounting under GAAP, the bank will need to report and risk weight
those exposures. The definition of credit-enhancing representations and warranties (CERWs) is found in
§.2 of the regulatory capital rules. Many CERWs should be treated as securitization exposures for
purposes of risk weighting. However, those CERWs that do not qualify as securitization exposures
receive a 100 percent credit conversion factor as indicated in §.33 of the regulatory capital rules. For
example, if the bank has agreed to repurchase the loans that it has sold, it will generally need to risk
weight those loans in Schedule RC-R, Part II, item 17, until the warranties expire. Note that CERWs do
not include certain early default clauses and similar warranties that permit the return of, or premium
refund clauses covering, 1-4 family residential mortgage loans that qualify for a 50 percent risk weight
provided the warranty period does not exceed 120 days from the date of transfer.

AF

Example: A bank sells $100 in qualifying 1-4 family residential first mortgage loans and agrees to
repurchase them in case of early default for up to 180 days. This warranty exceeds the 120-day
limit, and therefore the full $100 should be reported in Schedule RC-R, Part II, item 17, until the
warranty expires.

If the bank has made a CERW that is limited or capped (e.g., a warranty to cover first losses on loans up
to a set amount that is less than the full loan amount), such warranties are regarded as securitization
exposures under the regulatory capital rules as they represent a transaction that has been separated into
at least two tranches reflecting different levels of seniority for credit risk. (Refer to the definitions of
securitization exposure, synthetic securitization, traditional securitization, and tranche in §.2 of the
regulatory capital rules). The bank will need to report and risk weight these warranties in Schedule RC-R,
Part II, item 10, as off-balance sheet securitization exposures.

R

Example: A bank sells $100 in qualifying 1-4 family residential first mortgage loans and agrees to
compensate the buyer for losses up to $2 if the loans default during the first 12 months. Twelve
months exceeds the 120-day limit and therefore the agreement is a CERW. The CERW is also a
securitization exposure because the $2 is effectively a first loss tranche on a $100 transaction.
For purposes of reporting this transaction in Schedule RC-R, Part II, item 10, the bank should
report $100 in column A, an adjustment of $98 in column B, and then $2 in column Q as an
exposure amount that is risk weighted by applying a 1,250 percent risk weight (if the bank does
not use the Simplified Supervisory Formula Approach (SSFA) or the Gross-Up Approach for
purposes of risk weighting its securitization exposures). The bank will not need to report any
amount in columns T or U of Schedule RC-R, Part II, item 10, unless it uses the SSFA or GrossUp approach for calculating the risk-weighted asset amount for this transaction.

D

If the bank uses either the SSFA or Gross-Up Approach to risk weight the $2 exposure, the bank
should report $100 in both column A and column B. In column T or U, it would report the riskweighted asset amount calculated by using the SSFA or Gross-Up Approach, respectively.

Treatment of Exposures to Sovereign Entities and Foreign Banks

These instructions contain several references to Country Risk Classifications (CRC) used by the
Organization for Economic Cooperation and Development (OECD). The CRC methodology classifies
countries into one of eight risk categories (0-7), with countries assigned to the zero category having the
lowest possible risk assessment and countries assigned to the 7 category having the highest possible risk

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
assessment. The OECD regularly updates CRCs for more than 150 countries and makes the
assessments publicly available on its website.6 The OECD does not assign a CRC to every country; for
example, it does not assign a CRC to a number of major economies; it also does not assign a CRC to
many smaller countries. As such, the table below also provides risk weights for countries with no CRC
based on whether or not those particular countries are members of the OECD. In addition, there is a
higher risk weight of 150 percent for any country that has defaulted on its sovereign debt within the past
5 years, regardless of the CRC rating.

T

For information on the risk weights to be assigned to reported balance sheet items (items 1 through 8)
and off-balance sheet items and other exposures (items 12 through 22) that are exposures to foreign
central governments (including foreign central banks), foreign banks, and foreign public sector entities,
see the discussion on the Treatment of Exposures to Sovereign Entities and Foreign Banks in the
General Instructions for Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041 Call
Reports.

AF

Summary of Risk Weights for Exposures to Government and Public Sector Entities

The following are some of the most common exposures to government and public sector entities and the
risk weights that apply to them:

R

Column C – 0% risk weight:
 All exposures (defined broadly to include securities, loans, and leases) that are direct exposures
to, or the portion of exposures that are directly and unconditionally guaranteed by, the U.S.
Government or U.S. Government agencies. This includes the portions of deposits insured by the
FDIC or the National Credit Union Administration (NCUA).
 Exposures that are collateralized by cash on deposit in the reporting bank.
 Exposures that are collateralized by securities issued or guaranteed by the U.S. Government, or
other sovereign governments that qualify for the zero percent risk weight. Collateral value must be
adjusted under §.37 of the regulatory capital rules.
 Exposures to, and the portions of exposures guaranteed by, the Bank for International
Settlements, the European Central Bank, the European Commission, the International Monetary
Fund, the European Stability Mechanism, the European Financial Stability Facility, or a
multilateral development bank (as specifically defined in §.2 of the regulatory capital rules).

D

Column G – 20% risk weight:
 The portion of exposures that are conditionally guaranteed by the U.S. Government or U.S.
Government agencies. This includes exposures, or the portions of exposures, conditionally
guaranteed by the FDIC or the NCUA.
 The portion of exposures that are collateralized by cash on deposit in the bank or by securities
issued or guaranteed by the U.S. Government or U.S. Government agencies that are not included
in zero percent column.
 General obligation exposures to states, municipalities, and other political subdivisions of the U.S.
 Exposures to U.S. government-sponsored entities (GSEs) other than equity exposures or
preferred stock, and risk-sharing securities.
Column H – 50% risk weight:
 Revenue obligation exposures to states, municipalities, and other political subdivisions of the U.S.

Column I – 100% risk weight:
 Preferred stock of U.S. GSEs.

6

See http://www.oecd.org/trade/xcred/crc.htm.

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
Risk-Weighted Assets for Securitization Exposures

T

Under the agencies’ regulatory capital rules, three separate approaches are available for setting the
regulatory capital requirements for securitization exposures, as defined in §.2 of the regulatory capital
rules. Securitization exposures include asset-backed and mortgage-backed securities, other positions in
securitization transactions, re-securitizations, and structured finance programs7 (except credit-enhancing
interest-only (CEIO) strips). Include as a securitization exposure for risk-weighted asset purposes any
amount reported in Schedule RC, item 11, “Other assets,” for accrued interest receivable on an onbalance sheet securitization exposure. In general, under each of the three approaches, the risk-based
capital requirement for a position in a securitization or structured finance program (hereafter referred to
collectively as a securitization) is computed by multiplying the calculated amount of the position (including
any accrued interest receivable on the position) by the appropriate risk weight. The three approaches to
determining the proper risk weight for a securitization exposure are the Simplified Supervisory Formula
Approach (SSFA), the Gross-Up Approach, or the 1,250 Percent Risk Weight Approach.

AF

If a securitization exposure is not an after-tax gain-on-sale resulting from a securitization that requires
deduction, or the portion of a CEIO strip that does not constitute an after-tax gain-on-sale,8 a bank may
assign a risk weight to the securitization exposure using the SSFA if certain requirements are met. If a
bank is not subject to Subpart F (the market risk capital rule) of the regulatory capital rules, it may instead
choose to assign a risk weight to the securitization exposure using the Gross-Up Approach if certain
requirements are met. However, the bank must apply either the SSFA or the Gross-Up Approach
consistently across all of its securitization exposures. However, if the bank cannot, or chooses not to,
apply the SSFA or the Gross-Up Approach to an individual securitization exposure, the bank must assign
a 1,250 percent risk weight to that exposure.

R

Both traditional and synthetic securitizations must meet certain operational requirements before applying
either the SSFA or the Gross-Up Approach. Furthermore, banks must complete certain due diligence
requirements and satisfactorily demonstrate a comprehensive understanding of the features of the
securitization exposure that would materially affect the performance of the exposure. If these due
diligence requirements are not met, the bank must assign the securitization exposure a risk weight of
1,250 percent. The bank’s analysis must be commensurate with the complexity of the securitization
exposure and the materiality of the exposure in relation to its capital. Banks should refer to §.41 of the
regulatory capital rules to review the details of these operational and due diligence requirements.
For example, a bank not subject to the market risk capital rule has 12 securitization exposures. The
operational and due diligence requirements have been met for 10 of the exposures, to which the bank
applies the Gross-Up Approach. The bank then assigns a 1,250 percent risk weight to the other two
exposures. Alternatively, the bank could assign a 1,250 percent risk weight to all 12 securitization
exposures.

D

a. Exposure Amount Calculation

The exposure amount of an on-balance sheet securitization exposure that is not an available-for-sale or
held-to-maturity security where the bank has made the AOCI opt-out election in Schedule RC-R, Part I,
item 3.a, a repo-style transaction, an eligible margin loan, an over-the-counter (OTC) derivative contract,
or a cleared transaction is equal to the carrying value of the exposure (including any accrued interest
receivable on the exposure reported in Schedule RC, item 11, “Other assets”).

7

Structured finance programs include, but are not limited to, collateralized debt obligations.

Consistent with the regulatory capital rules, a bank must deduct from common equity tier 1 capital any after-tax
gain-on-sale resulting from a securitization and must apply a 1,250 percent risk weight to the portion of a CEIO strip
that does not constitute an after-tax gain-on-sale.

8

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
The exposure amount of an on-balance sheet securitization exposure that is an available-for-sale or heldto-maturity security where the bank has made the AOCI opt-out election in Schedule RC-R, Part I,
item 3.a, is equal to the carrying value of the exposure (including any accrued interest receivable on the
exposure reported in Schedule RC, item 11), less any net unrealized gains on the exposure and plus any
net unrealized losses on the exposure.

T

The exposure amount of an off-balance sheet securitization exposure that is not a repo-style transaction,
an eligible margin loan, a cleared transaction (other than a credit derivative), an OTC derivative contract
(other than a credit derivative), or an exposure to an asset-backed commercial paper (ABCP) program is
the notional amount of the exposure.

AF

For an off-balance sheet securitization exposure to an ABCP program, such as an eligible ABCP liquidity
facility, the notional amount may be reduced to the maximum potential amount that the bank could be
required to fund given the ABCP program’s current underlying assets (calculated without regard to the
current credit quality of those assets). An exposure amount of an eligible ABCP liquidity facility for which
the SSFA does not apply is calculated by multiplying the notional amount of the exposure by a credit
conversion factor (CCF) of 50 percent. An exposure amount of an eligible ABCP liquidity facility for which
the SSFA does apply is calculated by multiplying the notional amount of the exposure by a CCF of
100 percent.
The exposure amount of a securitization exposure that is a repo-style transaction, eligible margin loan, or
derivative contract (other than a credit derivative) is the exposure amount of the transaction as calculated
using the instructions for calculating the exposure amount of OTC derivatives or collateralized
transactions outlined in §.34, §.132, or §.37 of the regulatory capital rules.
If a bank has multiple securitization exposures that provide duplicative coverage to the underlying
exposures of a securitization, the bank is not required to hold duplicative risk-based capital against the
overlapping position. Instead, the bank may apply to the overlapping position the applicable risk-based
capital treatment that results in the highest risk-based capital requirement.

R

If a bank provides support to a securitization in excess of the bank’s contractual obligation to provide
credit support to the securitization (implicit support) it must include in risk-weighted assets all of the
underlying exposures associated with the securitization as if the exposures had not been securitized and
must deduct from common equity tier 1 capital any after-tax gain-on-sale resulting from the securitization.
b. Simplified Supervisory Formula Approach

D

To use the SSFA to determine the risk weight for a securitization exposure, a bank must have data that
enables it to accurately assign the parameters. The data used to assign the parameters must be the
most currently available data and no more than 91 calendar days old. A bank that does not have the
appropriate data to assign the parameters must assign a risk weight of 1,250 percent to the exposure.
See the operational requirements outlined in §.43 of the regulatory capital rules for further instructions.
To calculate the risk weight for a securitization exposure using the SSFA, a bank must have accurate
information on the following five inputs to the SSFA calculation:


Parameter KG is the weighted-average total capital requirement for all underlying exposures
calculated using the standardized approach (with unpaid principal used as the weight for each
exposure). Parameter KG is expressed as a decimal value between zero and one (e.g., an
average risk weight of 100 percent represents a value of KG equal to .08). “Underlying
exposures” is defined in the regulatory capital rules to mean one or more exposures that have
been securitized in a securitization transaction. In this regard, underlying exposures means all
exposures, including performing and nonperforming exposures. Thus, for example, for a pool of

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
underlying corporate exposures that have been securitized, where 95 percent of the pool is
performing (and qualify for a risk weight of 100 percent) and 5 percent of the pool is past due
exposures that are not guaranteed and are unsecured (and thus are assigned a risk weight of
150 percent), the weighted risk weight for the pool would be 102.5 percent [102.5% = (95% *
100%) + (5% * 150%)] and the total capital requirement KG would be equal to 0.082 (102.5%
divided by 1,250%). This treatment is consistent with the regulatory capital rules.
Parameter W is the ratio of the sum of the dollar amounts of any underlying exposures within the
securitized pool to the ending balance, measured in dollars, of underlying exposures, that meet
any of the following criteria: (1) 90 days or more past due; (2) subject to a bankruptcy or
insolvency proceeding; (3) in the process of foreclosure; (4) held as real estate owned; (5) has
contractually deferred interest payments for 90 days or more (other than in the case of
deferments on federally guaranteed student loans and certain consumer loans deferred according
to provisions in the contract); or (6) is in default. Parameter W is expressed as a decimal value
between zero and one.

T



AF

As a result, past due exposures that also meet one or more of the criteria in parameter W are to
be factored into the measure of both parameters KG and W for purposes of calculating the
regulatory capital requirement for securitization exposures using the SSFA.

Parameter A is the attachment point for the exposure, which represents the threshold at which
credit losses will first be allocated to the exposure. Parameter A equals the ratio of the current
dollar amount of underlying exposures that are subordinated to the exposure of the bank to the
current dollar amount of underlying exposures. Any reserve account funded by the accumulated
cash flows from the underlying exposures that is subordinated to the bank’s securitization
exposure may be included in the calculation of parameter A to the extent that cash is present in
the account. Parameter A is expressed as a decimal value between zero and one.



Parameter D is the detachment point for the exposure, which represents the threshold at which
credit losses of principal allocated to the exposure would result in a total loss of principal.
Parameter D equals parameter A plus the ratio of the current dollar amount of the securitization
exposures that are pari passu with the exposure (that is, have equal seniority with respect to
credit risk) to the current dollar amount of the underlying exposures. Parameter D is expressed
as a decimal value between zero and one.

R



A supervisory calibration parameter, p, is equal to 0.5 for securitization exposures that are not
resecuritization exposures and equal to 1.5 for resecuritization exposures.



D

There are three steps to calculating the risk weight for a securitization using the SSFA. First, a bank must
complete the following equations using the previously described parameters:
𝐾

𝑎

𝑢
𝑙
𝑒

1

𝑊 ∙𝐾
0.5 ∙ 𝑊
1
𝑝 ∙ 𝐾
𝐷 𝐾
max 𝐴 𝐾 , 0
2.71828, the base of the natural logarithms

Second, using the variables calculated in first step, find the value of KSSFA using the formula below:
𝐾

𝑒

FFIEC 051

∙

𝑎 𝑢

𝑒
𝑙

∙

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
Third, the risk weight of any particular securitization exposure (expressed as a percent) will be equal to:
𝐾

1,250

To determine the risk-based capital requirement under the SSFA, multiply the exposure amount
(including any accrued interest receivable on the exposure) by the higher of either (1) the calculated risk
weight or (2) a 20 percent risk weight.

c. Gross-Up Approach

T

For purposes of reporting in Schedule RC-R, Part II, items 9 and 10, a bank would report in column T the
risk-weighted asset amount calculated under the SSFA for its securitization exposures.

AF

A bank that is not subject to the market risk capital rule (Subpart F) in the regulatory capital rules may
apply the Gross-Up Approach instead of the SSFA to determine the risk weight of its securitization
exposures, provided that it applies the Gross-Up Approach consistently to all of its securitization
exposures.
To calculate the risk weight for a securitization exposure using the Gross-Up Approach, a bank must
calculate the following four inputs:

(1) Pro rata share, which is the par value of the bank’s securitization exposure as a percent of the par
value of the tranche in which the securitization exposure resides.
(2) Enhanced amount, which is the par value of the tranches that are more senior to the tranche in which
the bank’s securitization resides.
(3) Exposure amount of the bank’s securitization exposure (including any accrued interest receivable on
the exposure).

R

(4) Risk weight, which is the weighted-average risk weight of underlying exposures in the securitization
pool.
The bank would calculate the credit equivalent amount which is equal to the sum of the exposure
amount of the bank’s securitization exposure (3) and the pro rata share (1) multiplied by the enhanced
amount (2).

D

A bank must assign the higher of the weighted-average risk weight (4) or a 20 percent risk weight to the
securitization exposure using the Gross-Up Approach.

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
To determine the risk-based capital requirement under the gross-up approach, multiply the higher of the
two risk weights by the credit equivalent amount. These steps are outlined in the worksheet below:
Gross-Up Approach Worksheet to Calculate the Capital Charge for a Securitization
Exposure that is Not a Senior Exposure9

AF

T

(a) Currently outstanding par value of the bank’s non-senior
securitization exposure divided by the currently outstanding
par value of the entire tranche (e.g., 60%10)
(b) Currently outstanding par value of the more senior positions in
the securitization that are supported by the tranche in which the
bank owns a non-senior securitization exposure
(c) Pro rata share of the more senior positions currently outstanding
in the securitization that are supported by the bank’s
non-senior securitization exposure: enter (b) multiplied by (a)
(d) Exposure amount of the bank’s non-senior securitization exposure
(e) Enter the sum of (c) and (d)
(f) Enter the weighted-average risk weight applicable to
the assets underlying the securitization
(g) Risk-weighted asset amount of the bank’s non-senior
securitization exposure: enter the higher of:
 (d) multiplied by 20%, or
 (e) multiplied by (f)
(h) Capital charge for the risk-weighted asset amount of the bank’s
non-senior securitization exposure: enter (g) multiplied by 8%

R

For purposes of reporting its non-senior securitization exposures in Schedule RC-R, Part II, items 9
and 10, a bank would report in column U the risk-weighted asset amount calculated in line (g) on the
Gross-Up Approach worksheet. For a senior securitization exposure, a bank would report in column U
the exposure amount of its exposure multiplied by the weighted-average risk weight of the securitization’s
underlying exposures, subject to a 20 percent risk-weight floor.
Reporting in Schedule RC-R, Part II, When Using the Gross-Up Approach:

D

If the bank’s non-senior security is an HTM securitization exposure, the amortized cost of this security is
included on the Report of Condition balance sheet in Schedule RC, item 2.a, “Held-to-maturity securities,”
and on the regulatory capital schedule in columns A and B of Schedule RC-R, Part II, item 9.a,
“On-balance sheet securitization exposures – Held-to-maturity securities.” The risk-weighted asset
amount from line (g) in the Gross-Up Approach Worksheet above is reported in column U of
Schedule RC-R, Part II, item 9.a.

If the bank’s security is an AFS securitization exposure, the fair value of this security is included on the
Report of Condition balance sheet in Schedule RC, item 2.b, “Available-for-sale securities,” and on the
regulatory capital schedule in column A of Schedule RC-R, Part II, item 9.b, “On-balance sheet
securitization exposures – Available-for-sale securities.” For further information on the reporting of
A senior securitization exposure means a securitization exposure that has a first priority claim on the cash flows
from the underlying exposures, without considering amounts due under interest rate or currency contracts, fees or
other similar payments due. Time tranching (that is, maturity differences) also is not considered when determining
whether a securitization exposure is a senior securitization exposure.

9

For example, if the currently outstanding par value of the entire tranche is $100 and the currently outstanding par
value of the bank’s subordinated security is $60, then the bank would enter 60% in (a).
10

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
AFS securitization exposures in column B, refer to the instructions for Schedule RC-R, Part II, item 9.b,
because the amount reported in column B depends on whether the bank has made the AOCI opt-out
election in Schedule RC-R, Part I, item 3.a. For non-senior AFS securitization exposures, the riskweighted asset amount from line (g) in the Gross-Up Approach Worksheet above is reported in column U
of Schedule RC-R, Part II, item 9.b.

T

If the bank’s non-senior security is a trading securitization exposure, the fair value of this security is
included on the Report of Condition balance sheet in Schedule RC, item 5, “Trading assets,” and on the
regulatory capital schedule in column A of Schedule RC-R, Part II, item 9.c, “On-balance sheet
securitization exposures – Trading assets.” A trading security is risk-weighted using its fair value if the
bank is not subject to the market risk capital rule. The risk-weighted asset amount from line (g) in the
Gross-Up Approach Worksheet above is reported in column U of Schedule RC-R, Part II, item 9.c.
d. 1,250 Percent Risk Weight Approach

AF

If the bank cannot, or chooses not to, apply the SSFA or the Gross-Up Approach to the securitization
exposure, the bank must assign a 1,250 percent risk weight to the exposure (including any accrued
interest receivable on the exposure).
Securitization exposure reporting in Schedule RC-R, Part II

Securitization exposure reporting depends on the methodology the bank will use to risk weight the
exposure.
For example, if a bank plans to apply the 1,250 percent risk weight to its securitization exposures, the
amount reported in column Q should match the amount reported in column A (plus or minus any
adjustments reported in column B, such as that for an allocated transfer risk reserve (ATRR)). For any
securitization exposure risk weighted using the 1,250 percent risk weight, the sum of columns B and Q
should equal column A.
(Column B)
Adjustments to
Totals Reported
in Column A

R

(Column A)
Totals

On-balance sheet
9.
securitization exposures
a. Held-to-maturity
securities

$100

(Column Q)
Exposure
Amount
1250%

$0

$100

(Column T)
(Column U)
Total Risk-Weighted Asset
Amount by Calculation
Methodology
SSFA
Gross-Up

$0

$0

9.a.

D

In addition, when a bank applies the 1,250 percent risk weight to an on-balance sheet securitization
exposure, the bank should include in column A of Schedule RC-R, Part II, item 9.d, any amount reported
in Schedule RC, item 11, “Other assets,” for accrued interest receivable on the securitization exposures,
regardless of where the securitization exposure is reported on the balance sheet in Schedule RC. The
amount reported in column Q should match the amount reported in column A
If a bank – regardless of whether it makes the AOCI opt-out election – is applying the SSFA or Gross-Up
Approach, the reporting is significantly different due to the fact that the bank reports the risk-weighted
asset amount in columns T or U.

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
In the case where a bank has a securitization exposure with a balance sheet value of $100, it would report
$100 in both columns A and B. If the bank applies the SSFA and calculates a risk-weighted asset exposure of
$20 for that securitization, the bank would report $20 in column T. Since it is using the SSFA for all its
securitization exposures, the bank must report $0 in column U.

On-balance sheet
9.
securitization exposures
a. Held-to-maturity
securities

$100

(Column B)
Adjustments to
Totals Reported
in Column A

$100

(Column Q)
Exposure
Amount
1250%

(Column T)
(Column U)
Total Risk-Weighted Asset
Amount by Calculation
Methodology
SSFA
Gross-Up

T

(Column A)
Totals

$0

$20

$0

9.a.

AF

A bank, at its discretion, could also use both the 1,250 percent risk weight for some securitization exposures
and either the SSFA or Gross-Up Approach for other securitization exposures. For example, Bank Z has three
securitization exposures, each valued at $100 on the balance sheet. Bank Z chooses to apply the 1,250
percent risk weight to one exposure and use the Gross-Up Approach to calculate risk-weighted assets for the
other two exposures. Assume that the risk-weighted asset amount under the Gross-Up Approach is $20 for
each exposure.
The bank would report the following:

(Column A)
Totals

On-balance sheet
9.
securitization exposures
a. Held-to-maturity
securities

$300

(Column B)
Adjustments to
Totals Reported
in Column A

(Column Q)
Exposure
Amount
1250%

$200

$100

(Column T)
(Column U)
Total Risk-Weighted Asset
Amount by Calculation
Methodology
SSFA
Gross-Up

$0

$40

9.a.

R

The $200 reported under column B reflects the balance sheet amounts of the two securitization exposures risk
weighted using the Gross-Up Approach. This ensures that the sum of columns B and Q continues to equal the
amount reported in column A. The $40 under column U reflects the risk-weighted asset amount of the sum of
the two securitization exposures that were risk weighted using the Gross-Up Approach. This $40 is included in
risk-weighted assets before deductions in item 28 of Schedule RC-R, Part II.
Banks That Are Subject to the Market Risk Capital Rule

D

The banking agencies' regulatory capital rules require all banks with significant market risk to measure
their market risk exposure and hold sufficient capital to mitigate this exposure. In general, a bank is
subject to the market risk capital rule if its consolidated trading activity, defined as the sum of trading
assets and liabilities as reported in its Call Report for the previous quarter, equals: (1) 10 percent or more
of the bank's total assets as reported in its Call Report for the previous quarter, or (2) $1 billion or more.
However, a bank’s primary federal supervisory authority may exempt or include the bank if necessary or
appropriate for safe and sound banking practices.
For further information, a bank that is subject to the market risk capital rule should refer to the discussion
of “Banks That Are Subject to the Market Risk Capital Rule” in the General Instructions for
Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
Adjustments for Financial Subsidiaries

T

Section 121 of the Gramm-Leach-Bliley Act allows national banks and insured state banks to establish
entities known as financial subsidiaries. (Savings associations are not authorized under the GrammLeach-Bliley Act to have financial subsidiaries.) One of the statutory requirements for establishing a
financial subsidiary is that a national bank or insured state bank must deduct any investment in a financial
subsidiary from the bank’s assets and tangible equity. Therefore, under the regulatory capital rules, a
bank must deduct the aggregate amount of its outstanding equity investment in a financial subsidiary,
including the retained earnings of the subsidiary, from its common equity tier 1 capital elements in
Schedule RC-R, Part I, item 10.b. In addition, the assets and liabilities of the subsidiary may not be
consolidated with those of the parent bank for regulatory capital purposes.
For further information, a bank with one or more financial subsidiaries should refer to the discussion of
“Adjustments for Financial Subsidiaries” in the General Instructions for Schedule RC-R, Part II, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

AF

Treatment of Embedded Derivatives

If a bank has a hybrid contract containing an embedded derivative that must be separated from the host
contract and accounted for as a derivative instrument under ASC Topic 815, Derivatives and Hedging
(formerly FASB Statement No. 133, “Accounting for Derivative Instruments and Hedging Activities,” as
amended), then the host contract and embedded derivative should be treated separately for risk-based
capital purposes. When the fair value of the embedded derivative has been reported as part of the bank's
assets on Schedule RC – Balance Sheet, that fair value (whether positive or negative) should be reported
(as a positive or negative number) in column B of the corresponding asset category item in Schedule RC-R,
Part II (items 1 to 8). The host contract, if an asset, should be risk weighted according to the obligor or, if
relevant, the guarantor or the nature of the collateral. All derivative exposures should be risk weighted in the
derivative items of Schedule RC-R, Part II, as appropriate (items 20 or 21).
Reporting Exposures Hedged with Cleared Eligible Credit Derivatives

D

R

Institutions are able to obtain full or partial protection for (i.e., “hedge”) on-balance sheet assets or offbalance sheet items using credit derivatives that are cleared through a qualified central counterparty
(QCCP) or a central counterparty (CCP) that is not a QCCP. In some cases, a cleared credit derivative
used for this purpose meets the definition of an eligible credit derivative in §.2 of the regulatory capital
rules. In these cases, under §.36 of the regulatory capital rules, an institution that is a clearing member or
a clearing member client may recognize the credit risk mitigation benefits of the eligible credit derivative.
More specifically, the risk weight of the underlying exposure (e.g., 20 percent, 50 percent, or 100 percent)
may be replaced with the risk weight of the CCP or QCCP as the protection provider if the credit
derivative is an eligible credit derivative, is cleared through a CCP or a QCCP, and meets the applicable
requirements under §.35 and §.36 of the regulatory capital rules. The risk weight for an eligible credit
derivative cleared through a QCCP is 2 percent or 4 percent, based on conditions set forth in the rules.
The risk weight for an eligible credit derivative cleared through a CCP is determined according to §.32 of
the regulatory capital rules. In addition, the coverage amount provided by an eligible credit derivative
must be adjusted downward under certain conditions as described in §.36 of the regulatory capital rules.
If a clearing member bank or clearing member client bank has obtained full or partial protection for an
on-balance sheet asset or off-balance sheet item using a cleared eligible credit derivative cleared through
a QCCP, the institution may, but is not required to, recognize the benefits of this eligible credit derivative
in determining the risk-weighted asset amount for the hedged exposure in Schedule RC-R, Part II, by
reporting the protected exposure amounts and credit equivalent amounts in the 2 percent or 4 percent
risk-weight category, as appropriate under the regulatory capital rules. Any amount of the exposure that
is not covered by the eligible credit derivative should be reported in the risk-weight category

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Part II. (cont.)
General Instructions for Schedule RC-R, Part II. (cont.)
corresponding to the risk weight of the underlying exposure. For example, for an asset with a $200
exposure amount fully covered by an eligible credit derivative cleared through a QCCP that qualifies for a
2 percent risk weight, the institution would report the $200 exposure amount in Column D–2% risk weight
for the appropriate asset category.
Treatment of Certain Centrally Cleared Derivative Contracts

AF

T

In August 2017, the banking agencies issued supervisory guidance on the regulatory capital treatment of
certain centrally cleared derivative contracts, which are reported in Schedule RC-R, Part II, item 21, in
light of revisions to the rulebooks of certain central counterparties. Under the previous requirements of
these central counterparties’ rulebooks, variation margin transferred to cover the exposure that arises
from marking cleared derivative contracts, and netting sets of such contracts, to fair value was considered
collateral pledged by one party to the other, with title to the collateral remaining with the posting party.
These derivative contracts are referred to as collateralized-to-market contracts. Under the revised
rulebooks of certain central counterparties, variation margin for certain centrally cleared derivative
contracts, and certain netting sets of such contracts, is considered a settlement payment for the exposure
that arises from marking these derivative contracts and netting sets to fair value, with title to the payment
transferring to the receiving party. In these circumstances, the derivative contracts and netting sets are
referred to as settled-to-market contracts.
For further information, an institution with settled-to-market contracts should refer to the discussion of
“Treatment of Certain Centrally Cleared Derivative Contracts” in the General Instructions for
Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports. In addition,
institutions should refer to the August 2017 supervisory guidance in its entirety for purposes of
determining the appropriate regulatory capital treatment of settled-to-market contracts under the
regulatory capital rules.
Treatment of FDIC Loss-Sharing Agreements

R

Loss-sharing agreements entered into by the FDIC with acquirers of assets from failed institutions are
considered conditional guarantees for risk-based capital purposes due to contractual conditions that
acquirers must meet. The guaranteed portion of assets subject to a loss-sharing agreement may be
assigned a 20 percent risk weight. Because the structural arrangements for these agreements vary
depending on the specific terms of each agreement, institutions should consult with their primary federal
regulator to determine the appropriate risk-based capital treatment for specific loss-sharing agreements.
Allocated Transfer Risk Reserve (ATRR)

D

If the reporting bank is required to establish and maintain an ATRR as specified in Section 905(a) of the
International Lending Supervision Act of 1983, the ATRR should be reported in Schedule RC-R, Part II,
item 30. The ATRR is not eligible for inclusion in either tier 1 or tier 2 capital.
Any ATRR related to loans and leases held for investment is included on the balance sheet in
Schedule RC, item 4.c, "Allowance for loan and lease losses." However, if the bank must maintain an
ATRR for any asset other than a loan or lease held for investment, the balance sheet category for that
asset should be reported net of the ATRR on Schedule RC. In this situation, the ATRR should be
reported as a negative number (i.e., with a minus (-) sign) in column B, "Adjustments to totals reported in
Column A," of the corresponding asset category in Schedule RC-R, Part II, items 1 through 4 and 7
through 9. The amount to be risk weighted for this asset in columns C through Q, as appropriate, would
be its net carrying value plus the ATRR. For example, a bank has an HTM security issued by a foreign
commercial company against which it has established an ATRR of $20. The security, net of the ATRR, is
included in Schedule RC, item 2.a, "Held-to-maturity securities," at $80. The security should be included
in Schedule RC-R, Part II, item 2.a, column A, at $80. The bank should include $-20 in Schedule RC-R,
item 2.a, column B, and $100 in item 2.a, column I.
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Part II. (cont.)
Item Instructions for Schedule RC-R, Part II.
Balance Sheet Asset Categories
Item No.

Caption and Instructions

NOTE: Schedule RC-R, Part II, items 1 through 8.b, columns A through S, as applicable, are to be
completed semiannually in the June and December reports only.
Cash and balances due from depository institutions. Report in column A the amount of
cash and balances due from depository institutions reported in Schedule RC, sum of
items 1.a and 1.b, excluding those balances due from depository institutions that qualify as
securitization exposures as defined in §.2 of the regulatory capital rules.

T

1

The amount of those balances due from depository institutions reported in Schedule RC,
items 1.a and 1.b, that qualify as securitization exposures must be reported in
Schedule RC-R, Part II, item 9.d, column A.

In column C–0% risk weight, include:
o The amount of currency and coin reported in Schedule RC, item 1.a;
o Any balances due from Federal Reserve Banks reported in Schedule RC, item 1.b;
and
o The insured portions of deposits in FDIC-insured depository institutions and NCUAinsured credit unions reported in Schedule RC, items 1.a and 1.b.



In column G–20% risk weight, include:
o Any balances due from depository institutions and credit unions that are organized
under the laws of the United States or a U.S. state reported in Schedule RC,
items 1.a and 1.b, in excess of any applicable FDIC or NCUA deposit insurance limits
for deposit exposures or where the depository institutions are not insured by either
the FDIC or the NCUA;
o Any balances due from Federal Home Loan Banks reported in Schedule RC,
items 1.a and 1.b; and
o The amount of cash items in the process of collection reported in Schedule RC,
item 1.a.

R

AF



In column I–100% risk weight, include all other amounts that are not reported in
columns C through H and J.



For balances due from foreign banks and foreign central banks that must be risk
weighted according to the Country Risk Classification (CRC) methodology, assign these
exposures to risk-weight categories based on the CRC methodology described in the
General Instructions for Schedule RC-R, Part II, in the instructions for the FFIEC 031 and
FFIEC 041 Call Reports.

D



If the reporting bank is the correspondent bank in a pass-through reserve balance
relationship, report in column C the amount of its own reserves as well as those reserve
balances actually passed through to a Federal Reserve Bank on behalf of its respondent
depository institutions.

If the reporting bank is the respondent bank in a pass-through reserve balance relationship,
report in column C the amount of the bank's reserve balances due from its correspondent
bank that its correspondent has actually passed through to a Federal Reserve Bank on the
reporting bank's behalf, i.e., for purposes of this item, treat these balances as balances due
from a Federal Reserve Bank. This risk-based capital treatment differs from the required
reporting described in the Glossary entry for “pass-through reserve balances," which, for

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Part II. (cont.)
Item No.

Caption and Instructions

1
(cont.)

legal and supervisory purposes, treats pass-through reserve balances held by a bank's
correspondent as balances due from a depository institution as opposed to balances due
from the Federal Reserve.
If the reporting bank is a participant in an excess balance account at a Federal Reserve
Bank, report in column C the bank’s balance in this account.

2.a

Securities. Do not include securities that qualify as securitization exposures in items 2.a
and 2.b below; instead, report these securities in Schedule RC-R, Part II, items 9.a and 9.b.
In general, under the regulatory capital rules, securitizations are exposures that are
“tranched” for credit risk. Refer to the definitions of securitization, traditional securitization,
synthetic securitization and tranche in §.2 of the regulatory capital rules.

AF

2

T

If the reporting bank accounts for any holdings of certificates of deposit (CDs) like availablefor-sale debt securities that do not qualify as securitization exposures, report in column A the
fair value of such CDs. If the bank has made the Accumulated Other Comprehensive Income
opt-out election in Schedule RC-R, Part I, item 3.a, include in column B the difference
between the fair value and amortized cost of these CDs. When fair value exceeds amortized
cost, report the difference as a positive number in column B. When amortized cost exceeds
fair value, report the difference as a negative number (i.e., with a minus (-) sign) in column B.
Risk weight the amortized cost of these CDs in columns C through J, as appropriate.

Held-to-maturity securities. Report in column A the amount of held-to-maturity (HTM)
securities reported in Schedule RC, item 2.a, excluding those HTM securities that qualify as
securitization exposures as defined in §.2 of the regulatory capital rules.

The amount of those HTM securities reported in Schedule RC, item 2.a, that qualify as
securitization exposures are to be reported in Schedule RC-R, Part II, item 9.a, column A.
The sum of Schedule RC-R, Part II, items 2.a and 9.a, column A, must equal Schedule RC,
item 2.a.

R

Exposure amount to be used for purposes of risk weighting – bank has not made the
Accumulated Other Comprehensive Income (AOCI) opt-out election in Schedule RC-R,
Part I, item 3.a:
For a security classified as HTM where the bank has not made the AOCI opt-out election
(i.e., most AOCI is included in regulatory capital), the exposure amount to be risk weighted
by the bank is the carrying value of the security, which is the value of the asset reported
(a) on the balance sheet of the bank determined in accordance with GAAP and (b) in
Schedule RC-R, Part II, item 2.a, column A.

D

Exposure amount to be used for purposes of risk weighting – bank has made the AOCI
opt-out election in Schedule RC-R, Part I, item 3.a:
For a security classified as HTM where the bank has made the AOCI opt-out election
(i.e., most AOCI is not included in regulatory capital), the exposure amount to be risk
weighted by the bank is the carrying value of the security reported (a) on the balance sheet
of the bank and (b) in Schedule RC-R, Part II, item 2.a, column A, less any unrealized gain
on the exposure or plus any unrealized loss on the exposure included in AOCI. For purposes
of determining the exposure amount of an HTM security, an unrealized gain (loss), if any,
on such a security that is included in AOCI is (i) the unamortized balance of the unrealized
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, or (ii) the unaccreted portion of
other-than-temporary impairment losses on an HTM debt security that was not recognized in
earnings in accordance with ASC Topic 320, Investments-Debt Securities (formerly FASB

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Part II. (cont.)
Item No.

Caption and Instructions

2.a
(cont.)

Statement No. 115, “Accounting for Certain Investments in Debt and Equity Securities”).
Thus, for an HTM security with such an unrealized gain (loss), report in column B any
difference between the carrying value of the security reported in column A of this item and its
exposure amount reported under the appropriate risk weighting column C through J.
In column B, include the amount of:
o Non-significant investmentsInvestments in tier 2 capital of unconsolidated financial
institutions that are reported in Schedule RC, item 2.a, and have been deducted from
capital in Schedule RC-R, Part I, item 3345.
o Significant investments in the capital of unconsolidated financial institutions in the
form of tier 2 capital that are reported in Schedule RC, item 2.a, and have been
deducted from capital in Schedule RC-R, Part I, item 33.

T



AF

For an institution that has adopted the current expected credit losses methodology
(CECL), include as a negative number in column B:
o The portion of Schedule RI-B, Part II, item 7, column B, “Balance end of current
period” for HTM debt securities that relates to HTM securities reported in column A of
this item, less
o The portion of Schedule RC-R, Part II, Memorandum item 4.b, “Amount of
allowances for credit losses on purchased credit-deteriorated assets” for HTM debt
securities that relates to purchased credit-deteriorated HTM securities reported in
column A of this item.
For example, if an institution reports $100 in Schedule RI-B, Part II, item 7, column B,
and $10 in Schedule RC-R, Part II, Memorandum item 4.b, the institution would report
($90) in this column B.

In column C–0% risk weight. The zero percent risk weight applies to exposures to the
U.S. government, a U.S. government agency, or a Federal Reserve Bank, and those
exposures otherwise unconditionally guaranteed by the U.S. government. Include
exposures to or unconditionally guaranteed by the FDIC or the NCUA. Certain foreign
government exposures and certain entities listed in §.32 of the regulatory capital rules
may also qualify for the zero percent risk weight. Include the exposure amounts of
securities reported in Schedule RC-B, column A, that do not qualify as securitization
exposures that qualify for the zero percent risk weight. Such securities may include
portions of, but may not be limited to:
o Item 1, "U.S. Treasury securities,"
o Item 2, those obligations issued by U.S. Government agencies,
o Item 4.a.(1), those residential mortgage pass-through securities guaranteed by
GNMA,
o Item 4.b.(1), those other residential mortgage-backed securities issued or guaranteed
by U.S. Government agencies, such as GNMA exposures,
o Item 4.c.(1)(a), those commercial mortgage-backed securities (MBS) “Issued or
guaranteed by FNMA, FHLMC, or GNMA” that represent GNMA securities, and
o Item 4.c.(2)(a), those commercial MBS “Issued or guaranteed by U.S. Government
agencies or sponsored agencies” that represent GNMA securities.
o The portion of any exposure reported in Schedule RC, item 2.a, that is secured by
collateral or has a guarantee that qualifies for the zero percent risk weight.

D

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•

•

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In column G–20% risk weight. The 20 percent risk weight applies to general obligations
of U.S. states, municipalities, and U.S. public sector entities. It also applies to exposures
to U.S. depository institutions and credit unions, exposures conditionally guaranteed by

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Part II. (cont.)
Item No.

Caption and Instructions
the U.S. government, as well as exposures to U.S. government-sponsored enterprises.
Certain foreign government and foreign bank exposures may qualify as indicated in §.32
of the regulatory capital rules. Include the exposure amounts of securities reported in
Schedule RC-B, column A, that do not qualify as securitization exposures that qualify for
the 20 percent risk weight. Such securities may include portions of, but may not be
limited to:
o Item 2, those obligations issued by U.S. Government-sponsored agencies,
Item 3, "Securities issued by states and political subdivisions in the U.S." that
represent general obligation securities,
o Item 4.a.(1), those residential mortgage pass-through securities issued by FNMA
and FHLMC,
o Item 4.b.(1), Other residential mortgage-backed securities "Issued or guaranteed by
U.S. Government agencies or sponsored agencies,"
o Item 4.c.(1)(a), those commercial MBS “Issued or guaranteed by FNMA, FHLMC, or
GNMA” that represent FHLMC and FNMA securities,
o Item 4.c.(2)(a), those commercial MBS “Issued or guaranteed by U.S. Government
agencies or sponsored agencies” that represent FHLMC and FNMA securities,
o Item 4.b.(2), Other residential MBS "Collateralized by MBS issued or guaranteed by
U.S. Government agencies or sponsored agencies," and
o Any securities categorized as “structured financial products” on Schedule RC-B that
are not securitization exposures and qualify for the 20 percent risk weight. Note:
Many of the structured financial products would be considered securitization
exposures and must be reported in Schedule RC-R, Part II, item 9.a, for purposes of
calculating risk-weighted assets.
o The portion of any exposure reported in Schedule RC, item 2.a, that is secured by
collateral or has a guarantee that qualifies for the 20 percent risk weight.

AF

T

2.a
(cont.)

In column H–50% risk weight, include the exposure amounts of securities reported in
Schedule RC-B, column A, that do not qualify as securitization exposures that qualify for
the 50 percent risk weight. Such securities may include portions of, but may not be
limited to:
o Item 3, "Securities issued by states and political subdivisions in the U.S.," that
represent revenue obligation securities,
o Item 4.a.(2), "Other [residential mortgage] pass-through securities," that represent
residential mortgage exposures that qualify for 50 percent risk weight. (Pass-through
securities that do not qualify for the 50 percent risk weight should be assigned to the
100 percent risk-weight category.)
o Item 4.b.(2), Other residential MBS "Collateralized by MBS issued or guaranteed by
U.S. Government agencies or sponsored agencies" (excluding portions subject to an
FDIC loss-sharing agreement and interest-only securities) that represent residential
mortgage exposures that qualify for 50 percent risk weight, and
o Item 4.b.(3), “All other residential MBS.” Include only those MBS that qualify for the
50 percent risk weight. Refer to §.32(g), (h) and (i) of the regulatory capital rules.
Note: Do not include MBS portions that are tranched for credit risk; those must be
reported as securitization exposures in Schedule RC-R, Part II, item 9.a. Exclude
interest-only securities.
o The portion of any exposure reported in Schedule RC, item 2.a, that is secured by
collateral or has a guarantee that qualifies for the 50 percent risk weight.

D

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Part II. (cont.)
Item No.

Caption and Instructions

2.a
(cont.)

•

D

R

AF

T

In column I–100% risk weight, include the exposure amounts of securities reported in
Schedule RC-B, column A, that do not qualify as securitization exposures that qualify for
the 100 percent risk weight. Such securities may include portions of, but may not be
limited to:
o Item 4.a.(2), "Other [residential mortgage] pass-through securities," that represent
residential mortgage exposures that qualify for the 100 percent risk weight,
o Item 4.b.(2), Other residential MBS "Collateralized by MBS issued or guaranteed by
U.S. Government agencies or sponsored agencies" (excludes portions subject to an
FDIC loss-sharing agreement), that represent residential mortgage exposures that
qualify for the 100 percent risk weight,
o Item 4.b.(3), "All other residential MBS," Include only those MBS that qualify for the
100 percent risk weight. Refer to §.32(g), (h) and (i) of the regulatory capital rules.
(Note: Do not include MBS that are tranched for credit risk; those should be reported
as securitization exposures in Schedule RC-R, Part II, item 9.a.),
o Item 4.c.(1)(b), “Other [commercial mortgage] pass-through securities,”
o Item 4.c.(2)(b), “All other commercial MBS,”
o Item 5.a, "Asset-backed securities," and

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Part II. (cont.)
Item No.

Caption and Instructions

○ Any securities reported as “structured financial products” in Schedule RC-B, item 5.b,

2.a
(cont.)

o



For HTM securities that are directly and unconditionally guaranteed by foreign central
governments or are exposures to foreign banks that do not qualify as securitization
exposures and must be risk-weighted according to the Country Risk Classification (CRC)
methodology, assign these exposures to risk-weight categories based on the CRC
methodology described in the General Instructions for Schedule RC-R, Part II, and the
instructions for Schedule RC-R, Part, II, item 2.a, in the instructions for the FFIEC 031
and FFIEC 041 Call Reports.

Available-for-sale debt securities and equity securities with readily determinable fair
values not held for trading. For institutions that have not adopted FASB Accounting
Standards Update No. 2016-01 (ASU 2016-01), which includes provisions governing the
accounting for investments in equity securities, including investments in mutual funds, and
eliminates the concept of available-for-sale (AFS) equity securities (see the Note preceding
the instructions for Schedule RC, item 2.c), report in column A the fair value of AFS debt and
equity securities reported in Schedule RC, item 2.b, excluding those AFS securities that
qualify as securitization exposures as defined in §.2 of the regulatory capital rules. The fair
value of those AFS securities reported in Schedule RC, item 2.b, that qualify as securitization
exposures must be reported in Schedule RC-R, Part II, item 9.b, column A. The sum of
Schedule RC-R, Part II, items 2.b and 9.b, column A, must equal Schedule RC, item 2.b.

R

2.b

In column J–150% risk weight, include the exposure amounts of securities reported in
Schedule RC-B, column A, that are past due 90 days or more or in nonaccrual status
(except sovereign exposures), excluding those portions that are covered by qualifying
collateral or eligible guarantees as described in §.37 and §.36, respectively, of the
regulatory capital rules.

AF

•

T

o

that are not securitization exposures and qualify for the 100 percent risk weight.
Note: Many of the structured financial products would be considered securitization
exposures and must be reported in Schedule RC-R, Part II, item 9.a, for purposes of
calculating risk-weighted assets.
The portion of any exposure reported in Schedule RC, item 2.a, that is secured by
collateral or has a guarantee that qualifies for the 100 percent risk weight.
Also include all other HTM securities that do not qualify as securitization exposures
reported in Schedule RC, item 2.a, that are not included in columns C through H
and J.

D

For institutions that have adopted ASU 2016-01, report in column A the sum of:
(1) The fair value of AFS debt securities reported in Schedule RC, item 2.b; and
(2) The fair value of equity securities with readily determinable fair values not held for trading
reported in Schedule RC, item 2.c;
excluding those debt and equity securities that qualify as securitization exposures as defined
in §.2 of the regulatory capital rules.
Exposure amount to be used for purposes of risk weighting by a bank that has not made the
Accumulated Other Comprehensive Income (AOCI) opt-out election in Schedule RC-R,
Part I, item 3.a:
For a security reported in Schedule RC-R, Part II, item 2.b, column A, where the bank has not
made the AOCI opt-out election (i.e., most AOCI is included in regulatory capital), the
exposure amount to be risk weighted by the bank is:
• For a debt security: the carrying value, which is the value of the asset reported on the
balance sheet of the bank determined in accordance with GAAP (i.e., the fair value of the
AFS debt security) and in column A.

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Part II. (cont.)
Item No.

Caption and Instructions

2.b
(cont.)

•

For equity securities and preferred stock classified as an equity under GAAP: the
adjusted carrying value.11

D

R

AF

T

Exposure amount to be used for purposes of risk weighting by a bank that has made the
AOCI opt-out election in Schedule RC-R, Part I, item 3.a:
 For institutions that have not adopted ASU 2016-01, for a security classified as AFS
where the bank has made the AOCI opt-out election (i.e., most AOCI is not included in
regulatory capital), the exposure amount to be risk weighted by the bank is:
o For a debt security: the carrying value, less any unrealized gain on the exposure or
plus any unrealized loss on the exposure included in AOCI.
o For equity securities and preferred stock classified as an equity under GAAP:
the carrying value less any net unrealized gains that are reflected in such carrying
value but are excluded from the bank’s regulatory capital components.
 For institutions that have adopted ASU 2016-01, for a security reported in
Schedule RC-R, Part II, item 2.b, column A, where the bank has made the AOCI opt-out
election (i.e., most AOCI is not included in regulatory capital), the exposure amount to be
risk weighted by the bank is:
o For a debt security: the carrying value, less any unrealized gain on the exposure or
plus any unrealized loss on the exposure included in AOCI.
o For equity securities and preferred stock classified as an equity under GAAP
with readily determinable fair values, the adjusted carrying value. 11a

Adjusted carrying value applies only to equity exposures and is defined in §.51 of the regulatory capital rules. In
general, it includes an on-balance sheet amount as well as application of conversion factors to determine on-balance
sheet equivalents of any off-balance sheet commitments to acquire equity exposures. For institutions that have not
made the AOCI opt-out election, the on-balance sheet component is equal to the carrying value. Refer to §.51 for the
precise definition.
11

11a Adjusted carrying value applies only to equity exposures and is defined in §.51 of the regulatory capital rules. In
general, it includes an on-balance sheet amount as well as application of conversion factors to determine on-balance
sheet equivalents of any off-balance sheet commitments to acquire equity exposures. For institutions that have made
the AOCI opt-out election, the adjusted carrying value of an on-balance sheet equity exposure, such as an equity
security with a readily determinable fair value not held for trading, is equal to the carrying value of the equity
exposure, i.e., the value of the asset on the balance sheet determined in accordance with U.S. GAAP. Refer to §.51
for the precise definition.

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

D

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T



In column B, a bank that has made the AOCI opt-out election should include the
difference between the fair value and amortized cost of those AFS debt securities that do
not qualify as securitization exposures. This difference equals the amounts reported in
Schedule RC-B, items 1 through 6, column D, minus items 1 through 6, column C, for
those AFS debt securities included in these items that are not securitization exposures.
o When fair value exceeds cost, report the difference as a positive number in
Schedule RC-R, Part II, item 2.b, column B.
o When cost exceeds fair value, report the difference as a negative number (i.e., with a
minus (-) sign) in Schedule RC-R, Part II, item 2.b, column B.
In column B, for a bank that has made the AOCI opt-out election and has not adopted
ASU 2016-01:
o If AFS equity securities with readily determinable fair values have a net unrealized
gain (i.e., Schedule RC-B, item 7, column D, exceeds item 7, column C), the portion
of the net unrealized gain (55 percent) not included in Tier 2 capital should be
included in Schedule RC-R, Part II, item 2.b, column B. The portion that is not
included in Tier 2 capital equals Schedule RC-B, item 7, column D minus column C,
minus Schedule RC-R, Part I, item 3143.

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Part II. (cont.)
Item No.

Caption and Instructions
Example: A bank reports an AFS debt security that is not a securitization exposure on its
balance sheet in Schedule RC, item 2.b, at a carrying value (i.e., fair value) of $105. The
amortized cost of the debt security is $100. The bank has made the AOCI opt-out
election in Schedule RC-R, Part I, item 3.a. The AFS debt security has a $5 unrealized
gain that is included in AOCI. In Schedule RC-R, Part II, item 2.b, the bank would report
in Schedule RC-R, Part II, item 2.b:
a. $105 in column A. This is the carrying value of the AFS debt security on the bank’s
balance sheet.
b. $5 in column B. This is the difference between the carrying value (i.e., fair value) of
the debt security and its exposure amount that is subject to risk weighting. For a
bank that has made the AOCI opt-out election, column B will typically represent the
amount of the unrealized gain or unrealized loss on the security. Gains are reported
as positive numbers; losses as negative numbers. (Note: If the bank has not made
or cannot make the opt-out election, there will be no adjustment to be reported in
column B.)
c. $100 is the exposure amount subject to risk weighting. This amount will be reported
under the appropriate risk weight associated with the exposure (columns C through
J). For a bank that has made the opt-out election, the exposure amount typically will
be the carrying value (i.e., fair value) of the debt security excluding any unrealized
gain or loss.

AF

T

2.b
(cont.)

In column B, for a bank that has made the AOCI opt-out election and has adopted
ASU 2016-01, no amount should be included for equity securities and preferred stock
classified as an equity under GAAP with readily determinable fair values that are reported
in Schedule RC-R, Part II, item 2.b, column A.



In column B, include the amount of:
o Non-significant investmentsInvestments in the capital of unconsolidated financial
institutions that are reported in Schedule RC, item 2.b (for a bank that has not
adopted ASU 2016-01) or item 2.c (for a bank that has adopted ASU 2016-01), and
have been deducted from capital in Schedule RC-R, Part I, item 1113, item 24, and
item 3345.
o Significant investments in the capital of unconsolidated financial institutions not in the
form of common stock that are reported in Schedule RC, item 2.b (for a bank that has
not adopted ASU 2016-01) or item 2.c (for a bank that has adopted ASU 2016-01),
and have been deducted from capital in Schedule RC-R, Part I, item 24 and item 33.
o Significant investments in the capital of unconsolidated financial institutions in the
form of common stock reported in Schedule RC, item 2.b (for a bank that has not
adopted ASU 2016-01) or item 2.c (for a bank that has adopted ASU 2016-01), that
are subject to the 10 percent and 15 percent common equity tier 1 capital
threshold limitations and have been deducted for risk-based capital purposes in
Schedule RC-R, Part I, items 13 and 16.

D

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



FFIEC 051

In column C–0% risk weight, the zero percent risk weight applies to exposures to the U.S.
government, a U.S. government agency, or a Federal Reserve Bank, and those
exposures otherwise unconditionally guaranteed by the U.S. government. Include
exposures to or unconditionally guaranteed by the FDIC or the NCUA. Certain foreign
government exposures and certain entities listed in §.32 of the regulatory capital rules
may also qualify for zero percent risk weight. Include the exposure amounts of those
debt securities reported in Schedule RC-B, column C, that do not qualify as securitization

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Caption and Instructions
exposures that qualify for the zero percent risk weight. Such debt securities may include
portions of, but may not be limited to:
○ Item 1, "U.S. Treasury securities,"
○ Item 2, those obligations issued by U.S. Government agencies,
o Item 4.a.(1), those residential mortgage pass-through securities guaranteed by
GNMA,
o Portions of item 4.b.(1), Other residential mortgage-backed securities (MBS) "Issued
or guaranteed by U.S. Government agencies or sponsored agencies," such as
GNMA exposures,
o Item 4.c.(1)(a), certain portions of commercial MBS “Issued or guaranteed by FNMA,
FHLMC, or GNMA” that represent GNMA securities, and
o Item 4.c.(2)(a), certain portions of commercial MBS “Issued or guaranteed by U.S.
Government agencies or sponsored agencies” that represent GNMA securities.
o The portion of any exposure reported in Schedule RC, item 2.b, that is secured by
collateral or has a guarantee that qualifies for the zero percent risk weight.

2.b
(cont.)

In column G–20% risk weight, the 20 percent risk weight applies to general obligations of
U.S. states, municipalities, and U.S. public sector entities. It also applies to exposures to
U.S. depository institutions and credit unions, exposures conditionally guaranteed by the
U.S. government, as well as exposures to U.S. government sponsored enterprises.
Certain foreign government and foreign bank exposures may qualify for the 20 percent
risk weight as indicated in §.32 of the regulatory capital rules. Include the exposure
amounts of those debt securities reported in Schedule RC-B, column C, that do not
qualify as securitization exposures that qualify for the 20 percent risk weight. Such debt
securities may include portions of, but may not be limited to:
o Item 2, those obligations issued by U.S. Government-sponsored agencies (exclude
interest-only securities),
o Item 3, "Securities issued by states and political subdivisions in the U.S." that
represent general obligation securities,
o Item 4.a.(1), those residential mortgage pass-through securities issued by FNMA and
FHLMC (exclude interest-only securities),
o Item 4.b.(1), Other residential MBS "Issued or guaranteed by U.S. Government
agencies or sponsored agencies," (exclude interest-only securities)
o Item 4.c.(1)(a), those commercial MBS “Issued or guaranteed by FNMA, FHLMC, or
GNMA” that represent FHLMC and FNMA securities (exclude interest-only
securities),
o Item 4.c.(2)(a), those commercial MBS “Issued or guaranteed by U.S. Government
agencies or sponsored agencies” that represent FHLMC and FNMA securities
(exclude interest-only securities),
o Item 4.b.(2), Other residential MBS "Collateralized by MBS issued or guaranteed by
U.S. Government agencies or sponsored agencies" (exclude interest-only securities),
and
o Any securities categorized as “structured financial products” on Schedule RC-B that
are not securitization exposures and qualify for the 20 percent risk weight. Note:
Many of the structured financial products would be considered securitization
exposures and must be reported in Schedule RC-R, Part II, item 9.b, for purposes of
calculating risk-weighted assets. Exclude interest-only securities.
o The portion of any exposure reported in Schedule RC, item 2.b, that is secured by
collateral or has a guarantee that qualifies for the 20 percent risk weight.

D

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

T

Item No.

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Part II. (cont.)
Item No.

Caption and Instructions

2.b
(cont.)

•

AF

T

In column H–50% risk weight, include the exposure amounts of those debt securities
reported in Schedule RC-B, column C, that do not qualify as securitization exposures that
qualify for the 50 percent risk weight. Such debt securities may include portions of, but
may not be limited to:
o Item 3, "Securities issued by states and political subdivisions in the U.S.," that
represent revenue obligation securities,
○ Item 4.a.(2), "Other [residential mortgage] pass-through securities," (that represent
residential mortgage exposures that qualify for the 50 percent risk weight. (Passthrough securities that do not qualify for the 50 percent risk weight should be
assigned to the 100 percent risk weight category.)
o Item 4.b.(2), Other residential MBS "Collateralized by MBS issued or guaranteed by
U.S. Government agencies or sponsored agencies" (exclude portions subject to an
FDIC loss-sharing agreement and interest-only securities) that represent residential
mortgage exposures that qualify for the 50 percent risk weight, and
o Item 4.b.(3), “All other residential MBS.” Include only those MBS that qualify for the
50 percent risk weight. Refer to §.32(g), (h) and (i) of the regulatory capital rules.
Note: Do not include MBS that are tranched for credit risk; those should be reported
as securitization exposures in Schedule RC-R, Part II, item 9.b. Do not include
interest-only securities.
o The portion of any exposure reported in Schedule RC, item 2.b, that is secured by
collateral or has a guarantee that qualifies for the 50 percent risk weight.

In column I–100% risk weight, include the exposure amounts of those debt securities
reported in Schedule RC-B, column C, that do not qualify as securitization exposures that
qualify for the 100 percent risk weight. Such debt securities may include portions of, but
may not be limited to:
o Item 4.a.(2), "Other [residential mortgage] pass-through securities," that represent
residential mortgage exposures that qualify for the 100 percent risk weight,
o Item 4.b.(2), Other residential MBS "Collateralized by MBS issued or guaranteed by
U.S. Government agencies or sponsored agencies" (excluding portions subject to an
FDIC loss-sharing agreement) that represent residential mortgage exposures that
qualify for the 100 percent risk weight,
o Item 4.b.(3), "All other residential MBS." Include only those MBS that qualify for the
100 percent risk weight. Refer to §.32(g), (h) and (i) of the regulatory capital rules.
Note: Do not include MBS portions that are tranched for credit risk; those should be
reported as securitization exposures in Schedule RC-R, Part II, item 9.b.
o Item 4.c.(1)(b), “Other [commercial mortgage] pass-through securities,”
o Item 4.c.(2)(b), “All other commercial MBS,”
o Item 5.a, "Asset-backed securities,"
o Any securities reported as “structured financial products” in Schedule RC-B, item 5.b,
that are not securitization exposures and qualify for the 100 percent risk weight.
Note: Many of the structured financial products would be considered securitization
exposures and must be reported in Schedule RC-R, Part II, item 9.b, for purposes of
calculating risk-weighted assets.
o The portion of any exposure reported in Schedule RC, item 2.b, that is secured by
collateral or has a guarantee that qualifies for the 100 percent risk weight.
o All other AFS debt securities that do not qualify as securitization exposures reported
in Schedule RC, item 2.b, that are not included in columns C through H, J through N,
or R.

D

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Part II. (cont.)
Item No.

Caption and Instructions
Also include in column I–100% risk weight the exposure amounts of publicly traded equity
exposures with readily determinable fair values and equity exposures to investment funds
with readily determinable fair values (including mutual funds) reported in Schedule RC,
item 2.b (for a bank that has not adopted ASU 2016-01) or item 2.c (for a bank that has
adopted ASU 2016-01), to the extent that the aggregate carrying value of the bank’s
equity exposures does not exceed 10 percent of total capital. If the bank’s aggregate
carrying value of equity exposures is greater than 10 percent of total capital, the bank
must report the exposure amount of its equity exposures to investments funds with
readily determinable fair values (including mutual funds) in column R (and the riskweighted asset amount of such AFS equity exposures in column S) and the exposure
amount of its other equity exposures with readily determinable fair values in either
columns L or N, as appropriate.
In addition, include in column I–100% risk weight the portion of Schedule RC, item 2.b
(for a bank that has not adopted ASU 2016-01) or item 2.c (for a bank that has adopted
ASU 2016-01), that represents the adjusted carrying value of exposures that are
significant investments in the common stock of unconsolidated financial institutions that
are not deducted from capital. For further information on the treatment of equity
exposures, refer to §.51 to §.53 of the regulatory capital rules.

AF

T

2.b
(cont.)

In column J–150% risk weight, include the exposure amounts of securities reported in
Schedule RC-B, column C, that are past due 90 days or more or in nonaccrual status
(except sovereign exposures), excluding those portions that are covered by qualifying
collateral or eligible guarantees as described in §.37 and §.36, respectively, of the
regulatory capital rules.



In column L–300% risk weight,
For a bank that has not adopted ASU 2016-01, for publicly traded AFS equity
securities with readily determinable fair values reported in Schedule RC-B, item 7
(except equity securities to investment firms), include the fair value of these equity
securities (as reported in Schedule RC-B, item 7, column D) if they have a net
unrealized loss. If these equity securities have a net unrealized gain, include their
adjusted carrying value (as reported in Schedule RC-B, item 7, column C) plus the
portion of the unrealized gain (up to 45 percent) included in tier 2 capital (as reported
in Schedule RC-R, Part I, item 31).
o For a bank that has adopted ASU 2016-01, for publicly traded equity securities with
readily determinable fair values reported in Schedule RC, item 2.c (except equity
securities to investment firms), include the fair value of these equity securities as
reported in Schedule RC, item 2.c.

R



In column N–600% risk weight,
o For a bank that has not adopted ASU 2016-01, for AFS equity securities to
investment firms with readily determinable fair values reported in Schedule RC-B,
item 7, include the fair value of these equity securities (as reported in Schedule
RC-B, item 7, column D) if they have a net unrealized loss. If these equity securities
have a net unrealized gain, include their adjusted carrying value (as reported in
Schedule RC-B, item 7, column C) plus the portion of the unrealized gain (up to 45
percent) included in tier 2 capital (as reported in Schedule RC-R, Part I, item 31).
o For a bank that has adopted ASU 2016-01, for equity securities to investment firms
with readily determinable fair values reported in Schedule RC, item 2.c, include the
fair value of these equity securities as reported in Schedule RC, item 2.c.

D

•



FFIEC 051

In columns R and S—Application of Other Risk-Weighting Approaches, include the
bank’s equity exposures to investment funds with readily determinable fair values

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Part II. (cont.)
Caption and Instructions
(including mutual funds) reported in Schedule RC, item 2.b (for a bank that has not
adopted ASU 2016-01) or item 2.c (for a bank that has adopted ASU 2016-01), if the
aggregate carrying value of the bank’s equity exposures is greater than 10 percent of
total capital. Report in column R the exposure amount of these equity exposures to
investment funds. Report in column S the risk-weighted asset amount of these equity
exposures to investment funds as measured under the full look-through approach, the
simple modified look-through approach, or the alternative modified look-through approach
described in §.53 of the regulatory capital rules. All three of these approaches require a
minimum risk weight of 20 percent. For further information, refer to the discussion of
“Treatment of Equity Exposures” in the General Instructions for Schedule RC-R, Part II.

2.b
(cont.)

3
3.a

For available-for-sale debt securities and equity securities with readily determinable
fair values not held for trading that are directly and unconditionally guaranteed by
foreign central governments or are exposures to foreign banks that do not qualify as
securitization exposures and must be risk-weighted according to the Country Risk
Classification (CRC) methodology, assign these exposures to risk-weight categories
based on the CRC methodology described in the General Instructions for
Schedule RC-R, Part II, and the instructions for Schedule RC-R, Part, II, item 2.b, in
the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

AF



T

Item No.

Federal funds sold and securities purchased under agreements to resell:

Federal funds sold (in domestic offices). Report in column A the amount of federal funds
sold reported in Schedule RC, item 3.a, excluding those federal funds sold that qualify as
securitization exposures as defined in §.2 of the regulatory capital rules. The amount of
those federal funds sold reported in Schedule RC, items 3.a, that qualify as securitization
exposures are to be reported in Schedule RC-R, Part II, item 9.d, column A.
In column C–0% risk weight, include the portion of Schedule RC, item 3.a, that is directly
and unconditionally guaranteed by U.S. Government agencies. Also include the portion
of any exposure reported in Schedule RC, item 3.a, that is secured by collateral or has a
guarantee that qualifies for the zero percent risk weight.

R

•

In column G–20% risk weight, include exposures to U.S. depository institution
counterparties. Also include the portion of any exposure reported in Schedule RC,
item 3.a, that is secured by collateral or has a guarantee that qualifies for the 20 percent
risk weight.



In column H – 50% risk weight, include any exposure reported in Schedule RC, item 3.a,
that is secured by collateral or has a guarantee that qualifies for the 50 percent risk
weight.

D





FFIEC 051

In column I–100% risk weight, include exposures to non-depository institution
counterparties that lack qualifying collateral (refer to the regulatory capital rules for
specific criteria). Also include the amount of federal funds sold reported in Schedule RC,
item 3.a, that are not included in columns C through H and J. Also include the portion of
any exposure reported in Schedule RC, item 3.a, that is secured by collateral or has a
guarantee that qualifies for the 100 percent risk weight.

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Part II. (cont.)
Item No.

Caption and Instructions

3.a
(cont.)

•

D

R

AF

T

For federal funds sold that that are directly and unconditionally guaranteed by foreign
central governments or exposures to foreign banks and must be risk weighted according
to the Country Risk Classification (CRC) methodology, assign these exposures to riskweight categories based on the CRC methodology described in the General Instructions
for Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041
Call Reports.

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Part II. (cont.)

3.b

Caption and Instructions
Securities purchased under agreements to resell. Report in columns A and B the
amount of securities purchased under agreements to resell (securities resale agreements,
i.e., reverse repos) reported in Schedule RC, item 3.b, excluding those securities resale
agreements that qualify as securitization exposures as defined in §.2 of the regulatory capital
rules. The amount of those securities resale agreements reported in Schedule RC, item 3.b,
that qualify as securitization exposures are to be reported in Schedule RC-R, Part II, item 9.d,
column A.


Loans and leases held for sale. Report in column A of the appropriate subitem the carrying
value of loans and leases held for sale (HFS) reported in Schedule RC, item 4.a, excluding
those HFS loans and leases that qualify as securitization exposures as defined in §.2 of the
regulatory capital rules.

AF

4

Note: For purposes of risk weighting, please distribute on-balance sheet securities
purchased under agreements to resell reported in Schedule RC, item 3.b, within the riskweight categories in Schedule RC-R, Part II, item 16, “Repo-style transactions.” Banks
should report their securities purchased under agreements to resell in item 16 in order for
institutions to calculate their exposure, and thus risk-weighted assets, based on master
netting set agreements covering repo-style transactions.

T

Item No.

The carrying value of those HFS loans and leases reported in Schedule RC, item 4.a, that
qualify as securitization exposures must be reported in Schedule RC-R, Part II, item 9.d,
column A.

D

R

The sum of the amounts reported in column A for items 4.a through 4.d of Schedule RC-R,
Part II, plus the carrying value of HFS loans and leases that qualify as securitization
exposures and are reported in column A of item 9.d of Schedule RC-R, Part II, must equal
Schedule RC, item 4.a.

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Part II. (cont.)
Item No.

Residential mortgage exposures. Report in column A the carrying value of loans held for
sale (HFS) reported in Schedule RC, item 4.a, that meet the definition of a residential
mortgage exposure or a statutory multifamily mortgage11b in §.2 of the regulatory capital
rules. Include in column A the carrying value of:
 HFS loans secured by first or subsequent liens on 1-4 family residential properties
(excluding those that qualify as securitization exposures) that are reported in
Schedule RC-C, Part I, items 1.c.(1), 1.c.(2)(a), and 1.c.(2)(b), and
 HFS loans secured by first or subsequent liens on multifamily residential properties with
an original and outstanding amount of $1 million or less (excluding those that qualify as
securitization exposures) that are reported in Schedule RC-C, Part I, item 1.d,
as these HFS loans would meet the regulatory capital rules’ definition of residential mortgage
exposure.

T

4.a

Caption and Instructions

R

AF

11b Statutory multifamily mortgage means a loan secured by a multifamily residential property that meets the
requirements under Section 618(b)(1) of the Resolution Trust Corporation Refinancing, Restructuring, and
Improvement Act of 1991, and that meets the following criteria:
(1) The loan is made in accordance with prudent underwriting standards;
(2) The principal amount of the loan at origination does not exceed 80 percent of the value of the property (or 75
percent of the value of the property if the loan is based on an interest rate that changes over the term of the loan)
where the value of the property is the lower of the acquisition cost of the property or the appraised (or, if
appropriate, evaluated) value of the property;
(3) All principal and interest payments on the loan must have been made on a timely basis in accordance with the
terms of the loan for at least one year prior to applying a 50 percent risk weight to the loan, or in the case where
an existing owner is refinancing a loan on the property, all principal and interest payments on the loan being
refinanced must have been made on a timely basis in accordance with the terms of the loan for at least one year
prior to applying a 50 percent risk weight to the loan;
(4) Amortization of principal and interest on the loan must occur over a period of not more than 30 years and the
minimum original maturity for repayment of principal must not be less than 7 years;
(5) Annual net operating income (before making any payment on the loan) generated by the property securing the
loan during its most recent fiscal year must not be less than 120 percent of the loan's current annual debt service
(or 115 percent of current annual debt service if the loan is based on an interest rate that changes over the term
of the loan) or, in the case of a cooperative or other not-for-profit housing project, the property must generate
sufficient cash flow to provide comparable protection to the institution; and
(6) The loan is not more than 90 days past due, or on nonaccrual.

D

A loan that meets the requirements of Section 618(b)(1) of the Resolution Trust Corporation Refinancing,
Restructuring, and Improvement Act of 1991 is a loan:
(i) secured by a first lien on a residence consisting of more than 4 dwelling units;
(ii) under which
(I) the rate of interest does not change over the term of the loan, (b) the principal obligation does not exceed 80
percent of the appraised value of the property, and (c) the ratio of annual net operating income generated by
the property (before payment of any debt service on the loan) to annual debt service on the loan is not less
than 120 percent; or
(II) the rate of interest changes over the term of the loan, (b) the principal obligation does not exceed 75 percent
of the appraised value of the property, and (c) the ratio of annual net operating income generated by the
property (before payment of any debt service on the loan) to annual debt service on the loan is not less than
115 percent;
(iii) under which
(I) amortization of principal and interest occurs over a period of not more than 30 years;
(II) the minimum maturity for repayment of principal is not less than 7 years; and
(III) timely payment of all principal and interest, in accordance with the terms of the loan, occurs for a period of
not less than 1 year; and
(iv) that meets any other underwriting characteristics that the appropriate Federal banking agency may establish,
consistent with the purposes of the minimum acceptable capital requirements to maintain the safety and
soundness of financial institutions.

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Part II. (cont.)
Caption and Instructions

4.a
(cont.)

Exclude from this item:
• HFS loans secured by multifamily residential properties included in Schedule RC-C,
Part I, item 1.d, that do not meet the definition of a residential mortgage exposure or a
statutory multifamily mortgage and are not securitization exposures, and
 HFS 1-4 family residential construction loans reported in Schedule RC-C, Part I,
item 1.a.(1), that are not securitization exposures.
These HFS loans should be reported in Schedule RC-R, Part II, item 4.c, if they are past due
90 days or more or on nonaccrual. Otherwise, these HFS loans should be reported in
Schedule RC-R, Part II, item 4.d.

In column C–0% risk weight, include the portion of any exposure that meets the definition
of residential mortgage exposure or statutory multifamily mortgage reported in
Schedule RC, item 4.a, that is secured by collateral or has a guarantee that qualifies for
the zero percent risk weight. This would include loans collateralized by deposits at the
reporting institution.

AF

•

T

Item No.

In column G–20% risk weight, include the carrying value of the guaranteed portion of
HFS Federal Housing Administration (FHA) and Veterans Administration (VA) mortgage
loans included in Schedule RC-C, Part I, item 1.c.(2)(a). Also include the portion of any
exposure that meets the definition of residential mortgage exposure or statutory
multifamily mortgage reported in Schedule RC, item 4.a, that is secured by collateral or
has a guarantee that qualifies for the 20 percent risk weight. This would include the
portion of such an exposure covered by an FDIC loss-sharing agreement.

•

In column H–50% risk weight, include the carrying value of HFS loans secured by
1-4 family residential properties included in Schedule RC-C, Part I, item 1.c.(1) (only
include qualifying first mortgage loans); qualifying loans from Schedule RC-C, Part I,
items 1.c.(2)(a) and 1.d; and those loans that meet the definition of a residential
mortgage exposure and qualify for 50 percent risk weight under §.32(g) of the regulatory
capital rules. For residential mortgage exposures, the loans must be prudently
underwritten, be fully secured by first liens on 1-4 family residential properties (regardless
of the original and outstanding amount of the loan) or multifamily residential properties
(with an original and outstanding amount of $1 million or less), not 90 days or more past
due or in nonaccrual status, and have not been restructured or modified (unless modified
or restructured solely pursuant to the U.S. Treasury’s Home Affordable Mortgage
Program (HAMP)). Also include loans that meet the definition of statutory multifamily
mortgage in §.2 of the regulatory capital rules. Also include the portion of any exposure
that meets the definition of residential mortgage exposure reported in Schedule RC,
item 4.a, that is secured by collateral or has a guarantee that qualifies for the 50 percent
risk weight.

D

R

•

Notes:
1. Refer to the definition of “residential mortgage exposure” in §.2 of the regulatory capital
rules, and refer to the requirements for risk weighting residential mortgage loans in §.32
of the regulatory capital rules.
2. A residential mortgage loan may receive a 50 percent risk weight if it meets the
qualifying criteria in §.32(g) of the regulatory capital rules:
o A property is owner-occupied or rented;
o The loan is prudently underwritten including the loan amount as a percentage of the
appraised value of the real estate collateral.
o The loan is not 90 days or more past due or on nonaccrual;
o The loan is not restructured or modified (except for loans restructured solely pursuant
to the U.S. Treasury’s HAMP).

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Part II. (cont.)
Caption and Instructions
○

4.a
(cont.)

If the bank holds the first lien and junior lien(s) on a residential mortgage exposure,
and no other party holds an intervening lien, the bank must combine the exposures
and treat them as a single first-lien residential mortgage exposure.
3. A first lien home equity line (HELOC) may qualify for 50 percent risk weight if it meets
the qualifying criteria in §.32(g) listed above.
4. A residential mortgage loan of $1 million or less on a property of more than 4 units
may qualify for 50 percent risk weight if it meets the qualifying criteria in §.32(g) listed
above.
In column I–100% risk weight, include the carrying value of HFS loans that are residential
mortgage exposures reported in Schedule RC, item 4.a, that are not included in
columns C, G, H, or R. Include HFS loans that are junior lien residential mortgage
exposures if the bank does not hold the first lien on the property, except the portion of
any junior lien residential mortgage exposure that is secured by collateral or has a
guarantee that qualifies for the zero percent, 20 percent, or 50 percent risk weight.
Include HFS loans that are residential mortgage exposures that have been restructured
or modified, except:
o Those loans restructured or modified solely pursuant to the U.S. Treasury’s HAMP,
and
o The portion of any restructured or modified residential mortgage exposure that is
secured by collateral or has a guarantee that qualifies for the zero percent,
20 percent, or 50 percent risk weight.

AF

•

T

Item No.

In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any HFS exposure reported in Schedule RC, item 4.a, that meets the definition of
residential mortgage exposure or statutory multifamily mortgage and is secured by
qualifying financial collateral that meets the definition of a securitization exposure in §.2
of the regulatory capital rules or is a mutual fund only if the bank chooses to recognize
the risk-mitigating effects of the securitization exposure or mutual fund collateral under
the Simple Approach outlined in §.37 of the regulatory capital rules. Under the Simple
Approach, the risk weight assigned to the collateralized portion of the exposure may not
be less than 20 percent. For information on the reporting of such HFS exposures in
columns R and S, refer to the instructions for Schedule RC-R, Part, II, item 4.a, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

D

R



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Part II. (cont.)
Item No.
4.b

Caption and Instructions
High volatility commercial real estate exposures. Report in column A the carrying value
of loans held for sale (HFS) reported in Schedule RC, item 4.a, that are high volatility
commercial real estate (HVCRE) exposures,12 including HVCRE exposures that are 90 days
or more past due or in nonaccrual status.

High volatility commercial real estate (HVCRE) exposure means a:
(1) A credit facility secured by land or improved real property that, prior to conversionbeing reclassified by the
institution as a non-HVCRE exposure pursuant to permanent financing,paragraph (6) of this definition —
(i) Primarily finances or, has financed, or refinances the acquisition, development, or construction (ADC) of real
property, unless;
(ii) Has the purpose of providing financing to acquire, develop, or improve such real property into income-producing
real property; and
(iii) Is dependent upon future income or sales proceeds from, or refinancing of, such real property for the repayment
of such credit facility finances; provided that:
(1)
(2) An HVCRE exposure does not include a credit facility financing—
(i) The acquisition, development, or construction of properties that are—
(A) One- to four-family residential properties;
(2) B) Real property that:
(i)
would qualify as an investment in community development under or , as applicable, or as a
‘‘qualified investment’’ under [ (national bank), (federal savings association) (OCC); (Board); (FDIC)], and; or
(ii) is not an ADC loan to any entity described in [ (national banks) and (federal savings associations) (OCC); or
(Board); (FDIC)], unless it is otherwise described in paragraph (1), (2)(i), (3) or (4) of this definition;
(3) The purchase or development of agricultural land, which includes all land known to be used or usable for
agricultural purposes (such as crop and livestock production), provided that the valuation of the agricultural land is
based on its value for agricultural purposes and the valuation does not take into consideration any potential use of
the land for non-agricultural commercial development or residential development; or
(4)
(C) Agricultural land;
(ii) The acquisition or refinance of existing income-producing real property secured by a mortgage on such property, if
the cash flow being generated by the real property is sufficient to support the debt service and expenses of the real
property, in accordance with the institution’s applicable loan underwriting criteria for permanent financings;
(iii) Improvements to existing income-producing improved real property secured by a mortgage on such property, if
the cash flow being generated by the real property is sufficient to support the debt service and expenses of the real
property, in accordance with the institution’s applicable loan underwriting criteria for permanent financings; or
(iv) Commercial real estateproperty projects in which:—
(i)
the(A) The loan-to-value ratio is less than or equal to the applicable maximum supervisory loan-tovalue ratio in the real estate lending standards at [12 CFR part 34, subpart D (national banks) and 12 CFR part 160,
subparts A and B (federal savings associations) (OCC); 12 CFR part 208, appendix C (Board); 12 CFR part 365,
subpart A (state nonmember banks) and 12 CFR 390.264 and 390.265 (state savings associations) (FDIC)];as
determined by the institution’s primary federal regulator;
(ii)
(B) The borrower has contributed capital to the project in the form of cash or unencumbered readily
marketable assets (or has paid development expenses out-of-pocket) of at least 15 percent of the real
estate’sproperty’s appraised “, ‘as completed”completed’ value to the project in the form of—
(1) Cash;
(2) Unencumbered readily marketable assets;
(3) Paid development expenses out-of-pocket; or
(4) Contributed real property or improvements; and
(iii)
(C) The borrower contributed the minimum amount of capital required by described under
paragraph (4)(ii2)(iv)(B) of this definition before the bankinstitution advances funds (other than the advance of a
nominal sum made in order to secure the institution’s lien against the real property) under the credit facility, and the
such minimum amount of capital contributed by the borrower, or internally generated by the project, is contractually
required to remain in the project throughout the life ofuntil the project. The life of a project concludes only when
theHVCRE exposure has been reclassified by the institution as a non-HVCRE exposure under paragraph (6) of this
definition;
(3) An HVCRE exposure does not include any loan made prior to January 1, 2015;
(4) An HVCRE exposure does not include a credit facility is converted to permanent financing or is sold or paid in full.
Permanent financing may be provided by the bank that providedreclassified as a non-HVCRE exposure under
paragraph (6).
(5) Value of contributed real property.—For the purposes of this definition of HVCRE exposure, the ADCvalue of any
real property contributed by a borrower as a capital contribution is the appraised value of the property as determined

D

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12

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In column C–0% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFS that is secured by collateral or has a guarantee that qualifies for
the zero percent risk weight. This would include the portion of HVCRE exposures
collateralized by deposits at the reporting institution.

•

In column G–20% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFS that is secured by collateral or has a guarantee that qualifies for
the 20 percent risk weight. This would include the portion of any HVCRE exposure
covered by an FDIC loss-sharing agreement.

•

In column H–50% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFS that is secured by collateral or has a guarantee that qualifies for
the 50 percent risk weight.

•

In column I–100% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFS that is secured by collateral or has a guarantee that qualifies for
the 100 percent risk weight.

•

In column J–150% risk weight, include the carrying value of HVCRE exposures, as
defined in §.2 of the regulatory capital rules, included in Schedule RC, item 4.a, excluding
those portions of the carrying value that are covered by qualifying collateral or eligible
guarantees as described in §.37 and §.36, respectively, of the regulatory capital rules

D

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•

under standards prescribed pursuant to section 1110 of the Financial Institutions Reform, Recovery, and
Enforcement Act of 1989 (12 U.S.C. 3339), in connection with the extension of the credit facility as long as the
permanent financing is subject to the bank’sor loan to such borrower.
(6) Reclassification as a non-HVCRE exposure.—For purposes of this definition of HVCRE exposure and with
respect to a credit facility and an institution, an institution may reclassify an HVCRE exposure as a non-HVCRE
exposure upon—
(i) The substantial completion of the development or construction of the real property being financed by the credit
facility; and
(ii) Cash flow being generated by the real property being sufficient to support the debt service and expenses of the
real property, in accordance with the institution’s applicable loan underwriting criteria for long-term mortgage
loans.permanent financings.

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Part II. (cont.)
Item No.

Caption and Instructions

4.b
(cont.)

•

T

Exposures past due 90 days or more or on nonaccrual. Report in column A the carrying
value of loans and leases held for sale (HFS) reported in Schedule RC, item 4.a., that are
90 days or more past due or in nonaccrual status according to the requirements set forth in
§.32(k) of the regulatory capital rules. Do not include HFS sovereign exposures or HFS
residential mortgage exposures, as described in §.32(a) and §.32(g), respectively, that are
90 days or more past due or in nonaccrual status (report such past due and nonaccrual
exposures in Schedule RC-R, Part II, item 4.d and item 4.a, respectively). Also do not
include HFS high volatility commercial real estate exposures that are 90 days or more past
due or in nonaccrual status (report such exposures in Schedule RC-R, Part II, item 4.b).

AF

4.c

In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any HVCRE exposure included in loans and leases HFS reported in Schedule RC,
item 4.a, that is secured by qualifying financial collateral that meets the definition of a
securitization exposure in §.2 of the regulatory capital rules or is a mutual fund only if the
bank chooses to recognize the risk-mitigating effects of the securitization exposure or
mutual fund collateral under the Simple Approach outlined in §.37 of the regulatory
capital rules. Under the Simple Approach, the risk weight assigned to the collateralized
portion of the exposure may not be less than 20 percent. For information on the reporting
of such HFS exposures in columns R and S, refer to the instructions for Schedule RC-R,
Part, II, item 4.b, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

In column C–0% risk weight, include the portion of loans and leases HFS included in
Schedule RC, item 4.a, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the
zero percent risk weight. This would include the portion of loans and leases HFS
collateralized by deposits at the reporting institution.



In column G–20% risk weight, include the portion of loans and leases HFS included in
Schedule RC, item 4.a, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the 20
percent risk weight. This would include the portion of HFS loans covered by an FDIC
loss-sharing agreement.

R

•

In column H–50% risk weight, include the portion of loans and leases HFS included in
Schedule RC, item 4.a, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the 50
percent risk weight.



In column I–100% risk weight,, include the portion of loans and leases HFS included in
Schedule RC, item 4.a, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the
100 percent risk weight.

D

•



FFIEC 051

In column J–150% risk weight, include the carrying value of loans and leases HFS
included in Schedule RC, item 4.a, that are 90 days or more past due or in nonaccrual
status (except as noted above), excluding those portions that are covered by qualifying
collateral or eligible guarantees as described in §.37 and §.36, respectively, of the
regulatory capital rules.

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Part II. (cont.)
Item No.

Caption and Instructions

4.c
(cont.)

•

T

All other exposures. Report in column A the carrying value of loans and leases held for
sale (HFS) reported in Schedule RC, item 4.a, that are not reported in Schedule RC-R,
Part II, items 4.a through 4.c above.


In column C–0% risk weight, include the carrying value of the unconditionally guaranteed
portion of HFS Small Business Administration (SBA) “Guaranteed Interest Certificates”
purchased in the secondary market that are included in Schedule RC-C, Part I. Also
include the portion of any loans and leases HFS that that are not reported in
Schedule RC-R, Part II, items 4.a through 4.c above, that is secured by collateral or
has a guarantee that qualifies for the zero percent risk weight. This would include the
portion of loans and leases HFS collateralized by deposits at the reporting institution.

•

In column G–20% risk weight, include the carrying value of HFS loans to and
acceptances of other U.S. depository institutions that are reported in Schedule RC-C,
Part I, item 2, plus the carrying value of the guaranteed portion of HFS SBA loans
originated and held by the reporting bank included in Schedule RC-C, Part I, and the
carrying value of the portion of HFS student loans reinsured by the U.S. Department of
Education included in Schedule RC-C, Part I, item 6.d, "Other consumer loans."
Also include the portion of any loans and leases HFS that that are not reported in
Schedule RC-R, Part II, items 4.a through 4.c above, that is secured by collateral or
has a guarantee that qualifies for the 20 percent risk weight. This would include the
portion of loans and leases HFS covered by FDIC loss-sharing agreements.

R

AF

4.d

In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any loans and leases HFS included in Schedule RC, item 4.a, that are 90 days or more
past due or in nonaccrual status (except as noted above), that is secured by qualifying
financial collateral that meets the definition of a securitization exposure in §.2 of the
regulatory capital rules or is a mutual fund only if the bank chooses to recognize the riskmitigating effects of the securitization exposure or mutual fund collateral under the Simple
Approach outlined in §.37 of the regulatory capital rules. Under the Simple Approach, the
risk weight assigned to the collateralized portion of the exposure may not be less than 20
percent. For information on the reporting of such HFS exposures in columns R and S,
refer to the instructions for Schedule RC-R, Part, II, item 4.c, in the instructions for the
FFIEC 031 and FFIEC 041 Call Reports.

In column H–50% risk weight, include the carrying value of HFS loans that meet the
definition of presold construction loan in §.2 of the regulatory capital rules that qualify for
the 50 percent risk weight. Also include the portion of any loans and leases HFS that that
are not reported in Schedule RC-R, Part II, items 4.a through 4.c above, that is secured
by collateral or has a guarantee that qualifies for the 50 percent risk weight.

D

•

•

FFIEC 051

In column I–100% risk weight, include the carrying value of HFS loans and leases
reported in Schedule RC, item 4.a, that are not included in columns C through H, J, or R.
This item would include 1-4 family construction loans reported in Schedule RC-C, Part I,
item 1.a.(1) and loans secured by multifamily residential properties reported in
Schedule RC-C, Part I, item 1.d, with an original amount of more than $1 million. Also
include the carrying value of HFS loans that meet the definition of presold construction
loan in §.2 of the regulatory capital rules that qualify for the 100 percent risk weight.
Also include the portion of any loans and leases HFS that that are not reported in
Schedule RC-R, Part II, items 4.a through 4.c above, that is secured by collateral or
has a guarantee that qualifies for the 100 percent risk weight.

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Part II. (cont.)
Caption and Instructions

4.d
(cont.)

•

In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any HFS loans and leases, including HFS eligible margin loans, reported in
Schedule RC, item 4.a, that is secured by qualifying financial collateral that meets the
definition of a securitization exposure in §.2 of the regulatory capital rules or is a mutual
fund only if the bank chooses to recognize the risk-mitigating effects of the securitization
exposure or mutual fund collateral under the Simple Approach, or the collateral margin
approach for eligible margin loans, outlined in §.37 of the regulatory capital rules. Under
the Simple Approach, the risk weight assigned to the collateralized portion of the
exposure may not be less than 20 percent. For information on the reporting of such
HFS exposures in columns R and S, refer to the instructions for Schedule RC-R, Part, II,
item 4.d, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

•

For all other HFS loans and leases that must be risk weighted according to the
Country Risk Classification (CRC) methodology, assign these exposures to risk-weight
categories based on the CRC methodology described in the General Instructions for
Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041
Call Reports.

AF

5

T

Item No.

Loans and leases held for investment. Report in column A of the appropriate subitem
the carrying value of loans and leases held for investment (HFI) reported in Schedule RC,
item 4.b, excluding those loans and leases HFI that qualify as securitization exposures as
defined in §.2 of the regulatory capital rules.
The carrying value of those loans and leases HFI that qualify as securitization exposures
must be reported in Schedule RC-R, Part II, item 9.d, column A.

The sum of the amounts reported in column A for items 5.a through 5.d of Schedule RC-R,
Part II, plus the carrying value of loans and leases HFI that qualify as securitization
exposures and are reported in column A of item 9.d of Schedule RC-R, Part II, must equal
Schedule RC, item 4.b.
Residential mortgage exposures. Report in column A the carrying value of loans HFI
reported in Schedule RC, item 4.b, that meet the definition of a residential mortgage
exposure or a statutory multifamily mortgage12a in §.2 of the regulatory capital rules. Include
in column A the carrying value of:
 Loans HFI secured by first or subsequent liens on 1-4 family residential properties
(excluding those that qualify as securitization exposures) that are reported in Schedule
RC-C, Part I, items 1.c.(1), 1.c.(2)(a), and 1.c.(2)(b), and
 Loans HFI secured by first or subsequent liens on multifamily residential properties with
an original and outstanding amount of $1 million or less (excluding those that qualify as
securitization exposures) that are reported in Schedule RC-C, Part I, item 1.d,
as these loans would meet the regulatory capital rules’ definition of residential mortgage
exposure.

D

R

5.a

Exclude from this item:
Loans HFI secured by multifamily residential properties included in Schedule RC-C,
Part I, item 1.d, that do not meet the definition of a residential mortgage exposure or a
statutory multifamily mortgage and are not securitization exposures, and
 1-4 family residential construction loans HFI reported in Schedule RC-C, Part I,
item 1.a.(1), that are not securitization exposures.

•

See the instructions for Schedule RC-R, Part II, item 4.a, above for the definition of statutory multifamily
mortgage.
12a

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Part II. (cont.)
Item No.

Caption and Instructions

5.a
(cont.)

These loans should be reported in Schedule RC-R, Part II, item 5.c, if they are past due
90 days or more or on nonaccrual. Otherwise, these HFI loans should be reported in
Schedule RC-R, Part II, item 5.d.
In column B, an institution that has adopted the current expected credit losses
methodology (CECL) should include as a positive number the portion of Schedule RC-R,
Part II, Memorandum item 4.a, “Amount of allowances for credit losses on purchased
credit-deteriorated assets” for loans and leases held for investment that are applicable to
purchased credit-deteriorated residential mortgage exposures.

•

In column C–0% risk weight, include the portion of any HFI exposure that meets the
definition of residential mortgage exposure or statutory multifamily mortgage reported in
Schedule RC, item 4.b, that is secured by collateral or has a guarantee that qualifies for
the zero percent risk weight. This would include loans and leases HFI collateralized by
deposits at the reporting institution.



In column G–20% risk weight, include the carrying value of the guaranteed portion of
FHA and VA mortgage loans HFI included in Schedule RC-C, Part I, item 1.c.(2)(a).
Also include the portion of any loan HFI which meets the definition of residential
mortgage exposure or statutory multifamily mortgage reported in Schedule RC, item 4.b,
that is secured by collateral or has a guarantee that qualifies for the 20 percent risk
weight. This would include the portion of loans HFI covered by an FDIC loss-sharing
agreement.



In column H–50% risk weight, include the carrying value of loans HFI secured by
1-4 family residential properties included in Schedule RC-C, Part I, item 1.c.(1) (only
include qualifying first mortgage loans); qualifying loans from Schedule RC-C, Part I,
items 1.c.(2)(a) and 1.d; and those loans that meet the definition of a residential
mortgage exposure and qualify for 50 percent risk weight under §.32(g) of the regulatory
capital rules. For residential mortgage exposures, the loans must be prudently
underwritten, be fully secured by first liens on 1-4 family residential properties (regardless
of the original and outstanding amount of the loan) or multifamily residential properties
(with an original and outstanding amount of $1 million or less), not 90 days or more past
due or in nonaccrual status, and have not been restructured or modified (unless modified
or restructured solely pursuant to the U.S. Treasury’s Home Affordable Mortgage
Program (HAMP)). Also include loans HFI that meet the definition of statutory multifamily
mortgage in §.2 of the regulatory capital rules. Also include the portion of any loan HFI
which meets the definition of residential mortgage exposure reported in Schedule RC,
item 4.b, that is secured by collateral or has a guarantee that qualifies for the 50 percent
risk weight.

D

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

Notes:
1. Refer to the definition of “residential mortgage exposure” in §.2 of the regulatory
capital rules, and refer to the requirements for risk weighting residential mortgage loans
in §.32 of the regulatory capital rules.
2. A residential mortgage loan may receive a 50 percent risk weight if it meets the
qualifying criteria in §.32(g) of the regulatory capital rules:
o A property is owner-occupied or rented;
o The loan is prudently underwritten including the loan amount as a percentage of the
appraised value of the real estate collateral.
o The loan is not 90 days or more past due or on nonaccrual;
o The loan is not restructured or modified (except for loans restructured solely pursuant
to the U.S. Treasury’s HAMP).

FFIEC 051

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Part II. (cont.)
Caption and Instructions

5.a
(cont.)

○

If the bank holds the first lien and junior lien(s) on a residential mortgage exposure,
and no other party holds an intervening lien, the bank must combine the exposures
and treat them as a single first-lien residential mortgage exposure.
3. A first lien home equity line (HELOC) may qualify for 50 percent risk weight if it meets
the qualifying criteria in §.32(g) listed above.
4. A residential mortgage loan of $1 million or less on a property of more than 4 units
may qualify for 50 percent risk weight if it meets the qualifying criteria in §.32(g) listed
above.

In column I–100% risk weight, include the carrying value of loans HFI related to
residential mortgages exposures reported in Schedule RC, item 4.b, that are not included
in columns C, G, H, or R. Include loans HFI that are junior lien residential mortgage
exposures if the bank does not hold the first lien on the property, except the portion of
any junior lien residential mortgage exposure that is secured by collateral or has a
guarantee that qualifies for the zero percent, 20 percent, or 50 percent risk weight. Also
include loans HFI that are residential mortgage exposures that have been restructured or
modified, except
○ Those loans restructured or modified solely pursuant to the U.S. Treasury’s HAMP,
and
o The portion of any restructured or modified residential mortgage exposure that is
secured by collateral or has a guarantee that qualifies for the zero percent,
20 percent, or 50 percent risk weight.

AF



T

Item No.

In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any loan HFI reported in Schedule RC, item 4.b, that meets the definition of residential
mortgage exposure or statutory multifamily mortgage and is secured by qualifying
financial collateral that meets the definition of a securitization exposure in §.2 of the
regulatory capital rules or is a mutual fund only if the bank chooses to recognize the riskmitigating effects of the securitization exposure or mutual fund collateral under the Simple
Approach outlined in §.37 of the regulatory capital rules. Under the Simple Approach, the
risk weight assigned to the collateralized portion of the exposure may not be less than 20
percent. For information on the reporting of such HFI exposures in columns R and S,
refer to the instructions for Schedule RC-R, Part, II, item 5.a, in the instructions for the
FFIEC 031 and FFIEC 041 Call Reports.

R



High volatility commercial real estate exposures. Report in column A the portion of the
carrying value of loans HFI reported in Schedule RC, item 4.b, that are high volatility
commercial real estate (HVCRE) exposures,13 including HVCRE exposures that are 90 days
or more past due or in nonaccrual status.


In column B, an institution that has adopted the current expected credit losses
methodology (CECL) should include as a positive number the portion of Schedule RC-R,
Part II, Memorandum item 4.a, “Amount of allowances for credit losses on purchased
credit-deteriorated assets” for loans and leases held for investment that are applicable to
purchased credit-deteriorated high volatility commercial real estate exposures.

•

In column C–0% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFI, that is secured by collateral or has a guarantee that qualifies for
the zero percent risk weight. This would include the portion of HVCRE loans HFI
collateralized by deposits at the reporting institution.

D

5.b

13

See the instructions for Schedule RC-R, Part II, item 4.b, above for the definition of HVCRE exposure.

FFIEC 051

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Part II. (cont.)
Caption and Instructions

5.b
(cont.)

•

In column G–20% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFI which is secured by collateral or has a guarantee that qualifies for
the 20 percent risk weight. This would include the portion of any HVCRE exposure
covered by an FDIC loss-sharing agreement.

•

In column H–50% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFI which is secured by collateral or has a guarantee that qualifies for
the 50 percent risk weight

•

In column I–100% risk weight, include the portion of any HVCRE exposure included in
loans and leases HFI which is secured by collateral or has a guarantee that qualifies for
the 100 percent risk weight.



In column J–150% risk weight, include the carrying value of HVCRE exposures, as
defined in §.2 of the regulatory capital rules, included in Schedule RC, item 4.b, excluding
those portions of the carrying value that are covered by qualifying collateral or eligible
guarantees as described in §.37 and §.36, respectively, of the regulatory capital rules.

AF


In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any HVCRE exposure included in loans and leases HFI reported in Schedule RC,
item 4.b, that is secured by qualifying financial collateral that meets the definition of a
securitization exposure in §.2 of the regulatory capital rules or is a mutual fund only if the
bank chooses to recognize the risk-mitigating effects of the securitization exposure or
mutual fund collateral under the Simple Approach outlined in §.37 of the regulatory
capital rules. Under the Simple Approach, the risk weight assigned to the collateralized
portion of the exposure may not be less than 20 percent. For information on the reporting
of such HFI exposures in columns R and S, refer to the instructions for Schedule RC-R,
Part, II, item 5.b, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

Exposures past due 90 days or more or on nonaccrual. Report in column A the carrying
value of loans and leases HFI reported in Schedule RC, item 4.b, that are 90 days or more
past due or in nonaccrual status according to the requirements set forth in §.32(k) of the
regulatory capital rules. Do not include sovereign exposures or residential mortgage
exposures, as described in §.32(a) and §.32(g), respectively, that are 90 days or more past
due or in nonaccrual status (report such past due and nonaccrual exposures in
Schedule RC-R, Part II, items 5.d and 5.a, respectively). Also do not include high volatility
commercial real estate exposures that are 90 days or more past due or in nonaccrual status
(report such exposures in Schedule RC-R, Part II, item 5.b).

R

5.c

T

Item No.

In column B, an institution that has adopted the current expected credit losses
methodology (CECL) should include as a positive number the portion of Schedule RC-R,
Part II, Memorandum item 4.a, “Amount of allowances for credit losses on purchased
credit-deteriorated assets” for loans and leases held for investment that are applicable to
purchased credit-deteriorated exposures past due 90 days or more or on nonaccrual.

D





FFIEC 051

In column C–0% risk weight, include the portion of loans and leases HFI included in
Schedule RC, item 4.b, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the
zero percent risk weight. This would include the portion of loans and leases HFI
collateralized by deposits at the reporting institution.

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Part II. (cont.)
Caption and Instructions

5.c
(cont.)

•

In column G–20% risk weight, include the portion of loans and leases HFI included in
Schedule RC, item 4.b, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the
20 percent risk weight. This would include the portion of loans and leases HFI covered
by an FDIC loss-sharing agreement.



In column H–50% risk weight, include the portion of loans and leases HFI included in
Schedule RC, item 4.b, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the 50
percent risk weight.



In column I–100% risk weight, include the portion of loans and leases HFI, included in
Schedule RC, item 4.b, that are 90 days or more past due or in nonaccrual status (except
as noted above), that is secured by collateral or has a guarantee that qualifies for the
100 percent risk weight.



In column J–150% risk weight, include the carrying value of loans and leases HFI
included in Schedule RC, item 4.b, that are 90 days or more past due or in nonaccrual
status (except as noted above), excluding those portions that are covered by qualifying
collateral or eligible guarantees as described in §.37 and §.36, respectively, of the
regulatory capital rules.



In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any loans and leases HFI included in Schedule RC, item 4.b, that are 90 days or more
past due or in nonaccrual status (except as noted above), that is secured by qualifying
financial collateral that meets the definition of a securitization exposure in §.2 of the
regulatory capital rules or is a mutual fund only if the bank chooses to recognize the riskmitigating effects of the securitization exposure or mutual fund collateral under the Simple
Approach outlined in §.37 of the regulatory capital rules. Under the Simple Approach, the
risk weight assigned to the collateralized portion of the exposure may not be less than 20
percent. For information on the reporting of such HFI exposures in columns R and S,
refer to the instructions for Schedule RC-R, Part, II, item 5.c, in the instructions for the
FFIEC 031 and FFIEC 041 Call Reports.

R

AF

T

Item No.

5.d

All other exposures. Report in column A the carrying value of loans and leases HFI
reported in Schedule RC, item 4.b, that are not reported in items 5.a through 5.c above.
In column B, an institution that has adopted the current expected credit losses
methodology (CECL) should include as a positive number the portion of Schedule RC-R,
Part II, Memorandum item 4.a, “Amount of allowances for credit losses on purchased
credit-deteriorated assets” for loans and leases held for investment that are applicable to
all purchased credit-deteriorated exposures not reported in items 5.a through 5.c above.

D





FFIEC 051

In column C–0% risk weight, include the carrying value of the unconditionally guaranteed
portion of HFI SBA “Guaranteed Interest Certificates” purchased in the secondary market
that are included in Schedule RC-C, Part I. Also include the portion of any loans and
leases HFI not reported in Schedule RC-R, Part II, items 5.a through 5.c above, that is
secured by collateral or has a guarantee that qualifies for the zero percent risk weight.
This would include the portion of loans and leases HFI collateralized by deposits at the
reporting institution.

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Part II. (cont.)
Caption and Instructions

5.d
(cont.)

•

In column G–20% risk weight, include the carrying value of HFI loans to and acceptances
of other U.S. depository institutions that are reported in Schedule RC-C, Part I, item 2
(excluding the carrying value of any long-term exposures to non-OECD banks), plus the
carrying value of the HFI guaranteed portion of SBA loans originated and held by the
reporting bank included in Schedule RC-C, Part I, and the carrying value of the portion
of HFI student loans reinsured by the U.S. Department of Education included in
Schedule RC-C, Part I, item 6.d, "Other consumer loans." Also include the portion of any
loans and leases HFI not reported in Schedule RC-R, Part II, items 5.a through 5.c
above, that is secured by collateral or has a guarantee that qualifies for the 20 percent
risk weight. This would include the portion of loans and leases HFI covered by FDIC
loss-sharing agreements.

•

In column H–50% risk weight, include the carrying value of loans and leases HFI that
meet the definition of presold construction loan in §.2 of the regulatory capital rules that
qualify for the 50 percent risk weight. Also include the portion of any loans and leases
HFI not reported in Schedule RC-R, Part II, items 5.a through 5.c above, that is secured
by collateral or has a guarantee that qualifies for the 50 percent risk weight.

AF

T

Item No.

In column I–100% risk weight, include the carrying value of loans and leases HFI
reported in Schedule RC, item 4.b, that is not included in columns C through H, J, or R
(excluding loans that are assigned a higher than 100 percent risk weight, such as
HVCRE loans and past due loans). This item would include 1-4 family construction loans
and leases HFI reported in Schedule RC-C, Part I, item 1.a.(1) and the portion of loans
HFI secured by multifamily residential property reported in Schedule RC-C, Part I,
item 1.d, with an original amount of more than $1 million. Also include the carrying value
of loans HFI that meet the definition of presold construction loan in §.2 of the regulatory
capital rules that qualify for the 100 percent risk weight. Also include the portion of any
loans and leases HFI not reported in Schedule RC-R, Part II, items 5.a through 5.c
above, that is secured by collateral or has a guarantee that qualifies for the 100 percent
risk weight.

•

In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of any loans and leases HFI, including eligible margin loans, reported in Schedule RC,
item 4.b, that is secured by qualifying financial collateral that meets the definition of a
securitization exposure in §.2 of the regulatory capital rules or is a mutual fund only if the
bank chooses to recognize the risk-mitigating effects of the securitization exposure or
mutual fund collateral under the Simple Approach, or the collateral margin approach for
eligible margin loans, outlined in §.37 of the regulatory capital rules. Under the Simple
Approach, the risk weight assigned to the collateralized portion of the exposure may not
be less than 20 percent. For information on the reporting of such HFI exposures in
columns R and S, refer to the instructions for Schedule RC-R, Part, II, item 5.d, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

D

R

•

•

6

FFIEC 051

For all other loans and leases HFI that must be risk weighted according to the Country
Risk Classification (CRC) methodology, assign these exposures to risk-weight categories
based on the CRC methodology described in the General Instructions for
Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041
Call Reports.

LESS: Allowance for loan and lease losses. Report in columns A and B the balance of
the allowance for loan and lease losses or the allowance for credit losses on loans and
leases reported in Schedule RC, item 4.c.

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Part II. (cont.)
Item No.
7

Caption and Instructions
Trading assets. Report in column A the fair value of trading assets reported in
Schedule RC, item 5, excluding those trading assets that are securitization exposures, as
defined in §.2 of the regulatory capital rules.

T

The fair value of those trading assets reported in Schedule RC, item 5, that qualify as
securitization exposures must be reported in Schedule RC-R, Part II, item 9.c, column A.
The sum of Schedule RC-R, Part II, items 7 and 9.c, column A, must equal Schedule RC,
item 5.

AF

If the bank is subject to the market risk capital rule, include in column B the fair value of all
trading assets that are covered positions as defined in Schedule RC-R, Part II, item 27
(except those trading assets that are both securitization exposures and covered positions,
which are excluded from column A of this item 7 and are to be reported instead in
Schedule RC-R, Part II, item 9.c, column A). The bank will report its standardized market
risk-weighted assets in Schedule RC-R, Part II, item 27. For further information on the
market risk capital rule and the meaning of the term “covered position,” refer to the discussion
of “Banks That Are Subject to the Market Risk Capital Rule” in the General Instructions for
Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.
For banks not subject to the market risk capital rule and for those trading assets reported in
column A that are held by banks subject to the market risk capital rule and do not meet the
definition of a covered position:


In column B, include the portion of the amount reported in Schedule RC, item 5, that
represents the fair value of derivative contracts that are assets (excluding those
derivative contracts reported in Schedule RC, item 5, that qualify as securitization
exposures, which are excluded from column A of this item 7). For purposes of risk
weighting, include the credit equivalent amounts of these derivatives, determined in
accordance with the regulatory capital rules, in the risk-weight categories in
Schedule RC-R, Part II, items 20 and 21, as appropriate. Do not risk weight these
derivatives in this item.

D

R

In column B, include the amount of:
○ Non-significant investmentsInvestments in the capital of unconsolidated financial
institutions that are reported in Schedule RC, item 5, and have been deducted from
capital in Schedule RC-R, Part I, item 1113, item 17, item 24, and item 3345.
○ Significant investments in the capital of unconsolidated financial institutions not in the
form of common stock that are reported in Schedule RC, item 5, and have been
deducted from capital in Schedule RC-R, Part I, item 24 and item 33.
Significant investments in the capital of unconsolidated financial institutions in the form of common stock
reported in Schedule RC, item 5, that are subject to the 10 percent and 15 percent
common equity tier 1 capital threshold limitations and have been deducted for riskbased capital purposes in Schedule RC-R, Part I, items 13 and 16.
○
o
Also include in column B the fair value of any unsettled transactions (failed trades) that
are reported as trading assets in Schedule RC, item 5. For purposes of risk weighting,
unsettled transactions are to be reported in Schedule RC-R, Part II, item 22.



FFIEC 051

In column C–0% risk weight,
o include the portion of the amount reported in Schedule RC, item 5, that qualifies for
the zero percent risk weight and are not securitization exposures, which may include
the fair value of U.S. Treasury securities, securities issued by U.S. Government
agencies, and mortgage-backed securities (MBS) guaranteed by GNMA.
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Part II. (cont.)
Caption and Instructions

7
(cont.)

○

Also include the portion of the fair value of any trading assets that is secured by collateral
or has a guarantee that qualifies for the zero percent risk weight. This would include the
portion of trading assets collateralized by deposits at the reporting institution.



In column G–20% risk weight,
o include the portion of the amount reported in Schedule RC, item 5, that qualifies for
the 20 percent risk weight and are not securitization exposures, which may include
the fair value of securities issued by U.S. Government-sponsored agencies; general
obligations issued by states and political subdivisions in the United States; MBS
issued by FNMA and FHLMC; and asset-backed securities, structured financial
products, other debt securities, loans and acceptances, and certificates of deposit
that represent exposures to U.S. depository institutions..
o Also include the portion of the fair value of any trading assets that is secured by
collateral or has a guarantee that qualifies for the 20 percent risk weight. This would
include the portion of trading assets covered by FDIC loss-sharing agreements.



In column H–50% risk weight,
o include the portion of the amount reported in Schedule RC, item 5, that qualifies for
the 50 percent risk weight and are not securitization exposures, which may include
the fair value of revenue obligations issued by states and political subdivisions in the
United States and MBS.
o Also include the portion of the fair value of any trading assets that is secured by
collateral or has a guarantee that qualifies for the 50 percent risk weight.

AF

T

Item No.

In column I–100% risk weight, include the portion of the amount reported in
Schedule RC, item 5, that qualifies for the 100 percent risk weight and are not
securitization exposures, which may include the fair value of MBS and other debt
securities that represent exposures to corporate entities and special purpose vehicles
(SPVs).
o Also include the fair value of significant investments in the capital of unconsolidated
financial institutions in the form of common stock held as trading assets that does not
exceed the 10 percent and 15 percent common equity tier 1 capital deduction
thresholds and are included in capital, as described in §.22 of the regulatory capital
rules.14
o Also include the fair value of publicly traded and not publicly traded equity exposures
and equity exposures to investment funds (including mutual funds) reported in
Schedule RC, item 5, to the extent that the aggregate carrying value of the bank’s
equity exposures does not exceed 10 percent of total capital. If the bank’s aggregate
carrying value of equity exposures is greater than 10 percent of total capital, the bank
must report its trading equity exposures in columns L, M, or N, as appropriate.
o Also include the fair value of trading assets reported in Schedule RC, item 5, that is
not included in columns C through H, J through N, and R. Exclude those trading
assets reported in Schedule RC, item 5, that qualify as securitization exposures and
report them in Schedule RC-R, Part II, item 9.c.
o Also include the portion of the fair value of any trading assets that is secured by
collateral or has a guarantee that qualifies for the 100 percent risk weight.

D

R





14

In column J–150% risk weight, include the exposure amounts of trading assets reported
in Schedule RC, item 5, that are past due 90 days or more or in nonaccrual status
(except sovereign exposures), excluding those portions that are covered by qualifying
collateral or eligible guarantees as described in §.37 and §.36, respectively, of the
regulatory capital rules.

Note:

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Part II. (cont.)
Caption and Instructions

7
(cont.)

•

In column L–300% risk weight, include the portion of the amount reported in
Schedule RC, item 5, that does not qualify as securitization exposures that represents
the fair value of publicly traded equity securities with readily determinable fair values.



In column M–400% risk weight, include the portion of the amount reported in
Schedule RC, item 5, that does not qualify as securitization exposures that represents
the fair value of equity securities (other than those issued by investment firms) that do not
have readily determinable fair values.



In column N–600% risk weight, include the portion of the amount reported in
Schedule RC, item 5, that does not qualify as securitization exposures that represents
the fair value of equity exposures to investment firms.



In columns R and S–Application of Other Risk-Weighting Approaches, include:
○ The portion of any trading assets reported in Schedule RC, item 5, that is secured by
qualifying financial collateral that meets the definition of a securitization exposure in
§.2 of the regulatory capital rules or is a mutual fund only if the bank chooses to
recognize the risk-mitigating effects of the securitization exposure or mutual fund
collateral under the Simple Approach outlined in §.37 of the regulatory capital rules.
Under the Simple Approach, the risk weight assigned to the collateralized portion of
the exposure may not be less than 20 percent.
o Equity exposures to investment funds (including mutual funds) reported as trading
assets in Schedule RC, item 5, if the aggregate carrying value of the bank’s equity
exposures is greater than 10 percent of total capital. These exposures are subject to
a minimum risk weight of 20 percent.
o For information on the reporting of such trading assets in columns R and S, refer to
the instructions for Schedule RC-R, Part, II, item 7, in the instructions for the
FFIEC 031 and FFIEC 041 Call Reports.

AF

T

Item No.

For trading assets that must be risk-weighted according to the Country Risk Classification
(CRC) methodology, assign these assets to risk-weight categories based on the CRC
methodology described in the General Instructions for Schedule RC-R, Part II, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

R



All other assets. Report in column A the sum of the amounts reported in Schedule RC,
item 6, "Premises and fixed assets”; item 7, "Other real estate owned”; item 8, "Investments
in unconsolidated subsidiaries and associated companies”; item 9, “Direct and indirect
investments in real estate ventures”; item 10, "Intangible assets"; and item 11, "Other assets,"
excluding those assets reported in Schedule RC, items 6 through 11, that qualify as
securitization exposures as defined in §.2 of the regulatory capital rules. The amount of
those assets reported in Schedule RC, items 6 through 11, that qualify as securitization
exposures (as well as the amount reported in Schedule RC, item 11, for accrued interest
receivable on on-balance sheet securitization exposures, regardless of where the
securitization exposures are reported on the balance sheet in Schedule RC) must be
reported in Schedule RC-R, Part II, item 9.d, column A.

D

8

The sum of item 8, columns B through R (including items 8.a and 8.b, column R), must equal
item 8, column A. Amounts reported in Schedule RC-R, Part II, items 8.a and 8.b, column R,
should not also be reported in Schedule RC-R, Part II, item 8, column R.

FFIEC 051

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Part II. (cont.)
Caption and Instructions

8
(cont.)

Treatment of Defined Benefit Postretirement Plan Assets – Applicable Only to Banks That
Have Made the Accumulated Other Comprehensive Income (AOCI) Opt-Out Election in
Schedule RC-R, Part I, item 3.a
If the reporting institution sponsors a single-employer defined benefit postretirement plan,
such as a pension plan or health care plan, accounted for in accordance with ASC Topic 715,
Compensation-Retirement Benefits (formerly FASB Statement No. 158, “Employers’
Accounting for Defined Benefit Pension and Other Postretirement Plans”), the institution
should adjust the asset amount reported in column A of this item for any amounts included in
Schedule RC, item 26.b, “Accumulated other comprehensive income,” affecting assets as a
result of the initial and subsequent application of the funded status and measurement date
provisions of ASC Topic 715. The adjustment also should take into account subsequent
amortization of these amounts from AOCI into earnings. The intent of the adjustment
reported in this item (together with the amount reported in Schedule RC-R, Part I, item 9.d) is
to reverse the effects on AOCI of applying ASC Topic 715 for regulatory capital purposes.
Specifically, assets recognized or derecognized as an adjustment to AOCI as part of the
incremental effect of applying ASC Topic 715 should be reported as an adjustment to assets
in column B of this item. For example, the derecognition of an asset recorded as an offset to
AOCI as part of the initial incremental effect of applying ASC Topic 715 should be reported in
this item as a negative amount in column B and as a positive amount in column I. As another
example, the portion of a benefit plan surplus asset that is included in Schedule RC,
item 26.b, as an increase to AOCI and in column A of this item should be excluded from
risk-weighted assets by reporting the amount as a positive number in column B of this item.

AF

T

Item No.

In column B, include the amount of:
o Any goodwill reported in Schedule RC-M, item 2.b, without regard to any associated
DTLs;
o Intangible assets (other than goodwill and mortgage servicing assets (MSAs))
reported as a deduction from common equity tier 1 capital in Schedule RC-R, Part I,
item 7, without regard to any associated DTLs;
o Deferred tax assets (DTAs) that arise from net operating loss and tax credit
carryforwards, net of any related valuation allowances and net of DTLs reported in
Schedule RC-R, Part I, item 8, as well as the amount of such DTAs that are deducted
from additional tier 1 capital in Schedule RC-R, Part I, item 24, or from common
equity tier 1 capital in Schedule RC-R, Part I, item 17, during the transition period;
o The fair value of over-the-counter derivative contracts (as defined in §.2 of the
regulatory capital rules) and derivative contracts that are cleared transactions (as
described in §.2 of the regulatory capital rules) that are reported as assets in
Schedule RC, item 11 (banks should risk weight the credit equivalent amount of
these derivative contracts in Schedule RC-R, Part II, item 20 or 21, as appropriate);
 Note: The fair value of derivative contracts reported as assets in Schedule RC,
item 11, that are neither over-the-counter derivative contracts nor derivative
contracts that are cleared transactions under §.2 of the regulatory capital rules
should not be reported in column B. Such derivative contracts include written
option contracts, including so-called “derivative loan commitments,” i.e., a
lender’s commitment to originate a mortgage loan that will be held for resale.
The fair value of such derivative contracts should be reported in the appropriate
risk-weight category in this item 8.
o Non-significant investmentsInvestments in the capital of unconsolidated financial
institutions that are reported in Schedule RC, item 8 or item 11, and have been
deducted from capital in Schedule RC-R, Part I, item 1113, item 24, and item 3345.
o Significant investments in the capital of unconsolidated financial institutions not in the
form of common stock that are reported in Schedule RC, item 8 or item 11, and have
been deducted from capital in Schedule RC-R, Part I, item 24 and item 33.
o

D

R



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Part II. (cont.)
Caption and Instructions
○

8
(cont.)

o

Items subject to the 10 percent and 1525 percent common equity tier 1 capital
threshold limitations that have been deducted for risk-based capital purposes in
Schedule RC-R, Part I, items 13 through 1615. These excess amounts pertain to
three items:
 Significant investmentsInvestments in the capital of unconsolidated financial
institutions in the form of common stock;
▪ MSAs; and
▪ DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances; and
Unsettled transactions (failed trades) that are reported as “Other assets” in
Schedule RC, item 11. For purposes of risk weighting, unsettled transactions are to
be reported in Schedule RC-R, Part II, item 22.

T

Item No.

AF

An institution that has adopted the current expected credit losses methodology (CECL)
should report as a negative number in column B:
o The portion of Schedule RI-B, Part II, Memorandum item 6, “Allowance for credit
losses on other financial assets measured at amortized cost,” that relates to assets
reported in column A of this item, less
o The portion of Schedule RC-R, Part II, Memorandum item 4.c, “Amount of allowances
for credit losses on purchased credit-deteriorated assets” for other financial assets
measured at amortized cost that relates to assets reported in column A of this item.
For example, if an institution reports $100 in Schedule RI-B, Part II, Memorandum item 6
(and the entire amount relates to assets reported in this item 8, column A), and $10 in
Schedule RC-R, Part II, Memorandum item 4.c (and the entire amount relates to assets
reported in this item 8, column A), the institution would report ($90) in this column B.

R

An institution that has adopted CECL and has elected to apply the CECL transition
provision (CECL electing institution) should report as a positive number in column B its
applicable DTA transitional amount from temporary difference DTAs, in accordance with
section 301 of the regulatory capital rules. Specifically, ana CECL electing institution
reduces its temporary difference DTAs by 75 percent of its DTA transitional amount
during the first year of the transition period, 50 percent of its DTA transitional amount
during the second year of the transition period, and 25 percent of its DTA transitional
amount during the third year of the transition period.
Report as a negative number in column B the amount of default fund contributions in the
form of commitments made by a clearing member to a central counterparty’s mutualized
loss-sharing arrangement.

In column C–0% risk weight, include:
○ The carrying value of Federal Reserve Bank stock included in Schedule RC-F,
item 4;
o Accrued interest receivable on assets included in the zero percent risk weight
category (column C of Schedule RC-R, Part II, items 1 through 7);
o The carrying value of gold bullion not held for trading that is held in the bank's own
vault or in another bank's vault on an allocated basis, and exposures that arise from
the settlement of cash transactions (such as equities, fixed income, spot foreign
exchange, and spot commodities) with a central counterparty where there is no
assumption of ongoing credit risk by the central counterparty after settlement of the
trade and associated default fund contributions; and
○ The portion of assets reported in Schedule RC, items 6 through 11, that is secured by
collateral or has a guarantee that qualifies for the zero percent risk weight. This
would include the portion of these assets collateralized by deposits in the reporting
institution.

D

•

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Part II. (cont.)
Caption and Instructions

8
(cont.)

•

In column G–20% risk weight, include:
○ The carrying value of Federal Home Loan Bank stock included in Schedule RC-F,
item 4;
o Accrued interest receivable on assets included in the 20 percent risk weight category
(column G of Schedule RC-R, Part II, items 1 through 7);
o The portion of customers' acceptance liability reported in Schedule RC, item 11, that
has been participated to other depository institutions; and
o The portion of assets reported in Schedule RC, items 6 through 11, that is secured by
collateral or has a guarantee that qualifies for the 20 percent risk weight. This would
include the portion of these assets covered by FDIC loss-sharing agreements.



In column H–50% risk weight, include accrued interest receivable on assets included
in the 50 percent risk weight category (column H of Schedule RC-R, Part II, items 1
through 7). Also include the portion of assets reported in Schedule RC, items 6 through
11, that is secured by collateral or has a guarantee that qualifies for the 50 percent risk
weight.

AF

T

Item No.



In column I–100% risk weight, include:
o Accrued interest receivable on assets included in the 100 percent risk weight
category (column I of Schedule RC-R, Part II, items 1 through 7);
o The amount of all other assets reported in column A that is not included in columns B
through H, J through N, or R;

▪
▪

▪

Publicly traded and not publicly traded equity exposures, equity exposures without
readily determinable fair values, and equity exposures to investment funds, to the
extent that the aggregate carrying value of the bank’s equity exposures does not
exceed 10 percent of total capital. If the bank’s aggregate carrying value of equity
exposures is greater than 10 percent of total capital, the bank must report its equity
exposures reported in Schedule RC, items 6 through 11, in either columns L, M, or N,
as appropriate; and
The portion of assets reported in Schedule RC, items 6 through 11, that is secured by
collateral or has a guarantee that qualifies for the 100 percent risk weight.

R

o

○

In column J–150% risk weight, include accrued interest receivable on assets included
in the 150 percent risk weight category (column J of Schedule RC-R, Part II, items 1
through 7). Also include the portion of assets reported in Schedule RC, items 6
through 11, that is secured by collateral or has a guarantee that qualifies for the 150
percent risk weight.The amounts of items that do not exceed the 10 percent and 15
percent common equity tier 1 capital deduction thresholds and are included in capital,
as described in §.22 of the regulatory capital rules. These amounts pertain to three
items:15
▪ Significant investments in the capital of unconsolidated financial institutions in the
form of common stock;

D

o




15

▪

In column K–250% risk weight, include the amounts of
o MSAs;, and
o DTAs arising from temporary differences that could not be realized through net

Note:

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operating loss carrybacks, net of related valuation allowances;,
Publiclythat do not exceed the common equity tier 1 capital deduction thresholds and are
included in capital, as described in §.22 of the regulatory capital rules.
o traded equity exposures, equity exposures without readily determinable fair values,
and equity exposures to investment funds, to the extent that the aggregate carrying
value of the bank’s equity exposures does not exceed 10 percent of total capital. If
the bank’s aggregate carrying value of equity exposures is greater than 10 percent of
total capital, the bank must report its equity exposures reported in Schedule RC,
items 6 through 11, in either columns L, M, or N, as appropriate; and
○ The portion of assets reported in Schedule RC, items 6 through 11, that is secured by
collateral or has a guarantee that qualifies for the 100 percent risk weight.

T

In column J–150% risk weight, include accrued interest receivable on assets included in the 150 percent
risk weight category (column J of Schedule RC-R, Part II, items 1 through 7). Also include the portion of
assets reported in Schedule RC, items 6 through 11, that is secured by collateral or has a guarantee that
qualifies for the 150 percent risk weight.
In column L–300% risk weight, include the fair value of publicly traded equity securities
with readily determinable fair values that are reported in Schedule RC, items 8 and 9.



In column M–400% risk weight, include the historical cost of equity securities (other than
those issued by investment firms) that do not have readily determinable fair values that
are reported in Schedule RC-F, item 4.

D

R

AF



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Part II. (cont.)
Caption and Instructions

8
(cont.)

•

In column N–600% risk weight, include the historical cost of equity securities issued by
investment firms that do not have readily determinable fair values that are reported in
Schedule RC-F, item 4.



In columns R and S of item 8–Application of Other Risk-Weighting Approaches, include:
o The portion of any asset reported in Schedule RC, items 6 through 11 (except
separate account bank-owned life insurance and default fund contributions to central
counterparties, which are to be reported in columns R and S of items 8.a and 8.b,
respectively), that is secured by qualifying financial collateral that meets the definition
of a securitization exposure in §.2 of the regulatory capital rules or is a mutual fund
only if the bank chooses to recognize the risk-mitigating effects of the securitization
exposure or mutual fund collateral under the Simple Approach outlined in §.37 of the
regulatory capital rules. Under the Simple Approach, the risk weight assigned to the
collateralized portion of the exposure may not be less than 20 percent.
o Equity exposures to investment funds (including mutual funds) reported in
Schedule RC, item 8 or 11 (except separate account bank-owned life insurance and
default fund contributions to central counterparties, which are to be reported in
columns R and S of items 8.a and 8.b, respectively), if the aggregate carrying value
of the bank’s equity exposures is greater than 10 percent of total capital. These
exposures are subject to a minimum risk weight of 20 percent.
o For information on the reporting of such assets in columns R and S, refer to the
instructions for Schedule RC-R, Part, II, item 8, in the instructions for the FFIEC 031
and FFIEC 041 Call Reports.

AF

T

Item No.

In columns R and S of item 8.a—Separate Account Bank-Owned Life Insurance, include
the bank’s investments in separate account life insurance products, including hybrid
separate account life insurance products. Exclude from columns R and S any investment
in bank-owned life insurance that is solely a general account insurance product (report
such general account insurance products in column I—100 percent risk weight). Report
in column R the carrying value of the bank’s investments in separate account life
insurance products, including hybrid separate account products. Report in column S the
risk-weighted asset amount of these insurance products. When a bank has a separate
account policy, the portion of the carrying value that represents general account claims
on the insurer, including items such as deferred acquisition costs (DAC) and mortality
reserves realizable as of the balance sheet date, and any portion of the carrying value
attributable to a Stable Value Protection (SVP) contract should be risk weighted at the
100 percent risk weight as claims on the insurer or the SVP provider. The remaining
portion of the investment in separate account life insurance products is an equity
exposure to an investment fund that should be measured under the full look-through
approach, the simple modified look-through approach, or the alternative modified lookthrough approach, all three of which require a minimum risk weight of 20 percent. For
further information, refer to the discussion of “Treatment of Equity Exposures” in the
General Instructions for Schedule RC-R, Part II.

D

R

•



In columns R and S of item 8.b—Default Fund Contributions to Central Counterparties

Note: Item 8.b only applies to banks that are clearing members, and therefore will not be
applicable to the vast majority of banks. Banks must report the aggregate on-balance
sheet amount of default fund contributions to central counterparties (CCPs) in column A.
Banks must report the aggregate off-balance sheet amount, if any, of default fund
contributions to CCPs as a negative amount in column B of item 8. For information on

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Part II. (cont.)
Item No.

Caption and Instructions
the reporting of default fund contributions to central counterparties in columns R and S,
refer to the instructions for Schedule RC-R, Part II, item 8, in the instructions for the
FFIEC 031 and FFIEC 041 Call Reports.

8
(cont.)

For the portions of those exposures described above in the instructions for
Schedule RC-R, Part II, item 8, that are exposures to sovereigns or foreign banks
reported in Schedule RC, items 6 through 11, that must be risk-weighted according to the
Country Risk Classification (CRC) methodology, assign these exposures to risk-weight
categories based on the CRC methodology described in the General Instructions for
Schedule RC-R, Part II, and the instructions for Schedule RC-R, Part, II, item 8, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

T

•

NOTE: Schedule RC-R, Part II, items 9.a through 10, columns A, B, Q, T, and U, are to be completed
semiannually in the June and December reports only.

On-balance sheet securitization exposures. When determining the amount of riskweighted assets for securitization exposures, banks that are not subject to the market risk
capital rule may elect to use either the Simplified Supervisory Formula Approach (SSFA) or
the Gross-Up Approach, as described above and in §.41 to §.45 of the regulatory capital
rules. However, such banks must use the SSFA or Gross-Up Approach consistently across
all securitization exposures (items 9.a through 10), but banks may risk weight any individual
securitization exposure at 1,250 percent in lieu of applying the SSFA or Gross-Up Approach
to that individual exposure.

AF

9

Banks subject to the market risk capital rule must use the SSFA when determining the
amount of risk-weighted assets for securitization exposures.
For further information, refer to the discussion of “Risk-Weighted Assets for Securitization
Exposures” in the General Instructions for Schedule RC-R, Part II.
Held-to-maturity securities. Report in column A the amount of held-to-maturity (HTM)
securities reported in Schedule RC, item 2.a, that qualify as securitization exposures as
defined in §.2 of the regulatory capital rules. Refer to the instructions for Schedule RC-R,
Part II, item 2.a, for a summary of the reporting locations of HTM securitization exposures.

R

9.a

D

Exposure amount to be used for purposes of risk weighting – bank has not made the
Accumulated Other Comprehensive Income (AOCI) opt-out election in Schedule RC-R,
Part I, item 3.a:
For a security classified as HTM where the bank has not made the AOCI opt-out election
(i.e., most AOCI is included in regulatory capital), the exposure amount to be risk weighted by
the bank is the carrying value of the security, which is the value of the asset reported on the
balance sheet of the bank determined in accordance with GAAP and in column A.
Exposure amount to be used for purposes of risk weighting – bank has made the AOCI
opt-out election in Schedule RC-R, Part I, item 3.a:
For a security classified as HTM where the bank has made the AOCI opt-out election (i.e.,
most AOCI is not included in regulatory capital), the exposure amount to be risk weighted by
the bank is the carrying value of the security reported on the balance sheet of the bank and in
column A, less any unrealized gain on the exposure or plus any unrealized loss on the
exposure included in AOCI.
If an HTM securitization exposure will be risk weighted using either the Simplified Supervisory
Formula Approach (SSFA) or the Gross-Up Approach, include as part of the exposure
amount to be risk weighted in this item any accrued interest receivable on the HTM security

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Part II. (cont.)
Item No.

Caption and Instructions

9.a
(cont.)

that is reported in Schedule RC, item 11, “Other assets,” and included in Schedule RC-R,
Part II, item 9.d, columns A and B. Do not report this accrued interest receivable in column A
or B of this item.
In column B:
○ If an HTM securitization exposure will be risk weighted using the 1,250 percent risk
weight approach, report any difference between the carrying value of the HTM
securitization exposure reported in column A of this item and the exposure amount of
the HTM securitization exposure that is to be risk weighted.
o If an HTM securitization exposure will be risk weighted using either the SSFA or the
Gross-Up Approach, report the carrying value of the HTM securitization exposure
reported in column A of this item.
o For an institution that has adopted the current expected credit losses methodology
(CECL), include as a negative number:
 The portion of Schedule RI-B, Part II, item 7, column B, “Balance end of current
period” for HTM debt securities that relates to HTM securitization exposures, less
 The portion of Schedule RC-R, Part II, Memorandum item 4.b, “Amount of
allowances for credit losses on purchased credit-deteriorated assets” for HTM
debt securities that relates to purchased credit-deteriorated HTM securitization
exposures.
For example, if an institution reports $100 in Schedule RI-B, Part II, item 7, column B,
that relates to HTM securitization exposures and $10 in Schedule RC-R, Part II,
Memorandum item 4.b that relates to purchased credit-deteriorated HTM
securitization exposures, the institution would report ($90) in this column B.

AF

T

•

In column Q, report the exposure amount of those HTM securitization exposures that are
assigned a 1,250 percent risk weight (i.e., those HTM securitization exposures for which
the risk-weighted asset amount is not calculated using the SSFA or the Gross-Up
Approach).



In column T, report the risk-weighted asset amount (not the exposure amount) of those
HTM securitization exposures for which the risk-weighted asset amount is calculated
using the SSFA, as described above in the General Instructions for Schedule RC-R,
Part II, and in §.41 to §.45 of the regulatory capital rules.

R





Available-for-sale securities. Report in column A the fair value of those available-for-sale
(AFS) securities reported in Schedule RC, item 2.b, that qualify as securitization exposures
as defined in §.2 of the regulatory capital rules. Refer to the instructions for Schedule RC-R,
Part II, item 2.b, for a summary of the reporting locations of AFS securitization exposures.

D

9.b

In column U, report the risk-weighted asset amount (not the exposure amount) of HTM
securitization exposures for which the risk-weighted asset amount is calculated using the
Gross-Up Approach, as described above in the General Instructions for Schedule RC-R,
Part II, and in §.41 to §.45 of the regulatory capital rules.

Exposure amount to be used for purposes of risk weighting – bank that has not made the
Accumulated Other Comprehensive Income (AOCI) opt-out election in Schedule RC-R,
Part I, item 3.a:
For an AFS debt security that is a securitization exposure where the bank has not made the
AOCI opt-out election (i.e., most AOCI is included in regulatory capital), the exposure amount
of the AFS securitization exposure to be risk weighted by the bank is the carrying value of the
debt security, which is the value of the asset reported on the balance sheet of the bank
(Schedule RC, item 2.b) determined in accordance with GAAP (i.e., the fair value of the AFS
debt security) and in column A of this item.

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Part II. (cont.)
Item No.

Caption and Instructions

9.b
(cont.)

Exposure amount to be used for purposes of risk weighting – bank has made the AOCI
opt-out election in Schedule RC-R, Part I, item 3.a:
For an AFS debt security that is a securitization exposure where the bank has made the
AOCI opt-out election (i.e., most AOCI is not included in regulatory capital), the exposure
amount of the AFS securitization exposure to be risk weighted by the bank is the carrying
value of the debt security, less any unrealized gain on the exposure or plus any unrealized
loss on the exposure included in AOCI.

In column B:
○ If an AFS securitization exposure will be risk weighted using the 1,250 percent risk
weight approach, a bank that has made the AOCI opt-out election should include
the difference between the fair value and amortized cost of those AFS debt securities
that qualify as securitization exposures. This difference equals the amounts reported
in Schedule RC-B, items 4 and 5, column D, minus items 4 and 5, column C, for
those AFS debt securities included in these items that are securitization exposures.
When fair value exceeds cost, report the difference as a positive number in
Schedule RC-R, Part II, item 9.b, column B. When cost exceeds fair value, report the
difference as a negative number (i.e., with a minus (-) sign) in Schedule RC-R,
Part II, item 9.b, column B.
o If an AFS securitization exposure will be risk weighted using either the SSFA or the
Gross-Up Approach, a bank should report the carrying value of the AFS securitization
exposure reported in column A of this item.

AF

•

T

If an AFS securitization exposure will be risk weighted using either the Simplified Supervisory
Formula Approach (SSFA) or the Gross-Up Approach, include as part of the exposure
amount to be risk weighted in this item any accrued interest receivable on the AFS debt
security that is reported in Schedule RC, item 11, “Other assets,” and included in
Schedule RC-R, Part II, item 9.d, columns A and B. Do not report this accrued interest
receivable in column A or B of this item.

In column Q, report the exposure amount of those AFS securitization exposures that are
assigned a 1,250 percent risk weight (i.e., those AFS securitization exposures for which
the risk-weighted asset amount is not calculated using the SSFA or the Gross-Up
Approach).

D

R



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AF

D

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Part II. (cont.)
Caption and Instructions

9.b
(cont.)

•

In column T, report the risk-weighted asset amount (not the exposure amount) of those
AFS securitization exposures for which the risk-weighted asset amount is calculated
using the SSFA, as described above in the General Instructions for Schedule RC-R,
Part II, and in §.41 to §.45 of the regulatory capital rules.



In column U, report the risk-weighted asset amount (not the exposure amount) of those
AFS securitization exposures for which the risk-weighted asset amount is calculated
using the Gross-Up Approach, as described above in the General Instructions for
Schedule RC-R, Part II, and in §.41 to §.45 of the regulatory capital rules.

T

Item No.

R

AF

Example 1: A bank reports an AFS securitization exposure on its balance sheet in
Schedule RC, item 2.b, at a carrying value (i.e., fair value) of $105. The amortized cost of
the AFS securitization exposure is $100. The AFS securitization exposure has a $5
unrealized gain that is included in AOCI. The AFS securitization exposure also has $1 of
accrued interest receivable that is reported in Schedule RC, item 11, and included in
Schedule RC-R, Part II, item 9.d, column A. The bank has made the AOCI opt-out election in
Schedule RC-R, Part I, item 3.a. The AFS securitization exposure will be risk weighted using
the 1,250 percent risk weight approach. The bank would report in Schedule RC-R, Part II,
item 9.b:
 $105 in column A. This is the carrying value of the AFS securitization exposure on
the bank’s balance sheet.
 $5 in column B. This is the difference between the carrying value (i.e., fair value) of
the AFS securitization exposure and its exposure amount that is subject to risk
weighting. For a bank that has made the AOCI opt-out election, column B will
typically represent the amount of the unrealized gain or unrealized loss on
securitization exposure. Gains are reported as positive numbers; losses as negative
numbers. (Note: If the bank has not made or cannot make the opt-out election, there
will not be an adjustment for the unrealized gain or loss to be reported in column B.)
 $100 is the exposure amount subject to risk weighting in this item (i.e., without regard
to the accrued interest receivable on the AFS securitization exposure that is included
in Schedule RC-R, Part II, item 9.d). This $100 amount will be reported in item 9.b,
column Q–1250% risk weight. For a bank that has made the AOCI opt-out election,
the exposure amount typically will be the carrying value (i.e., fair value) of the AFS
securitization exposure excluding any unrealized gain or loss.
The bank would also report the $1 of accrued interest receivable on the AFS securitization
exposure that is included in Schedule RC-R, Part II, item 9.d, column A, in column Q–1250%
risk weight of item 9.d.

D

Example 2: A bank reports an AFS securitization exposure on its balance sheet in
Schedule RC, item 2.b, at a carrying value (i.e., fair value) of $105. The AFS securitization
exposure has a $5 unrealized gain that is included in AOCI. The AFS securitization exposure
also has $1 of accrued interest receivable that is reported in Schedule RC, item 11, and
included in Schedule RC-R, Part II, item 9.d, column A. The bank’s AFS securitization
exposure provides credit enhancement for an additional $800 in more senior securities.
Therefore, the bank will need to risk weight a $900 exposure composed of the carrying value
of its AFS securitization exposure, less the unrealized gain, plus the amount of the more
senior exposures that it supports. The bank has made the AOCI opt-out election in
Schedule RC-R, Part I, item 3.a. The AFS securitization exposure will be risk weighted using
the Gross-Up Approach and the weighted-average risk weight of the underlying exposures is
100 percent. The bank would report in Schedule RC-R, Part II, item 9.b:
 $105 in column A. This is the carrying value of the AFS securitization exposure on
the bank’s balance sheet.

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Part II. (cont.)
Item No.

Caption and Instructions

9.b
(cont.)

•

T

Trading assets. Report in column A the fair value of those trading assets reported in
Schedule RC, item 5, that qualify as securitization exposures as defined in §.2 of the
regulatory capital rules.

AF

9.c

$105 in column B. When the Gross-Up Approach is being used, the carrying value of the
AFS securitization exposure on the bank’s balance sheet, as reported in column A, of
item 9.b, is to be reported in column B. Because the bank has made the AOCI opt-out
election, the exposure amount to be risk weighted at the 100 percent weighted-average
risk weight is the $105 carrying value of the AFS securitization exposure, less the $5
unrealized gain on the exposure included in AOCI, plus the $1 accrued interest
receivable on the exposure (included in Schedule RC-R, Part II, item 9.d, column A), plus
the additional $800 in more senior exposures that the AFS securitization exposure
supports, which equals $901.
 $901 in column U. This is the risk-weighted asset amount of the AFS securitization
exposure. This amount ($901) will be reported in item 9.b, column U—Gross-Up.
(Note: $901 is the product of the $901 exposure amount multiplied by the 100
percent weighted-average risk weight.)

If the bank is subject to the market risk capital rule, report in column B the fair value of those
securitization exposures reported in column A of this item that are covered positions as
defined in Schedule RC-R, Part II, item 27. The bank will report its standardized market
risk-weighted assets in Schedule RC-R, Part II, item 27. For further information on the
market risk capital rule and the meaning of the term “covered position,” refer to the discussion
of “Banks That Are Subject to the Market Risk Capital Rule” in the General Instructions for
Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

R

If a trading asset securitization exposure will be risk weighted using either the Simplified
Supervisory Formula Approach (SSFA) or the Gross-Up Approach, include as part of the
exposure amount to be risk weighted in this item any accrued interest receivable on the
trading asset that is reported in Schedule RC, item 11, “Other assets,” and included in
Schedule RC-R, Part II, item 9.d, columns A and B. Do not report this accrued interest
receivable in column A or B of this item.
For banks not subject to the market risk capital rule and for those trading assets held by
banks subject to the market risk capital rule that are securitization exposures that do not meet
the definition of a covered position:
In column B, report the fair value reported in column A of this item for those trading
assets reported in Schedule RC, item 5, that qualify as securitization exposures and will
be risk-weighted using either the SSFA or the Gross-Up Approach.

D

•

FFIEC 051

•

In column Q, report the fair value reported in column A of this item of those trading assets
that are securitization exposures that are assigned a 1,250 percent risk weight (i.e., those
trading asset securitization exposures for which the risk-weighted asset amount is not
calculated using the SSFA or the Gross-Up Approach).



In column T, report the risk-weighted asset amount (not the exposure amount) of those
trading assets that are securitization exposures for which the risk-weighted asset amount
is calculated using the SSFA, as described above in the General Instructions for
Schedule RC-R, Part II, and in §.41 to §.45 of the regulatory capital rules.

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Part II. (cont.)
Item No.

Caption and Instructions

9.c
(cont.)

•

All other on-balance sheet securitization exposures. Report in column A the amount of
all on-balance sheet assets included in Schedule RC that qualify as securitization exposures
as defined in §.2 of the regulatory capital rules and are not reported in Schedule RC-R,
Part II, items 9.a, 9.b, or 9.c. Include in column A the amount reported in Schedule RC,
item 11, “Other assets,” for accrued interest receivable on on-balance sheet securitization
exposures, regardless of where the securitization exposures are reported on the balance
sheet in Schedule RC. Refer to the instructions for Schedule RC-R, Part II, items 1, 3, 4, 5,
and 8, above for a summary of the reporting locations of other on-balance sheet
securitization exposures.

T

9.d

In column U, report the risk-weighted asset amount (not the exposure amount) of those
trading assets that are securitization exposures for which the risk-weighted asset amount
is calculated using the Gross-Up Approach, as described above in the General
Instructions for Schedule RC-R, Part II, and in §.41 to §.45 of the regulatory capital rules.

AF

Exposure amount to be used for purposes of risk weighting – bank that has not made the
AOCI opt-out election in Schedule RC-R, Part I, item 3.a:
For other on-balance sheet securitization exposures where the bank has not made the AOCI
opt-out election (i.e., most AOCI is included in regulatory capital), the exposure amount to be
risk weighted by the bank is the exposure’s carrying value, which is the value of the exposure
reported on the balance sheet of the bank determined in accordance with GAAP and in
column A.

R

Exposure amount to be used for purposes of risk weighting – bank has made the AOCI
opt-out election in Schedule RC-R, Part I, item 3.a:
For other on-balance sheet securitization exposures where the bank has made the AOCI optout election (i.e., most AOCI is not included in regulatory capital), the exposure amount to be
risk weighted by the bank is the exposure’s carrying value, less any unrealized gain on the
exposure or plus any unrealized loss on the exposure included in AOCI. In column B, report
any difference between the carrying value and the exposure amount of those other onbalance sheet securitization exposures reported in column A of this item that will be risk
weighted by applying the 1,250 percent risk weight.
In column B, all banks should include the amount reported in column A of this item for
those other on-balance sheet securitization exposures that will be risk weighted using
either the Simplified Supervisory Formula Approach (SSFA) or the Gross-Up Approach,
including any accrued interest receivable reported in column A that has been accrued on
these other on-balance sheet securitization exposures. Also include in column B any
accrued interest receivable reported in column A that has been accrued on securitization
exposures reported as held-to-maturity securities, available-for-sale securities, and
trading assets in Schedule RC-R, Part II, items 9.a, 9.b, and 9.c, respectively.

D



•

FFIEC 051

In column Q, report the exposure amount of those other on-balance sheet securitization
exposures that are assigned a 1,250 percent risk weight (i.e., those other on-balance
sheet securitization exposures for which the risk-weighted asset amount is not calculated
using the SSFA or the Gross-Up Approach), including any accrued interest receivable
reported in column A that has been accrued on these other on-balance sheet
securitization exposures. Also include in column Q any accrued interest receivable
reported in column A that has been accrued on securitization exposures reported as
held-to-maturity securities, available-for-sale securities, and trading assets in
Schedule RC-R, Part II, items 9.a, 9.b, and 9.c, respectively, that are assigned a 1,250
percent risk weight.

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Part II. (cont.)
Caption and Instructions

9.d
(cont.)

•

In column T, report the risk-weighted asset amount (not the exposure amount) of those
other on-balance sheet securitization exposures for which the risk-weighted asset
amount is calculated using the SSFA, as described above in the General Instructions for
Schedule RC-R, Part II, and in §.41 to §.45 of the regulatory capital rules.



In column U, report the risk-weighted asset amount (not the exposure amount) of those
other on-balance sheet securitization exposures for which the risk-weighted asset
amount is calculated using the Gross-Up Approach, as described above in the General
Instructions for Schedule RC-R, Part II, and in §.41 to §.45 of the regulatory capital rules.

Off-balance sheet securitization exposures. Report in column A the notional amount of all
derivatives and off-balance sheet items reported in Schedule RC-L or Schedule SU that
qualify as securitization exposures as defined in §.2 of the regulatory capital rules. Refer to
the instructions for Schedule RC-R, Part II, items 12 through 21, for a summary of the
reporting locations of off-balance sheet securitization exposures.

AF

10

T

Item No.

Exposure amount to be used for purposes of risk weighting
For an off-balance sheet securitization exposure that is not a repo-style transaction or eligible
margin loan for which the bank calculates an exposure amount under §.37 of the regulatory
capital rules, cleared transaction (other than a credit derivative), or over-the-counter (OTC)
derivative contract (other than a credit derivative), the exposure amount is the notional
amount of the exposure.
For an off-balance sheet securitization exposure to an asset-backed commercial paper
(ABCP) program, such as an eligible ABCP liquidity facility, the notional amount may be
reduced to the maximum potential amount that the bank could be required to fund given the
ABCP program’s current underlying assets (calculated without regard to the current credit
quality of those assets).

R

The exposure amount of an eligible ABCP liquidity facility for which the Simplified
Supervisory Formula Approach (SSFA) does not apply is equal to the notional amount of the
exposure multiplied by a credit conversion factor (CCF) of 50 percent.
The exposure amount of an eligible ABCP liquidity facility for which the SSFA applies is equal
to the notional amount of the exposure multiplied by a CCF of 100 percent.

D

For an off-balance sheet securitization exposure that is a repo-style transaction or eligible
margin loan for which the bank calculates an exposure amount under §.37 of the regulatory
capital rules, a cleared transaction (other than a credit derivative), or a derivative contract
(other than a credit derivative), the exposure amount is the amount calculated under §.34,
§.35, §.37, §.132, or §.37133, as applicable, of the regulatory capital rules.
For a credit-enhancing representation and warranty that is an off-balance sheet securitization
exposure, see the discussion of “Treatment of Sales of 1-4 Family Residential First Mortgage
Loans with Credit-Enhancing Representations and Warranties,” which includes an example,
in the General Instructions for Schedule RC-R, Part II.

•

FFIEC 051

In column B, report the notional amount of those off-balance sheet securitization
exposures reported in column A of this item for which the exposure amount (as described
above) will be risk weighted using either the SSFA or the Gross-Up Approach. Also
include in column B the difference between the notional amount reported in column A of

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Part II. (cont.)
Caption and Instructions
this item and the exposure amount for those off-balance sheet items that qualify as
securitization exposures and will be risk weighted by applying the 1,250 percent risk
weight.

10
(cont.)


In column Q, report the exposure amount of those off-balance sheet securitization
exposures that are assigned a 1,250 percent risk weight (i.e., those off-balance sheet
securitization exposures for which the risk-weighted asset amount is not calculated using
the SSFA or the Gross-Up Approach).

•

In column T, report the risk-weighted asset amount (not the exposure amount) of those
off-balance sheet securitization exposures for which the risk-weighted asset amount is
calculated using the SSFA, as described above in the General Instructions for
Schedule RC-R, Part II, and in §.41 to §.45 of the regulatory capital rules.



In column U, report the risk-weighted asset amount (not the exposure amount) of those
off-balance sheet securitization exposures for which the risk-weighted asset amount is
calculated using the Gross-Up Approach, as described above in the General Instructions
for Schedule RC-R, Part II, and in §.41 to §.45 of the regulatory capital rules.

AF

T

Item No.

NOTE: Schedule RC-R, Part II, item 11, columns A through R, are to be completed semiannually in the
June and December reports only.
Total assets. For columns A through R, report the sum of items 1 through 9. The sum of
columns B through R must equal column A. Schedule RC-R, Part II, item 11, column A, must
equal Schedule RC, item 12, “Total assets.”

D

R

11

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Part II. (cont.)
Derivatives, Off-Balance Sheet Items, and Other Items Subject to Risk Weighting (Excluding
Securitization Exposures)
Treatment of Derivatives and Off-Balance Sheet Items that are Securitization Exposures – Any
derivatives or off-balance sheet items reported in Schedule RC-L or Schedule SU that qualify as
securitization exposures, including liquidity facilities to asset-backed commercial paper programs, are to
be reported in Schedule RC-R, Part II, item 10, column A, and excluded from Schedule RC-R, Part II,
items 12 through 21 below.

T

Repo-style Transactions – The regulatory capital rules permit some repo-style transactions to be risk
weighted on a netting set basis. Where netting is permitted, a bank will combine both on-balance and
off-balance sheet repo-style transactions in order to determine a capital requirement for a netting set to
a single counterparty. In such cases, a bank should combine securities purchased under agreements to
resell (i.e., reverse repos) and securities sold under agreements to repurchase (i.e., repos) with
off-balance sheet repo-style transactions (i.e., securities borrowing and securities lending transactions)
in Schedule RC-R, Part II, item 16, and report the netting set exposure to each counterparty under the
appropriate risk weight column.

AF

Credit Conversion Factors for Off-Balance Sheet Items – A summary of the credit conversion factors
(CCFs) by which the exposure amount of off-balance sheet items are to be multiplied follows. For further
information on these factors, refer to the regulatory capital rules.
Off-balance sheet items subject to a zero percent CCF:
(1) Unused portions of commitments that are unconditionally cancelable at any time by the bank.
Off-balance sheet items subject to a 20 percent CCF:
(1) Commercial and similar letters of credit with an original maturity of one year or less, including shortterm, self-liquidating, trade-related contingent items that arise from the movement of goods.
(2) Commitments with an original maturity of one year or less that are not unconditionally cancelable.

R

Off-balance sheet items subject to a 50 percent CCF:
(1) Transaction-related contingent items, including performance standby letters of credit, bid bonds,
performance bonds, and warranties.
(2) Commercial and similar letters of credit with an original maturity exceeding one year.
(3) Commitments with an original maturity exceeding one year that are not unconditionally cancelable by
the bank, including underwriting commitments and commercial credit lines.

D

Off-balance sheet items subject to a 100 CCF:
(1) Financial standby letters of credit.
(2) Repo-style transactions, including off-balance sheet securities lending transactions, off-balance sheet
securities borrowing transactions, securities purchased under agreements to resell, and securities
sold under agreements to repurchase.
(3) Guarantees, certain credit-enhancing representations and warranties, and forward agreements.
Item No.

Caption and Instructions

NOTE: Schedule RC-R, Part II, items 12 through 22, columns A through S, as applicable, are to be
completed semiannually in the June and December reports only.
12

Financial standby letters of credit. For financial standby letters of credit reported in
Schedule RC-L, item 2, that do not meet the definition of a securitization exposure as
described in §.2 of the regulatory capital rules, but are credit enhancements for assets, report
in column A:
(1) The amount outstanding and unused of those letters of credit for which this amount is less
than the effective risk-based capital requirement for the assets that are credit-enhanced
by the letter of credit multiplied by 12.5.

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Part II. (cont.)
Item No.

Caption and Instructions

12
(cont.)

(2) The full amount of the assets that are credit-enhanced by those letters of credit that are
not multiplied by 12.5.
For all other financial standby letters of credit reported in Schedule RC-L, item 2, that do not
meet the definition of a securitization exposure, report in column A the amount outstanding
and unused of these letters of credit.
In column B, report 100 percent of the amount reported in column A.



In column C–0% risk weight, include the credit equivalent amount of the portion of
financial standby letters of credit reported in Schedule RC-L, item 2, that are secured by
collateral or has a guarantee that qualifies for the zero percent risk weight.



In column G–20% risk weight, include the credit equivalent amount of the portion of
financial standby letters of credit reported in Schedule RC-L, item 2, that has been
conveyed to U.S. depository institutions. Also include the credit equivalent amount of the
portion of financial standby letters of credit reported in Schedule RC-L, item 2, that are
secured by collateral or has a guarantee that qualifies for the 20 percent risk weight.

AF

T



In column H–50% risk weight, include the credit equivalent amount of the portion of
financial standby letters of credit reported in Schedule RC-L, item 2, that are secured by
collateral or has a guarantee that qualifies for the 50 percent risk weight.

•

In column I–100% risk weight, include the portion of the credit equivalent amount
reported in column B that is not included in columns C through H and J. Also include the
credit equivalent amount of the portion of financial standby letters of credit reported in
Schedule RC-L, item 2, that are secured by collateral or has a guarantee that qualifies for
the 100 percent risk weight.



For financial standby letters of credit that must be risk weighted according to the Country
Risk Classification (CRC) methodology, including those conveyed to foreign banks,
assign the credit equivalent amount of the portion of such financial standby letters of
credit to risk-weight categories based on the CRC methodology described in the
instructions for Schedule RC-R, Part, II, item 12, in the instructions for the FFIEC 031 and
FFIEC 041 Call Reports.

R



Performance standby letters of credit and transaction-related contingent items. Report
in column A transaction-related contingent items, which includes the face amount of
performance standby letters of credit reported in Schedule RC-L, item 3, and any other
transaction-related contingent items that do not meet the definition of a securitization
exposure as described in §.2 of the regulatory capital rules.

D

13

FFIEC 051



In column B, report 50 percent of the face amount reported in column A.



In column C–0% risk weight, include the credit equivalent amount of the portion of
performance standby letters of credit and transaction-related contingent items reported in
Schedule RC-L, item 3, that are secured by collateral or has a guarantee that qualifies for
the zero percent risk weight.



In column G–20% risk weight, include the credit equivalent amount of the portion of
performance standby letters of credit, performance bids, bid bonds, and warranties
reported in Schedule RC-L, item 3, that have been conveyed to U.S. depository

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Part II. (cont.)
Caption and Instructions
institutions. Also include the credit equivalent amount of the portion of performance
standby letters of credit and transaction-related contingent items reported in
Schedule RC-L, item 3, that are secured by collateral or has a guarantee that qualifies for
the 20 percent risk weight.

13
(cont.)

In column H–50% risk weight, include the credit equivalent amount of the portion of
performance standby letters of credit and transaction-related contingent items reported in
Schedule RC-L, item 3, that are secured by collateral or has a guarantee that qualifies for
the 50 percent risk weight.



In column I–100% risk weight, include the portion of the credit equivalent amount
reported in column B that is not included in columns C through H and J. Also include the
credit equivalent amount of the portion of performance standby letters of credit and
transaction-related contingent items reported in Schedule RC-L, item 3, that are secured
by collateral or has a guarantee that qualifies for the 100 percent risk weight.

•

For performance standby letters of credit and transaction-related contingent items that
must be risk weighted according to the Country Risk Classification (CRC) methodology,
including performance standby letters of credit, performance bids, bid bonds, and
warranties conveyed to foreign banks, assign the credit equivalent amount of the portion
of such performance standby letters of credit and transaction-related contingent items to
risk-weight categories based on the CRC methodology described in the instructions for
Schedule RC-R, Part, II, item 13, in the instructions for the FFIEC 031 and FFIEC 041
Call Reports.

AF

Commercial and similar letters of credit with an original maturity of one year or less.
Report in column A the face amount of those commercial and similar letters of credit,
including self-liquidating trade-related contingent items that arise from the movement of
goods, reported in Schedule RC-L, item 4, with an original maturity of one year or less that do
not meet the definition of a securitization exposure as described in §.2 of the regulatory
capital rules. Report those commercial letters of credit with an original maturity exceeding
one year that do not meet the definition of a securitization exposure in Schedule RC-R,
Part II, item 18.b.

R

14



T

Item No.

In column B, report 20 percent of the face amount reported in column A.



In column C–0% risk weight, include the credit equivalent amount of the portion of
commercial or similar letters of credit with an original maturity of one year or less reported
in Schedule RC-L, item 4, that are secured by collateral or has a guarantee that qualifies
for the zero percent risk weight.

D



FFIEC 051



In column G–20% risk weight, include the credit equivalent amount of the portion of
commercial and similar letters of credit, including self-liquidating, trade-related contingent
items that arise from the movement of goods, with an original maturity of one year or
less, reported in Schedule RC-L, item 4, that have been conveyed to U.S. depository
institutions. Also include the credit equivalent amount of the portion of commercial or
similar letters of credit with an original maturity of one year or less reported in
Schedule RC-L, item 4, that are secured by collateral or has a guarantee that qualifies
for the 20 percent risk weight.



In column H–50% risk weight, include the credit equivalent amount of the portion of
commercial or similar letters of credit with an original maturity of one year or less reported
in Schedule RC-L, item 4, that are secured by collateral or has a guarantee that qualifies
for the 50 percent risk weight.
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Part II. (cont.)
Caption and Instructions

14
(cont.)

•

In column I–100% risk weight, include the portion of the credit equivalent amount
reported in column B that is not included in columns C through H and J. Also include the
credit equivalent amount of the portion of commercial or similar letters of credit with an
original maturity of one year or less reported in Schedule RC-L, item 4, that are secured
by collateral or has a guarantee that qualifies for the 100 percent risk weight.

•

For commercial and similar letters of credit that must be risk weighted according to the
Country Risk Classification (CRC) methodology, including commercial and similar letters
of credit (and self-liquidating, trade-related contingent items that arise from the movement
of goods) with an original maturity of one year or less that have been conveyed to foreign
banks, assign the credit equivalent amount of the portion of such letters of credit to riskweight categories based on the CRC methodology described in the instructions for
Schedule RC-R, Part, II, item 14, in the instructions for the FFIEC 031 and FFIEC 041
Call Reports.

Retained recourse on small business obligations sold with recourse. Report in
column A the amount of retained recourse on small business obligations reported in
Schedule SU, items 4 and 5, that do not meet the definition of a securitization exposure as
described in §.2 of the regulatory capital rules.

AF

15

T

Item No.

For retained recourse on small business obligations sold with recourse that qualify as
securitization exposures, please see §.42(h) of the regulatory capital rule for purposes of risk
weighting and report these exposures in Schedule RC-R, Part II, item 10.

R

Under Section 208 of the Riegle Community Development and Regulatory Improvement Act
of 1994, a "qualifying institution" that transfers small business loans and leases on personal
property (small business obligations) with recourse in a transaction that qualifies as a sale
under generally accepted accounting principles (GAAP) must maintain risk-based capital only
against the amount of recourse retained, provided the institution establishes a recourse
liability account that is sufficient under GAAP. Only loans and leases to businesses that meet
the criteria for a small business concern established by the Small Business Administration
under Section 3(a) of the Small Business Act (15 U.S.C. 632 et seq.) are eligible for this
favorable risk-based capital treatment.

D

In general, a "qualifying institution" is one that is well capitalized without regard to the
Section 208 provisions. If a bank ceases to be a qualifying institution or exceeds the retained
recourse limit set forth in banking agency regulations implementing Section 208, all new
transfers of small business obligations with recourse would not be treated as sales.
However, the reporting and risk-based capital treatment described above will continue to
apply to any transfers of small business obligations with recourse that were consummated
during the time the bank was a "qualifying institution" and did not exceed the limit.

FFIEC 051



In column B, report 100 percent of the amount reported in column A.



In column C–0% risk weight, include the credit equivalent amount of the portion of
retained recourse on small business obligations sold with recourse reported in
Schedule SU, items 4 and 5, that are secured by collateral or has a guarantee that
qualifies for the zero percent risk weight.



In column G–20% risk weight, include the credit equivalent amount of the portion of
retained recourse on small business obligations sold with recourse reported in
Schedule SU, items 4 and 5, that are secured by collateral or has a guarantee that
qualifies for the 20 percent risk weight.

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Part II. (cont.)
Caption and Instructions

15
(cont.)

•

In column H–50% risk weight, include the credit equivalent amount of the portion of
retained recourse on small business obligations sold with recourse reported in
Schedule SU, items 4 and 5, that are secured by collateral or has a guarantee that
qualifies for the 50 percent risk weight.



In column I-100% risk weight, include the portion of the credit equivalent amount reported
in column B that is not included in columns C through H and J. Also include the credit
equivalent amount of the portion of retained recourse on small business obligations sold
with recourse reported in Schedule SU, items 4 and 5, that are secured by collateral or
has a guarantee that qualifies for the 100 percent risk weight.

16

T

Item No.

Repo-style transactions. Repo-style transactions include:


AF



Securities lending transactions, including transactions in which the bank acts agent for a
customer and indemnifies the customer against loss. Securities lent are reported in
Schedule RC-L, item 6.a.
Securities borrowing transactions. Securities borrowed are reported in Schedule RC-L,
item 6.b.
Securities purchased under agreements to resell (i.e., reverse repos). Securities
purchased under agreements to resell are reported in Schedule RC, item 3.b.
Securities sold under agreements to repurchase (i.e., repos). Securities sold under
agreements to repurchase are reported in Schedule RC, item 14.b.16





Report in column A the exposure amount of repo-style transactions that do not meet the
definition of a securitization exposure as described in §.2 of the regulatory capital rules.

R

For repo-style transactions to which the bank applies the Simple Approach to recognize the
risk-mitigating effects of qualifying financial collateral, as outlined in §.37 of the regulatory
capital rules, the exposure amount to be reported in column A is the sum of the fair value as
of the report date of securities the bank has lent,17 the amount of cash or the fair value as of
the report date of other collateral the bank has posted for securities borrowed, the amount of
cash provided to the counterparty for securities purchased under agreements to resell (as
reported in Schedule RC, item 3.b), and the fair value as of the report date of securities sold
under agreements to repurchase.

D

For repo-style transactions to which the bank applies the Collateral Haircut Approach to
recognize the risk-mitigating effects of qualifying financial collateral, as outlined in §.37 of the
regulatory capital rules, the exposure amount to be reported in column A for a repo-style
transaction or a single-product netting set of such transactions is determined by using the
exposure amount equation in §.37(c) of the regulatory capital rules.
A bank may apply either the Simple Approach or the Collateral Haircut Approach to repostyle transactions; however, the bank must use the same approach for similar exposures or
transactions. For further information, see the discussion of “Treatment of Collateral and
Guarantees” in the General Instructions for Schedule RC-R, Part II.

Although securities purchased under agreements to resell and securities sold under agreements to repurchase
are reported on the balance sheet (Schedule RC) as assets and liabilities, respectively, they are included with
securities lent and securities borrowed and designated as repo-style transactions that are treated collectively as
off-balance sheet items under the regulatory capital rules.

16

For held-to-maturity securities that have been lent, the amortized cost of these securities is reported in
Schedule RC-L, item 6.a, but the fair value of these securities should be reported as the exposure amount in
column A of this item.

17

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Part II. (cont.)
Caption and Instructions

16
(cont.)

•

In column B, report 100 percent of the exposure amount reported in column A.



In column C–0% risk weight, include the credit equivalent amount of repo-style
transactions that are supported by the appropriate amount of collateral that qualifies for
the zero percent risk weight under the regulatory capital rules (refer to §.37 of the
regulatory capital rules).



In column D–2% risk weight, include the credit equivalent amount of centrally cleared
repo-style transactions with Qualified Central Counterparties (QCCPs), as defined in §.2
and described in §.35 of the regulatory capital rules.



In column E–4% risk weight, include the credit equivalent amount of centrally cleared
repo-style transactions with QCCPs in all other cases that do not meet the criteria of
qualification for a 2 percent risk weight, as described in §.35 of the regulatory capital
rules.

T

Item No.

In column G–20% risk weight, include the credit equivalent amount of repo-style
transactions that are supported by the appropriate amount of collateral that qualifies for
the 20 percent risk weight under the regulatory capital rules. Also include the credit
equivalent amount of repo-style transactions that represents exposures to U.S.
depository institutions.



In column H–50% risk weight, include the credit equivalent amount of repo-style
transactions that are supported by the appropriate amount of collateral that qualifies for
the 50 percent risk weight under the regulatory capital rules.

•

In column I-100% risk weight, include the portion of the credit equivalent amount reported
in column B that is not included in columns C through H, J, and R. Also include the credit
equivalent amount of repo-style transactions that are supported by the appropriate
amount of collateral that qualifies for the 100 percent risk weight under the regulatory
capital rules.

R

AF


In column J–150% risk weight, include the credit equivalent amount of repo-style
transactions that are supported by the appropriate amount of collateral that qualifies for
the 150 percent risk weight under the regulatory capital rules.



In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of repo-style transactions that is secured by qualifying financial collateral that meets the
definition of a securitization exposure in §.2 of the regulatory capital rules or is a mutual
fund only if the bank chooses to recognize the risk-mitigating effects of the securitization
exposure collateral under the Simple Approach or the Collateral Haircut Approach
outlined in §.37 of the regulatory capital rules. Under the Simple Approach, the risk
weight assigned to the collateralized portion of the repo-style exposure may not be less
than 20 percent. For information on the reporting of such repo-style transactions in
columns R and S, refer to the instructions for Schedule RC-R, Part, II, item 16, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

D





FFIEC 051

For repo-style transactions that represent exposures to foreign central banks and foreign
banks that must be risk weighted according to the Country Risk Classification (CRC)
methodology, assign the credit equivalent amount of these exposures to risk-weight
categories based on the CRC methodology described in instructions for Schedule RC-R,
Part, II, item 16, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

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Part II. (cont.)
Item No.

Caption and Instructions

16
(cont.)

Examples: Reporting Securities Sold Under Agreements to Repurchase (Repos) under the
Simple Approach for Recognizing the Effects of Collateral

T

§.37 of the regulatory capital rules provides for the recognition of the risk-mitigating effects of
collateral when risk weighting assets collateralized by financial collateral (which is defined in
§.2 of the regulatory capital rules). The following examples illustrate the calculation of riskweighted assets and the reporting of securities sold under agreements to repurchase (repos)
in Schedule RC-R, Part II, item 16, using the Simple Approach.

AF

Example 1: Security sold under an agreement to repurchase fully collateralized by cash
A bank has transferred an available-for-sale (AFS) debt security to a counterparty in a repo
transaction that is accounted for as a secured borrowing on the bank’s balance sheet. The
bank received $100 in cash from the repo counterparty in this transaction. The amortized
cost and the fair value of the AFS debt security are both $100 as of the report date.18 The
debt security is an exposure to a U.S. government-sponsored entity (GSE) that qualifies for a
20 percent risk weight. The repo counterparty is a company that would receive a 100 percent
risk weight.
Calculation of risk-weighted assets for the transaction:

1. The bank continues to report the AFS GSE debt security as an asset on its balance sheet
and to risk weight the security as an on-balance sheet asset at 20 percent:19
$100 x 20% = $20
2. The bank has a $100 exposure to the repo counterparty (the report date fair value of the
security transferred to the counterparty) that is collateralized by the $100 of cash
received from the counterparty. The bank risk weights its exposure to the repo
counterparty at zero percent in recognition of the cash received in the transaction from
the counterparty: $100 x 0% = $0
3. There is no additional exposure to the repo counterparty to risk weight because the
exposure to the counterparty is fully collateralized by the cash received.
The total risk-weighted assets arising from the transaction: $20

R

The bank would report the transaction in Schedule RC-R, Part II, as follows:

1. The bank reports the AFS debt security in item 2.b:
a. The $100 carrying value (i.e., the fair value) of the AFS debt security on the balance
sheet will be reported in column A.20
b. The $100 exposure amount of the AFS debt security will be reported in column G–
20% risk weight (which is the applicable risk weight for a U.S. GSE debt security).

D

2. The bank reports the repurchase agreement in item 16:
a. The bank’s $100 exposure to the repo counterparty, which is the fair value of the
debt security transferred in the repo transaction, is the exposure amount to be
reported in column A.

In both Example 1 and Example 2, because the fair value carrying value of the AFS GSE debt security equals the
amortized cost of the debt security, a bank that has made the AOCI opt-out election in Schedule RC-R, Part I,
item 3.a, does not need to adjust the carrying value (i.e., the fair value) of the debt security to determine the exposure
amount of the security. Thus, for a bank that has made the AOCI opt-out election, the carrying value of the AFS debt
security equals its exposure amount in Examples 1 and 2.
18

19

See footnote 18.

20

See footnote 18.

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Part II. (cont.)

16
(cont.)

Caption and Instructions
b. The $100 credit equivalent amount of the bank’s exposure to the repo counterparty
will be reported in column B.
c. Because the bank’s exposure to the repo counterparty is fully collateralized by the
$100 of cash received from the counterparty, the $100 credit equivalent amount of
the repurchase agreement will be reported in column C–0% risk weight (which is the
applicable risk weight for cash collateral).
(Column A)
Totals From
Schedule RC

16.

Repo-style
transactions

Adjustments

$100
(Column A)
Face, Notional,
or Other
Amount

(Column C)
(Column G)
(Column I)
Allocation by Risk-Weight Category
0%
20%
100%

$100

(Column B)
Credit
Equivalent
Amount

2.b.

(Column C)
(Column G)
(Column I)
Allocation by Risk-Weight Category
0%

20%

100%

AF

2.b.

Available-for-sale
securities

(Column B)

T

Item No.

$100

$100

$100

16.

Example 2: Security sold under an agreement to repurchase (repo) not fully collateralized by
cash
A bank has transferred an AFS debt security to a counterparty in a repo transaction that is
accounted for as a secured borrowing on the bank’s balance sheet. The bank received $98
in cash from the repo counterparty in this transaction. The amortized cost and the fair value
of the AFS debt security are both $100 as of the report date.21 The debt security is an
exposure to a U.S. GSE that qualifies for a 20 percent risk weight. The repo counterparty is a
company that would receive a 100 percent risk weight.
Calculation of risk-weighted assets for the transaction:

D

R

1. The bank continues to report the AFS GSE debt security as an asset on its balance sheet
and to risk weight the security as an on-balance sheet asset at 20 percent:22
$100 x 20% = $20
2. The bank has a $100 exposure to the repo counterparty (the report date fair value of the
security transferred to the counterparty) of which $98 is collateralized by the cash
received from the counterparty. The bank risk weights the portion of its exposure to the
repo counterparty that is collateralized by the cash received from the counterparty at zero
percent: $98 x 0% = $0
3. The bank risk weights its $2 uncollateralized exposure to the repo counterparty using the
risk weight applicable to the counterparty: $2 x 100% = $2
The total risk-weighted assets arising from the transaction: $22
The bank would report the transaction in Schedule RC-R, Part II, as follows:
1. The bank reports the AFS debt security in item 2.b:
a. The $100 carrying value (i.e., the fair value) of the AFS debt security on the balance
sheet will be reported in column A.23

21

See footnote 18.

22

See footnote 18.

23

See footnote 18.

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Part II. (cont.)
Item No.
16
(cont.)

Caption and Instructions
b. The $100 exposure amount of the AFS debt security will be reported in column G–
20% risk weight (which is the applicable risk weight for a U.S. GSE debt security).

AF

T

2. The bank reports the repurchase agreement in item 16:
a. The bank’s $100 exposure to the repo counterparty, which is the fair value of the
debt security transferred in the repo transaction, is the exposure amount to be
reported in column A.
b. The $100 credit equivalent amount of the bank’s exposure to the repo counterparty
will be reported in column B.
c. Because the bank’s exposure to the repo counterparty is collateralized by the $98 of
cash received from the counterparty, $98 of the $100 credit equivalent amount of the
repurchase agreement will be reported in column C–0% risk weight (which is the
applicable risk weight for cash collateral).
d. The $2 uncollateralized exposure to the repo counterparty will be reported in
column I–100% risk weight (which is the applicable risk weight for the repo
counterparty).

(Column A)
Totals From
Schedule RC

2.b.

16.

Repo-style
transactions

Adjustments

(Column C)
(Column G)
(Column I)
Allocation by Risk-Weight Category
0%
20%
100%

$100

$100

(Column A)
Face, Notional,
or Other
Amount

(Column B)
Credit
Equivalent
Amount

$100

$100

2.b.

(Column C)
(Column G)
(Column I)
Allocation by Risk-Weight Category
0%

$98

20%

100%
$2

16.

All other off-balance sheet liabilities. Report in column A:
 The notional amount of all other off-balance sheet liabilities reported in Schedule RC-L,
item 9, that are covered by the regulatory capital rules,
 The face amount of risk participations in bankers acceptances that have been acquired
by the reporting institution and are outstanding,
 The full amount of loans or other assets sold with credit-enhancing representations and
warranties24 that do not meet the definition of a securitization exposure as described in
§.2 of the regulatory capital rules,
• The notional amount of written option contracts that act as financial guarantees that do
not meet the definition of a securitization exposure as described in §.2 of the regulatory
capital rules, and
• The notional amount of all forward agreements, which are defined as legally binding
contractual obligations to purchase assets with certain drawdown at a specified future
date, not including commitments to make residential mortgage loans or forward foreign
exchange contracts.

D

R

17

Available-for-sale
securities

(Column B)

The definition of credit-enhancing representations and warranties in §.2 of the regulatory capital rules states that
such representations and warranties obligate an institution “to protect another party from losses arising from the
credit risk of the underlying exposures” and “include provisions to protect a party from losses resulting from the
default or nonperformance of the counterparties of the underlying exposures or from an insufficiency in the value of
the collateral backing the underlying exposures.” Thus, when loans or other assets are sold “with recourse” and the
recourse arrangement provides protection from losses as described in the preceding definition, the recourse
arrangement constitutes a credit-enhancing representation and warranty.
24

FFIEC 051

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Part II. (cont.)
Caption and Instructions

17
(cont.)

However, exclude from column A:
• The amount of credit derivatives classified as trading assets that are subject to the
market risk capital rule (report in Schedule RC-R, Part II, items 20 and 21, as
appropriate),
 Credit derivatives purchased by the bank that are recognized as guarantees of an asset
or off-balance sheet exposure under the regulatory capital rules, i.e., credit derivatives
on which the bank is the beneficiary (report the guaranteed asset or exposure in
Schedule RC-R, Part II, in the appropriate balance sheet or off-balance sheet category –
e.g., item 5, “Loans and leases held for investment” – and in the risk-weight category
applicable to the derivative counterparty – e.g., column G–20% risk weight – rather than
the risk-weight category applicable to the obligor of the guaranteed asset), and
 The notional amount of standby letters of credit issued by another depository institution, a
Federal Home Loan Bank, or any other entity on behalf of the reporting bank that are
reported in Schedule RC-L, item 9, because these letters of credit are not covered by the
regulatory capital rules.

T

Item No.

In column B, report 100 percent of the face amount, notional amount, or other amount
reported in column A.



In column C–0% risk weight, include the credit equivalent amount of liabilities to
counterparties who meet, or that have guarantees or collateral that meets, the criteria for
the zero percent risk weight category as described in the instructions for Risk-Weighted
Assets and for Schedule RC-R, Part II, items 1 through 8, above.



In column G–20% risk weight, include the credit equivalent amount of liabilities to
counterparties who meet, or that have guarantees or collateral that meets, the criteria for
the 20 percent risk weight category as described in the instructions for Risk-Weighted
Assets and for Schedule RC-R, Part II, items 1 through 8, above.

•

In column H–50% risk weight, include the credit equivalent amount of liabilities to
counterparties who meet, or that have guarantees or collateral that meets, the criteria for
the 50 percent risk weight category as described in the instructions for Risk-Weighted
Assets and for Schedule RC-R, Part II, items 1 through 8, above.

R

AF



In column I–100% risk weight, include the portion of the credit equivalent amount
reported in column B that is not included in columns C through J. Include the credit
equivalent amount of liabilities to counterparties who meet, or that have guarantees or
collateral that meets, the criteria for the 100 percent risk weight category as described in
the instructions for Risk-Weighted Assets and for Schedule RC-R, Part II, items 1
through 8, above.

D

•

FFIEC 051

•

In column J–150% risk weight, include the credit equivalent amount of liabilities to
counterparties who meet, or that have guarantees or collateral that meets, the criteria for
the 150 percent risk weight category as described in the instructions for Risk-Weighted
Assets and for Schedule RC-R, Part II, items 1 through 8, above.

•

For all other off-balance sheet liabilities that represent exposures to foreign central banks
and foreign banks that must be risk weighted according to the Country Risk Classification
(CRC) methodology, assign the credit equivalent amount of these exposures to riskweight categories based on the CRC methodology described in instructions for
Schedule RC-R, Part, II, item 17, in the instructions for the FFIEC 031 and FFIEC 041
Call Reports.
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Part II. (cont.)
Item No.
18

Caption and Instructions
Unused commitments (exclude unused commitments to asset-backed commercial
paper conduits). Report in items 18.a and 18.b the amounts of unused commitments that
are subject to the regulatory capital rules, excluding those that are unconditionally
cancelable, which are to be reported in Schedule RC-R, Part II, item 19. Where a bank
provides a commitment structured as a syndication or participation, the bank is only required
to calculate the exposure amount for its pro rata share of the commitment.

Original maturity of one year or less. Report in column A the unused portion of those
unused commitments reported in Schedule RC-L, item 1, with an original maturity of one year
or less that are subject to the regulatory capital rules.

AF

18.a

T

Exclude from items 18.a and 18.b any unused commitments that qualify as securitization
exposures, as defined in §.2 of the regulatory capital rules, including eligible asset-backed
commercial paper (ABCP) liquidity facilities. Unused commitments that are securitization
exposures must be reported in Schedule RC-R, Part II, item 10, column A. Also exclude
default fund contributions in the form of commitments made by a clearing member to a
central counterparty’s mutualized loss-sharing arrangement. Such default fund contributions
must be reported (as a negative number) in Schedule RC-R, Part II, item 8, column B.

Under the regulatory capital rules, the unused portion of commitments (facilities) that are
unconditionally cancelable (without cause) at any time by the bank have a zero percent credit
conversion factor. The unused portion of such unconditionally cancelable commitments
should be excluded from this item and reported in Schedule RC-R, Part II, item 19. For
further information, see the instructions for item 19.
"Original maturity" is defined as the length of time between the date a commitment is issued
and the date of maturity, or the earliest date on which the bank (1) is scheduled to (and as a
normal practice actually does) review the facility to determine whether or not it should be
extended and (2) can unconditionally cancel the commitment.
In column B, report 20 percent of the amount of unused commitments reported in
column A.

R

•

In column C–0% risk weight, include the credit equivalent amount of unused
commitments to counterparties who meet, or that have guarantees or collateral that
meets, the criteria for the zero percent risk weight category as described in the
instructions for Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8,
above.



In column G–20% risk weight, include the credit equivalent amount of unused
commitments to counterparties who meet, or that have guarantees or collateral that
meets, the criteria for the 20 percent risk weight category as described in the instructions
for Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8, above.

D

•

FFIEC 051



In column H–50% risk weight, include the credit equivalent amount of unused
commitments to counterparties who meet, or that have guarantees or collateral that
meets, the criteria for the 50 percent risk weight category as described in the instructions
for Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8, above.



In column I–100% risk weight, include the portion of the credit equivalent amount
reported in column B that is not included in columns C through H, J, and R. Include the
credit equivalent amount of unused commitments to counterparties who meet, or

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Part II. (cont.)
Caption and Instructions
that have guarantees or collateral that meets, the criteria for the 100 percent risk weight
category as described in the instructions for Risk-Weighted Assets and for
Schedule RC-R, Part II, items 1 through 8, above.

18.a
(cont.)


In column J–150% risk weight, include the credit equivalent amount of unused
commitments to counterparties who meet, or that have guarantees or collateral that
meets, the criteria for the 150 percent risk weight category as described in the
instructions for Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8,
above.



In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of unused commitments that is secured by qualifying financial collateral that meets the
definition of a securitization exposure in §.2 of the regulatory capital rules or is a mutual
fund only if the bank chooses to recognize the risk-mitigating effects of the securitization
exposure or mutual fund collateral under the Simple Approach outlined in §.37 of the
regulatory capital rules. Under the Simple Approach, the risk weight assigned to the
collateralized portion of an unused commitment may not be less than 20 percent. For
information on the reporting of such unused commitments in columns R and S, refer to
the instructions for Schedule RC-R, Part, II, item 18.a, in the instructions for the
FFIEC 031 and FFIEC 041 Call Reports.

AF


For unused commitments with an original maturity of one year or less that represent
exposures to foreign banks that must be risk weighted according to the Country Risk
Classification (CRC) methodology, assign credit equivalent amount of these exposures to
risk-weight categories based on the CRC methodology described in instructions for
Schedule RC-R, Part, II, item 18.a, in the instructions for the FFIEC 031 and FFIEC 041
Call Reports.

Original maturity exceeding one year. Report in column A the unused portion of those
commitments to make or purchase extensions of credit in the form of loans or participations
in loans, lease financing receivables, or similar transactions reported in Schedule RC-L,
item 1, that have an original maturity exceeding one year and are subject to the regulatory
capital rules. Also report in column A the face amount of those commercial and similar letters
of credit reported in Schedule RC-L, item 4, with an original maturity exceeding one year that
do not meet the definition of a securitization exposure as described in §.2 of the regulatory
capital rules.

R

18.b

T

Item No.

D

Under the regulatory capital rules, the unused portion of commitments (facilities) which are
unconditionally cancelable (without cause) at any time by the bank (to the extent permitted
under applicable law) have a zero percent credit conversion factor. The unused portion of
such unconditionally cancelable commitments should be excluded from this item and
reported in Schedule RC-R, Part II, item 19. For further information, see the instructions for
item 19.
Also include in column A the unused portion of all revolving underwriting facilities and note
issuance facilities, regardless of maturity.
In the case of consumer home equity or mortgage lines of credit secured by liens on 1-4
family residential properties, a bank is deemed able to unconditionally cancel the commitment
if, at its option, it can prohibit additional extensions of credit, reduce the credit line, and
terminate the commitment to the full extent permitted by relevant federal law. Retail credit
cards and related plans, including overdraft checking plans and overdraft protection

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Part II. (cont.)
Item No.

Caption and Instructions

18.b
(cont.)

programs, are defined to be short-term commitments that should be converted at
zero percent and excluded from this item 18.b if the bank has the unconditional right to
cancel the line of credit at any time in accordance with applicable law.

T

For commitments providing for increases in the dollar amount of the commitment, the amount
to be converted to an on-balance sheet credit equivalent amount and risk weighted is the
maximum dollar amount that the bank is obligated to advance at any time during the life of
the commitment. This includes seasonal commitments where the dollar amount of the
commitment increases during the customer's peak business period. In addition, this riskbased capital treatment applies to long-term commitments that contain short-term options
which, for a fee, allow the customer to increase the dollar amount of the commitment. Until
the short-term option has expired, the reporting bank must convert and risk weight the
amount which it is obligated to lend if the option is exercised. After the expiration of a
short-term option which has not been exercised, the unused portion of the original amount of
the commitment is to be used in the credit conversion process.

In column B, report 50 percent of the amount of unused commitments and the face
amount of commercial and similar letters of credit reported in column A. Note that
unused commitments that qualify as securitization exposures as defined in §.2 of the
regulatory capital rules should be reported as securitization exposures in Schedule RC-R,
Part II, item 10.



In column C–0% risk weight, include the credit equivalent amount of unused
commitments and commercial and similar letters of credit to counterparties who meet,
or that have guarantees or collateral that meets, the criteria for the zero percent risk
weight category as described in the instructions for Risk-Weighted Assets and for
Schedule RC-R, Part II, items 1 through 8, above.



In column G–20% risk weight, include the credit equivalent amount of unused
commitments and commercial and similar letters of credit to counterparties who meet,
or that have guarantees or collateral that meets, the criteria for the 20 percent risk weight
category as described in the instructions for Risk-Weighted Assets and for
Schedule RC-R, Part II, items 1 through 8, above. Include the credit equivalent amount
of commitments that have been conveyed to U.S. depository institutions. Include the
credit equivalent amount of those commercial and similar letters of credit reported in
Schedule RC-L, item 4, with an original maturity exceeding one year that have been
conveyed to U.S. depository institutions.

R

AF



In column H–50% risk weight, include the credit equivalent amount of unused
commitments and commercial and similar letters of credit to counterparties who meet,
or that have guarantees or collateral that meets, the criteria for the 50 percent risk weight
category as described in the instructions for Risk-Weighted Assets and for
Schedule RC-R, Part II, items 1 through 8, above.

D





FFIEC 051

In column I–100% risk weight, include the portion of the credit equivalent amount
reported in column B that is not included in columns C through H, J, and R. Also include
the credit equivalent amount of unused commitments and commercial and similar letters
of credit to counterparties who meet, or that have guarantees or collateral that meets, the
criteria for the 100 percent risk-weight category as described in the instructions for RiskWeighted Assets and for Schedule RC-R, Part II, items 1 through 8, above.

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Part II. (cont.)
Caption and Instructions

18.b
(cont.)

•

In column J–150% risk weight, include the credit equivalent amount of unused
commitments and commercial and similar letters of credit to counterparties who meet,
or that have guarantees or collateral that meets, the criteria for the 150 percent risk
weight category as described in the instructions for Risk-Weighted Assets and for
Schedule RC-R, Part II, items 1 through 8, above.



In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of unused commitments that is secured by qualifying financial collateral that meets the
definition of a securitization exposure in §.2 of the regulatory capital rules or is a mutual
fund only if the bank chooses to recognize the risk-mitigating effects of the securitization
exposure or mutual fund collateral under the Simple Approach outlined in §.37 of the
regulatory capital rules. Under the Simple Approach, the risk weight assigned to the
collateralized portion of an unused commitment may not be less than 20 percent. For
information on the reporting of such unused commitments in columns R and S, refer to
the instructions for Schedule RC-R, Part, II, item 18.b, in the instructions for the
FFIEC 031 and FFIEC 041 Call Reports.

AF

T

Item No.



19

For unused commitments with an original maturity exceeding one year that represent
exposures to foreign banks, and commercial and similar letters of credit with an original
maturity exceeding one year that have been conveyed to foreign banks, that must be risk
weighted according to the Country Risk Classification (CRC) methodology, assign the
credit equivalent amount of these exposures to risk-weight categories based on the CRC
methodology described in instructions for Schedule RC-R, Part, II, item 18.a, in the
instructions for the FFIEC 031 and FFIEC 041 Call Reports.

Unconditionally cancelable commitments. Report the unused portion of those
unconditionally cancelable commitments reported in Schedule RC-L, item 1, that are subject
to the regulatory capital rules. The unused portion of commitments (facilities) that are
unconditionally cancelable (without cause) at any time by the bank (to the extent permitted by
applicable law) have a zero percent credit conversion factor. The bank should report the
unused portion of such commitments in column A of this item and zero in column B of this
item.

R

In the case of consumer home equity or mortgage lines of credit secured by liens on
1-4 family residential properties, a bank is deemed able to unconditionally cancel the
commitment if, at its option, it can prohibit additional extensions of credit, reduce the credit
line, and terminate the commitment to the full extent permitted by relevant federal law. Retail
credit cards and related plans, including overdraft checking plans and overdraft protection
programs, are defined to be short-term commitments that should be converted at zero
percent and included in this item if the bank has the unconditional right to cancel the line of
credit at any time in accordance with applicable law.
Over-the-counter derivatives. Report in column B the credit equivalent amount of over-thecounter derivative contracts covered by the regulatory capital rules. As defined in §.2 of the
regulatory capital rules, an over-the-counter (OTC) derivative contract is a derivative contract
that is not a cleared transaction.24a Include OTC credit derivative contracts held for trading
purposes and subject to the market risk capital rule. Do not include the credit equivalent
amount of centrally cleared derivative contracts, which must be reported in Schedule RC-R,
Part II, item 21. Do not include OTC derivative contracts that meet the definition of a
securitization exposure as described in §.2 of the regulatory capital rules; such derivative
contracts must be reported in Schedule RC-R, Part II, item 10.

D

20

The credit equivalent amount of an OTC derivative contract to be reported in column B is
determined under one of two methods, the current exposure method (CEM), as described in
§.34(b) of the regulatory capital rules, or the standardized approach for counterparty credit
risk (SA-CCR), as described in §.132(c) of the regulatory capital rules. Under the regulatory
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capital rules, a non-advanced approaches institution may elect to use CEM or SA-CCR to
determine the credit equivalent amount of an OTC derivative contract, as of April 1, 2020. A
non-advanced approaches institution must notify its appropriate federal banking supervisor
before using SA-CCR. A non-advanced approaches institution must use the same
methodology – CEM or SA-CCR – to calculate the exposure amount for all its derivative
contracts, including centrally cleared derivative transactions, and may change its election
only with the prior approval of its appropriate federal banking supervisor.

D

R

AF

T

For further information on the use of SA-CCR in relation to OTC derivative contracts, refer to
the instructions for Schedule RC-R, Part II, item 20, in the instructions for the FFIEC 031 and
FFIEC 041 Call Reports.

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Part II. (cont.)
Item No.
20

When using CEM, Tthe credit equivalent amount of an OTC derivative contract to be reported
in column B is
the sum of its current credit exposure (as reported in Schedule RC-R, Part II, Memorandum
item 1) plus the potential future exposure (PFE) over the remaining life of the derivative
contract (regardless of its current credit exposure, if any), as described in §.34 of the
regulatory capital rules. The current credit exposure of a derivative contract is (1) the fair
value of the contract when that fair value is positive and (2) zero when the fair value of the
contract is negative or zero. The potential future credit exposurePFE of a derivative contract,
which is based on the type of contract and the contract's remaining maturity, is determined by
multiplying the notional principal amount of the contract by the appropriate conversion factor
from the following chart.

T

(cont.)

Caption and Instructions

The notional principal amounts of the reporting bank's OTC derivatives that are subject to the
risk-based capital requirements are reported by remaining maturity in Schedule RC-R, Part II,
Memorandum items 2.a through 2.g.

0.0%

1.0%

Credit
(investment
grade
reference
assets)
5.0%

0.5%

5.0%

1.5%

7.5%

AF
Interest
Rate

Foreign
exchange
rate and
gold

Remaining Maturity

One year or less
Greater than one year &
less than or equal to five
years
Greater than five years

Equity

Precious
metals
(except
gold)

Other

10.0%

6.0%

7.0%

10.0%

5.0%

10.0%

8.0%

7.0%

12.0%

5.0%

10.0%

10.0%

8.0%

15.0%

Credit (noninvestment grade
reference assets)

R

Under the banking agencies' regulatory capital rules and for purposes of Schedule RC-R,
Part II, the existence of a legally enforceable bilateral netting agreement between the
reporting bank and a counterparty may be taken into consideration when determining both
the current credit exposure and the potential future exposure of derivative contracts.
For further information on the treatment of bilateral netting agreements covering derivative
contracts, refer to the instructions for Schedule RC-R, Part II, Memorandum item 1, and §.34
of the regulatory capital rules.

When assigning OTC derivative exposures to risk-weight categories, banks can recognize
the risk-mitigating effects of financial collateral by using either the Simple Approach or the
Collateral Haircut Approach, as described in §.37 of the regulatory capital rules.
In column C–0% risk weight, include the credit equivalent amount of OTC derivative
contracts with counterparties who meet, or that have guarantees or collateral that meets,
the criteria for the zero percent risk weight category as described in the instructions for
Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8, above. This
includes OTC derivative contracts that are marked-to-market on a daily basis and subject
to a daily margin maintenance requirement, to the extent the contracts are collateralized
by cash on deposit at the reporting institution.

D

•

An OTC derivative includes a transaction:
(1) Between an institution that is a clearing member and a counterparty where the institution is acting as a financial
intermediary and enters into a cleared transaction with a central counterparty (CCP) that offsets the transaction
with the counterparty; or
(2) In which an institution that is a clearing member provides a CCP a guarantee on the performance of the
counterparty to the transaction.
24a

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Part II. (cont.)
Caption and Instructions

20
(cont.)

•

In column F–10% risk weight, include the credit equivalent amount of OTC derivative
contracts that are marked-to-market on a daily basis and subject to a daily margin
maintenance requirement, to the extent the contracts are collateralized by a sovereign
exposure that qualifies for a zero percent risk weight under §.32 of the regulatory capital
rules.



In column G–20% risk weight, include the credit equivalent amount of OTC derivative
contracts with counterparties who meet, or that have guarantees or collateral that meets,
the criteria for the 20 percent risk weight category as described in the instructions for
Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8, above.



In column H–50% risk weight, include the credit equivalent amount of OTC derivative
contracts with counterparties who meet, or that have guarantees or collateral that meets,
the criteria for the 50 percent risk weight category as described in the instructions for
Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8, above.



In column I–100% risk weight, include the credit equivalent amount of OTC derivative
contracts with counterparties who meet, or that have guarantees or collateral that meets,
the criteria for the 100 percent risk weight category as described in the instructions for
Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8, above. Also
include the portion of the credit equivalent amount reported in column B that is not
included in columns C through H, J, and R.



In column J–150% risk weight, include the credit equivalent amount of OTC derivative
contracts with counterparties who meet, or that have guarantees or collateral that meets,
the criteria for the 150 percent risk weight category as described in the instructions for
Risk-Weighted Assets and for Schedule RC-R, Part II, items 1 through 8, above.



In columns R and S–Application of Other Risk-Weighting Approaches, include the portion
of OTC derivative contracts that is secured by qualifying financial collateral that meets the
definition of a securitization exposure in §.2 of the regulatory capital rules or is a mutual
fund only if the bank chooses to recognize the risk-mitigating effects of the securitization
exposure or mutual fund collateral under the Simple Approach or the Collateral Haircut
Approach outlined in §.37 of the regulatory capital rules. Under the Simple Approach, the
risk weight assigned to the collateralized portion of the OTC derivative exposure may not
be less than 20 percent. For information on the reporting of such OTC derivative
exposures in columns R and S, refer to the instructions for Schedule RC-R, Part, II,
item 20, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

R

AF

T

Item No.

Centrally cleared derivatives. Report in column B the credit equivalent amount of centrally
cleared derivative contracts covered by the regulatory capital rules. As described in §.2 of
the regulatory capital rules, a centrally cleared derivative contract is an exposure associated
with an outstanding derivative contract that an institution, or an institution that is a clearing
member has entered into with a central counterparty (CCP), that is, a transaction that a CCP
has accepted. Include centrally cleared credit derivative contracts held for trading purposes
andthat are subject to the market risk capital rule and meet the operational requirements for
counterparty credit risk in §.3 of the regulatory capital rules. For information on the regulatory
capital treatment of settled-to-market contracts, see the discussion of “Treatment of Certain
Centrally Cleared Derivative Contracts” in the General Instructions for Schedule RC-R,
Part II.

D

21

Do not include the credit equivalent amount of over-the-counter derivative contracts, which
must be reported in Schedule RC-R, Part II, item 20. Do not include centrally cleared
derivative contracts that meet the definition of a securitization exposure as described in §.2 of
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the regulatory capital rules; such derivative contracts must be reported in Schedule RC-R,
Part II, item 10.

T

The credit equivalent amount of a centrally cleared derivative contract to be reported in
column B is determined under either §.35 or §.133 of the regulatory capital rules. Under the
regulatory capital rules, a non-advanced approaches institution that elects to calculate the
exposure amount for its OTC derivative contracts using the standardized approach for
counterparty credit risk (SA-CCR), as described in §.132(c), must apply the treatment of
cleared transactions under §.133 to its derivative contracts that are cleared transactions and
to all default fund contributions associated with such derivative contracts, rather than applying
§.35. A non-advanced approaches institution must use the same methodology ‒ the current
exposure method (CEM) or SA-CCR ‒ to calculate the exposure amount for all its derivative
contracts and may change its election only with the prior approval of its appropriate federal
banking supervisor.

D

R

AF

For further information on the use of SA-CCR in relation to centrally cleared derivative
contracts, refer to the instructions for Schedule RC-R, Part II, item 21, in the instructions for
the FFIEC 031 and FFIEC 041 Call Reports.

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Part II. (cont.)

21
(cont.)

Caption and Instructions
When using CEM, tThe credit equivalent amount of a centrally cleared derivative contract is
the sum of its
current credit exposure (as reported in Schedule RC-R, Memorandum item 1), plus the
potential future exposure (PFE) over the remaining life of the derivative contract, plus the fair
value of collateral posted by the clearing member client bank and held by the CCP or a
clearing member in a manner that is not bankruptcy remote. The current credit exposure of a
derivative contract is (1) the fair value of the contract when that fair value is positive and (2)
zero when the fair value of the contract is negative or zero. The potential future credit
exposurePFE of a derivative contract, which is based on the type of contract and the
contract's remaining maturity, is determined by multiplying the notional principal amount of
the contract by the appropriate conversion factor from the following chart.

T

Item No.

The notional principal amounts of the reporting bank's centrally cleared derivatives that are
subject to the risk-based capital requirements are reported by remaining maturity in
Schedule RC-R, Part II, Memorandum items 3.a through 3.g.
Interest
Rate

Foreign
exchange
rate and
gold

0.0%

1.0%

Credit
(investment
grade
reference
assets)
5.0%

0.5%

5.0%

1.5%

7.5%

Equity

Precious
metals
(except
gold)

Other

10.0%

6.0%

7.0%

10.0%

5.0%

10.0%

8.0%

7.0%

12.0%

5.0%

10.0%

10.0%

8.0%

15.0%

AF

Credit (noninvestment grade
reference assets)

Remaining Maturity

One year or less
Greater than one year &
less than or equal to five
years
Greater than five years

In column C–0% risk weight, include the credit equivalent amount of centrally cleared
derivative contracts with CCPs and other counterparties who meet, or that have
guarantees or collateral that meets, the criteria for the zero percent risk-weight category
as described in the instructions for Risk-Weighted Assets and for Schedule RC-R, Part II,
items 1 through 8, above.

R

•

In column D–2% risk weight, include the credit equivalent amount of centrally cleared
derivative contracts with Qualified Central Counterparties (QCCPs) where the collateral
posted by the bank to the QCCP or clearing member is subject to an arrangement that
prevents any losses to the clearing member client due to the joint default or a concurrent
insolvency, liquidation, or receivership proceeding of the clearing member and any other
clearing member clients of the clearing member; and the clearing member client bank
has conducted sufficient legal review to conclude with a well-founded basis (and
maintains sufficient written documentation of that legal review) that in the event of a legal
challenge (including one resulting from default or from liquidation, insolvency, or
receivership proceeding) the relevant court and administrative authorities would find the
arrangements to be legal, valid, binding, and enforceable under the law of the relevant
jurisdictions. See the definition of QCCP in §.2 of the regulatory capital rules.

D



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•

In column E–4% risk weight, include the credit equivalent amount of centrally cleared
derivative contracts with QCCPs in all other cases that do not meet the qualification
criteria for a 2 percent risk weight, as described in §.2 of the regulatory capital rules.



In column G–20% risk weight, include the credit equivalent amount of centrally cleared
derivative contracts with CCPs and other counterparties who meet, or that have
guarantees or collateral that meets, the criteria for the 20 percent risk-weight category as
described in the instructions for Risk-Weighted Assets and for Schedule RC-R, Part II,
items 1 through 8, above.
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Part II. (cont.)
Caption and Instructions

21
(cont.)

•

In column H–50% risk weight, include the credit equivalent amount of centrally cleared
derivative contracts with CCPs and other counterparties who meet, or that have
guarantees or collateral that meets, the criteria for the 50 percent risk-weight category as
described in the instructions for Risk-Weighted Assets and for Schedule RC-R, Part II,
items 1 through 8, above.



In column I–100% risk weight, include the credit equivalent amount of centrally cleared
derivative contracts with CCPs and other counterparties who meet, or that have
guarantees or collateral that meets, the criteria for the 100 percent risk-weight category
as described in the instructions for Risk-Weighted Assets and for Schedule RC-R, Part II,
items 1 through 8, above. Also include the portion of the credit equivalent amount
reported in column B that is not included in columns C through H and J.



In column J–150% risk weight, include the credit equivalent amount of centrally cleared
derivative contracts with CCPs and other counterparties who meet, or that have
guarantees or collateral that meets, the criteria for the 150 percent risk-weight category
as described in the instructions for Risk-Weighted Assets and for Schedule RC-R, Part II,
items 1 through 8, above.

AF

22

T

Item No.

Unsettled transactions (failed trades). NOTE: This item includes unsettled transactions in
the reporting bank’s trading book and in its banking book. Report as unsettled transactions
all on- and off-balance sheet transactions involving securities, foreign exchange instruments,
and commodities that have a risk of delayed settlement or delivery, or are already delayed,
and against which the reporting bank must hold risk-based capital as described in §.38 of the
regulatory capital rules.

R

For delivery-versus-payment (DvP) transactions25 and payment-versus-payment (PvP)
transactions,26 report in column A the positive current exposure of those unsettled
transactions with a normal settlement period in which the reporting bank’s counterparty has
not made delivery or payment within five business days after the settlement date, which are
the DvP and PvP transactions subject to risk weighting under §.38 of the regulatory capital
rules. Positive current exposure is equal to the difference between the transaction value at
the agreed settlement price and the current market price of the transaction, if the difference
results in a credit exposure of the bank to the counterparty.

For delayed non-DvP/non-PvP transactions,27 also include in column A the current fair value
of the deliverables owed to the bank by the counterparty in those transactions with a normal
settlement period in which the reporting bank has delivered cash, securities, commodities, or
currencies to its counterparty, but has not received its corresponding deliverables, which are
the non-DvP/non-PvP transactions subject to risk weighting under §.38 of the regulatory
capital rules.

D

For further information on the reporting of unsettled transactions, including assigning these
exposures to risk-weight categories, refer to the instructions for Schedule RC-R, Part, II,
item 22, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

DvP transaction means a securities or commodities transaction in which the buyer is obligated to make payment
only if the seller has made delivery of the securities or commodities and the seller is obligated to deliver the securities
or commodities only if the buyer has made payment.

25

26 PvP transaction means a foreign exchange transaction in which each counterparty is obligated to make a final
transfer of one or more currencies only if the other counterparty has made a final transfer of one or more currencies.

Non-DvP/non-PvP transaction means any other delayed or unsettled transaction that does not meet the definition
of a DvP or a PvP transaction.

27

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Part II. (cont.)
Item No.

Caption and Instructions

Totals
NOTE: Schedule RC-R, Part II, items 23 and 25, columns C through Q, as applicable, are to be
completed semiannually in the June and December reports only. Items 26 through 31 are to be
completed quarterly.
Total assets, derivatives, off-balance sheet items, and other items subject to risk
weighting by risk weight category. For each of columns C through P, report the sum of
items 11 through 22. For column Q, report the sum of items 10 through 22.

24

Risk weight factor.

25

Risk-weighted assets by risk weight category. For each of columns C through Q, multiply
the amount in item 23 by the risk weight factor specified for that column in item 24.

26

Risk-weighted assets base for purposes of calculating the allowance for loan and
lease losses 1.25 percent threshold. In the reports for March and September, report the
amount of the risk-weighted assets base for purposes of calculating the allowance for loan
and lease losses 1.25 percent threshold. In the reports for June and December, report the
sum of:
 Schedule RC-R, Part II:
o Items 2.b through 20, column S,
o Items 9.a, 9.b, 9.c, 9.d, and 10, columns T and U, and
o Item 25, columns C through Q
 Schedule RC-R, Part I:
o The portion of item 10.b composed of “Investments in the institution’s own shares
to the extent not excluded as part of treasury stock,”
o The portion of item 10.b composed of “Reciprocal cross-holdings in the capital of
financial institutions in the form of common stock,”
o Items 11 and 13 through 1615,
o Item 24, excluding the portion of item 24 composed of tier 2 capital deductions
reported in Part I, item 3345, for which the institution does not have a sufficient
amount of tier 2 capital before deductions reported in Part I, item 3244, to absorb
these deductions, and
o Item 3345.

R

AF

T

23

For institutions that have adopted the current expected credit losses methodology (CECL),
the risk-weighted assets base reported in this item 26 is for purposes of calculating the
adjusted allowances for credit losses (AACL) 1.25 percent threshold.

NOTE: Item 27 is applicable only to banks that are subject to the market risk capital rule.
Standardized market risk-weighted assets. Report the amount of the bank's standardized
market risk-weighted assets. This item is applicable only to those banks covered by
Subpart F of the regulatory capital rules (i.e., the market risk capital rule), as provided in
§.201 of the regulatory capital rules and in the discussion of “Banks That Are Subject to the
Market Risk Capital Rule” in the General Instructions for Schedule RC-R, Part II.

D

27

A bank’s measure for market risk for its covered positions is the sum of its value-at-risk
(VaR)-based, stressed VaR-based, incremental risk, and comprehensive risk capital
requirements plus its specific risk add-ons and any capital requirement for de minimis
exposures. A bank's standardized market risk-weighted assets equal its measure for market
risk multiplied by 12.5 (the reciprocal of the minimum 8.0 percent capital ratio).

For further information on the meaning of the term “covered position,” refer to the discussion
of “Banks That Are Subject to the Market Risk Capital Rule” in the General Instructions for
Schedule RC-R, Part II.
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Part II. (cont.)
Item No.
28

Caption and Instructions
Risk-weighted assets before deductions for excess allowance for loan and lease
losses and allocated transfer risk reserve. In the reports for March and September,
report the amount of risk-weighted assets before deductions for excess allowance for loan
and lease losses and allocated transfer risk reserve. In the reports for June and December,
report the sum of items 2.b through 20, column S; items 9.a, 9.b, 9.c, 9.d, and 10, columns T
and U; item 25, columns C through Q; and, if applicable, item 27. (Item 27 is applicable only
to banks that are subject to the market risk capital rule.)

29

T

For institutions that have adopted the current expected credit losses methodology (CECL),
the risk-weighted assets reported in this item 28 represents the amount of risk-weighted
assets before deductions for excess adjusted allowances for credit losses (AACL) and
allocated transfer risk reserve.

LESS: Excess allowance for loan and lease losses. Report the amount, if any, by which
the bank's allowance for loan and lease losses (ALLL) or adjusted allowances for credit
losses (AACL), as applicable, for regulatory capital purposes exceeds 1.25 percent of the
bank's risk-weighted assets base reported in Schedule RC-R, Part II, item 26.

AF

For an institution that has not adopted the current expected credit losses methodology
(CECL), the institution’s ALLL for regulatory capital purposes equals Schedule RC, item 4.c,
"Allowance for loan and lease losses," less any allocated transfer risk reserve included in
Schedule RC, item 4.c, plus Schedule RC-G, item 3, "Allowance for credit losses on offbalance sheet credit exposures." If an institution’s ALLL for regulatory capital purposes, as
defined in the preceding sentence, exceeds 1.25 percent of Schedule RC-R, Part II, item 26,
the amount to be reported in this item equals the institution’s ALLL for regulatory capital
purposes less Schedule RC-R, Part I, item 3042, "Allowance for loan and lease losses
includable in tier 2 capital."

R

For an institution that has adopted CECL, the institution’s AACL for regulatory capital
purposes equals Schedule RI-B, Part II, item 7, columns A and B, “Balance end of current
period” for loans and leases held for investment and held-to-maturity debt securities,
respectively; plus Schedule RI-B, Part II, Memorandum item 6, “Allowance for credit losses
on other financial assets measured at amortized cost (not included in item 7, above)”;
less Schedule RC-R, Part II, sum of Memorandum items 4.a, 4.b, and 4.c, “Amount of
allowances for credit losses on purchased credit-deteriorated assets” for loans and leases
held for investment, held-to-maturity debt securities, and other financial assets measured
at amortized cost, respectively; less any allocated transfer risk reserve included in
Schedule RI-B, Part II, item 7, columns A and B, and Memorandum item 6; plus
Schedule RC-G, item 3, ‘‘Allowance for credit losses on off-balance sheet credit exposures.’’

D

For an institution that has not adopted CECL, the sum of the amounts reported in
Schedule RC-R, Part I, item 3042, and Schedule RC-R, Part II, item 29, must equal
Schedule RC, item 4.c, less any allocated transfer risk reserve included in Schedule RC,
item 4.c, plus Schedule RC-G, item 3.

30

LESS: Allocated transfer risk reserve. Report the entire amount of any allocated transfer
risk reserve (ATRR) the reporting bank is required to establish and maintain as specified in
Section 905(a) of the International Lending Supervision Act of 1983, in the agency
regulations implementing the Act (Subpart D of Federal Reserve Regulation K, Part 347 of
the FDIC's Rules and Regulations, and 12 CFR Part 28, Subpart C (OCC)), and in any
guidelines, letters, or instructions issued by the agencies. The entire amount of the ATRR
equals the ATRR related to loans and leases held for investment (which is included in
Schedule RC, item 4,c, “Allowance for loan and lease losses”) plus the ATRR for assets other
than loans and leases held for investment.

31

Total risk-weighted assets. Report the amount derived by subtracting items 29 and 30 from
item 28.

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Part II. (cont.)
Memoranda
Item No.

Caption and Instructions

NOTE: Schedule RC-R, Part II, Memorandum items 1 through 3.g, are to be completed semiannually in
the June and December reports only.
Current credit exposure across all derivative contracts covered by the regulatory
capital rules. Report the total current credit exposure amount when using the current
exposure method (CEM) or replacement cost amount when using the standardized approach
for counterparty credit risk method (SA-CCR) after considering applicable legally enforceable
bilateral netting agreements for all interest rate, foreign exchange rate, gold, credit
(investment grade reference assets), credit (non-investment grade reference assets), equity,
precious metals (except gold), and other derivative contracts that are over-the-counter
derivative contracts (as defined in §.2 of the regulatory capital rules) orand all derivative
contracts that are cleared transactions (as described in §.2 of the regulatory capital rules) and
are covered by §.34, §.35, §.132, and §.35133 of the regulatory capital rules, respectivelyas
applicable. Banks that are subject to the market risk capital rule should exclude all covered
positions subject to that rule, except for foreign exchange derivatives that are outside of the
trading account.28 Foreign exchange derivatives that are outside of the trading account and
all over-the-counter derivatives continue to have a counterparty credit risk capital charge and,
therefore, a current credit exposure amount for these derivatives should be reported in this
item.

AF

T

1

Include the current credit exposure arising from credit derivative contracts where the bank is
the protection purchaser (beneficiary) and the credit derivative contract is either (a) defined
as a covered position under the market risk capital rule or (b) not defined as a covered
position under the market risk capital rule and not recognized as a guarantee for regulatory
capital purposes.
As discussed further below, current credit exposure (sometimes referred to as the
replacement cost) is the fair value of a derivative contract when that fair value is positive.
The current credit exposure is zero when the fair value is negative or zero.

D

R

Exclude the positive fair value of derivative contracts that are neither over-the-counter
derivative contracts nor derivative contracts that are cleared transactions under §.2 of the
regulatory capital rules. Such derivative contracts include written option contracts, including
so-called “derivative loan commitments,” i.e., a lender’s commitment to originate a mortgage
loan that will be held for resale. Written option contracts that are, in substance, financial
guarantees, are discussed below. For “derivative loan commitments,” which are reported as
over-the-counter written option contracts in Schedule RC-L, if the fair value of such a
commitment is positive and reported as an asset in Schedule RC, item 11, this positive fair
value should be reported in the appropriate risk-weight category in Schedule RC-R, Part II,
item 8, and not as a component of the current credit exposure to be reported in this item.
Purchased options held by the reporting bank that are traded on an exchange are covered by
the regulatory capital rules unless such options are subject to a daily variation margin.
Variation margin is defined as the gain or loss on open positions, calculated by marking to
market at the end of each trading day. Such gain or loss is credited or debited by the
clearing house to each clearing member's account, and by members to their customers'
accounts.

For further information on the market risk capital rule and the meaning of the term “covered position,” refer to
the discussion of “Banks That Are Subject to the Market Risk Capital Rule” in the General Instructions for
Schedule RC-R, Part II, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

28

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D

R

AF

T

If a written option contract acts as a financial guarantee that does not meet the definition of a
securitization exposure as described in §.2 of the regulatory capital rules, then for risk-based
capital purposes the notional amount of the option should be included in Schedule RC-R,
Part II, item 17, column A, as part of "All other off-balance sheet liabilities." An example of
such a contract occurs when the reporting bank writes a put option to a second bank that has
a loan to a third party. The strike price would be the equivalent of the par value of the loan. If

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Part II. (cont.)
Memoranda
Item No.

Caption and Instructions

1
(cont.)

the credit quality of the loan deteriorates, thereby reducing the value of the loan to the second
bank, the reporting bank would be required by the second bank to take the loan onto its
books.

T

Do not include derivative contracts that meet the definition of a securitization exposure as
described in §.2 of the regulatory capital rules; such derivative contracts must be reported in
Schedule RC-R, Part II, item 10.

AF

Current credit exposure, when using CEM, or replacement cost, when using SA-CCR, should
be derived as follows: Determine whether a qualifying master netting agreement, as defined
in §.2 of the regulatory capital rules, is in place between the reporting bank and a
counterparty. If such an agreement is in place, the fair values of all applicable derivative
contracts with that counterparty that are included in the netting agreement are netted to a
single amount.

Next, for all other derivative contracts covered by the regulatory capital rules that have
positive fair values, the total of the positive fair values is determined. Then, report in this item
the sum of (i) the net positive fair values of applicable derivative contracts subject to
qualifying master netting agreements and (ii) the total positive fair values of all other contracts
covered by the regulatory capital rules for both OTC and centrally cleared contracts. The
current credit exposure reported in this item is a component of the credit equivalent amount
of derivative contracts that is to be reported in Schedule RC-R, items 20 or 21, column B,
depending on whether the contracts are centrally cleared.

Notional principal amounts of over-the-counter derivative contracts. Report in the
appropriate subitem and column the notional amount or par value of all over-the-counter
(OTC) derivative contracts, including credit derivatives, that are subject to §.34 or §.132 of
the regulatory capital rules.29 Such contracts include swaps, forwards, and purchased
options. Do not include OTC derivative contracts that meet the definition of a securitization
exposure as described in §.2 of the regulatory capital rules; such derivative contracts must be
reported in Schedule RC-R, Part II, item 10. Report notional amounts and par values in the
column corresponding to the OTC derivative contract's remaining term to maturity from the
report date. Remaining maturities are to be reported as (1) one year or less in column A, (2)
over one year through five years in column B, or (3) over five years in column C.

R

2

D

For purposes of Memorandum items 2.a through 2.g, when an institution uses the
standardized approach for counterparty credit risk (SA-CCR) to calculate exposure amounts
for its derivative contracts when determining its standardized total risk-weighted assets, the
institution should report the adjusted notional amounts as calculated by asset class in
accordance with §.132(c)(9)(ii) of the regulatory capital rules; when an institution uses the
current exposure methodology (CEM) to calculate exposure amounts for its derivative
contracts, the institution should report the notional amounts of the contracts, as this term is
defined in U.S. generally accepted accounting principles, unless a derivative contract has a
multiplier component as discussed in the following paragraph.
The notional amount or par value to be reported for an OTC derivative contract with a
multiplier component under CEM is the contract's effective notional amount or par value. (For
example, a swap contract with a stated notional amount of $1,000,000 whose terms call for

29

See the instructions for Schedule RC-R, Part II, item 20, for the definition of an OTC derivative contract.

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quarterly settlement of the difference between 5 percent and LIBOR multiplied by 10 has an
effective notional amount of $10,000,000.)
The notional amount to be reported for an amortizing OTC derivative contract under either
SA-CCR or CEM is the contract's current (or, if appropriate, effective) notional amount. This
notional amount should be reported in the column corresponding to the contract's remaining
term to final maturity.

D

R

AF

T

For descriptions of "interest rate derivative contracts," "foreign exchange contracts," “equity
derivative contracts,” "commodity contracts" (including gold and precious metals), and
“credit derivative contracts,” refer to the instructions for Schedule SU, item 1.

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Part II. (cont.)
Memoranda
Item No.

Caption and Instructions

2
(cont.)

Exclude from this item the notional amount of OTC written option contracts, including
so-called “derivative loan commitments,” which are not subject to §.34 of the regulatory
capital rules.

Notional principal amounts of centrally cleared derivative contracts. Report in the
appropriate subitem and column the notional amount or par value of all derivative contracts,
including credit derivatives, that are cleared transactions (as described in §.2 of the
regulatory capital rules) and are subject to §.35 or §.133 of the regulatory capital rules.30
Such centrally cleared derivative contracts include swaps, forwards, and purchased options.
Do not include centrally cleared derivative contracts that meet the definition of a securitization
exposure as described in §.2 of the regulatory capital rules; such derivative contracts must be
reported in Schedule RC-R, Part II, item 10. Report notional amounts and par values in the
column corresponding to the centrally cleared derivative contract's remaining term to maturity
from the report date. Remaining maturities are to be reported as (1) one year or less in
column A, (2) over one year through five years in column B, or (3) over five years in
column C.

AF

3

T

For information on reporting the remaining maturities of over-the-counter derivative contracts
when using SA-CCR, refer to the instructions for Schedule RC-R, Part II, Memorandum item
2, in the instructions for the FFIEC 031 and FFIEC 041 Call Reports.

R

For purposes of Memorandum items 3.a through 3.g, when an institution uses the
standardized approach for counterparty credit risk (SA-CCR) to calculate exposure amounts
for its derivative contracts when determining its standardized total risk-weighted assets, the
institution should report the adjusted notional amounts as calculated by asset class in
accordance with §.132(c)(9)(ii) of the regulatory capital rules; when an institution uses the
current exposure methodology (CEM) to calculate exposure amounts for its derivative
contracts, the institution should report the notional amounts of the contracts, as this term is
defined in U.S. generally accepted accounting principles, unless a derivative contract has a
multiplier component as discussed in the following paragraph.
The notional amount or par value to be reported for a centrally cleared derivative contract
with a multiplier component under CEM is the contract's effective notional amount or par
value. (For example, a swap contract with a stated notional amount of $1,000,000 whose
terms call for quarterly settlement of the difference between 5 percent and LIBOR multiplied
by 10 has an effective notional amount of $10,000,000.)

D

The notional amount to be reported for an amortizing centrally cleared derivative contract
under either SA-CCR or CEM is the contract's current (or, if appropriate, effective) notional
amount. This notional amount should be reported in the column corresponding to the
contract's remaining term to final maturity.
For descriptions of "interest rate derivative contracts," "foreign exchange contracts," “equity
derivative contracts,” "commodity contracts" (including gold and precious metals), and “credit
derivative contracts,” refer to the instructions for Schedule SU, item 1.

For information on reporting the remaining maturities of centrally cleared derivative contracts,
including settled-to-market cleared derivatives, when using the SA-CCR, refer to the

See the instructions for Schedule RC-R, Part II, item 21, for the description of derivative contracts that are cleared
transactions, referred to hereafter as centrally cleared derivative contracts.

30

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instructions for Schedule RC-R, Part II, Memorandum item 3, in the instructions for the FFIEC
031 and FFIEC 041 Call Reports.
Interest rate. Report the remaining maturities of interest rate contracts that are
subject to the regulatory capital rules.

2.b and
3.b

Foreign exchange rate and gold. Report the remaining maturities of foreign
exchange contracts and the remaining maturities of gold contracts that are subject to the
regulatory capital rules.

2.c and
3.c

Credit (investment grade reference asset). Report the remaining maturities of
those credit derivative contracts where the reference entity meets the definition of investment
grade as described in §.2 of the regulatory capital rules.

2.d and
3.d

Credit (non-investment grade reference asset). Report the remaining maturities of
those credit derivative contracts where the reference entity does not meet the definition of
investment grade as described in §.2 of the regulatory capital rules.

2.e and
3.e

Equity. Report the remaining maturities of equity derivative contracts that are
subject to the regulatory capital rules.

D

R

AF

T

2.a and
3.a

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Part II. (cont.)
Memoranda
Caption and Instructions

2.f and
3.f

Precious metals (except gold). Report the remaining maturities of other precious
metals contracts that are subject to the regulatory capital rules. Report all silver, platinum,
and palladium contracts.

2.g and
3.g

Other. Report the remaining maturities of other derivative contracts that are subject to the
regulatory capital rules. For contracts with multiple exchanges of principal, notional amount
is determined by multiplying the contractual amount by the number of remaining payments
(i.e., exchanges of principal) in the derivative contract.

T

Item No.

NOTE: Memorandum items 4.a through 4.c should be completed quarterly only by institutions that have
adopted FASB Accounting Standards Update No. 2016-13 (ASU 2016-13), which governs the accounting
for credit losses.

Amount of allowances for credit losses on purchased credit-deteriorated assets.
ASU 2016-13 introduces the concept of purchased credit-deteriorated (PCD) assets as a
replacement for purchased credit-impaired (PCI) assets. The PCD asset definition covers a
broader range of assets than the PCI asset definition. As defined in ASU 2016-13,
“purchased credit-deteriorated assets” are acquired individual financial assets (or acquired
groups of financial assets with similar risk characteristics) accounted for in accordance with
ASC Topic 326, Financial Instruments‒Credit Losses, that, as of the date of acquisition, have
experienced a more-than-insignificant deterioration in credit quality since origination, as
determined by the acquiring institution’s assessment.

AF

4

R

ASU 2016-13 requires institutions to estimate and record a credit loss allowance for a PCD
asset at the time of purchase. The credit loss allowance is then added to the purchase price
to determine the amortized cost basis of the asset for financial reporting purposes.
Post-acquisition increases in credit loss allowances on PCD assets will be established
through a charge to earnings. This accounting treatment for PCD assets is different from the
current treatment of PCI assets, for which institutions are not permitted to estimate and
recognize credit loss allowances at the time of purchase. Rather, in general, credit loss
allowances for PCI assets are estimated subsequent to the purchase only if there is
deterioration in the expected cash flows from the assets.

4.a

Loans and leases held for investment. Report all allowances for credit losses on PCD
loans and leases held for investment.

4.b

Held-to-maturity debt securities. Report all allowances for credit losses on PCD held-tomaturity debt securities.
Other financial assets measured at amortized cost. Report all allowances for credit
losses on all other PCD financial assets, excluding PCD loans and leases held for
investment, held-to-maturity debt securities, and available-for-sale debt securities.

D
4.c

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AF

T

Note: The changes to Schedule RC-C, Part I, Memorandum item 13 on
page 167 are effective as of the March 31, 2021, report date.

166

RC-C - LOANS AND LEASES

FFIEC 051

Part I. (cont.)
Memoranda
Item No.

Construction, land development, and other land loans with interest reserves.
Memorandum items 13.a and 13.b are to completed by banks that had construction, land
development, and other land loans (as reported in Schedule RC-C, Part I, items 1.a.(1) and
1.a.(2)) that exceeded 100 percent of totalthe sum of tier 1 capital (as reported in Schedule
RC-R, Part I, item 2635.a) plus the allowance for loan and lease losses or the allowance for
credit losses on loans and leases, as applicable (as reported in Schedule RC, item 4.c), as of
the previous December 31. For purposes of Memorandum items 13, 13.a, and 13.b,
construction, land development, and other land loans are hereafter referred to as
“construction loans.”

T

13

Caption and Instructions

13.a

AF

When a bank enters into a loan agreement with a borrower on a construction loan, an interest
reserve is often included in the amount of the loan commitment to the borrower and it allows
the lender to periodically advance loan funds to pay interest charges on the outstanding
balance of the loan. The interest is capitalized and added to the loan balance.
Amount of loans that provide for the use of interest reserves. Report the amount of
construction loans included in Schedule RC-C, Part I, items 1.a.(1) and 1.a.(2), for which the
loan agreement with the borrower provides for the use of interest reserves.

If a construction loan included in Schedule RC-C, Part I, item 1.a.(1) or 1.a.(2), has been fully
advanced or the funds budgeted for interest have been fully advanced, but the loan
agreement provided for the use of interest reserves, continue to report the loan in this item
even if the borrower is now paying interest from other sources of funds. Similarly, if a
construction loan included in Schedule RC-C, Part I, item 1.a.(1) or 1.a.(2), has been
renewed or extended, but the original loan agreement provided for the use of interest
reserves, continue to report the loan in this item.

R

Include in this item new construction loans (as defined for and reported in Schedule RC-C,
Part I, items 1.a.(1) and 1.a.(2)) that have been granted for the purpose of paying interest on
existing construction loans when the new construction loan is secured by the same real
estate that secures the existing construction loan.
Exclude construction loans for which the loan agreement with the borrower does not provide
for the use of interest reserves.

Amount of interest capitalized from interest reserves on construction, land
development, and other land loans that is included in interest and fee income on loans
during the quarter. Report the amount of interest advanced to borrowers on construction
loans (as defined for Schedule RC-C, Part I, items 1.a.(1) and 1.a.(2)) that has been
capitalized into the borrowers’ loan balances through the use of interest reserves (including
interest advanced on new construction loans granted for the purpose of paying interest on
existing construction loans when the loans are secured by the same real estate) and included
in interest and fee income during the quarter on “All other loans secured by real estate”
(Schedule RI, item 1.a.(1)(b)). The amount of capitalized interest included in interest income
during the quarter should be reduced by amounts reversed against interest during the
quarter.

D

13.b

14

FFIEC 051

Pledged loans and leases. Report the amount of all loans and leases included in
Schedule RC-C, Part I, above that are pledged to secure deposits, repurchase transactions,
or other borrowings (regardless of the balance of the deposits or other liabilities against which
the loans and leases are pledged) or for any other purpose. Include loans and leases that
RC-C-37
(63-1821)

RC-C - LOANS AND LEASES

167

D

R

AF

T

Note: The changes to Schedule RC-C, Part I, Memorandum item
16 on page 169 are effective as of the June 30, 2021, report date.

168

FFIEC 051

RC-C - LOANS AND LEASES

Part I. (cont.)
Memoranda
Item No.

Estimated number of reverse mortgage loan referrals to other lenders during the year
from whom compensation has been received for services performed in connection
with the origination of the reverse mortgages. A bank that does not underwrite and fund
reverse mortgages may refer customers to other lenders that underwrite and fund such
mortgages. Under the Real Estate Settlement Procedures Act and its implementing
regulations, a mortgage lender may pay fees or compensation to another party, such as a
bank that has referred a customer to the mortgage lender, only for services actually
performed by that party.

T

15.b

Caption and Instructions

15.b.(1)

15.b.(2)

Home Equity Conversion Mortgage (HECM) reverse mortgages. Report a reasonable
estimate of the number of HECM reverse mortgages for which the bank received
compensation for services performed during the year in connection with the origination of
HECM reverse mortgages granted to customers that the bank has referred to the reverse
mortgage lenders.
Proprietary reverse mortgages. Report a reasonable estimate of the number of proprietary
reverse mortgages for which the bank received compensation for services performed during
the year in connection with the origination of proprietary reverse mortgages granted to
customers that the bank has referred to the reverse mortgage lenders.
Principal amount of reverse mortgage originations that have been sold during the year.
Report in the appropriate subitem the principal amount of HECM and proprietary reverse
mortgages sold during the year that were originated by the bank. Report the principal
balance outstanding of the reverse mortgages as of their sale dates, which excludes any
unused commitments to the borrowers on the reverse mortgages sold.

R

15.c

AF

If the bank receives compensation from reverse mortgage lenders for services the bank has
performed in connection with the origination of reverse mortgages granted to customers that
the bank has referred to the reverse mortgage lenders, report in the appropriate subitem a
reasonable estimate of the number of HECM and proprietary reverse mortgages for which the
bank received such compensation during the year. Do not report the estimated amount of
referral fee income in these subitems.

Home Equity Conversion Mortgage (HECM) reverse mortgages. Report the principal
amount of HECM reverse mortgages sold during the year that were originated by the bank.

15.c.(2)

Proprietary reverse mortgages. Report the principal amount of proprietary reverse
mortgages sold during the year that were originated by the bank.

D

15.c.(1)

NOTE: Schedule RC-C, Part I, Memorandum item 16 is to be completed semiannually in the June and
December reports only.
16

FFIEC 051

Revolving, open-end loans secured by 1-4 family residential properties and extended
under lines of credit that have converted to non-revolving, closed-end status (included in
item 1.c.(1) above). Report the amount outstanding of loans included in Schedule RC-C, Part
I, item 1.c.(1), that have converted to non-revolving, closed-end status, but originated as draws
under revolving, open-end lines of credit secured by 1-to-4 family residential properties,
including those for which the draw periods have ended.

RC-C-39
(6-21)

RC-C - LOANS AND LEASES
169