Instructions

Dodd-Frank Act Stress Testing (DFAST)
Reporting Instructions

OCC Reporting Form DFAST-14A
January 2019

Table of Contents
GENERAL INSTRUCTIONS

3

SUMMARY SCHEDULE

7

General Instructions

7

Income Statement, Balance Sheet, and Capital

8

1.
2.
3.
4.
5.
6.

1.
2.
3.
4.
5.

Who Must Report
Where to Submit the Reports
When to Submit the Reports
How to Prepare the Reports
Counterparty Default Scenario Component
Bank Scenarios

3
4
4
5
7
7

Income Statement
Balance Sheet
Standardized RWA
Advanced RWA
Capital

8
21
34
44
45

Retail

59

AFS/HTM Securities

64

Trading

67

Counterparty Credit Risk (CCR)

71

Operational Risk Scenario And Projections

72

Pre-Provision Net Revenue (PPNR)

74

1.
2.
3.
4.
5.

1.
2.
3.

Projected OTTI for AFS Securities and HTM by Security
High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio
Projected OTTI for AFS and HTM Securities by Portfolio
Projected OCI and Fair Value for AFS and Impaired HTM Securities
Actual AFS and HTM Fair Market Value Sources by Portfolio

PPNR Projections Worksheet
PPNR Net Interest Income (NII) Worksheet
PPNR Metrics

66
66
66
67
67

76
89
97

SCENARIO SCHEDULE

108

REGULATORY CAPITAL INSTRUMENTS SCHEDULE

111

OPERATIONAL RISK SCHEDULE

130

BUSINESS PLAN CHANGES SCHEDULE

132

OCC SUPPLEMENTAL SCHEDULE

132

SUPPORTING DOCUMENTATION (APPENDIX A)

137

2

GENERAL INSTRUCTIONS
The DFAST-14A report collects detailed data on national banks’ and federal savings associations’
quantitative projections of balance sheet assets and liabilities, income, losses, and capital across a
range of macroeconomic scenarios and qualitative information on methodologies used to develop
internal projections of capital across scenarios.

The DFAST-14A report is comprised of a Summary, Scenario, Regulatory Capital Instruments,
Operational Risk, and an OCC supplemental schedule, each with multiple supporting sub-schedules.
The number of schedules a national bank or federal savings association (hereafter “Banks”) must
complete is subject to materiality thresholds and certain other criteria. Banks report projections on
the DFAST-14A schedules across supervisory scenarios provided by the Office of the Comptroller of
the Currency (supervisory baseline, adverse and severely adverse), as well as Bank-defined (bank
baseline and bank stress). One or more of the macroeconomic scenarios includes a market risk shock
that selected Banks will assume when making trading and counterparty loss projections. The Office
of the Comptroller of the Currency will provide details about the macroeconomic scenarios to the
Banks.
Banks are also required to submit qualitative information supporting their projections, including
descriptions of the methodologies used to develop the internal projections of capital across
scenarios and other analyses that support their comprehensive capital plans. Further information
regarding the qualitative and technical requirements of required supporting documentation is
provided in individual schedules as appropriate, as well as in Appendix A: Supporting
Documentation.

The OCC supplemental schedule includes additional items corresponding to the DFAST-14A summary
schedule. Please refer to the instructions for the OCC Supplemental schedule below.

1. Who Must Report

A. Reporting Criteria
Section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank
Act”) requires certain national banks and federal savings associations to conduct annual stress tests.
Separate annual schedules must be reported for each scenario as required, unless otherwise
specified in the schedule or sub-schedule instructions. The instructions to these data schedules
provide details on how to determine whether a Bank must submit a specific schedule, sub-schedule,
or data element.
All annual schedules are required to be reported by all Banks with the exception of certain subschedules of the Summary Schedule, which should be filed as described below:

Trading and CCR sub-schedules (Summary Schedule): Banks with greater than $500 billion in
total consolidated assets that are subject to the amended market risk rule (12 CFR 3, Appendix B)
must submit this schedule and sub-schedules.

B. Exemptions
Covered institutions that received letters from the OCC extending their compliance deadline for
the Dodd-Frank Act company-run stress test requirements through November 25, 2019, are not
required to make any submissions related to the annual stress test rule in 2019.
3

2. Where to Submit the Reports

All Banks subject to these reporting requirements must submit completed reports electronically.
Please register at www.BankNet.gov. If you need BankNet assistance, please contact the OCC at:
BankNet@occ.treas.gov. Additional questions should be directed to the DFAST-14A
mailbox: DFA165i2.reporting@occ.treas.gov.
For requirements regarding the submission of qualitative supporting information, please see
Appendix A: Supporting Documentation, in addition to instructions associated with each schedule
for which supporting documentation might be required.

3. When to Submit the Reports

Banks must file the DFAST-14A schedules annually according to the prescribed time schedules. All
schedules will be due on or before the end of the submission date, unless that day falls on a
weekend, in which case the data must be received on the first business day after the weekend or
holiday (subject to timely filing provisions). No other extensions of time for submitting reports will
be granted. The submission due date will be April 5, 2019. The data ‘as-of date’ will be December
31st prior to the submission due date. Early submission, including submission of schedules on a
flow basis prior to the due date, aids the OCC in reviewing and processing data and is encouraged.

4

4. How to Prepare the Reports

A. Applicability of GAAP
Banks are required to prepare and file the DFAST-14A schedules in accordance with U.S. generally
accepted accounting principles (GAAP) and these instructions. The financial records of Banks should
be maintained in such a manner and scope to ensure the DFAST-14A is prepared in accordance with
these instructions and reflects a fair presentation of the Banks’ financial condition and assessment of
performance under stressed scenarios.1
B. Rules of Consolidation
Please reference the Call Report General Instructions for a discussion regarding the rules of
consolidation.

C. Projections
Many schedules collect data on a “projection horizon,” which includes one quarter of actual data
followed by at least nine quarters of projected data. Where projections are required, the following
applies: (1) The “projection horizon” refers to the nine quarters starting with the first quarter of the
reporting year. (2) The projection horizon begins the quarter following the ‘as-of date.’
•

•

1

Column headings refer to PQ1 through PQ9. PQ stands for projected quarter. PQ1
through PQ9 are nine quarterly projections over which the planning horizon
extends.
In some cases, the projected quarters will extend beyond the nine-quarter
planning horizon (as is the case of projected future losses charged to the
repurchase reserve), necessitating PQ10 or more.

D. Technical Details
The following instructions apply generally to the DFAST-14A schedules, unless otherwise specified.
For further information on the technical specifications for this report, please see the Technical
Instructions.
• Do not enter any information in gray highlighted or shaded cells, including those with
embedded formulas. Only non-shaded cells should be completed by institutions.
• Ensure that any internal consistency checks are complete prior to submission.
• Report dollar values in millions of U.S. dollars (unless specified otherwise).
• Dates should be entered in an YYYYMMDD format (unless otherwise indicated).
• Report negative numbers with a minus (-) sign.
• An amount, zero, or null should be entered for all items, except in those cases where other
options such as “not available” or “other” are specified. If information is not available or not
applicable and no such options are offered, the field should be left blank.
• Report income and loss data on a quarterly basis and not on a cumulative or year-to-date
basis.

In past DFAST submissions, Banks were instructed not to reflect the adoption of new accounting standards
in their projections unless a Bank had already adopted the accounting standard for financial reporting
purposes. For 2019 DFAST, consistent with previous guidance, firms should exclude the effect of CECL.
The OCC plans to provide further guidance on the impact of early adoption of CECL and CECL
considerations for 2020 DFAST at a later date.
5

E. Other Instructional Guidance
Banks should review the following published documents (in the order listed below) when determining
the precise definition to be used in completing the schedules. Where applicable, references to the Call
Reports have been provided in the DFAST-14A instructions and templates noting associations between
the reporting series.
• The DFAST-14A instructions;
• The latest available Call Report instructions published on the FFIEC’s public Web
site: http://www.ffiec.gov/pdf/ffiec forms/ffiec031 034inst 200006.pdf.

Confidentiality
Data that is collected as part of the annual company-run stress test requirement is confidential. All
templates, worksheets and schedules are the property of the OCC and unauthorized disclosure is
prohibited pursuant to 12 CFR 4.37.

Amended Reports
The OCC will require the filing of amended DFAST-14A templates if previous submissions contain
significant errors. Additionally, a bank must file an amended report when it or the OCC discovers
significant errors or omissions subsequent to submission of a report. Finally, since the Federal
Reserve’s FR Y-14A reporting forms and instructions are almost identical to the OCC DFAST-14A,
there is a possibility that an error identified on one form may also appear on the other reporting
form. If resubmission is required on the FR Y-14A, please check the DFAST-14A for that same error
and file an amended report if needed. Failure to file amended reports on a timely basis may subject
the institution to supervisory action.
If resubmissions are required, institutions should contact their resident examination staff, as well as
the DFAST-14A mailbox: DFA165i2.reporting@occ.treas.gov.
D. Questions and Requests for Interpretations
Banks should submit any questions or requests for interpretations by e-mail
to DFA165i2.reporting@occ.treas.gov.

6

5. Counterparty Default Scenario Component

Four Banks with substantial trading or custodial operations will be required to incorporate a
counterparty default scenario component into their supervisory adverse and severely adverse stress
scenarios.2 Like the global market shock, this component will only be applied to the largest and most
complex Banks, in line with the OCC’s higher expectations for those Banks relative to the other Banks
participating in DFAST. In connection with the counterparty default scenario component, these
Banks will be required to estimate and report the potential losses and related effects on capital
associated with the instantaneous and unexpected default of the counterparty that would generate
the largest losses across their derivatives and securities financing activities, including securities
lending and repurchase or reverse repurchase agreement activities.3 Each Bank’s largest
counterparty will be determined by net stressed losses, estimated by revaluing exposures and
collateral using the global market shock. The as-of date for the counterparty default scenario
component is the same as the global market shock. Similar to the global market shock, the
counterparty default scenario component is an add-on component to the macroeconomic and
financial market scenarios specified in the OCC’s supervisory adverse and severely adverse scenarios
and, therefore, losses associated with this component should be viewed as an addition to the
estimates of Pre-Provision Net Revenue (PPNR) and losses under the macroeconomic scenario (see
the description of global market shock).

6. Bank Scenarios

For purposes of DFAST, each Bank will be required to submit the results of its stress tests based on
at least one stress scenario developed by the Bank and a Bank baseline scenario. The Bank baseline
scenario should reflect the Bank’s view of the expected path of the economy over the planning
horizon. A Bank may use the same baseline scenario as the supervisory baseline scenario if that
Bank believes the supervisory baseline scenario appropriately represents its view of the most likely
outlook for the risk factors salient to the Bank. For the Bank stress scenario, the firm should apply
the BHC stress scenario to the exposures (both on- and off-balance sheet) and activities of the bank.
The bank should not develop a separate Bank-level stress scenario which is materially different from
the BHC stress scenario. Additionally, the bank should include documentation on the scenario
development process, which at a minimum, should describe how the risk identification process
relates to the scenario design and how the scenario design corresponds to the Bank’s idiosyncratic
risks.
To the degree that the Bank anticipates that its specific vulnerabilities or risk profile is
different from the BHC, the bank should include supporting documentation which qualitatively
identifies key differences in the risk profiles between the Bank and the BHC and how these
differences are anticipated to affect the Bank-specific scenario results.4

SUMMARY SCHEDULE
General Instructions
This document contains instructions for the DFAST-14A Summary Schedule. The schedule includes

2
The four Banks participating in the counterparty default component are Bank of America, N.A.; Citibank, N.A.; JPMorgan Chase Bank, N.A.; and
Wells Fargo Bank, N.A. These are the same set of Banks which participate in the global market shock.
3
In selecting its largest counterparty, a Bank will not consider certain sovereign entities (Canada, France, Germany, Italy, Japan, the United
Kingdom, and the United States), designated central clearing counterparties, or the bank’s own affiliates.
4
For directions on where this documentation should be uploaded, see Appendix A.

7

data collection worksheets related to the following:
1.
2.
3.
4.
5.
6.
7.

Income Statement, Balance Sheet, and Capital Statements;
Retail;
Securities;
Trading;
Counterparty Credit Risk;
Operational Risk; and
Pre-Provision Net Revenue.

Supporting Documentation
Please refer to Supporting Documentation (Appendix A) for guidance on providing supporting
documentation.

Income Statement, Balance Sheet, and Capital
1. Income Statement

The Income Statement worksheet collects projections for the main components of the income
statement. Micro Data Reference Manual (MDRM) codes are provided in the ‘Notes’ column for
many of the line items. Where applicable, use the definitions for the Call Report line items
corresponding to the MDRM code.

For each scenario used, input the loan loss projections for the various line items in this worksheet.
The bank should include losses tied to the relevant balances reported on the Balance Sheet
worksheet.
•

•

Losses associated with held for investment loans accounted for at amortized cost should be
reported in the appropriate line items under the “Losses Associated With Loans Held for
Investment Accounted for at Amortized Cost” section.
Losses due to changes in the fair value of assets that are held for sale or held for investment
under the fair value option should be reported in the appropriate line items under the
“Losses Associated With Loans Held for Sale and Loans Accounted for Under the Fair Value
Option” section.

The Repurchase Reserve/Liability for Mortgage Reps and Warrants line items are included to
provide information on the expected evolution of any reserve or accrued liability that has been
established for losses related to sold or government-insured mortgage loans (first or second lien).
Losses charged to this reserve can occur through contractual repurchases, settlement agreements, or
litigation loss, including losses related to claims under securities law or fraud claims; it is likely that
most losses charged to this reserve will come through contractual repurchases or settlements.
Quarterly reserve/accrued liability levels and quarterly provisions and net charge-offs to the
reserve/accrued liability should be reported as forecast under the applicable scenario. To ensure
consistency across the sheets of each DFAST-14A summary workbook, the Provisions during the
quarter line is linked to the PPNR Projections Worksheet rows where Banks are expected to report
any provisions to the Repurchase Reserve/Liability for Mortgage Reps and Warrants.
8

Losses on HFI Loans at Amortized Cost
Item 1 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 2, 5, 8 and 14.

Item 2 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 3 and 4.

Item 3 First lien mortgages
Report losses associated with loans held for investment accounted for at amortized cost on all closedend loans secured by first liens on 1 to 4 family residential properties, excluding closed-end first lien
home equity loans (reported in item 4).
Item 4 First lien home equity loans (HELOANS)
Report losses associated with loans held for investment accounted for at amortized cost on all
closed-end first lien home equity loans.
Item 5 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 6 and 7.

Item 6 Closed-end junior loans
Report losses associated with loans held for investment accounted for at amortized cost on all
closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties.

Item 7 Home equity lines of credit (HELOCS)
Report losses associated with loans held for investment accounted for at amortized cost on the
amount outstanding under revolving, open-end lines of credit secured by 1 to 4 family residential
properties.
Item 8 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 9, 10, and 11.

Item 9 Construction
Report losses associated with loans held for investment accounted for at amortized cost on
construction, land development, and other land loans, as defined in the Call Report Schedule RC-C,
items 1(a)(1) and 1(a)(2).

Item 10 Multifamily
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by multifamily (5 or more) residential properties, as defined in the Call Report Schedule RCC, item 1(d).
Item 11 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 12 and 13.

Item 12 Owner-occupied
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by owner-occupied nonfarm nonresidential properties, as defined in the Call Report
9

Schedule RC-C, item 1(e)(1).

Item 13 Non-owner-occupied
Report losses associated with loans held for investment accounted for at amortized cost on nonfarm
nonresidential real estate loans that are not secured by owner-occupied nonfarm nonresidential
properties, as defined in the Call Report Schedule RC-C, item 1(e)(2).
Item 14 Loans secured by farmland
Report losses associated with loans held for investment accounted for at amortized cost on all loans
secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b).
Item 15 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 16, 17, 18 and 24.

Item 16 First lien mortgages (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all
closed-end loans secured by first liens on 1 to 4 family residential properties, not held in domestic
offices.

Item 17 Second/junior lien mortgages (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all loans
secured by second/junior (i.e., other than first) liens on 1 to 4 family residential properties, not held
in domestic offices.
Item 18 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 19, 20, and 21.

Item 19 Construction (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on
construction, land development, and other land loans, as defined in the Call Report Schedule RCC, items 1(a)(1) and 1(a)(2), not held in domestic offices.

Item 20 Multifamily (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by multifamily (5 or more) residential properties, as defined in the Call Report Schedule RCC, item 1(d), not held in domestic offices.
Item 21 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 22 and 23.

Item 22 Owner-occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by owner-occupied nonfarm nonresidential properties, as defined in the Call Report
Schedule RC-C, item 1(e)(1), not held in domestic offices.

Item 23 Non-owner-occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on
nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm
nonresidential properties, as defined in the Call Report Schedule RC-C, item 1(e)(2), not held in
10

domestic offices.

Item 24 Loans secured by farmland (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all loans
secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b), not held in domestic
offices.
Item 25 C&I Loans
This item is a shaded cell and is derived from the sum of items 26, 27 and 28.

Item 26 C&I Graded
Report losses associated with loans held for investment accounted for at amortized cost on all
graded commercial and industrial (C&I) loans. Report only loans “graded” or “rated” using the
reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s normal
course of business. This includes losses associated with domestic and international business and
corporate credit card or charge card loans for which a commercially graded corporation is
ultimately responsible for repayment of credit losses incurred.

Item 27 Small Business (Scored/Delinquency Managed)
Report losses associated with loans held for investment accounted for at amortized cost on small
business loans. Report all "scored" or "delinquency managed" U.S. small business loans for which a
commercial internal risk rating is not used or that uses a different scale than other corporate loans
reported in the Call Report, schedule RC-C, items 2.a, 2.b, 2.c, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b,
excluding corporate and small business credit card loans included in the Call Report, schedule RC-C,
item 4.a.

Item 28 Business and Corporate Card
Report losses associated with loans held for investment accounted for at amortized cost on loans
extended under business and corporate credit cards. Business cards include small business credit
card accounts where the loan is underwritten with the sole proprietor or primary business owner as
applicant. Report at the control account level or the individual pay level (not at the sub-account
level). Corporate cards include employer-sponsored credit cards for use by a company's
employees. Exclude losses associated with corporate card or charge card loans included in Item 26
(C&I Graded Loans).
Item 29 Credit Cards
Report losses associated with loans held for investment accounted for at amortized cost on loans
extended under consumer general purpose or private label credit cards. General purpose credit
cards are credit cards that can be used at a wide variety of merchants, including any who accept
MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this
category, and student cards if applicable. Private label credit cards are credit cards, also known as
proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's
stores. Include oil & gas cards in this loan type, and student cards if applicable.
Item 30 Other Consumer
This item is a shaded cell and is derived from the sum of items 31, 32, 33 and 34.

Item 31 Auto Loans
Report losses associated with loans held for investment accounted for at amortized cost on auto
loans, as defined in the Call Report Schedule RC-C, item 6(c).
11

Item 32 Student Loans
Report losses on loans held for investment accounted for at amortized cost on student loans.

Item 33 Other (consumer) loans backed by securities (non-purpose lending)
Report losses associated with loans held for investment accounted for at amortized cost on other
consumer loans that are backed by securities (i.e., non-purpose lending).

Item 34 Other (consumer)
Report losses associated with loans held for investment accounted for at amortized cost on all other
consumer loans not reported in items 31, 32 or 33.
Item 35 Other Loans
This item is a shaded cell and is derived from the sum of items 36, 37, 38, 39 and 40.

Item 36 Loans to Foreign Governments
Report losses associated with loans held for investment accounted for at amortized cost on loans to
foreign governments, as defined in the Call Report Schedule RC-C, item 7. Exclude losses associated
with loans to foreign governments included in Item 27 (Small Business Loans).
Item 37 Agricultural Loans
Report losses associated with loans held for investment accounted for at amortized cost on
agricultural loans, as defined in the Call Report Schedule RC-C, item 3. Exclude losses associated
with agricultural loans included in Item 27 (Small Business Loans).

Item 38 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report losses associated with loans held for investment accounted for at amortized cost on loans for
purchasing or carrying securities (secured or unsecured), as defined in the Call Report Schedule RCC, item 9.b.(1). Exclude losses associated with loans for purchasing or carrying securities included
in Item 27 (Small Business Loans).

Item 39 Loans to Depositories and Other Financial Institutions
Report losses associated with loans held for investment accounted for at amortized cost on loans to
depositories and other financial institutions (secured or unsecured), as defined in the Call Report
Schedule RC-C, items 2.a, 2.b, and 9.a. Exclude losses associated with loans to depositories and
other financial institutions included in Item 27 (Small Business Loans).
Item 40 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 41 and 42.

Item 41 All Other Loans (exclude consumer loans)
Report losses associated with loans held for investment accounted for at amortized cost on all other
loans (excluding consumer loans), as defined in the Call Report Schedule RC-C, item
9.b.(2). Exclude losses associated with all other loans included in Item 27 (Small Business Loans).
Item 42 All Other Leases
Report losses associated with loans held for investment accounted for at amortized cost on all other
leases (excluding consumer leases), as defined in the Call Report Schedule RC-C, item
10.b. Exclude losses associated with all other leases included in Item 27 (Small Business Loans).
12

Item 43 Total Loans and Leases
This item is a derived field and is the sum of items 1, 15, 25, 29, 30 and 35.

Losses on HFS Loans and Fair Value Option Loans

Report only the loans themselves (excluding hedges). Report hedges in the appropriate
items of the income statement (e.g., hedges held in the trading book are reported in the
trading book items).
Item 44 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 45, 46, 47 and 48.

Item 45 First Lien Mortgages
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all closed-end loans secured by first liens on 1 to 4 family residential properties, including closedend first lien home equity loans.
Item 46 Second/Junior Lien Mortgages
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties.
Item 47 Commercial real estate (CRE) loans
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all construction, multifamily, and nonfarm nonresidential loans, as defined in the Call Report
Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2).
Item 48 Loans secured by farmland
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all loans secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b).
Item 49 Real estate loans (not in domestic offices)
This item is a shaded cell and is derived from the sum of items 50, 51 and 52.

Item 50 Residential Mortgages (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all loans secured by 1 to 4 family residential properties, including both first lien and
second/junior lien loans, not held in domestic offices.

Item 51 Commercial real estate (CRE) loans (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all construction, multifamily, and nonfarm nonresidential loans, as defined in the Call Report
Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2), not held in domestic offices.
Item 52 Loans secured by farmland (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all loans secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b), not held in
domestic offices.
13

Item 53 C&I Loans
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all C&I loans, as defined in items 26, 27 and 28.

Item 54 Credit Cards
Report losses associated with held for sale loans and loans accounted for under the fair value option
on loans extended under consumer general purpose or private label credit cards. General purpose
credit cards are credit cards that can be used at a wide variety of merchants, including any who
accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards
in this category, and student cards if applicable. Private label credit cards are credit cards, also
known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that
retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Item 55 Other Consumer
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all other consumer loans, as defined in items 31, 32, 33 and 34.
Item 56 All Other Loans and Leases
Report losses associated with held for sale loans and loans accounted for under the fair value option
on all other loans and leases, as defined in items 36, 37, 38, 39, 41 and 42.
Item 57 Total Loans and Leases
This item is a shaded cell and is derived from the sum of items 44, 49, 53, 54, 55 and 56.

Trading Account

Item 58 Trading Mark-to-market (MTM) Losses
Item 58 must equal item 10 on the Trading Schedule, with the sign reversed.
Item 59 Trading Issuer Default Losses (Trading IDR)
Item 59 must equal item 1 on the Counterparty Risk Schedule.
Item 60 Counterparty Credit MTM Losses (CVA losses)
Item 60 must equal item 2 on the Counterparty Risk Schedule.

Item 61 Counterparty Default Losses
Item 61 must equal item 3 on the Counterparty Risk Schedule.

Item 62 Total Trading and Counterparty Losses
This item is a shaded cell and is derived from the sum of items 58, 59, 60, and 61. Banks should
include Counterparty Credit Risk subschedule item 4 “Other Counterparty Losses” in item 65 “Other
Losses” on this worksheet.

Other Losses

Item 63 Goodwill Impairment
Report losses associated with goodwill impairment, as defined in the Call Report Schedule RC, item
14

10(a).

Item 64 Valuation Adjustment for firm’s own debt under fair value option (FVO)
Report losses associated with the valuation adjustment for the firm’s own debt under the fair value
option (FVO).

Item 65 Other Losses (describe in supporting documentation)
Report all other losses not reported in items 1 through 64. Describe these losses in the supporting
documentation.
Item 66 Total Other Losses
Report the sum of all other losses included in items 63, 64 and 65.

Item 67 Total Losses
Report the sum of items 43, 57, 62 and 66.

Allowance for Loan and Lease Losses
Item 68 ALLL prior quarter
Report the total allowance for loan and lease losses as of the end of the prior quarter.
Item 69 Real Estate Loans (in Domestic Offices)
Report the sum of items 70, 74 and 78.

Item 70 Residential Mortgages (in Domestic Offices)
Report the sum of the allowance for loan and lease losses included in items 71, 72 and 73.

Item 71 First Lien Mortgages (in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by first liens on 1 to 4 family
residential properties, including first lien home equity loans, held in domestic offices.

Item 72 Closed-end Junior Liens (in Domestic Offices)
Report the allowance for loan and lease losses for all closed-end loans secured by junior (i.e., other
than first) liens on 1 to 4 family residential properties, held in domestic offices.

Item 73 HELOCs (in Domestic Offices)
Report the allowance for loan and lease losses for revolving, open-end lines of credit secured by 1 to
4 family residential properties, held in domestic offices.
Item 74 CRE Loans (in Domestic Offices)
Report the sum of the allowance for loan and lease losses included in items 76, 77 and 78.

Item 75 Construction (in Domestic Offices)
Report the allowance for loan and lease losses for construction, land development, and other land
loans (as defined in the Call Report Schedule RC-C, items 1(a)(1) and 1(a)(2)), held in domestic
offices.
Item 76 Multifamily (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by multifamily (5 or more)
15

residential properties as defined in the Call Report Schedule RC-C, item 1(d), held in domestic
offices.

Item 77 Nonfarm, Nonresidential (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by nonfarm nonresidential
properties as defined in the Call Report Schedule RC-C, items 1(e)(1) and 1(e)(2), held in domestic
offices.
Item 78 Loans Secured by Farmland (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by farmland as defined in the Call
Report Schedule RC-C, item 1(b), held in domestic offices.
Item 79 Real Estate Loans (Not in Domestic Offices)
Report the sum of items 81, 82 and 83.

Item 80 Residential Mortgages (Not in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by 1 to 4 family residential
properties, including both first lien and second/junior lien loans, not held in domestic offices.

Item 81 CRE Loans (Not in Domestic Offices)
Report the allowance for loan and lease losses for all construction, multifamily, and nonfarm
nonresidential loans as defined in the Call Report Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1)
and 1.e.(2), not held in domestic offices.

Item 82 Farmland (Not in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by farmland as defined in the Call
Report Schedule RC-C, item 1(b), not held in domestic offices.
Item 83 C&I Loans
Report the sum of items 85, 86 and 87.

Item 84 C&I Graded
Report the allowance for loan and lease losses for all graded C&I loans. Report the associated
allowance only for loans “graded” or “rated” using the reporting entity’s commercial credit rating
system, as it is defined in the reporting entity’s normal course of business. This includes the
allowance for loan and lease losses for all domestic and international business and corporate credit
card or charge card loans for which a commercially graded corporation is ultimately responsible for
repayment of credit losses incurred.

Item 85 Small Business (Scored/Delinquency Managed)
Report the allowance for loan and lease losses for small business loans. Report the associated
allowance for all "scored" or "delinquency managed" U.S. small business loans for which a
commercial internal risk rating is not used or that uses a different scale than other corporate loans
reported in the Call Report, schedule RC-C, items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, and 10.b.
Exclude corporate and small business credit card loans included in the Call Report, schedule RC-C,
line 4.a.
Item 86 Business and Corporate Card
Report the allowance for loan and lease losses for loans extended under business and corporate
credit cards. Business cards include small business credit card accounts where the loan is
16

underwritten with the sole proprietor or primary business owner as applicant. Report at the control
account level or the individual pay level (not at the sub-account level). Corporate cards include
employer-sponsored credit cards for use by a company's employees. Exclude the allowance for loan
and lease losses related to corporate card or charge card loans included in Item 85 (C&I Graded
Loans).

Item 87 Credit Cards
Report the allowance for loan and lease losses for loans extended under consumer general purpose
or private label credit cards. General purpose credit cards are credit cards that can be used at a wide
variety of merchants, including any who accept MasterCard, Visa, American Express or Discover
credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private
label credit cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing
the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type.
Item 88 Other Consumer
Report the allowance for loan and lease losses for all other consumer loans, as defined in items 31,
32, 33 and 34.

Item 89 All Other Loans and Leases
Report the allowance for loan and lease losses for all other loans and leases, as defined in items 36,
37, 38, 39, 41 and 42.

Item 90 Unallocated
Report any unallocated portion of the allowance for loan and lease losses (i.e., not attributable to
items 70 to 89 above)
Item 91 Provisions during the quarter
Report the provision for loan and lease losses during the quarter, as defined in the Call Report
Schedule RI, item 4.
Item 92 Real Estate Loans (in Domestic Offices)
Report the sum of items 93, 97 and 101.

Item 93 Residential Mortgages (in Domestic Offices)
Report the sum of the provision for loan and lease losses included in items 94, 95, and 96.

Item 94 First Lien Mortgages (in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by first liens on 1 to 4 family
residential properties, including first lien home equity loans, held in domestic offices.

Item 95 Closed-end Junior Liens (in Domestic Offices)
Report the provision for loan and lease losses for all closed-end loans secured by junior (i.e., other
than first) liens on 1 to 4 family residential properties, held in domestic offices.

Item 96 HELOCs (in Domestic Offices)
Report the provision for loan and lease losses for revolving, open-end lines of credit secured by 1 to
4 family residential properties, held in domestic offices.
Item 97 CRE Loans (in Domestic Offices)
Report the sum of the provision for loan and lease losses included in items 98, 99 and 100.
17

Item 98 Construction (in Domestic Offices)
Report the provision for loan and lease losses for construction, land development, and other land
loans as defined in the Call Report Schedule RC-C, items 1(a)(1) and 1(a)(2), held in domestic offices

Item 99 Multifamily (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by multifamily (5 or more)
residential properties as defined in the Call Report Schedule RC-C, item 1(d), held in domestic offices.

Item 100 Nonfarm, Nonresidential (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by nonfarm nonresidential
properties as defined in the Call Report Schedule RC-C, items 1(e)(1) and 1(e)(2), held in domestic
offices.
Item 101 Loans Secured by Farmland (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by farmland as defined in the Call
Report Schedule RC-C, item 1(b), held in domestic offices.
Item 102 Real Estate Loans (Not in Domestic Offices)
Report the sum of items 104, 105 and 106.

Item 103 Residential Mortgages (Not in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by 1 to 4 family residential
properties, including both first lien and second/junior lien loans, not held in domestic offices.

Item 104 CRE Loans (Not in Domestic Offices)
Report the provision for loan and lease losses for all construction, multifamily, and nonfarm
nonresidential loans as defined in the Call Report Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1)
and 1.e.(2), not held in domestic offices.

Item 105 Farmland (Not in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by farmland as defined in the Call
Report Schedule RC-C, item 1(b), not held in domestic offices.
Item 106 C&I Loans
Report the sum of items 107, 108 and 109.

Item 107 C&I Graded
Report the provision for loan and lease losses for all graded C&I loans. Report the associated
provision only for loans “graded” or “rated” using the reporting entity’s commercial credit rating
system, as it is defined in the reporting entity’s normal course of business. This includes the
provision for loan and lease losses for all domestic and international business and corporate credit
card or charge card loans for which a commercially graded corporation is ultimately responsible for
repayment of credit losses incurred.
Item 108 Small Business (Scored/Delinquency Managed)
Report the provision for loan and lease losses for small business loans. Report the associated
provision for all "scored" or "delinquency managed" U.S. small business loans for which a
commercial internal risk rating is not used or that uses a different scale than other corporate loans
reported in the Call Report, Schedule RC-C, items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, and 10.b.
18

Exclude corporate and small business credit card loans included in the Call Report, Schedule RC-C,
line 4.a.

Item 109 Business and Corporate Cards
Report the provision for loan and lease losses for loans extended under business and corporate
credit cards. Business cards include small business credit card accounts where the loan is
underwritten with the sole proprietor or primary business owner as applicant. Report at the control
account level or the individual pay level (not at the sub-account level). Corporate cards include
employer-sponsored credit cards for use by a company's employees. Exclude the provision for loan
and lease losses related to corporate card or charge card loans included in Item 108 (C&I Graded
Loans).

Item 110 Credit Cards
Report the provision for loan and lease losses for loans extended under consumer general purpose
or private label credit cards. General purpose credit cards are credit cards that can be used at a wide
variety of merchants, including any who accept MasterCard, Visa, American Express or Discover
credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private
label credit cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing
the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type.

Item 111 Other Consumer
Report the provision for loan and lease losses for all other consumer loans, as defined in items 31,
32, 33 and 34.

Item 112 All Other Loans and Leases
Report the provision for loan and lease losses for all other loans and leases, as defined in items 36,
37, 38, 39, 41 and 42.
Item 113 Unallocated
Report any unallocated portion of the provision for loan and lease losses.

Item 114 Net charge-offs during the quarter
Report charge-offs net of recoveries during the quarter, as defined in the Call Report Schedule RI-B,
Part I, item 9, Column A minus Column B.
Item 115 Other ALLL Changes
Report other changes to the allowance for loan and lease losses, as defined in the Call Report
Schedule RI-B, Part II, item 6, minus Schedule RI-B, Part II, item 4.
Item 116 ALLL, current quarter
Report the sum of items 68, 91 and 115, minus item 114.

Pre-Provision Net Revenue (PPNR)

Item 117 Net interest income
Item 117 must equal item 13 on the PPNR Submission Worksheet.
Item 118 Noninterest income
Item 118 must equal item 26 on the PPNR Submission Worksheet.
19

Item 119 Noninterest expense
Item 119 must equal item 38 on the PPNR Submission Worksheet.
Item 120 Pre-provision Net Revenue
Report the sum of items 117 and 118, minus item 119.

Condensed Income Statement

Item 121 Pre-provision Net Revenue
Report the value for item 120.

Item 122 Provisions during the quarter
Report the value for item 91.

Item 123 Total Trading and Counterparty Losses
Report the value for item 62.

Item 124 Total Other Losses
Report the value for item 66.

Item 125 Other Income Statement (I/S) Items
Report other income statement items that the institution chooses to disclose. Describe these items
in the supporting documentation.

Item 126 Realized Gains (Losses) on available-for-sale securities, including OTTI
Report realized gains (losses) on available-for-sale securities, as defined in the Call Report Schedule
RI, item 6.b. For the projected quarters, this amount represents projected other-than-temporary
impairment (OTTI) losses on available-for-sale securities and realized gains and losses on availablefor-sale securities. Realized gains and losses from sales of available-for-sale securities should not be
allowed unless there is an existing contractual or legal obligation to sell a security or a security has
already been sold.

Item 127 Realized Gains (Losses) on held-to-maturity securities, including OTTI
Report realized gains (losses) on held-to-maturity securities, as defined in the Call Report Schedule
RI, item 6.a. For the projected quarters, this amount represents projected OTTI losses on held-tomaturity securities and realized gains and losses on held-to-maturity securities. Realized gains and
losses from sales of held-to-maturity securities should not be allowed unless there is an existing
contractual or legal obligation to sell a security or a security has already been sold.
Item 128 Income (loss) before applicable income taxes and discontinued operations
Report the sum of items 121, 125, 126, and 127, minus items 122, 123, and 124.

Item 129 Applicable income taxes (foreign and domestic)
Report all applicable income taxes, both foreign and domestic, as defined in the Call Report Schedule
RI, item 9.
Item 130 Income (loss) before discontinued operations

20

Report the amount of item 128 minus item 129.

Item 131 Discontinued operations, net of applicable income taxes
Report discontinued operations, net of applicable income taxes, as defined in the Call Report Schedule
RI, item 11.

Item 132 Net income (loss) attributable to bank and minority interests
Report the sum of item 130 and item 131.

Item 133 Net income (loss) attributable to minority interests
Report net income (loss) attributable to minority interests, as defined in the Call Report Schedule RI,
item 13.
Item 134 Net income (loss) attributable to bank
Report the amount of item 132 minus item 133.

Item 135 Effective Tax Rate (percent)
Report the amount of item 129 divided by item 128, multiplied by 100.

Repurchase Reserve / Liability for Mortgage Reps & Warranties

Item 136 Reserve, prior quarter
Report the amount of any reserve or accrued liability that was established in the prior quarter for
losses related to sold or government-insured mortgage loans (first or second lien).

Item 137 Provisions during the quarter
Report the amount of provisions during the quarter to the repurchase reserve/liability for mortgage
representations and warranties.

Item 138 Net charges during the quarter
Report the amount of net charges (charges less recoveries) during the quarter to the repurchase
reserve/liability for mortgage representations and warranties. Losses charged to this reserve can
occur through contractual repurchases, settlement agreements, or litigation loss, including losses
related to claims under securities law or fraud claims.
This item is not a derived item; all institutions must report this item.
Item 139 Reserve, current quarter
Report the sum of items 136 and 137 minus item 138.

2. Balance Sheet

For each scenario, input the loan balance projections in the various line items in this worksheet.
Balance projections for HFI loans (held for investment) should be reported in the appropriate line
items in the “Loans Held for Investment at Amortized Cost.” Balances for HFS or HFI loans under the
fair value option should be reported in the appropriate line items in the “Loans Held for Sale and
Loans Accounted for Under the Fair Value Option” section. MDRM codes are provided within the
‘Notes’ column for many of the line items. When applicable, the definition of the bank’s projections
21

should correlate to the definitions outlined by the corresponding MDRM code within the Call Report.
Domestic refers to portfolios in the domestic U.S. offices (as defined in the Call Report),
and International refers to portfolios outside of the domestic U.S. offices.

Explain any M&A and divestitures included and how they are funded (liabilities, asset sales, etc.)

Securities

Item 1 Held to Maturity (HTM)
Report the amount of held-to-maturity securities, as defined in the Call Report Schedule RC, item 2.a.
Item 2 Available for Sale (AFS)
Report the amount of available-for-sale securities, as defined in the Call Report Schedule RC, item 2.b.
Item 3 Total Securities
This item is a shaded cell and is derived from the sum of items 1 and 2.

Item 4 Securitizations (investment grade)
Investment grade means that the entity to which the banking organization is exposed through a loan
or security, or the reference entity with respect to a credit derivative, has adequate capacity to meet
financial commitments for the projected life of the asset or exposure. Such an entity or reference
entity has adequate capacity to meet financial commitments if the risk of its default is low and the
full and timely repayment of principal and interest is expected.
Item 5 Securitizations (non-investment grade)
Securitizations that do not meet the investment grade definition above.

Total Loans and Leases

Item 6 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 7, 10, 13 and 19.
Item 7 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 8 and 9.

Item 8 First lien mortgages
Report loans secured by first liens on 1 to 4 family residential properties, excluding closed-end first
lien home equity loans (reported in item 7).
Item 9 First lien home equity loans (HELOANS)
Report all closed-end first lien home equity loans.

Item 10 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 11 and 12.

Item 11 Closed-end junior loans
Report all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential
properties, as defined in the Call Report Schedule RC-C, item 1.c.(2)(b).
22

Item 12 Home equity lines of credit (HELOCS)
Report the amount outstanding under revolving, open-end lines of credit secured by 1 to 4 family
residential properties, as defined in the Call Report Schedule RC-C, item 1.c.(1).

Item 13 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 14, 15, and 16.

Item 14 Construction
Report construction, land development, and other land loans, as defined in the Call Report Schedule
RC-C, items 1(a)(1) and 1(a)(2).

Item 15 Multifamily
Report loans secured by multifamily (5 or more) residential properties, as defined in the Call Report
Schedule RC-C, item 1(d).

Item 16 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 17 and 18.

Item 17 Owner-occupied
Report loans secured by owner-occupied nonfarm nonresidential properties, as defined in the Call
Report Schedule RC-C, item 1(e)(1).
Item 18 Non-owner-occupied
Report nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm
nonresidential properties, as defined in the Call Report Schedule RC-C, item 1(e)(2).
Item 19 Loans secured by farmland
Report all loans secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b).

Item 20 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 21, 22, 23 and 29.

Item 21 First lien mortgages (Not in domestic offices)
Report all closed-end loans secured by first liens on 1 to 4 family residential properties, not held in
domestic offices.

Item 22 Second/junior lien mortgages (Not in domestic offices)
Report all loans secured by second/junior (i.e., other than first) liens on 1 to 4 family residential
properties, not held in domestic offices.
Item 23 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 24, 25, and 26.

Item 24 Construction (Not in domestic offices)
Report construction, land development, and other land loans, as defined in the Call Report Schedule
RC-C, items 1(a)(1) and 1(a)(2), not held in domestic offices.
Item 25 Multifamily (Not in domestic offices)

23

Report loans secured by multifamily (5 or more) residential properties, as defined in the Call Report
Schedule RC-C, item 1(d), not held in domestic offices.
Item 26 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 27 and 28.

Item 27 Owner-occupied (Not in domestic offices)
Report loans secured by owner-occupied nonfarm nonresidential properties, as defined in the Call
Report Schedule RC-C, item 1(e)(1), not held in domestic offices.
Item 28 Non-owner-occupied (Not in domestic offices)
Report nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm
nonresidential properties, as defined in the Call Report Schedule RC-C, item 1(e)(2), not held in
domestic offices.

Item 29 Loans secured by farmland (Not in domestic offices)
Report all loans secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b), not held
in domestic offices.
Item 30 C&I Loans
This item is a shaded cell and is derived from the sum of items 31, 32, 33 and 34.

Item 31 C&I Graded
Report all graded C&I loans. Report only loans “graded” or “rated” using the reporting entity’s
commercial credit rating system, as it is defined in the reporting entity’s normal course of business.
This includes domestic and international business and corporate credit card or charge card loans for
which a commercially graded corporation is ultimately responsible for repayment of credit losses
incurred.

Item 32 Small Business (Scored/Delinquency Managed)
Report all "scored" or "delinquency managed" U.S. small business loans for which a commercial
internal risk rating is not used or that uses a different scale than other corporate loans reported in
the Call Report, Schedule RC-C, items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, and
10.b. Exclude corporate and small business credit card loans included in the Call Report, Schedule
RC-C, line 4.a.

Item 33 Corporate Card
Report loans extended under corporate credit cards. Report at the control account level or the
individual pay level (not at the sub-account level). Corporate cards include employer-sponsored
credit cards for use by a company's employees. Exclude corporate card loans included in Item 31
(C&I Graded Loans).

Item 34 Business Card
Report loans extended under business credit cards. Business cards include small business credit
card accounts where the loan is underwritten with the sole proprietor or primary business owner as
applicant. Report at the control account level or the individual pay level.
Item 35 Credit Cards
This item is a shaded cell and is derived from the sum of items 36 and 37.
24

Item 36 Charge Cards
Report loans extended under consumer general purpose or private label credit cards that have terms
and conditions associated with a charge card. Instead of having a stated interest rate, charge cards
have an annual fee and an interchange fee. Also customers must pay off the loan within the billing
cycle, which is typically one month. General purpose charge cards are credit cards that can be used
at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or
Discover credit cards. Include affinity, co-brand cards in this category, and student cards if
applicable. Private label charge cards are credit cards, also known as proprietary credit cards, tied to
the retailer issuing the card and can only be used in that retailer's stores. Include oil
& gas cards in this loan type.

Item 37 Bank Cards
Report loans extended under consumer general purpose or private label credit cards that have terms
and conditions associated with a bank card. A bank card will have a stated interest rate and a
minimum payment amount due within the billing cycle. General purpose bank cards are credit cards
that can be used at a wide variety of merchants, including any who accept MasterCard, Visa,
American Express or Discover credit cards. Include affinity, co-brand cards in this category, and
student cards if applicable. Private label bank cards are credit cards, also known as proprietary
credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include
oil & gas cards in this loan type.

Item 38 Other Consumer
This item is a shaded cell and is derived from the sum of items 39, 40, 41 and 42.

Item 39 Auto Loans
Report all auto loans, as defined in the Call Report Schedule RC-C, item 6(c).
Item 40 Student Loans
Report all student loans.

Item 41 Other (consumer) loans backed by securities (non-purpose lending)
Report other consumer loans that are backed by securities (i.e., non-purpose lending).
Item 42 Other (consumer)
Report all other consumer loans not reported in items 39, 40 or 41.

Item 43 Other Loans
This item is a shaded cell and is derived from the sum of items 44, 45, 46, 47 and 48.

Item 44 Loans to Foreign Governments
Report all loans to foreign governments, as defined in the Call Report Schedule RC-C, item
7. Exclude loans to foreign governments included in item 32 (Small Business Loans).
Item 45 Agricultural Loans
Report all agricultural loans, as defined in the Call Report Schedule RC-C, item
3. Exclude agricultural loans included in item 32 (Small Business Loans).

Item 46 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report all loans for purchasing or carrying securities (secured or unsecured), as defined in the Call
Report Schedule RC-C, item 9.b.(1). Exclude loans for purchasing or carrying securities included in
25

item 32 (Small Business Loans).

Item 47 Loans to Depositories and Other Financial Institutions
Report all loans to depositories and other financial Institutions (secured or unsecured), as defined in
the Call Report Schedule RC-C, items 2.a, 2.b, and 9.a. Exclude loans to depositories and other
financial institutions included in item 32 (Small Business Loans).
Item 48 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 49 and 50.

Item 49 All Other Loans (exclude consumer loans)
Report all other loans (excluding consumer loans), as defined in the Call Report Schedule RC-C, item
9.b.(2). Exclude all other loans included in item 32 (Small Business Loans).

Item 50 All Other Leases
Report all other leases (excluding consumer leases), as defined in the Call Report Schedule RC-C, item
10.b. Exclude all other leases included in item 32 (Small Business Loans).
Item 51 Total Loans and Leases
Report the sum of items 6, 20, 30, 35, 38 and 43.

Loans HFI at Amortized Cost

Item 52 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 53, 56, 59 and 65.
Item 53 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 54 and 55.

Item 54 First lien mortgages
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by
first liens on 1 to 4 family residential properties, excluding closed-end first lien home equity loans
(reported in item 53).
Item 55 First lien home equity loans (HELOANS)
Report loans held for investment accounted for at amortized cost on all closed-end first lien home
equity loans.
Item 56 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 57 and 58.

Item 57 Closed-end junior loans
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by
junior (i.e., other than first) liens on 1 to 4 family residential properties.
Item 58 Home equity lines of credit (HELOCS)
Report loans held for investment accounted for at amortized cost on the amount outstanding under
revolving, open-end lines of credit secured by 1 to 4 family residential properties.
26

Item 59 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 60, 61, and 62.

Item 60 Construction
Report loans held for investment accounted for at amortized cost on construction, land
development, and other land loans, as defined in the Call Report Schedule RC-C, items 1(a)(1) and
1(a)(2).

Item 61 Multifamily
Report loans held for investment accounted for at amortized cost on loans secured by multifamily (5
or more) residential properties, as defined in the Call Report Schedule RC-C, item 1(d).
Item 62 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 61 and 62.

Item 63 Owner-occupied
Report loans held for investment accounted for at amortized cost on loans secured by owneroccupied nonfarm nonresidential properties, as defined in the Call Report Schedule RC-C, item
1(e)(1).

Item 64 Non-owner-occupied
Report loans held for investment accounted for at amortized cost on nonfarm nonresidential real
estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined
in the Call Report Schedule RC-C, item 1(e)(2).

Item 65 Loans secured by farmland
Report loans held for investment accounted for at amortized cost on all loans secured by farmland,
as defined in the Call Report Schedule RC-C, item 1(b).

Item 66 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 67, 68, 69 and 75.

Item 67 First lien mortgages (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by
first liens on 1 to 4 family residential properties, not held in domestic offices.

Item 68 Second/junior lien mortgages (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all loans secured by
second/junior (i.e., other than first) liens on 1 to 4 family residential properties, not held in
domestic offices.

Item 69 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 70, 71, and 72.

Item 70 Construction (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on construction, land
development, and other land loans, as defined in the Call Report Schedule RC-C, items 1(a)(1) and
1(a)(2), not held in domestic offices.
27

Item 71 Multifamily (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on loans secured by multifamily
(5 or more) residential properties, as defined in the Call Report Schedule RC-C, item 1(d), not held
in domestic offices.

Item 72 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 73 and 74.

Item 73 Owner-occupied (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on loans secured by owneroccupied nonfarm nonresidential properties, as defined in the Call Report Schedule RC-C, item
1(e)(1), not held in domestic offices.

Item 74 Non-owner-occupied (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on nonfarm nonresidential real
estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined
in the Call Report Schedule RC-C, item 1(e)(2), not held in domestic offices.

Item 75 Loans secured by farmland (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all loans secured by farmland,
as defined in the Call Report Schedule RC-C, item 1(b), not held in domestic offices.
Item 76 C&I Loans
This item is a shaded cell and is derived from the sum of items 77, 78 and 79.

Item 77 C&I Graded
Report loans held for investment accounted for at amortized cost on all graded C&I loans. Report
only loans “graded” or “rated” using the reporting entity’s commercial credit rating system, as it is
defined in the reporting entity’s normal course of business. This includes domestic and international
business and corporate credit card or charge card loans for which a commercially graded
corporation is ultimately responsible for repayment of credit losses incurred.

Item 78 Small Business (Scored/Delinquency Managed)
Report loans held for investment accounted for at amortized cost on small business loans. Report all
"scored" or "delinquency managed" U.S. small business loans for which a commercial internal risk
rating is not used or that uses a different scale than other corporate loans reported in the Call
Report, Schedule RC-C, items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, and 10.b. Exclude corporate and
small business credit card loans included in the Call Report, Schedule RC-C, line 4.a.
Item 79 Business and Corporate Card
Report loans held for investment accounted for at amortized cost on loans extended under business
and corporate credit cards. Business cards include small business credit card accounts where the
loan is underwritten with the sole proprietor or primary business owner as applicant. Report at the
control account level or the individual pay level (not at the sub-account level). Corporate cards
include employer-sponsored credit cards for use by a company's employees. Exclude corporate card
or charge card loans included in item 77 (C&I Graded Loans).
Item 80 Credit Cards

28

Report loans held for investment accounted for at amortized cost on loans extended under consumer
general purpose or private label credit cards. General purpose credit cards are credit cards that can
be used at a wide variety of merchants, including any who accept MasterCard, Visa, American
Express or Discover credit cards. Include affinity, co-brand cards in this category, and student cards
if applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied
to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in
this loan type.
Item 81 Other Consumer
This item is a shaded cell and is derived from the sum of items 82, 83, 84 and 85.

Item 82 Auto Loans
Report loans held for investment accounted for at amortized cost on auto loans, as defined in the
Call Report Schedule RC-C, item 6(c).
Item 83 Student Loans
Report loans held for investment accounted for at amortized cost on student loans.

Item 84 Other (consumer) loans backed by securities (non-purpose lending)
Report loans held for investment accounted for at amortized cost on other consumer loans that are
backed by securities (i.e., non-purpose lending).
Item 85 Other (consumer)
Report loans held for investment accounted for at amortized cost on all other consumer loans not
reported in items 82, 83 or 84.
Item 86 Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 87, 88, 89, 90 and 91.

Item 87 Loans to Foreign Governments
Report loans held for investment accounted for at amortized cost on loans to foreign governments,
as defined in the Call Report Schedule RC-C, item 7. Exclude loans to foreign governments included
in item 78 (Small Business Loans).

Item 88 Agricultural Loans
Report loans held for investment accounted for at amortized cost on agricultural loans, as defined in
the Call Report Schedule RC-C, item 3. Exclude loans included in item 78 (Small Business Loans).

Item 89 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report loans held for investment accounted for at amortized cost on loans for purchasing or
carrying securities (secured or unsecured), as defined in the Call Report Schedule RC-C, item
9.b.(1). Exclude loans for purchasing or carrying securities included in item 78 (Small Business
Loans).

Item 90 Loans to Depositories and Other Financial Institutions
Report loans held for investment accounted for at amortized cost on loans to depositories and other
financial Institutions (secured or unsecured), as defined in the Call Report Schedule RC-C, items 2.a,
2.b, and 9.a. Exclude loans to depositories and other financial institutions included in item 78
(Small Business Loans).
29

Item 91 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 92 and 93.

Item 92 All Other Loans (exclude consumer loans)
Report loans held for investment accounted for at amortized cost on all other loans (excluding
consumer loans), as defined in the Call Report Schedule RC-C, item 9.b.(2). Exclude all other loans
included in item 78 (Small Business Loans).
Item 93 All Other Leases
Report loans held for investment accounted for at amortized cost on all other leases (excluding
consumer leases), as defined in the Call Report Schedule RC-C, item 10.b. Exclude all other leases
included in item 78 (Small Business Loans).
Item 94 Total Loans and Leases
Report the sum of items 52, 66, 76, 80, 81 and 86.

HFS Loans and Loans Under Fair Value Option
Item 95 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 96, 97, 98 and 99.
Item 96 First Lien Mortgages
This item is a shaded cell and is derived as item 7 minus item 53.

Item 97 Second/Junior Lien Mortgages
This item is a shaded cell and is derived as item 10 minus item 56.
Item 98 Commercial real estate (CRE) loans
This item is a shaded cell and is derived as item 13 minus item 59.
Item 99 Loans secured by farmland
This item is a shaded cell and is derived as item 19 minus item 65.

Item 100 Real estate loans (not in domestic offices)
This item is a shaded cell and is derived from the sum of items 101, 102 and 103.

Item 101 Residential Mortgages (not in domestic offices)
This item is a shaded cell and is derived as the sum of items 21 and 22 minus items 67 and 68.
Item 102 Commercial real estate (CRE) loans (not in domestic offices)
This item is a shaded cell and is derived as item 23 minus item 69.

Item 103 Loans secured by farmland (not in domestic offices)
This item is a shaded cell and is derived as item 29 minus item 75.
Item 104 C&I Loans
This item is a shaded cell and is derived as item 30 minus item 76.
30

Item 105 Credit Cards
This item is a shaded cell and is derived as item 35 minus item 80.

Item 106 Other Consumer
This item is a shaded cell and is derived as item 38 minus item 81.
Item 107 All Other Loans and Leases
This item is a shaded cell and is derived as item 41 minus item 84.

Item 108 Total Loans and Leases Held for Sale and Loans and Leases Accounted for under
the Fair Value Option
This item is a shaded cell and is derived from the sum of items 95, 100, 104, 105, 106 and 107.

Item 109 Unearned Income on Loans
Report all unearned income on loans, as defined in the Call Report Schedule RC-C, item 11, Column A.
Item 110 Allowance for Loan and Lease Losses
This item is a shaded cell and is carried over from item 117 of the Income Statement Worksheet.

Item 111 Loans and Leases (Held for Investment and Held for Sale) Net of Unearned Income
and Allowance for Loan and Lease Losses
This item is a shaded cell and is derived as item 51 minus items 109 and 110.

Trading

Item 112 Trading Assets
Report trading assets, as defined in the Call Report Schedule RC, item 5.

Intangibles

Item 113 Goodwill
Report goodwill, as defined in the Call Report Schedule RC, item 10.a.

Item 114 Mortgage Servicing Rights
Report all mortgage servicing rights, as defined in the Call Report Schedule RC-M, item 2.a.

Item 115 Purchased Credit Card Relationships and Nonmortgage Servicing Rights
Report all purchased credit card relationships and nonmortgage servicing rights, as defined in the
Call Report Schedule RC-M, item 2.b.
Item 116 All Other Identifiable Intangible Assets
Report all other intangible assets, as defined in the Call Report Schedule RC-M, item 2.c.
Item 117 Total Intangible Assets
This item is a shaded cell and is derived from the sum of items 113, 114, 115 and 116.

Other (Assets)

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Item 118 Cash and cash equivalent
Report cash and cash equivalent, as defined in the Call Report Schedule RC, items 1.a. and 1.b.

Item 119 Federal Funds Sold
Report federal funds sold in domestic offices, as defined in the Call Report Schedule RC, item 3.a.

Item 120 Securities Purchased under Agreements to Resell
Report securities purchased under agreements to resell, as defined in the Call Report Schedule RC,
item 3.b.
Item 121 Premises and Fixed Assets
Report all premises and fixed assets, as defined in the Call Report Schedule RC, item 6.
Item 122 Other Real Estate Owned (OREO)
This item is a shaded cell and is derived from the sum of items 123, 124 and 125.

Item 123 Commercial
Report the net book value of all other real estate owned in the form of, or for which the underlying
real estate consists of, commercial real estate.

Item 124 Residential
Report the net book value of all other real estate owned in the form of, or for which the underlying
real estate consists of, residential real estate.

Item 125 Farmland
Report the net book value of all other real estate owned in the form of, or for which the underlying
real estate consists of, farmland.
Item 126 Collateral Underlying Operating Leases for Which the Bank is the Lessor
This item is a shaded cell and is derived from the sum of items 127 and 128.

Item 127 Autos
Report the carrying amount of automobiles rented to others under operating leases, net of
accumulated depreciation. The amount reported should only reflect collateral rented under
operating leases and should not include collateral subject to capital/financing type leases.

Item 128 Other
Report the carrying amount of any equipment or other assets (other than automobiles) rented to
others under operating leases, net of accumulated depreciation. The amount reported should only
reflect collateral rented under operating leases and should not include collateral subject to
capital/financing type leases.

Item 129 Other assets
Report all other assets, as defined in the Call Report Schedule RC, sum of items 8, 9 and 11, minus
item 126 (above).
Item 130 Total Other (assets)
This item is a shaded cell and is derived from the sum of items 118-122, 126, and 129.
32

Item 131 Total Assets
This item is a shaded cell and is derived from the sum of items 3, 111, 112, 117 and 130.

Liabilities

Item 132 Deposits in Domestic Offices
Report all deposits in domestic offices, as defined in the Call Report Schedule RC, items 13.a.(1) and
13.a.(2).
Item 133 Deposits in Foreign Offices
Report all deposits in foreign offices, as defined in the Call Report Schedule RC, items 13.b.(1) and
13.b.(2).
Item 134 Deposits
This item is a shaded cell and derived from the sum of items 132 and 133.

Item 135 Federal Funds Purchased and Repurchase Agreements
Report all federal funds purchased and repurchase agreements, as defined in the Call Report
Schedule RC, items 14.a and 14.b.
Item 136 Trading Liabilities
Report all trading liabilities, as defined in the Call Report Schedule RC, item 15.

Item 137 Other Borrowed Money
Report other borrowed money, as defined in the Call Report Schedule RC, item 16.

Item 138 Subordinated Notes and Debentures
Report subordinated notes and debentures, as defined in the Call Report Schedule RC, item 19.a.

Item 139 Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS
Issued by Consolidated Special Purpose Entities
If applicable, report all subordinated notes payable to unconsolidated trusts issuing trust preferred
securities, and trust preferred securities issued by consolidated special purpose entities.

Item 140 Other liabilities
Report other liabilities, as defined in the Call Report Schedule RC, item 20.

Item 141 Memo: Allowance for off-balance sheet credit exposures
Report the allowance for off-balance sheet credit exposures, as defined in the Call Report Schedule
RC-G, item 3.
Item 142 Total Liabilities
Report the sum of items 134 through 140.

Equity Capital

Item 143 Perpetual Preferred Stock and Related Surplus
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Report all perpetual preferred stock and related surplus, as defined in the Call Report Schedule RC,
item 23.
Item 144 Common Stock (Par Value)
Report the par value of common stock, as defined in the Call Report Schedule RC, item 24.

Item 145 Surplus (Exclude All Surplus Related to Preferred Stock)
Report surplus (excluding surplus related to preferred stock), as defined in the Call Report Schedule
RC, item 25.

Item 146 Retained Earnings
Report all retained earnings, as defined in the Call Report Schedule RC, item 26.a.

Item 147 Accumulated Other Comprehensive Income (AOCI)
Report accumulated other comprehensive income (AOCI), as defined in the Call Report Schedule RC,
item 26.b.
Item 148 Other Equity Capital Components
Report other equity capital components, as defined in the Call Report Schedule RC, item 26.c.
Item 149 Total Bank Equity Capital
Report the sum of items 143 through 148.

Item 150 Noncontrolling (Minority) Interests in Consolidated Subsidiaries
Report all noncontrolling (minority) interests in consolidated subsidiaries, as defined in the Call
Report Schedule RC, item 27.b.

Item 151 Total Equity Capital
Report the sum of items 149 and 150.

Item 152 Unused Commercial Lending Commitments and Letters of Credit
Report all unused commercial lending commitments and letters of credit, as defined in the Call
Report Schedule RC-L, items 1.c.(1), 1.c.(2), 1.e.(1), 1.e.(2), 1.e.(3), 2, 3, and 4.

3. Standardized RWA

All banks are required to complete the “Standardized RWA” worksheet for all reporting quarters.

For reporting quarters starting January 1, 2018, advanced approaches banks must apply a 250
percent risk-weight to mortgage servicing assets (MSAs), deferred tax assets arising from temporary
differences that could not be realized through net operating loss carrybacks, and significant
investments in the capital of unconsolidated financial institutions in the form of common stock that
are not deducted from capital. For all reporting quarters, a non-advanced approaches bank must
apply a 100 percent risk weight to any amounts of MSAs, deferred tax assets arising from temporary
differences that could not be realized through net operating loss carrybacks, and significant
investments in the capital of unconsolidated financial institutions in the form of common stock that
are not deducted from capital, and continue to apply the 2017 risk weights under the capital rules to
amounts of non-significant investments in the capital of unconsolidated financial institutions and
34

significant investments in the capital of unconsolidated financial institution not in the form of
common stock that are not deducted from capital.

Banks that are subject to market risk capital requirements at the as of date are required to
complete the market risk-weighted asset section within the worksheet. In addition, if a bank
projects to meet the trading activity threshold that would require it to be subject to the market risk
capital requirements during the forecast period, then the bank should complete the market riskweighted asset section within the worksheet.

Balance Sheet Asset Categories
Item 1 Cash and balances due from depository institutions
Report the total risk-weighted amount of cash and balances due from depository institutions. This
should be consistent with the RWA amount that is reported in the Call Report, RC-R Part II, line item
1.
Item 2a Securities (excluding securitizations): Held-to-maturity
Report the total risk-weighted amortized cost of HTM securities excluding those securities that
qualify as securitization exposures as defined in §.2 of the regulatory capital rules. This should be
consistent with the RWA amount that is reported in the Call Report, RC-R, Part II, line item 2a.

Item 2b Securities (excluding securitizations): Available-for-sale
Report the total risk-weighted fair value of AFS securities, excluding those securities that qualify as
securitization exposures as defined in §.2 of the regulatory capital rules. This should be consistent
with the RWA amount that is reported in the Call Report, RC-R, Part II, line item 2b. If a banking
organization cannot or does not make the AOCI opt-out election, it will risk weight the carrying value
of its AFS debt securities, as defined in the regulatory rules (e.g., the value of the asset on the balance
sheet determined in accordance with GAAP) and adjusted carrying value of its AFS equity securities
(applicable only to equity exposures and is defined in the regulatory capital rules).
On the other hand, if a banking organization selected the AOCI opt-out election, then for debt
securities, the banking organization will risk weight the carrying value of its AFS debt securities less
net unrealized gains, or add back net unrealized losses. For equity securities, the banking
organization will risk weight the adjusted carrying value. This means that it will risk weight its
carrying value on the security, which includes any unrealized gains reflected in the value of the
security less any unrealized gains that are excluded from regulatory capital, this includes up to 45
percent of pretax unrealized gains on AFS equity exposures as well as on AFS preferred stock
classified as an equity security under GAAP.
Item 3 Federal funds sold
Report the total risk-weighted amount of federal funds sold.

Loans and leases held for sale

Item 4a Residential mortgage exposures
35

Report the total risk-weighted portion of the carrying value of loans and leases HFS composed of
items related to residential mortgage exposures. This should be consistent with the RWA amount
that is reported in the Call Report, RC-R, Part II, line item 4a.

Item 4b High Volatility Commercial Real Estate
Report the total risk-weighted portion of the carrying value of loans and leases HFS related to high
volatility commercial real estate exposures (HVCRE), as defined in the regulatory capital rules,
including HVCRE exposures that are 90 days or more past due or on non-accrual status. This should
be consistent with the RWA amount that is reported in the Call Report, RC-R, Part II, line item 4b.

Item 4c Exposures Past Due 90 Days or More or on Nonaccrual
Report the total risk-weighted portion of the carrying value of loans and leases HFS that are 90 days
or more past due or on non-accrual status according to the requirements set forth in §.32(k) of the
regulatory capital rules. Do not include exposures to sovereigns or residential real estate, as
described in §.32(a) and §.32(g) respectively, that are past due or on non-accrual status. Also, do not
include HVCRE exposures that are past due or on non-accrual status. This should be consistent with
the RWA amount that is reported in the Call Report, RC-R, Part II, line item 4c.

Item 4d All other exposures
Report the total risk-weighted portion of the carrying value of loans and leases held for sale (HFS)
that are not reported in items 4a through 4c. This should be consistent with the RWA amount that is
reported in the Call Report, RC-R, Part II, line item 4d.

Loans and leases (Net of Unearned Income)

Item 5a Residential mortgage exposures
Report the total risk-weighted portion of the amount of loans and leases, net of unearned income,
composed of items related to residential mortgage exposures, including the carrying value of the
guaranteed portion of FHA and VA mortgage loans, loans secured by 1 to 4 family residential
properties and by multifamily residential properties, as well as loans that meet the definition of
statutory multifamily mortgage according to the regulatory capital rules. This should be consistent
with the RWA amount that is reported in the Call Report, RC-R, Part II, line item 5a.

Item 5b High Volatility Commercial Real Estate (HVCRE) Exposures
Report the total risk-weighted portion of the amount of loans and leases, net of unearned income
that are related to HVCRE, including HVCRE exposures that are 90 days or more past due or on nonaccrual status. This should be consistent with the RWA amount that is reported in the Call Report,
RC-R, Part II, line item 5b.

Item 5c Exposures Past Due 90 Days or More or on Nonaccrual
Report the total risk-weighted portion of the amount of loans and leases, net of unearned income,
that are 90 days or more past due or on non-accrual status according to the requirements set forth
in the regulatory capital rules. Do not include exposures to sovereigns or residential real estate as
described in §.32(a) and §.32(g) respectively, that are past due or on non-accrual status. Also, do
not include HVCRE exposures that are past due or on non-accrual status. This should be
consistent with the RWA amount that is reported in the Call Report, RC-R, Part II, line item 5c.
Item 5d All other exposures
Report the total risk-weighted portion of the amount of loans and leases, net of unearned income,
36

that is not reported in items 5a through 5c. This should be consistent with the RWA amount that is
reported in the Call Report, RC-R, Part II, line item 5d.

Item 6 Trading assets (excluding securitizations that receive standardized charges)
If the Bank is subject to the market risk capital rules, report the total risk-weighted fair value of
trading assets that do not meet the definition of a covered position per the market risk capital rules,
excluding those trading assets that do not meet the definition of a covered position per the market
risk capital that are securitization exposures as defined in §.2 of the regulatory capital rules.
If the Bank is not subject to the market risk capital rules, report the total risk-weighted fair value of
trading assets, excluding those trading assets that are securitization exposures as defined in §.2 of
the regulatory capital rules. This should be consistent with the RWA amount that is reported in the
Call Report, RC-R, Part II, line item 7.

Item 7a All other assets
Report the risk-weighted asset amount consistent with the definition of the Call Report, RC-R, Part
II, line item 8.
Item 7b Separate account bank-owned life insurance
Report the risk-weighted asset amount consistent with the definition of the Call Report, RC-R, Part II,
line item 8a.

Item 7c Default fund contributions to central counterparties
Report the risk-weighted asset amount consistent with the definition of the Call Report, RC-R, Part II,
line item 8b.

Securitization Exposures: On-Balance Sheet

Item 8a Held-to-maturity
Report the total risk-weighted portion of amortized cost of HTM securities that are securitization
exposures. This should be consistent with the RWA amount that is reported in the Call Report, RC-R,
Part II, line item 9a.
Item 8b Available-for-sale
Report the total risk-weighted portion of the fair value of AFS securities that are securitization
exposures. This should be consistent with the RWA amount that is reported in the Call Report, RC-R,
Part II, line item 9b.

Item 8c Trading assets that receive standardized charges
If the Bank is subject to the market risk capital rules, report the total risk-weighted fair value of the
portion of trading assets that are securitization exposures that do not meet the definition of a
covered position per the market risk capital rules. If the Bank is not subject to the market risk capital
rules, report the total risk-weighted fair value of trading assets that are securitization exposures.
This should be consistent with the RWA amount that is reported in the Call Report, RC-R, Part II, line
item 9c.
Item 8d All other on-balance sheet securitization exposures
Report the total risk-weighted amount of any qualifying on-balance assets included in Schedule RC
that qualify as securitization exposures as defined in §.2 of the regulatory capital rules and are not
currently covered in 8a, 8b, or 8c. This should be consistent with the RWA amount that is reported
37

in the Call Report, RC-R, Part II, line item 9d.

Item 9 Off-balance sheet securitization exposure
Report the risk-weighted amount of all derivatives and off-balance sheet items reported included in
Schedule RC-L or Schedule RC-S that qualify as securitization exposures as defined in §.2 of the
regulatory capital rules. This should be consistent with the RWA amount that is reported in the Call
Report, RC-R, Part II, line item 10.

Item 10 RWA for Balance Sheet Asset Categories Total Assets
This item is a shaded cell (derived calculation) and equals the sum of items 1 through 8d. This should
be consistent with the RWA amount that is reported in the Call Report, RC-R, Part II, line item 11.

Derivatives and Off-Balance Sheet Items (Excluding Securitization Exposures)

Item 11 Financial standby letters of credit
Report the total risk-weighted amount of all financial standby letters of credit that do not meet the
definition of a securitization exposure as described in the regulatory capital rules. This should be
consistent with the RWA amount that is reported in the Call Report, RC-R, Part II, line item 12.

Item 12 Performance standby letters of credit and transaction related contingent items
Report the total risk-weighted amount of transaction related contingent items, which includes the
face amount of performance standby letters of credit and any other transaction related contingent
items that do not meet the definition of a securitization exposure as described in the regulatory
capital rules. This should be consistent with the RWA amount that do not meet the definition of a
securitization exposure as described is reported in the regulatory capital rules, Call Report, RC-R,
Part II, line item 13.
Item 13 Commercial and similar letters of credit
Report the total risk-weighted amounts of commercial and similar letters of credit, including selfliquidating, trade-related contingent items that arise from the movement of goods, with an original
maturity of less than one year that do not meet the definition of a securitization exposure as
described in the regulatory capital rules. This should be consistent with the RWA amount that is
reported in the Call Report, RC-R, Part II, line item 14.

Item 14 Retained recourse on small business obligations sold with recourse
Report the total risk-weighted amount of retained recourse on small business obligations. 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 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(c) of the Small Business Act (12 U.S.C. 631) are eligible for this
favorable risk-based capital treatment. This should be consistent with the RWA amount that is
reported in the Call Report, RC-R, Part II, line item 15.

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
38

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.

Item 15 Repo-style transactions
Report the total risk-weighted amount of repo-style transactions, which is composed of the sum of
the amount of securities lent, the amount of securities borrowed, and the amount of securities sold
under agreements to repurchase that do not meet the definition of a securitization exposure as
described in the regulatory capital rules. This should be consistent with the RWA amount that is
reported in the Call Report, RC-R, Part II, line item 16.

Item 16 All other off-balance sheet liabilities
Report the total risk-weighted amount of all other off-balance sheet liabilities that are covered by
the regulatory capital rules as well as the amount of those credit derivatives that are covered by the
regulatory capital rules, but do not meet the definition of a securitization exposure as described in
the regulatory capital rules, and have not been included in any of the preceding items in the
Derivatives and Off-Balance Sheet Items section. This should be consistent with the RWA amount
that is reported in the Call Report, RC-R, Part II, line item 17.

Item 17a Unused commitments: Original maturity of one year or less, excluding ABCP (assetbacked commercial paper) Conduits
Report the total risk-weighted amount of the unused portion of an eligible liquidity facility with an
original maturity of one year or less, excluding ABCP facilities that do not meet the definition of a
securitization exposure as described in the regulatory capital rules. Note that “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 banking organization: (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. This should be consistent with the RWA amount that is
reported in the Call Report, RC-R, Part II, line item 18a.
Item 17b Unused commitments: Original maturity of one year or less to ABCP
Report the total risk-weighted amount of the unused portion of an eligible liquidity facility with an
original maturity of one year or less to ABCP facilities that do not meet the definition of a
securitization exposure as described in the regulatory capital rules. Under the regulatory capital
rules, the unused portion of commitments (facilities) which are unconditionally cancelable (without
cause) at any time by the banking organization have a zero percent conversion factor. The unused
portion of such commitments should be excluded from this item.
Item 17c Unused commitments: Original maturity exceeding one year
Report the total risk-weighted amount of the unused portion of the eligible liquidity facility with an
original maturity exceeding one year and are subject to the risk-based capital rules and that do not
meet the definition of a securitization exposure as described in the regulatory capital rules. Under
the regulatory capital rules, the unused portion of commitments (facilities) which are
unconditionally cancelable (without cause) at any time by the banking organization have a zero
percent conversion factor. The unused portion of such commitments should be excluded from this
item. This should be consistent with the RWA amount that is reported in the Call Report, RC-R, Part
II, line item 18b.
39

Item 18 Unconditionally cancelable commitment
Report the total risk-weighted amount unconditionally cancelable commitments 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 banking organization have a zero
percent conversion factor. The unused portion of such commitments should be reported in this
item. This should be consistent with the RWA amount that is reported in the Call Report, RC-R, Part
II, line item 19.

Item 19 Over-the-counter derivatives
Report the credit equivalent amount of over-the-counter derivative contracts covered by the
regulatory capital rules. Include over-the-counter credit derivative contracts held for trading
purposes and subject to the market risk capital rules. Do not include centrally cleared derivative
contracts. The credit equivalent amount of an over-the-counter derivative contract is the sum of its
current credit exposure plus the potential future exposure over the remaining life of the derivative
contract (regardless of its current credit exposure, if any). 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 exposure of a
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 credit conversion
factor from the Instructions to the Consolidated Reports of Condition and Income, Schedule RC-R,
item 54. This should be consistent with the RWA amount that is reported in the Call Report, RC-R,
Part II, line item 20.
Item 20 Centrally cleared derivatives
Report the credit equivalent amount of centrally cleared derivative contracts covered by the
regulatory capital rules. Include centrally cleared credit derivative contracts held for trading
purposes and subject to the market risk capital rules. Do not include over-the-counter derivative
contracts. Do not include centrally cleared derivative contracts that meet the definition of a
securitization exposure as described in the regulatory capital rules. The credit equivalent amount of
a centrally cleared derivative contract is the sum of its current credit exposure; plus the potential
future exposure 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 central counterparty 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 exposure of a 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 credit conversion factor from the Instructions to the Consolidated
Reports of Condition and Income, Schedule RC-R, item 54. This should be consistent with the RWA
amount that is reported in the Call Report, RC-R, Part II, line item 21.
Item 21 Unsettled transactions (failed trades)
This should be consistent with the risk-weighted asset amount that is reported in the Call Report,
Schedule RC-R, Part II, line item 22.

Item 22 RWA for Assets, Derivatives and Off-Balance-Sheet Asset Categories
This item is a shaded cell and is derived from the sum of items 9 through 21.
40

Item 23 RWA for purposes of calculating the allowance for loan and lease losses (ALLL)
1.25 percent threshold
For this item, follow the instructions of the Call Report, Schedule RC-R, Part II, line 26.

Market Risk

Items 24 through 40 are applicable only to banks that are subject to the market risk capital rule. If a
bank does not have a particular portfolio or no trading book at all, risk-weighted assets should be
reported as 0.
Item 24 Value-at-risk (VaR)-based capital requirement
Report this item consistent with the definition of FFIEC 102, line item 4.

Item 25 Stressed VaR-based capital requirement
Report this item consistent with the definition of FFIEC 102, line item 7.
Specific Risk Add-On

Item 26 Debt Positions
Report this item consistent with the definition of FFIEC 102, line item 8.

Item 27 Equity Positions
Report this item consistent with the definition of FFIEC 102, line item 9.

Item 28 Capital requirements for securitization positions using the Simplified Supervisory
Formula Approach (SSFA) or applying a specific risk-weighting factor of 1250 percent.
Report this item consistent with the definition of FFIEC 102, line item 10.

Item 29 Standardized measure of specific risk add-ons (sum of items 26, 27, and 28)
This item is the derived sum of line item 26, 27, and 28. This item is consistent with the definition of
FFIEC 102, line item 14.
Item 30 Incremental risk charge requirement
Report this item consistent with the definition of FFIEC 102, line item 18. This item is not
applicable to an institution that does not calculate a modeled measure of incremental risk.
Item 31 Modeled comprehensive risk measure
Report this item consistent with the definition of FFIEC 102, line item 19.

Item 32 Standardized measure of specific risk add-ons for net long correlation trading
positions
This item should be consistent with the definition of FFIEC 102, line item 26.

Item 33 Standardized measure of specific risk add-ons for net short correlation trading
positions
Report this item consistent with the definition of FFIEC 102, line item 34.
41

Item 34 Standardized measure of specific risk add-ons (greater of item 32 or 33)
This item is derived as the greater of line item 32 or 33.

Item 35 Surcharge for modeled correlation trading positions (item 34 multiplied by 0.08)
This item is derived as the product of line item 34 multiplied by 0.08. This item should be consistent
with the definition of FFIEC 102, line item 37.

Item 36 Comprehensive risk capital measure requirement
Report the risk-weighted amount consistent with the definition for FFIEC 102 line item 42. Only if a
Bank has received supervisory approval of its comprehensive risk model effectiveness, report the
risk-weighted asset amount consistent with the definition for FFIEC 102 line item 48.
De minimis positions and other adjustments

Item 37 Capital requirement for all de minimis exposures
Report this item consistent with the definition of FFIEC 102, line item 52.

Item 38 Additional capital requirement
Report this item consistent with the definition of FFIEC 102, line item 53.

Item 39 Sum of item 37 and 38
This item is derived as sum of item 37 and item 38. Report this item consistent with the definition of
FFIEC 102, Line Item 54.
Line item 40 Standardized market risk-weighted assets: Sum of items 24, 25, 29, 30 (if
applicable), 36 (if applicable), and 39
This item is derived as the sum of items 24, 25, 29, 30 (if applicable), 36 (if applicable), and 39.
Item 41 Risk-weighted assets before deductions for excess allowance of loan and lease
losses and allocated risk transfer risk reserve
This item is a shaded cell and is derived from the sum of items 22 and 40.

Item 42 Less: Excess allowance for loan and lease losses
Report the amount, if any, by which the banking organization’s allowance for loan and lease losses
exceeds 1.25% of the banking organization’s gross risk-weighted assets.

Item 43 Less: Allocated transfer risk reserve
Report the entire amount of any allocated transfer risk reserve (ATRR) the reporting banking
organization 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.
Item 44 Total risk-weighted assets
This item is a shaded cell and is derived from item 41 minus the sum of items 42 and 43.
42

Memorandum Items - Derivatives
Item 45 Current credit exposure across all derivative contracts covered by the
regulatory capital rules
Report the total current credit exposure amount for all interest rate, foreign exchange rate and gold,
credit (investment grade reference assets), credit (non-investment grade reference assets), equity,
precious metals (except gold), and other derivative contracts covered by the regulatory capital rules
after considering applicable legally enforceable bilateral netting agreements. Banking organizations
that are subject to Subpart F of the regulatory capital rules should exclude all covered positions
subject to these guidelines, except for foreign exchange derivatives that are outside of the trading
account. Foreign exchange derivatives that are outside of the trading account and all over-thecounter (OTC) 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.
Item 46 Notional principal amounts of over-the-counter derivative contracts
Report in the appropriate sub-item and column the notional amount or par value of all OTC
derivative contracts, including credit derivatives that are subject to the regulatory capital rules. Such
contracts include swaps, forwards, and purchased options. Report notional amounts and par values
in the column corresponding to the contract’s remaining term to maturity from the report date. This
item is a shaded cell and is derived from the sum of lines 47a through 47g.

Item 47a Interest rate
Report the remaining maturities of interest rate contracts that are subject to regulatory capital rules.
Item 47b 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.
Item 47c 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 the regulatory capital rule.

Item 47d 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 the regulatory capital rule.

Item 47e Equity
Report the remaining maturities of equity derivative contracts that are subject to the regulatory
capital rules.

Item 47f 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.
Item 47g Other
Report the remaining maturities of other 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 (e.g., changes of principal) in the
derivative contract.
43

Item 48 Notional principal amounts of centrally cleared derivative contracts
Report in the appropriate sub-item and column the notional amount or par value of all centrally
cleared derivative contracts, including credit derivatives that are subject to the regulatory capital
rules. Such contracts include swaps, forwards, and purchased options. This item is a shaded cell and
is derived from the sum of lines 49a through 49g.

Item 49a Interest rate
Report the remaining maturities of interest rate contracts that are subject to regulatory capital rules.

Item 49b 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.

Item 49c 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 rule.

Item 49d 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 rule.

Item 49e Equity
Report the remaining maturities of equity derivative contracts that are subject to the regulatory
capital rules.

Item 49f 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.
Item 49g Other
Report the remaining maturities of other 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 (e.g., changes of principal) in the
derivative contract.

4. Advanced RWA

Please note that for purposes of DFAST 2019, banks are NOT required to fill out the “Advanced
RWA” worksheet.
Banks subject to subpart E of the regulatory capital rule that have exited the parallel run process
and that have received notification from its primary Federal supervisor under section 121(d) of the
advanced approaches rule are required to complete the “Advanced RWA” worksheet.

MDRM codes have been included in the worksheet (column C) and correspond to the definitions for
the FFIEC 101 line items where applicable.

Banks that are subject to market risk capital requirements at the as of date are required to complete
44

the market risk-weighted asset section within the worksheet. However, if a bank projects to meet
the trading activity threshold that would require it to be subject to the market risk capital
requirements during the forecast period, then the bank should complete the market risk-weighted
asset section within the worksheet. Please refer to the final market risk capital rule released by the
U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for details of the requirements
of the rule.

AA Credit Risk

(Including CCR and non-trading credit risk) with 1.06 Scaling Factor and Operational Risk
Item 1 Advanced Approaches Credit RWA
This item is a shaded cell and is derived from the sum of items 2, 13, 20, 47, 49, 55, 32 or 33, and 40 if
greater than 0 or 50 if greater than zero. .
Items 2 through 57 Various
Definition of the bank’s projections should correlate to the definitions outlined by the corresponding
MDRM code (shown in column C) of the FFIEC 101 report per the current advanced approaches
capital rules (72 Federal Register 69288, December 7, 2007).

Market Risk
If a bank does not have a particular portfolio or no trading book at all, RWA should be reported as 0.
For items 58 through 73, refer to instructions for items 12 through 30, respectively, for
market risk under the “General RWA” worksheet.

Item 74 Other RWA
If the bank is unable to assign RWA to one of the above categories, even on a best-efforts basis, they
should be reported in this line.
Item 75 Excess eligible credit reserves not included in tier 2 capital
Include excess eligible credit reserves not included in tier 2 capital, consistent with the current
advanced approaches capital rules (72 Federal Register 69288, December 7, 2007) .

Item 76 Total RWA
This item is a shaded cell and is derived from the sum of items 1, 56, 73, and 74 minus item 75.

5. Capital

The Capital worksheet collects projections of the main drivers of equity capital and the key
components of the regulatory capital schedule. MDRM codes are provided in the ‘Notes’ column for
many of the line items.

All data collected in the Capital worksheet should be reported on a quarterly basis and not on a
year-to-date, cumulative basis. Note that item 115, Common shares outstanding, should be reported
in millions of shares.

All advanced approaches Banks are required to provide projections of common equity tier 1 capital,
tier 1 capital, and total capital based on the regulatory capital rule for all quarters. For reporting
45

quarters starting January 1, 2018, a non-advanced approaches bank must continue to apply,
indefinitely, the risk weight and the deduction treatment applicable during 2017 – in accordance
with relevant transition provisions for 2017 in section 300 of the capital rules – for MSAs, deferred
tax assets arising from temporary differences that could not be realized through net operating loss
carrybacks, significant investments in the capital of unconsolidated financial institutions in the form
of common stock, non-significant investments in the capital of unconsolidated financial institutions,
and significant investments in the capital of unconsolidated financial institutions that are not in the
form of common stock.

Under the OCC’s stress test rules, a Bank’s calculations of pro forma regulatory capital ratios over the
planning horizon shall not include estimates using the advanced approaches. Accordingly, for actual
and projected items on the DFAST-14A capital sub-schedule, Banks should not use the advanced
approaches. For example, in line 34, “All other deductions from (additions to) common equity tier 1
capital before threshold-based deductions,” an advanced approaches bank should not include
expected credit losses that exceed the eligible credit reserves.
The projections should clearly show any proposed capital distributions or other scenariodependent actions that would affect the Bank’s regulatory capital, including any assumptions
required under the OCC’s regulations.
The OCC’s stress test rules do not prescribe capital action assumptions for the supervisory
scenarios. This differs from the standardized set of capital action assumptions for the
supervisory stress tests that are specified in the Federal Reserve’s rules. Banks should
adjust capital actions across the supervisory and bank-specific scenarios consistent with the
bank’s internal capital policies and scenario conditions as appropriate.

SCHEDULE RI-A—CHANGES IN BANK EQUITY CAPITAL
Items 1 through 17: ITEMS RELATED TO SCHEDULE RI-A—CHANGES IN BANK EQUITY CAPITAL

Item 1 Total Bank equity capital most recently reported for the end of previous QUARTER
Report total Bank equity capital most recently reported for the end of previous quarter, as defined in
the Call Report Schedule RI-A, item 1 (except Call Report Schedule RI-A, item 1, is reported for the
end of the previous calendar year).
Item 2 Effect of changes in accounting principles and corrections of material accounting
errors
Report the effect of changes in accounting principles and corrections of material accounting errors,
as defined in the Call Report Schedule RI-A, item 2.

Item 3 Balance end of previous QUARTER as restated
This item is derived as the sum of items 1 and 2, as defined in the Call Report Schedule RI-A, line item
3.

Item 4 Net Income (loss) attributable to Bank
Report net income (loss) attributable to the Bank, as defined in the Call Report Schedule RI-A, item 4.

Item 5 Sale of perpetual preferred stock, gross
Report the sale of perpetual preferred stock, as defined in the Call Report Schedule RI-A, item 5.
Item 6 Conversion or retirement of perpetual preferred stock
46

Report the conversion or retirement of perpetual preferred stock, as defined in the Call Report
Schedule RI-A, item 5.
Item 7 Sale of common stock, gross
Report the sale of common stock, gross, as defined in the Call Report Schedule RI-A, item 5.

Item 8 Conversion or retirement of common stock
Report the conversion or retirement of common stock, as defined in the Call Report, Schedule RI-A,
item 5. Note: increases and decreases in additional paid in capital (APIC) attributable to the
amortization of employee stock compensation and any changes in APIC, or common stock as a result
of the actual issuance of common stock for the employee stock compensation should be captured in
this line item.
Item 9 Sale of treasury stock
Report the sale of treasury stock (if applicable), as defined in the Call Report, Schedule RI-A, item 6.
Item 10 Purchase of treasury stock
Report the purchase of treasury stock (if applicable), as defined in the Call Report, Schedule RI-A,
item 6.

Item 11 Changes incident to business combinations, net
Report the changes incident to business combinations, net, as defined in the Call Report, Schedule RIA, item 7.
Item 12 Cash dividends declared on preferred stock
Report cash dividends declared on preferred stock, as defined in Call Report, Schedule RI-A, item 8.

Item 13 Cash dividends declared on common stock
Report cash dividends declared on common stock, as defined in the Call Report Schedule RI-A, item 9.
Item 14 Other comprehensive income
Report other comprehensive income, as defined in the Call Report Schedule RI-A, item 10.

Item 15 Change in the offsetting debit to the liability for Employee Stock Ownership Plan
(ESOP) debt guaranteed by the Bank
If applicable to the Bank, report the change in the offsetting debit to the liability for Employee Stock
Ownership Plan (ESOP) debt guaranteed by the Bank, as defined in the Call Report, Schedule RI-A.

Item 16 Other adjustments to equity capital (not included above)
Report other adjustments to equity capital, not included above, as defined in the Call Report,
Schedule RI-A. Report amounts separately and provide a text explanation of each type of adjustment
to equity capital included in this item in item Memoranda 1 (line 125) at the end of this subschedule. Note: increases and decreases in APIC attributable to the amortization of employee stock
compensation and any changes in APIC, treasury or common stock as a result of the actual issuance
of common stock for the employee stock compensation should not be captured in this line item,
instead the impact should be captured in line items 7, 8, 9, and/or 10 as appropriate.

Item 17 Total bank equity capital end of current period
This item is a shaded cell and is derived from the sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15 and 16, less
items 10, 12 and 13. Note that this line item should correspond to the definition in the Call Report,
Schedule RC, line item 27a.
47

Regulatory Capital per Regulatory Capital Rule

Where applicable, please reflect the appropriate transition provisions for the appropriate line item.

AOCI Opt-Out Election

Item 18 AOCI opt-out election
Non-advanced approaches Banks have a one-time election to opt-out of the requirement to include
most components of AOCI in common equity tier 1 capital (with the exception of accumulated net
gains and losses on cash flow hedges related to items that are not recognized at fair value on the
balance sheet). A non-advanced approaches bank that makes this AOCI opt-out election must make
the same election on the Call Report filing. Enter “1” to opt out or “0” to opt in. There are no
transition provisions applicable to reporting line item 21, if a Bank makes an AOCI opt-out election.

Common Equity Tier 1

Item 19 Common stock and related surplus, net of treasury stock and unearned employee
stock ownership plan (ESOP) shares
Report the amount of common stock and related surplus as defined in Call Report Schedule RC-R,
part 1, item 1.

Item 20 Retained earnings
Report the amount of the Bank’s retained earnings as described in Call Report Schedule RC-R, Part 1,
item 2.

Item 21 Accumulated other comprehensive income (AOCI)
Report the amount of AOCI as described under GAAP in the U.S. that is included in Call Report
Schedule RC-R, Part 1, item 3.

Item 22 Common equity tier 1 minority interest includable in common equity tier 1 capital
Report the amount of the bank’s common equity tier 1 minority interest includable in common
equity tier 1 capital as defined in Call Report Schedule RC-R, part 1, line item 4.

Item 23 Common equity tier 1 capital before adjustments and deductions
This line item is a shaded cell and is derived from the sum of line items 19 through 22. This item
should align with the definition in Call Report Schedule RC-R, part 1, line item 5.

Common Equity Tier 1 Capital: Adjustments and Deductions
(where applicable, report all items reflective of transition provisions)

Item 24 Goodwill net of associated deferred tax liabilities (DTLs)
Report the amount of goodwill included in Call Report Schedule RC-R, Part 1, item 6.

Item 25 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net
of associated DTLs
Report the amount of intangible assets as defined in Call Report Schedule RC-R, Part 1, item 7.
48

Item 26 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 as defined in Call Report Schedule RC-R, Part 1, item 8.

AOCI-related Adjustments

If Item 18 is “1” for “Yes,” complete items 27 through 31 only for AOCI-related adjustments.
Item 27 AOCI-related Adjustments: Net unrealized gains (losses) on available-for-sale
securities
Report the amount of net unrealized holding gains (losses) on AFS securities, net of applicable taxes,
as defined in Call Report Schedule RC-R, Part 1, item 9a. If the amount is a net gain, report it as a
positive value in this item. If the amount is a net loss, report it as a negative value in this item.

Item 28 AOCI-related adjustments: Net unrealized loss on available-for-sale preferred stock
classified as an equity security under GAAP and available-for-sale equity exposures
Report as a positive value net unrealized loss on AFS preferred stock classified as an equity security
under GAAP and AFS equity exposures as defined in Call Report Schedule RC-R, Part 1, item 9b.

Item 29 AOCI-related adjustments: Accumulated net gains (losses) on cash flow hedges
Report the amount of accumulated net gains (losses) on cash flow hedges as defined in the Call
Report Schedule RC-R, Part 1, item 9c. If the amount is a net gain, report it as a positive value in
this item. If the amount is a net loss, report it as a negative value in this item.

Item 30 AOCI-related Adjustments: 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 as defined in Call Report Schedule RC-R, Part 1, item 9d,
resulting from the initial and subsequent application of ASC Subtopic 715-20 (formerly FASB
Statement No. 158, “Employers’ Accounting for Defined Benefit Pension and Other Postretirement
Plans”) to defined benefit postretirement plans resulting from the initial and subsequent application
of the relevant GAAP standards that pertain to such plans. A Bank may exclude this portion related
to pension assets deducted in item 36 above. If the amount is a net gain, report it as a positive value
in this item. If the amount is a net loss, report it as a negative value in this item.
Item 31 AOCI-related adjustments: Net unrealized gains (losses) on held-to-maturity
securities that are included in AOCI
Report the amount of net unrealized gains (losses) that are not credit-related on HTM securities and
are included in AOCI as defined in Call Report Schedule RC-R, Part 1, item 9e. If the amount is a net
gain, report it as a positive value. If the amount is a net loss, report it as a negative value.

If Item 18 is “0” for “No,” complete item 32 only for AOCI-related adjustments.

Item 32 Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable
tax effects, that relate to the hedging of items that are not recognized at fair value on the
balance sheet
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net of
applicable tax effects that relate to the hedging of items not recognized at fair value on the balance
sheet, as defined in Call Report Schedule RC-R, Part 1, item 9f. 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.
49

Item 33 Other deductions from (additions to) common equity tier 1 capital before
threshold-based deductions: 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) as defined in Call Report Schedule RC-R, Part 1, item
10a. If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss,
report it as a negative value in this item.
Item 34 All other deductions from (additions to) common equity tier 1 capital before
threshold-based deductions
Report the amount of other deductions from (additions to) common equity tier 1 capital as defined
in Call Report Schedule RC-R, Part 1, item 10b that are not included in items above.

Under the OCC’s stress test rules, a Bank’s calculations of pro forma regulatory capital ratios over the
planning horizon shall not include estimates using the advanced approaches. Accordingly, for this line
item, an advanced approaches Bank that has exited parallel run should not include expected credit
losses that exceed the eligible credit reserves.

Item 35 Non-significant investments in the capital of unconsolidated financial institutions
in the form of common stock that exceed the 10 percent threshold for non-significant
investments
This line item should be reported reflective of any applicable transition provisions, and should
correspond to the definition in Call report Schedule RC-R, part 1, line item 11.
Item 36 Subtotal (item 23 minus items 24 through 35)
This captures the item 23 less items 24 through 35.

Item 37 Significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs, that exceed 10 percent common equity tier 1
capital deduction threshold
This item is not a derived calculation, Banks should supply data for this line item.

This item is based on item 71, reflective of any applicable transition provisions, and should
correspond to the definition in Call Report Schedule RC-R, Part 1, item 13.

Item 38 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1
capital deduction threshold
This item is not a derived calculation, Banks should supply data for this line item.
This item is based on item 76, reflective of any applicable transition provisions, and should
correspond to the definition in Call Report Schedule RC-R, part 1, line item 14.

Item 39 DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs, that exceed
the 10 percent common equity tier 1 capital deduction threshold (item 100)
This item is not a derived calculation, Banks should supply data for this line item.
This item is based on item 79, reflective of any applicable transition provisions, and should
correspond to the definition in the Call Report, Schedule RC-R, Part 1, item 15.
50

Item 40 Amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs arising
from temporary differences that could not be realized through net operating loss
carrybacks, net of related valuation allowances and net of DTLs; that exceeds the 15 percent
common equity tier 1 capital deduction threshold
This item is not a derived calculation, Banks should supply data for this line item.
This item is based on line item 84, reflective of any applicable transition provisions, and should
correspond to the definition in Call Report Schedule RC-R, Part 1, item 16.

Item 41 Deductions applied to common equity tier 1 capital due to insufficient amount of
additional tier 1 capital and tier 2 capital to cover deductions
Report the total amount of deductions as defined in Call Report Schedule RC-R, Part 1, item 17, if the
Bank does not have a sufficient amount of additional tier 1 capital and tier 2 capital to cover these
corresponding additional tier 1 and tier 2 deductions in items 47 and 57.

Item 42 Total adjustments and deductions for common equity tier 1 capital
This item is a shaded cell that is derived from the sum of line items 37 to 41. This item should
correspond to the definition in the Call Report, Schedule RC-R, part 1, item 18.

Item 43 Common equity tier 1 capital
This item is a shaded cell that is derived from item 36 minus item 42. This item is the numerator of
the Bank’s common equity tier 1 risk-based capital ratio, which should align with Call Report,
Schedule RC-R, Part 1, item 19.

Additional Tier 1 Capital

Item 44 Additional tier 1 capital instruments plus related surplus
Report this item as defined in the Call Report, Schedule RC-R, Part 1, item 20.

Item 45 Non-qualifying capital instruments subject to phase out from additional tier 1
capital
Report this item as defined in the Call Report Schedule RC-R, Part 1, item 21, subject to the
applicable phase-out schedule as described within the Call Report.
Item 46 Tier 1 minority interest not included in common equity tier 1 capital
Report this item as consistent with the Call Report Schedule RC-R, Part 1, item 22.

Item 47 Additional tier 1 capital before deductions
This is a shaded cell and is derived from the total of items 44 through 46. This item should align with
the definition in the Call Report, Schedule RC-R, part 1, item 23.
Item 48 Additional tier 1 capital deductions
Report this item as consistent with the Call Report Schedule RC-R, Part 1, item 24, including all
applicable transition provisions.
Item 49 Additional tier 1 capital
Report this item as consistent with the Call Report Schedule RC-R, Part 1, item 25.

Tier 1 Capital

51

Item 50 Tier 1 capital (sum of items 67 and 73)
This is a shaded cell and is derived from the sum of items 43 and 49. This line item is the
numerator of the bank’s tier 1 risk-based capital ratio and tier 1 leverage ratio and should be
consistent with the definition in the Call Report Schedule RC-R, Part 1, item 26.

Tier 2 Capital

Item 51 Tier 2 capital instruments plus related surplus
Report the amount as defined in the Call Report Schedule RC-R, Part 1, item 27.

Item 52 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 as
defined in the Call Report Schedule RC-R, Part 1, item 28.

Item 53 Total Capital minority interest that is not included in tier 1 capital
Report the amount of total capital minority interest as defined in the Call Report Schedule RC-R, Part
1, item 29.
Item 54 Allowance for loan and lease losses includable in tier 2 capital
Report the portion of the Bank’s allowance for loan and lease losses that is includable in tier 2
capital, as defined in the Call Report Schedule RC-R, Part 1, item 30a.

Item 55 (Advanced approaches Banks that exit parallel run only): eligible credit reserves
includable in tier 2 capital
Banks do not have to report this item.

Item 56 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
Banks should report this line item consistent with the definition in the Call Report Schedule RC-R,
part 1, line item 31.
Item 57 Tier 2 capital before deductions
This item is a shaded cell that is derived from the sum of items 51, 52, 53, 54, and 56, and should
correspond to the definition in the Call Report Schedule RC-R, Part 1, item 32a.
Item 58 (Advanced approaches banks that exit parallel run only): Tier 2 capital before
deductions, reflective of transition procedures
Banks do not have to report this line item.

Item 59 Tier 2 capital deductions
Report total tier 2 capital deductions from the Call Report Schedule RC-R, Part 1, item 33.

Item 60 Tier 2 capital
This item is a shaded cell and captures the difference between items 57 and 59. This item
corresponds to the definition in the Call Report Schedule RC-R, Part 1, item 34a.

Item 61 (Advanced approaches Banks that exit parallel run): Tier 2 capital, reflective of
transition provisions
52

Banks do not have to report this item.

Total Capital

Item 62 Total capital
This item is a shaded cell and is derived from the sum of items 50 and 60. This line item is the
numerator of the bank’s total risk-based capital ratio and corresponds to the definition in the Call
Report Schedule RC-R, Part 1, item 35a.

Item 63 (Advanced approaches Banks that exit parallel run only): Total capital, reflective of
transition provisions (sum of items 50 and 61)
Banks do not have to report this item.

Threshold Deductions Calculations

Non-significant investments in the capital of unconsolidated financial institutions in the form
of common stock, net of associated DTLs
Item 64 Aggregate non-significant investments in the capital of unconsolidated financial
institutions, including in the form of common stock, additional tier 1, and tier 2 capital
Aggregate holdings of capital instruments relevant to non-significant investments in the capital of
unconsolidated financial entities. This should correspond to the definition of non-significant
investments in the Call Report, Schedule RC-R, part 1, line item 11.
Item 65 10 percent common equity tier 1 deduction threshold for non-significant
investments in the capital of unconsolidated financial institutions in the form of common
stock
This line item is a shaded cell and is derived as ten percent of (line item 23 less line items 24
through 34).

Item 66 Amount of non-significant investments that exceed the 10 percent deduction
threshold for non-significant investments
This line item is a shaded cell and is derived as line item 64 less line item 65. If line item 65 is
greater than line item 64 this is set to zero. This line item should be consistent with the definition in
the Call Report, Schedule RC-R, part 1, line item 11.

10 Percent / 15 Percent Threshold Deduction Calculations

Significant investments in the capital of unconsolidated financial institutions in the form of
common stock, net of associated DTLs.
Item 67 Gross significant investments in the capital of unconsolidated financial institutions
in the form of common stock
Report aggregate holdings of capital instruments relevant to significant investments in the capital of
unconsolidated financial entities, including direct, indirect and synthetic holdings in both the
banking book and trading book.

Item 68 Permitted offsetting short positions in relation to the specific gross holdings
included above
Report offsetting positions in the same underlying exposure where the maturity of the short position
53

either matches the maturity of the long position or has a residual maturity of at least one year.

Item 69 Significant investments in the capital of unconsolidated financial institutions in the
form of common stock net of short positions
This item is a shaded cell and is derived from the greater of item 67 minus item 68 or zero. This line
item should correspond to the definition of significant investments in the Call Report, Schedule RC-R,
part 1, line item 13.
Item 70 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 36.

Item 71 Amount to be deducted from common equity tier 1 due to 10 percent deduction
threshold
This item is a shaded cell and is derived from the greater of item 69 minus item 70 or zero.

MSAs, Net of Associated DTLs

Item 72 Total mortgage servicing assets classified as intangible
Report the amount of MSAs included in Schedule RC-M, item 2(a), prior to any netting of associated
DTLs.

Item 73 Associated deferred tax liabilities which would be extinguished if the intangible
becomes impaired or derecognized under the relevant accounting standards
The amount of MSAs to be deducted from common equity tier 1 is to be offset by any associated
DTLs. If the bank chooses to net its DTLs associated with MSRs against DTAs, those DTLs should
not be deducted again here.
Item 74 Mortgage servicing assets net of related deferred tax liabilities
This item is a shaded cell and is derived from items 72 and 73.

Item 75 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 36.

Item 76 Amount to be deducted from common equity tier 1 due to 10 percent deduction
threshold
This item is a shaded cell and is derived from items 74 and 75.

DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs

Item 77 DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs
Report this line item consistent with the definition of DTAs in the Call Report, Schedule RC-R, part 1,
line item 15.
Item 78 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 36.

Item 79 Amount to be deducted from common equity tier 1 due to 10 percent deduction
54

threshold
This item is a shaded cell and is derived from items 77 and 78. This line item should be consistent
with the definition in the Call Report, Schedule RC-R, part 1, line item 15.

Aggregate of items subject to the 15 Percent limit (significant investments, mortgage
servicing assets, and deferred tax assets arising from temporary differences)
Item 80 Sum of items 69, 74, and 77
This item is a shaded cell and is derived from items 69, 74, and 77.

Item 81 15 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 36. For advanced approaches Banks, starting
January 1, 2018, this item is derived from items 36 and 80.

Item 82 Sum of items 71, 76, and 79
This item is a shaded cell and is derived from items 71, 76, and 79.

Item 83 Item 80 minus item 82
This item is a shaded cell and is derived from items 80 less item 82.

Item 84 Amount to be deducted from common equity tier 1 due to 15 percent deduction
threshold, prior to transition provision (greater of item 83 minus item 81, or zero)
This item is a shaded cell and is derived from items 81 and 83.

Total Assets for the Leverage Ratio

Item 85 Average total consolidated assets
Report the amount of average total consolidated assets as defined in Call Report Schedule RC-R, Part
1, item 36.
Item 86 Deductions from common equity tier 1 capital and additional tier 1 capital
Report the amount of deductions from common equity tier 1 capital and additional tier 1 capital as
defined in the Call Report Schedule RC-R, Part 1, item 37.

Item 87 Other deductions from (additions to) assets for leverage ratio purposes
Report the amount of any deductions from assets as defined in the Call Report, Schedule RC-R, part 1,
item 38. If the amount is a net deduction, report it as a positive value in this item. If the amount is a net
addition, report it as a negative value in this item.

Item 88 Total assets for the leverage ratio
This item is a shaded cell and is derived from item 85 minus items 86 and 87. This should
correspond to the definition in the Call Report Schedule RC-R, Part 1, item 39.

Regulatory Capital Ratios

Item 89 Common Equity Tier 1
This item is a shaded cell and is derived from item 43.
55

Item 90 Tier 1 Capital
This item is a shaded cell and is derived from item 50.
Item 91 Total Capital
This item is a shaded cell and is derived from item 62.

Item 92 Total Capital (advanced approaches Banks that exit parallel run only)
Banks do not have to report this item.

Item 93 Total risk-weighted assets using standardized approach
For all Banks, please report the total amount of Standardized RWA for the actual quarter. This is not
a derived item; banks should fill in this item.

Item 94 (Advanced approaches banks that exit parallel run only): total risk-weighted assets
using advanced approaches rules
Banks do not have to report this item.

Item 95 Total Assets for the Leverage Ratio per the regulatory capital rule
This is derived from item 88 and should correspond to the definition in the Call Report Schedule RCR, Part 1, item 39.

Item 96 Supplementary Leverage Ratio Exposure
Starting January 1, 2018, Banks subject to the supplementary leverage ratio should report their total
supplementary leverage ratio exposure consistent with the definition in 12 CFR 3.
Item 97 Common Equity Tier 1 Ratio (%)
This item is derived from item 89 divided by item 93. This line item should correspond to the
definition in the Call Report, Schedule RC-R, part 1, line item 41.A

Item 98 Common Equity Tier 1 Ratio (%) (advanced approaches Banks that exit parallel run
only)
Banks do not have to report this item.
Item 99 Tier 1 Capital Ratio (%)
This item is a shaded cell and is derived from item 90 divided by item 93. This line item should
correspond to the definition in the Call Report, Schedule RC-R, part 1, line item 42.A.

Item 100 Tier 1 Capital Ratio (%) (advanced approaches Banks that exit parallel run only)
Banks do not have to report this item.

Item 101 Total risk-based capital ratio (%)
This item is a shaded cell and is derived from item 91 divided by item 93. This line item should
correspond to the definition in the Call Report, Schedule RC-R, part 1, line item 43.A.

Item 102 Total risk-based capital ratio (%) (advanced approaches Banks that exit parallel
run only)
Banks do not have to report this item.
56

Item 103 Tier 1 Leverage Ratio (%)
This item is a shaded cell and is derived from item 90 divided by item 95. This line item should
correspond to the definition in the Call Report, Schedule RC-R, part 1, line item 44.

Item 104 Supplementary Leverage Ratio (%)
This line item is derived from line item 90 divided by line item 96. This item is reported starting
January 1, 2018.

Schedule RC-F—Other Assets
Item 105 Net deferred tax assets
Report net DTAs, as defined in the Call Report Schedule RC-F, item 2.

Schedule RC-G—Other Liabilities
Item 106 Net deferred tax liabilities
Report net DTLs, as defined in the Call Report Schedule RC-G, item 2.
Line item 107 Not collected by the OCC
Line item 108 Not collected by the OCC
Deferred Asset Information:
Item 109 Potential net operating loss carrybacks
Report the amount of taxes previously paid that the bank could recover through net operating loss
carrybacks. Report the full amount recoverable without consideration of the bank’s DTA/DTL
position at the reporting date. For the purposes of this line item, the bank should not include taxes
paid in jurisdictions that do not allow a firm to recover taxes paid in prior fiscal years. Report
disaggregated data for taxes paid in memorandum line items 126, 127, and 128.

Item 110 Deferred tax assets that arise from net operating loss and tax credit
carryforwards, net of DTLs, but gross of related valuation allowances
Report the aggregate amount of DTAs that arise from net operating loss and tax credit
carryforwards, net of associated DTLs, but gross of associated valuation allowances. This line item
should correspond to the definition of DTAs in the Call Report, Schedule RC-R, part 1, line item 8,
before the application of any transition provisions plus any related valuation allowances.

Item 111 Valuation allowances related to deferred tax assets that arise from net operating
loss and tax credit carryforwards
Report any valuation allowances related to DTAs that arise from net operating loss and tax credit
carryforwards, net of associated DTLs.

Item 112 Deferred tax assets arising from temporary differences, net of DTLs
Report the aggregate amount of DTAs arising from temporary differences, net of DTLs. If DTLs
57

exceed DTAs from temporary differences, this item should be reported as a negative number. This
line item should correspond to the gross amount of DTAs arising from temporary differences, net of
DTLs as defined in the Call Report, Schedule RC-R, part 1, line item 15, before any netting associated
with potential net operating loss carrybacks or related valuation allowances.
Item 113 Valuation allowances related to DTAs arising from temporary differences
Report any valuation allowances related to DTAs arising from temporary differences.

Supplemental Capital Action Information

Item 114 Cash dividends declared on common stock
Item 115 Common shares outstanding (Millions)
If applicable, report the number (in millions) of common shares outstanding at the time dividends on
common stock are declared such that line item 116 reflects the bank’s intended quarterly
distribution of common dividends per share.

Item 116 Common dividends per share ($)
If applicable, report the bank’s intended quarterly distribution in common dividends per share.

Item 117 Issuance of common stock for employee compensation
If applicable, report the amount (in $millions) of the issuance of common stock for employee
compensation. Include increases and decreases in APIC attributable to the amortization of employee
stock compensation and any changes in APIC, treasury or common stock as a result of the actual
issuance of common stock for the employee stock compensation.
Item 118 Other issuance of common stock
Report the amount (in $millions) of other issuance of common stock.
Item 119 Total issuance of common stock
Item 120 Not collected by the OCC
Item 121 Other share repurchases
Report the amount (in $millions) of all other share repurchases.

Item 122 Total share repurchases

Supplemental Information on Trust Preferred Securities Subject to Phase-Out from Tier 1
Capital
Item 123 Outstanding trust preferred securities
If applicable, report the outstanding notional balance of trust preferred securities.

Item 124 Trust preferred securities included in item 49
If applicable, report trust preferred securities qualifying for tier 1 capital and included in item 49
above.
58

MEMORANDA:
Memoranda Item 125 Itemized other adjustments to equity capital
Report amounts separately of other adjustments to equity capital included in item 16, and provide a
text explanation of each type of adjustment.
Itemized historical data related to taxes paid:
Memoranda Item 126 Taxes paid during fiscal year ended two years ago
Report the amount of taxes paid during fiscal year ended two years ago that are included in line item
109, assuming that fiscal years align with calendar years.
Memoranda Item 127 Taxes paid during fiscal year ended one year ago
Report the amount of taxes paid during fiscal year ended one year ago that are included in line item
109, assuming that fiscal years align with calendar years.

Memoranda Item 128 Taxes paid through the as-of date of the current fiscal year
Report the amount of taxes paid during the current fiscal year through the as-of date that are
included in line item 109, assuming that fiscal years align with calendar years.

Memoranda Item 129 Reconcile the Supplemental Capital Action and RI-A projections
In this item, reconcile the supplemental capital actions with RI-A projections reported in items 1
through 12; that is, allocate the capital actions among the RI-A buckets.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.

Retail

1. Retail Balance & Loss Projections
Retail

Loans on the retail schedules should be reported based on the loan's classification on the Call Report
Schedule RC-C (i.e., based on the loan’s collateral, counterparty, or purpose). Refer to the Call
Report instructions for Schedule RC-C for guidance on loan classification. All loans should be reported
net of charge-offs.
• Domestic refers to portfolios held in domestic U.S. offices (as defined in the Call Report
glossary),
• International refers to portfolios outside of the domestic U.S. offices.

The Retail Balance and Loss Projections worksheet collects projections of business-line level
balances and losses on bank’s held for investment loans accounted for at amortized cost (accrual
loans). Loans HFS and loans HFI under the fair value option should not be included.
59

Retail Loan Categories

A. First Lien Mortgages (in Domestic Offices)
The loan population includes all domestic first lien mortgage loans directly held on the Bank’s
portfolio. Portfolio loans are all loans as defined in the Call Report Schedule RC-C, item 1.c.2.(a).

B. First Lien HELOANs (in Domestic Offices)
The Loan population includes all domestic first lien home equity loans directly held on the Bank’s
portfolio. Portfolio loans are all loans as defined in the Call Report Schedule RC-C, item 1.c.(2)(a).

C. Closed-End Junior Liens (in Domestic Offices)
The loan population includes all domestic loans directly held on the Bank’s portfolio. Portfolio loans
are all loans as defined in the Call Report Schedule RC- C, item 1.c.(2)(b).
D. HELOCs (in Domestic Offices)
The loan population includes all first and junior lien domestic lines directly held on the Bank’s
portfolio. Portfolio lines are all loans as defined in the Call Report Schedule RC-C, item 1.c.(1).

E. First Lien Mortgages and HELOANs (International)
The loan population includes all non-domestic loans directly held on the Bank’s portfolio. Portfolio
loans are all loans as defined in the Call Report Schedule RC-C, item 1.c.(2)(a).
F. Closed-End Junior Liens and Home Equity Lines Of Credit (International)
The loan population includes all non-domestic loans/lines directly held on the Bank’s portfolio.
Portfolio loans are all loans/lines as defined in the Call Report Schedule RC-C, items 1.c.(2)(b) and
1.c.(1).

G. Corporate Card (Domestic)
Employer-sponsored domestic credit cards for use by a company’s employees. This includes U.S.
corporate credit card loans as defined in the Call Report Schedule RC-C, item 4.a, and U.S. corporate
card loans reported in other Call Report lines. Only include cards where there is any individual
liability associated with the sub-lines such that individual borrower characteristics are taken into
account during the underwriting decision, and/or performance on the credit is reported to the credit
bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of
credit losses incurred should not be reported in this worksheet.

H. Business Card (Domestic)
Small business domestic credit card accounts where the loan is underwritten with the sole
proprietor or primary business owner as an applicant. Report at the control account level or the
individual pay level (not at the sub-account level). This includes SME credit card loans as defined in
the Call Report Schedule RC-C, item 4.a, and U.S. corporate card loans reported in other Call Report
lines.

Only include cards where there is any individual liability associated with the sub-lines such that
individual borrower characteristics are taken into account during the underwriting decision, and/or
performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of
60

credit losses incurred should not be reported in this Worksheet.

I. Charge Card (Domestic)
Domestic credit cards for which the balance is repaid in full each billing cycle. Exclude charge cards
to corporations and small businesses (report in Corporate Card or Business Card as appropriate).

J. Bank Card (Domestic)
Regular general purpose domestic credit cards as defined in the Call Report Schedule RC-C, item 6.a
or 9.b.

Bank cards include products that can be used at a wide variety of merchants, including any who
accept MasterCard, Visa, American Express or Discover credit cards. Include affinity and co-brand
cards in this category, and student cards, if applicable. This product type also includes private label
or proprietary credit cards, which are tied to the retailer issuing the card and can only be used in
that retailer’s stores. Include oil and gas cards in this loan type.
Exclude bank cards to corporations and small businesses (report in Corporate Card or Business
Card, as appropriate).

K. Business and Corporate Card (International)
Report employer-sponsored non-domestic credit cards for use by a company’s employees and small
business non-domestic credit card accounts where the loan is underwritten with the sole proprietor
or primary business owner as an applicant. Such loans as defined in the Call Report, Schedule RC-C,
item 4.b, and International corporate and business card loans reported in other Call Report lines.
For corporate cards, only include cards where there is any individual liability associated with the
sub-lines such that individual borrower characteristics are taken into account during the
underwriting decision, and/or performance on the credit is reported to the credit bureaus.

For bank cards, only include cards where there is any individual liability associated with the sublines such that individual borrower characteristics are taken into account during the underwriting
decision, and/or performance on the credit is reported to the credit bureaus.

Loans for which a commercially-graded corporation is ultimately responsible for repayment of
credit losses incurred should not be reported in this worksheet.

L. Bank and Charge Card (International)
Include both non-domestic credit cards for which the balance is repaid in full each billing cycle and
regular general purpose non-domestic credit cards as defined in the Call Report Schedule RC-C item
6.a or 9.b.
Bank cards include products that can be used at a wide variety of merchants, including any who
accept MasterCard, Visa, American Express or Discover credit cards. Include affinity and co-brand
cards in this category, and student cards, if applicable. This product type also includes private label
or proprietary credit cards, which are tied to the retailer issuing the card and can only be used in
that retailer’s stores. Include oil and gas cards in this loan type.

Exclude bank cards to corporations and small businesses (report in Corporate Card or Business
Card, as appropriate).
61

M. Auto Loans (Domestic)
Include all domestic auto loans as defined in the Call Report Schedule RC-C, item 6.c and repossessed
automobiles as defined in the Call Report Schedule RC-F.

N. Auto Loans (International)
Include all non-domestic auto loans as defined in the Call Report Schedule RC-C, item 6.c and
repossessed automobiles as defined in the Call Report Schedule RC-F.

O. Auto Leases (Domestic)
Include domestic auto leases as defined in the Call Report Schedule RC-C, item 10.a and repossessed
automobiles as defined in the Call Report Schedule RC-F.
P. Auto Leases (International)
Include non-domestic auto leases as defined in the Call Report Schedule RC-C, item 10.a and
repossessed automobiles as defined in the Call Report Schedule RC-F.
Q. Student Loan
Include student loans as defined in the Call Report Schedule RC-C.

R. Small Business Loan - Scored (Domestic)
The loan population of domestic small business loans is dependent on two factors: 1) the
classification of the loan as defined in the Call Report Schedule RC-C (i.e., based on the collateral,
counterparty, or purpose of the loan); and(2) whether the method to measure credit risk for the
loan is different than that used for ordinary corporate loans.
a. Reportable loans may include those small business loans that are included in the Call
Report Schedule RC-C, items 2.a, 2.b, 3, 4.a and 4.b (excluding SME credit card loans
included on Item 4.a 7, 9.b.(1), 9,b.(2) and 10.b.
b. To be classified as a small business loan, the method to measure credit risk must be
different than the method used for other corporate loans. Commercial internal risk
ratings or grades tend to not be used to assess credit risk for ordinary corporate loans.
Meanwhile, small business loans tend to be scored or delinquency managed.
Additionally, loans that are nevertheless internally risk weighted but that use a scale
different from that used for ordinary corporate loans may also be considered small
business loans.
S. Small Business Loan - Scored (International)
The population of international small business loans includes all non-domestic loans that fit the
definition of small business loans (see above).

T. Other Consumer Loans and Leases (Domestic)
a. Include all domestic loans as defined in the Call Report Schedule RC-C, items 6.b and 6.d
excluding student loans and non-purpose based securities loans. Non-purpose based
securities loans are loans secured by a portfolio of securities that are used for the
purpose of something other than purchasing securities.
b. Include domestic non-auto leases as defined in the Call Report Schedule RC-C, item 10.a.

U. Other Consumer Loans and Leases (International)
a. Include all non-domestic loans as defined in the Call Report Schedule RC-C, items 6.b and
6.d excluding student loans and non-purpose securities based loans. Non-purpose
securities based loans are loans secured by a portfolio of securities that are used for the
62

purpose of something other than purchasing securities.
b. Include non-domestic non-auto leases as defined in the Call Report Schedule RC-C, item
10.a.

For Sections A through U: Report line items 1 through 8 for the current quarter and
nine subsequent projected quarters (PQ1 through PQ9). Reporting of projections for
credit cards should be based on all open accounts (active and inactive), but not charged-off
accounts

Item 1 Balances
Report according to Call Report definitions (end of quarter levels). Report end of quarter levels for
each section. Where requested, please segment the total balances reported by age. For those lines,
balances should be classified according to the origination date of the account with which the balance
is associated.
Item 2 New Originations
Report the total dollar amount of new originations net of sales to Agencies. Report only originations
for those loans and leases that the Bank has the intent and ability to hold for the foreseeable future
or until maturity or payoff.
Item 3 Paydowns
Report the total dollar of repayments received in the given quarter.

Item 4 Asset Purchases
Report the total dollar of assets purchased in the given quarter. Include mortgages repurchased
from GSEs and private securitizations that are put back onto the general ledger.
Item 5 Asset Sales
Report the total dollar of assets sold in the given quarter, net of sales to Agencies.

Item 6 Loan Losses
Report the total dollar of net charge-offs recognized in the given quarter.

Item 7 Cumulative Interim Loan Losses – Non-PCI
Report the total unpaid principal balance that has been charged-off on loans in the segment through
quarter-end of the reporting period on non-Purchased Credit-Impaired (PCI) loans. Interim chargeoffs include all cumulative partial charge-offs/write-downs for loan that have not been fully
charged-off or otherwise liquidated.

Item 8 Cumulative Interim Loan Losses – PCI
Report the total interim losses through quarter-end of the reporting period that have been or are
expected to be covered by the non-accretable mark or the reserve set up post-mark (ALLL) to cover
additional shortfalls in expected cash flows on Purchased Credit-Impaired (PCI) loans. This item
should not include liquidated loans.

For more information on purchased credit-impaired loans, refer to the Call Report Schedule RC-N,
Memorandum item 9.
63

AFS/HTM Securities
General Instructions
High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio, Projected
OTTI for AFS and HTM Securities by Portfolio, Projected Other Comprehensive Income (OCI) and Fair
Value for AFS and Impaired HTM Securities, and Actual AFS and HTM Fair Market Value Sources by
Portfolio collect data on the following types of securities:
•
•

•
•

•

•
•
•
•
•
•
•
•

•
•
•

government agency MBS: MBS issued or guaranteed by U.S. Government agencies;
auction rate securities: auction-rate securities are variable rate securities with long-term
maturities whose interest rates are periodically reset through auctions occurring at
predetermined short-term intervals (generally 7, 14, 28, or 35 days);
collateralized debt obligations (CDOs): CDOs are asset-backed securities collateralized by a
discrete portfolio of fixed income assets and that make payments based on the performance of
those assets;
collateralized loan obligations (CLOs): CLOs are securitizations of portfolios of loans through a
bankruptcy-remote special-purpose vehicle (SPV) that issues asset-backed securities in one or
more classes (or tranches). In general, CLOs are backed by a variety of assets, including whole
commercial loans, revolving credit facilities, letters of credit, and bankers’ acceptances;
commercial mortgage-backed securities (CMBS): Exclude securities that have been issued or
guaranteed by the Federal National Mortgage Association (FNMA) or the Federal Home Loan
Mortgage Corporation (FHLMC) or guaranteed by the Government National Mortgage
Association (GNMA). Report these securities as “Agency MBS” (above);
common stock (equity);
auto asset-backed securities (ABS): ABS collateralized by auto loans;
Credit Card ABS: ABS collateralized by credit card loans;
Student Loan ABS: ABS collateralized by student loans;
Other ABS (excluding home equity loan ABS): all other ABS that cannot properly be reported
as auto ABS, credit card ABS, student loan ABS or home equity loan ABS;
corporate bonds: corporate bonds are debt obligations issued by corporations and may be
secured or unsecured;
Covered bonds: securities generally classified as “covered bonds” that feature recourse to cash
flows of a pool of mortgages or public-sector loans on the balance sheet of an issuing financial
institution
domestic non-government agency residential mortgage-backed securities (RMBS, includes
home equity loan ABS): RMBS, including securities backed by home equity loans, that are
issued by domestic non-government agency entities, such as Alt-A (option ARM), Alt-A FRM,
Alt-A ARM, closed-end second, HELOC, Scratch & Dent, Subprime, Prime Fixed, and Prime ARM
securities;
Foreign RMBS: RMBS of foreign issuers;
municipal bonds: bonds issued by U.S. states, cities, counties, and other governmental entities
at or below the state level. Include bonds issued by Canadian provinces or other local
government entities and bonds issued by other non-U.S. local government entities;
mutual funds: investments in mutual funds, including money market mutual funds and mutual
funds that invest solely in U.S. government securities;
64

•
•

•

•

preferred stock (equity): refer to the Call Report Glossary entry for “Preferred Stock”;
sovereign bonds: bonds issued by the central governments of foreign countries. Also, include
in this category obligations of foreign country central banks, foreign central government units
or agencies, fully government-guaranteed obligations of municipal or state-owned enterprises;
and obligations of supranational organizations such as the International Bank for
Reconstruction and Development (World Bank), Inter-American Development Bank, and Asian
Development Bank;
U.S. Treasuries & other government agency non-MBS: U.S. government agency obligations
issued by U.S. government agencies and U.S. government-sponsored agencies, including but not
limited to, Small Business Administration “Guaranteed Loan Pool Certificates,” U.S. Maritime
Administration obligations, and Export–Import Bank participation certificates. Include
obligations (other than MBS) issued by the Farm Credit System, the Federal Home Loan Bank
System, the Federal Home Loan Mortgage Corporation, the Federal National Mortgage
Association, the Financing Corporation, Resolution Funding Corporation, the Student Loan
Marketing Association, and FDIC Structured Sale Guaranteed Notes and NCUA Guaranteed
Notes; and
other securities (for "other" AFS and HTM securities, please provide the security type in item
28, currently labeled "Other," adding extra rows below as necessary: all securities that cannot
properly be reported in the categories above.

In circumstances whereby the Bank holds securities in both AFS and HTM categories within a given
asset class, separate each security into separate rows. If using additional rows, Banks should
ensure that the totals sum appropriately. All Banks should estimate results using the conditions
specified in the macroeconomic scenario. Securities should correspond with where the reporter
has classified the asset on the balance sheet of the Call Report.

65

1. Projected OTTI for AFS Securities and HTM by Security

For each individual security that incurred a loss in profit and loss (P/L), state the identifier value
(CUSIP or ISIN) and the amount of loss projected (over the entire forecast horizon). Generally,
securities should always be reported with a public identifier, if available, such as a valid CUSIP, ISIN,
or SEDOL. If a valid CUSIP, ISIN or SEDOL identifier exists for the security, please report the value of
the chosen identifier (the CUSIP, ISIN, or SEDOL code) and indicate the identifier type as CUSIP, ISIN,
or SEDOL. If a CUSIP, ISIN, or SEDOL identifier is not available for a given security, please report an
alternative public identifier value, if available, and report the identifier type. If only a private or
internal identifier is available, please indicate “INTERNAL.” Create a separate line item for each
position. Total projected losses in the Credit Loss Portion should reconcile to the total sum of
projected credit losses (across all quarters) provided in the Projected OTTI for AFS and HTM
Securities by Portfolio Schedule (A.3.c).
In circumstances whereby the Bank holds securities in both AFS and HTM categories within a given
asset class, separate each security into separate line items.

2. High-Level OTTI Methodology and Assumptions for AFS and HTM Securities
by Portfolio
Complete the unshaded cells in the table provided. In the “Threshold for Determining OTTI”
column, report either the price-based threshold, the ratings-based threshold, the cash flow modelbased threshold, or other threshold. Report the aggregate cumulative lifetime loss on underlying
collateral (percentage original balance) as the total undiscounted loss amount (including both
historical and projected losses) for the underlying collateral as a percentage of original principal
balance of the securities aggregated by portfolio. In the “discount rate methodology” column, state
whether a market-based or accounting-based (e.g., book /purchase price) discount is used. In the
final three columns: provide the name(s) of any vendor(s) and any vendor models that are used,
indicate whether all securities were reviewed for potential OTTI for stress testing and provide the
macro- economic and financial variables used in loss estimation.

3. Projected OTTI for AFS and HTM Securities by Portfolio

Provide the credit loss portion and non-credit loss portion of projected OTTI (for relevant
portfolios) for the quarters detailed in the tables provided. Values should be quarterly, not
cumulative.

OTTI related to the security’s credit loss is recognized in earnings, whereas the OTTI related to other
factors (defined as the non-credit loss portion) is included as part of a separate component of OCI.
For only those securities determined to be other-than-temporarily impaired, Banks should provide
both projected losses that would be recognized in earnings and any projected losses that would be
captured in OCI. Amortized Cost should represent all Securities held, regardless of if they are
impaired or not. OTTI values should be stated as positive values.

66

4. Projected OCI and Fair Value for AFS and Impaired HTM Securities

The “Total Actual Fair Market Value” column is the end-of-quarter fair value of the portfolio assets
for the reporting quarter.

The “Beginning Fair Market Value” in each column for the projected quarters represents the
beginning-of-quarter fair value of the AFS and impaired HTM portfolio assets evaluated during the
projected quarter. For avoidance of doubt, securities purchased in the middle of the quarter should
be accounted for in the Beginning Fair Market Value of the subsequent quarter.

The “Fair Value Rate of Change” is the weighted average percent change in fair value over the
quarter for assets projected to be held at the beginning and end of the relevant quarter. (The “Fair
Value Rate of Change” is not a ratio of projected OCI to Beginning Fair Market Value). The Fair Value
Rate of Change should represent the change in price of the assets whereby the change in fair value
does not include amortizations or paydowns. Reinvested assets should be included if the securities
were held at the beginning and end of the relevant quarter.

The “Projected OCI” in each column represents the pre-tax incremental change in accumulated OCI
during the period due to changes in the fair value of the securities in the portfolio and may also
reflect changes in amortized cost, including changes due to amortization and accretion, or any other
anticipated factors affecting the amortized cost amounts of AFS and impaired HTM holdings. Future
OCI may include fair value gains and losses on new instruments if reinvestments are anticipated.
These columns, including the “Total Projected OCI in all Quarters,” may be affected by changes in the
securities' amortized cost due to a projected experience of OTTI and estimate of OTTI write-down
for a given quarter.
Report OCI gains as positive values and OCI losses as negative values.

5. Actual AFS and HTM Fair Market Value Sources by Portfolio

Provide information on the sources of actual fair market values as of the reporting date. In the
“Principal Market Value Source” column, state whether a vendor or proprietary model is used. If
using a third-party vendor, provide the name of the vendor. Banks should also indicate how often
securities are normally marked to market (e.g., daily, weekly, quarterly, etc.).
Supporting documentation:
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.

Trading

Only the banks subject to the market shock scenario are required to complete this
worksheet.

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The Trading worksheet collects firm-wide trading profit and loss (P/L) results decomposed into the
various categories listed (e.g., Equities, FX, Rates) as of a date specified by the OCC or another recent
reporting date prior to the supplied as-of date as appropriate (see When to Report section of the
General Instructions for additional detail). These categories are not meant to denote lines of
business or desks, but rather firm-wide totals by risk. The decomposition of losses into risk areas
should sum to equal the total trading mark-to-market (MTM) loss reported on the income
statement. Report total P/L for the entire scenario horizon. When reporting P/L numbers, report
profits as positive numbers and losses as negative numbers.

Bank specific scenario trading workstream scenario design must be backed up with points of
weakness analysis. POW is a determination of individual scenarios business unit by business that are
the unit worst case scenario.

Do not report FVA losses in this schedule. If applicable, report FVA losses in the OCC Supplemental
schedule, line item 80, Counterparty FVA Losses, as well as in the Summary Schedule, Counterparty
Credit Risk Worksheet, line item 4, Other Counterparty Losses.

Column Instructions

Column A Firmwide Trading Total
Report bank-wide total trading profit and loss for the entire scenario horizon. Do not include P/L
related to Credit Value Adjustment (CVA) hedges in this column.

Column B Contributions from Higher-Order Risks
Report contributions to P/L included in Column A from higher-order risks.

Column C CVA Hedges Total
Report bank-wide total P/L related to the CVA hedges.
Item Instructions

The categories are not meant to denote lines of business or desks, but rather bank-wide totals by
risk.
Item 1 Equity
Report the contribution to P/L from exposures associated with bank-wide Equity risk.

Item 2 FX
Report the contribution to P/L from exposures associated with bank-wide FX risk.

Item 3 Rates
Report the contribution to P/L from exposures associated with bank-wide Rates risk.

Item 4 Commodities
Report the contribution to P/L from exposures associated with bank-wide Commodities risk.

Item 5 Securitized Products
Report the contribution to P/L from exposures associated with Securitized Products.
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Item 6 Other Credit
Report the contribution to P/L from all credit products.

Item 7 Private Equity
Report the contribution to P/L from exposures associated with Private Equity.

Item 8 Other Fair Value Assets
Report the contribution to P/L from exposures associated with Other Fair Value Assets.

Item 9 Cross-Asset Terms
Report the contribution to P/L from intra-asset risks attributable to the co-movement of multiple
asset classes. For example, an equity option paying off in a foreign currency would have both Equity
and FX risk. The P/L due to this co-dependence would be entered into row 9.

Item 10 Total
Report the total of lines 1 through 9. This total must equal line 58, Trading mark-to-market (MTM)
loss, reported on the Income Statement worksheet of this schedule.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.

Counterparty Credit Risk (CCR)

Only the banks subject to the counterparty default scenario are required to complete this
worksheet.
The CCR worksheet collects projected counterparty credit losses as of a date specified by the OCC.
Losses should be reported as positive values and gains should be reported as negative values.

Item 1 Issuer default losses (Trading Book)
Report losses arising from potential default of the issuers of securities held in the trading book. This
should include losses arising from equity products.
Item 1a Issuer default losses from securitized products (Trading Book)
Report losses arising from potential default of the issuer of securitized products, including RMBS,
CMBS, and other securitized products.

Item 1b Issuer default losses from other credit sensitive instruments (Trading Book)
Report losses arising from potential default of the issuers of all other credit sensitive instruments
(i.e., all products considered in Trading Incremental Default Risk (IDR) losses other than securitized
products), such as sovereigns, advanced economy corporate credits, and emerging market corporate
credits.

Item 2 Counterparty credit MTM losses (CVA Losses)
Report Counterparty Credit MTM Losses. Report total losses as equivalent to the Bank’s calculation
71

of aggregate stressed CVA less unstressed CVA for each scenario.

Item 2a Counterparty CVA losses
Report Counterparty CVA losses.

Item 2b Other CVA losses
Report CVA losses that result from offline/additional CVA reserve.

Item 3 Counterparty Default Losses
Report losses arising from potential default of one or more counterparties

Item 3a Impact of Counterparty Default Hedges
Report the reduction to counterparty default losses reported in item 3 due to the gains from single
name credit default swap (CDS) hedges of defaulting counterparties.

Item 4 Other Counterparty Losses
Report other counterparty losses not reported in items 1, 2 or 3 above. If applicable, any counterparty
FVA losses should be included here. Institutions should not include counterparty FVA gains.
Institutions should provide documentation describing the components included in this line item.
Item 5 Funding Valuation Adjustment
Report funding valuation adjustments.

Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting
documentation.

Operational Risk Scenario And Projections

Operational risk losses are defined in the Capital Framework as losses arising from inadequate or
failed internal processes, people and systems, or from external events. Operational risk losses
include legal losses but exclude boundary events. Boundary events are operational losses that could
also be classified as credit event losses.

An operational loss is defined as a financial loss (excluding insurance or tax effects) that results from
an operational loss event and includes all expenses associated with an operational loss event except
for opportunity costs, forgone revenue, and costs related to risk management and control
enhancements implemented to prevent future operational losses. An operational loss event is
defined as a financial loss that results from a risk exposure to the firm. Some examples of
operational loss events that Banks may consider are losses related to improper business practices
(including class action lawsuits), execution errors, cybersecurity breaches, natural disasters, and
fraud.
In general, baseline projections are expected to match up reasonably with historical, realized losses,
taking into account any expected outcomes of current ongoing or pending litigation or other
operational events. Operational losses under the Adverse and Severely Adverse scenarios are
expected to be higher than the baseline projections regardless of whether the losses can be directly
72

linked to the stressed economic environment. When assessing the reasonableness of its operational
risk loss projections, Banks should consider a variety of benchmarks, to include the most recent
representative nine-quarter cumulative operational risk losses and the worst historical nine-quarter
cumulative operational risk losses.
Operational risk loss projections should be included in the PPNR Projections worksheet in item 29,
Operational Risk Expense, and should be excluded from reserves.
See Schedule E – Operational Risk for additional operational risk reporting

requirements. Definitions
Refer to the following definitions when completing the Operational Risk Scenario Inputs and
Projections worksheet:
1. Risk Segment: Risk categories used by the Bank to manage and report its operational risks.
2. Loss Projection: Loss estimates for each of the five Scenarios generated by different
methodologies such as statistical models, scenario analysis, historical averages, etc.
3. Dollar Contribution to Operational Loss Projection: For each risk segment, report the
projected operational loss amount for the respective quarter as well as the total. The total of all
segments for each DFAST scenario Macro Scenario (Bank Baseline, Bank Stress, Supervisory
Baseline, Supervisory Adverse, and Supervisory Severely Adverse) should agree to the projected
“Operational risk expense” amount included in line 29 in the scenario’s PPNR Projections
worksheet.
Sub-Schedule Instructions

The Operational Risk Scenario and Projections sub-schedule collects information about the
composition of the operational risk loss projections. Each Bank should identify the operational risks
to which it is exposed, develop and define the risk segments that represent the firm’s risks, and
project operational losses using relevant data. Data can include external data, internal data, scenario
analysis, risk assessment, etc. As appropriate, quantitative methodologies may be used to convert
relevant data into loss projections. The overall Operational Risk loss projections should include
input for each risk segment. Reporting institutions are expected to provide the type of data, a brief
description of the loss event, how it was categorized (risk segment), and the total loss projection by
risk segment.
Institutions should not default to using Basel-defined units of measure to categorize operational
risks, but should independently identify their material operational risks using risk-based
approaches.

Loss Projections based on Legal Reserves and Settlements

Banks should report the potential impact of losses resulting from a firm’s actions to prevent or
mitigate an operational loss settlement with clients, or to prevent future legal action.

Each of the operational risk loss projections in each of the required DFAST scenarios should include
all projected settlements, make-whole payments, payouts that satisfy adverse legal rulings, and other
legal losses if they are not covered on the PPNR Projections Worksheet under items 14N and 30
(Provisions to Repurchase Reserve / Liability for Residential Mortgage Reps and Warranties).
When projecting legal costs (expenses, judgments, fines, settlements) under the Adverse and
73

Severely Adverse scenarios, the bank should assume unfavorable, stressed outcomes on current,
pending, or threatened litigation.
Unrelated Professional Services

The cost of outside consulting, routine “business as usual” legal expenses, external audit, and other
professional services that are unrelated to operational risk should be included in item 31
(Professional and Outside Services Expenses) on the PPNR Projections Worksheet.
Supporting documentation:
Please refer to Appendix A: Supporting Documentation

Pre-Provision Net Revenue (PPNR)

A. General Technical Details
This section provides general guidance and data definitions for the three PPNR worksheets included
in the Summary Schedule.
Certain commonly used terms and abbreviations, including PPNR, are defined at the end of this
section. Other definitions are embedded in the Schedule. Undefined terms should be assumed to
follow Call Report definitions. In cases where Call Report guidance is unavailable, banks should use
internal definitions and include information about the definitions used in the Supporting
Documentation.
•
•
•

•
•

All quarterly figures should be reported on a quarterly basis.
Provide data for all non-shaded cells, except where the data requested is optional.
If there are no data for certain numerical fields, then populate the fields with a zero. If a
Bank chooses not to report an optional field, leave the field blank.
For numerical fields requesting information in percent (e.g. average rates earned), use
standard format where .01 = 1%. Do not use non-numerical characters in numerical fields.
If there is no information for certain fields, populate the fields with “N/A.”

Banks need to ensure that:

(a) revenues and expenses reported always reconcile on a net basis to Call Report Schedule RI, item
3 plus item 5.m minus 7.e plus item 7.c.(1) minus item 40 of PPNR Projections worksheet (note
that this does not include losses from the trading shock exercise),
(b) Net Interest Income is equal between the PPNR Projections and PPNR Net Interest Income
worksheets,
(c) Average balances reported for the purposes of the PPNR Net Interest Income worksheet equal
Call Report Schedule RC-K, item 9 for average assets and an average of Call Report Schedule RC,
item 21 for average liabilities.

Materiality Thresholds
Banks for which deposits comprise less than 25 percent of total liabilities for any period reported in
any of the four most recent quarters should complete the PPNR Projections sub-schedule as well as
the Metrics by Business Segment/Line and “Firm-Wide Metrics: PPNR Projections Sub-schedule”
74

sections of the PPNR Metrics sub-schedule. The Net Interest Income sub-schedule is optional for
these BHCs and IHCs. All other BHCs and IHCs should complete all three sub-schedules, including
the Net Interest Income sub-schedule and the Net Interest Income sub-schedule section of the PPNR
Metrics sub-schedule.

Report data for all quarters for a given business segment in the PPNR Projections and PPNR Metrics
sub-schedules if the total revenue of that business segment (calculated as the sum of net interest
income and noninterest income for that segment), relative to total revenue of the Bank exceeded 5
percent in any of the most recent four actual quarters.
If international revenue exceeded 5 percent of total revenue in any of the most recent four actual
quarters, provide regional breakouts (PPNR Metrics sub-schedule, items 42A-42 D) for all quarters
in the PPNR Metrics sub-schedule.
If International Retail and Small Business revenues exceeded 5 percent of Total Retail and Small
Business Segment revenue and Total Retail and Small Business Segment revenues were material
based on an applicable 5 percent threshold in any of the most recent four actual quarters, provide
related metrics data for all quarters (PPNR Metrics sub-schedule, item 10).
Net Interest Income: Primary and Supplementary Designation
Banks are expected to report all line items for all worksheets subject to applicable thresholds as
detailed in the instructions.
B. Commonly Used Terms and Abbreviations
Domestic Revenues: Revenues from the U.S. and Puerto Rico only. Note that this differs from the
definition of domestic on the Call Report.
International Revenues: Revenues from regions outside the U.S. and Puerto Rico.

Pre-provision Net Revenue (PPNR): Sum of net interest income and noninterest income net of
noninterest expense, with components expected to reconcile with those reported in the Call Report
when adjusted for certain items. As presented on the PPNR schedules, the adjustments include
exclusions of Valuation Adjustment for Bank’s debt under fair value option (FVO), goodwill
impairment, loss resulting from trading shock exercise (if applicable), as well as adjustments related
to operational risk expense required for PPNR purposes. For the related items, reference the PPNR
Projections worksheet and related instructions for items 29, 40-42. Gains and losses on AFS and
HTM securities, including OTTI estimates, are not a component of PPNR. All revenue and expenses
related to MSRs are components of PPNR to be reported in the associated noninterest income and
noninterest expense line items on the PPNR schedules. Total Loans HFS and Loans Accounted for
under the Fair Value Option (item 57 of the Income Statement worksheet) are excluded only if they
are a result of a market shock exercise. Other Losses (item 66) are excluded as applicable and are
expected to be infrequent.
Revenues: Sum of net interest income and noninterest income adjusted for selected exclusions, as
reported on line item 27 of the PPNR Projections worksheet.
Run-Off or Liquidating Businesses: Operations that do not meet an accounting definition of
75

“discontinued operations” but which the Bank intends to exit. In order to facilitate the calculation of
the proper net interest income on the Net Interest Income worksheet, report total balances related to
discontinued operations as a negative number in “Other” in items 15 and 38 and the corresponding
average rates earned in items 31 and 46. Banks should provide a detailed listing of the type (by
corresponding line item on the Net Interest Income worksheet) of such balances reported as
negative items in “Other” and the corresponding rates in the submission documentation.

1. PPNR Projections Worksheet

Banks should report data in the PPNR worksheets only per the standardized DFAST-14A
requirements. However, Banks are encouraged to provide data consistent with their own internal
view in supporting documentation, accompanying the DFAST-14A Projections and discuss data
differences.

Revenue Components
Revenue items are divided into net interest income and noninterest income, with totals expected to
reconcile with what would be reported in the Call Report when adjusted for Valuation Adjustment
for bank’s own debt under the fair value option (FVO), loss resulting from trading shock exercise (if
applicable), and operational risk expense adjustments required for PPNR purposes. In the
documentation supporting the DFAST-14A PPNR submission, Banks are encouraged to discuss
operational risk losses reported as contra-revenues for Call Report purposes and their reallocation
to Operational Risk expense in accordance with the PPNR instructions.

Do not report gains and losses on AFS and HTM securities, including OTTI estimates, as a component
of PPNR.

Report all items either in the segments that generated them and/or segments that they were
allocated to through funds transfer pricing (FTP). Net interest income allocation to the defined
segments should be based on the cost of funds applicable to those segments as determined by the
Bank. Supporting Documentation instructions regarding methodology used should be provided in
the memo required with the DFAST-14A Projections. Business segments and related subcomponents do not have to correspond to but may include certain line items on the Call Report
schedule.

The Business segment structure of the worksheet is defined by product/service (e.g., credit cards,
investment banking) and client type (e.g., retail, medium size businesses). It is not defined by client
relationship.
Banks are encouraged to note which line items contain DVAs and/or CVAs (note: these are different
from fair value adjustment on the bank’s own debt under the Fair Value Option (FVO) which is
excluded from PPNR by definition), including amounts if available, and whether these are generated
with the purpose to generate profit.
All revenue and expenses related to MSRs and the associated noninterest income and noninterest
expense line items should be evolved over the nine-quarter projection horizons, and reported in the
PPNR schedules.
Business Segment Definitions
Subject to applicable thresholds, reporting of net interest income and noninterest income items is
76

requested based on a business segment/line view, with business segments/lines defined as follows:
-

-

As general guidance, small business clients are those with annual sales of less than $10 million.
Business, government, not-for-profit, and other institutional entities of medium size are those
with annual sales between $10 million and $2 billion. Large business and institutional entities
are those with annual sales of more than $2 billion. If a Bank’s internal reporting for these client
segments deviates from this general guidance, continue to report according to internal
definitions and describe how the Bank defined these or similar client segments and the scope of
related business segments/lines in the memo supporting the submission.

A Bank may include public funds in the segment reporting based on the type of the relationship
that exists between the public funds and the Bank. For example, if the Bank acts in a custodial or
administrative capacity, the Bank may report public funds in Investor Services. If a Bank is
involved in the management of funds, the Bank may report the public funds in Investment
Management.

Net Interest Income by Business Segment

(unless specified otherwise, all numbers are global).

Item 1 Retail and Small Business
This item is a shaded cell and is derived, per column, from the sum of items 1A and 1G. For items 1A
through 1F, domestic includes U.S. and Puerto Rico only.
Report in the appropriate sub-item all net interest income related to retail and small business
banking and lending, including both ongoing as well as run-off and liquidating
businesses. Exclude any revenues related to Wealth Management/Private Banking (WM/PB)
clients even if they are internally classified as retail. Banks may include such revenues in WM/PB
line items instead. In case of WM/PB mortgage repurchase contra-revenues, if any, report them as
outlined in the PPNR Projection worksheet.
Item 1A Domestic
This item is a shaded cell and is derived, per column, from the sum of items 1B through 1F.

Item 1B Credit and Charge Cards
Report interest income from domestic Bank issued credit and charge cards to retail customers
including those that result from partnership agreements. May include revenue that is generated on
domestic accounts due to foreign exchange transactions. Exclude the following:
-

other unsecured borrowing and debit cards;
small business cards (report in Other Retail and Small Business Lending, item 1F);
wholesale and commercial cards (report in Treasury Services, item 8); and
Cards to Wealth Management/Private Banking clients (report in Wealth Management/Private
Banking, line 19B)

Item 1C Mortgages
Report interest income from domestic residential mortgage loans offered to retail customers.

Item 1D Home Equity
Report interest income from domestic home equity loans and lines of credit (HELOANs/HELOCs)
77

provided to retail customers.

Item 1E Retail and Small Business Deposits
Report interest income from domestic branch banking and deposit-related products and services
provided to retail and small business customers. Include debit card revenues in this line. May
include revenue that is generated on domestic accounts due to foreign exchange transactions.
This item does not include any lending revenues.

Item 1F Other Retail and Small Business Lending
Report interest income from other domestic retail and small business lending products and services.
These include, but are not limited to, small business cards, loans, auto loans, student loans, or
personal unsecured credit. All domestic lending revenues not captured in Credit Cards, Mortgages,
and Home Equity should be reported here.
Item 1G International Retail and Small Business
Report interest income from retail and small business generated outside of the U.S. and Puerto Rico.
Includes, but is not limited to, all international revenues from credit/charge/debit cards,
mortgages, home equity, branch and deposit services, auto, student, and small business loans.
Item 2 Commercial Lending
Report interest income from lending products and services provided to business, government, notfor-profit, and other institutional entities of medium size, as well as to commercial real estate
investors and owners. Exclude treasury, deposit, and investment banking services.

Item 3 Investment Banking
Report in the appropriate sub-item all interest income generated from investment banking services
provided to business and institutional entities of both medium and large size. Include revenues from
new issue securitizations for third parties. Business lines are defined as follows:
-

-

Advisory: Corporate strategy and financial advisory, such as services provided for mergers
and acquisitions (M&A), restructuring, financial risk management, among others.
Equity Capital Markets: Equity investment banking services (e.g., IPOs or secondary
offerings).
Debt Capital Markets: Generally non-loan debt investment banking services.
Syndicated/Corporate Lending: Lending commitments to larger corporate clients, including
event or transaction-driven lending (e.g., to finance M&A, leveraged buyouts, bridge loans).
Generally, all syndicated lending origination activity should be included here (not in
Commercial Lending).

Item 4 Merchant Banking/ Private Equity
Report interest income from private equity (PE), real estate, infrastructure, and principal
investments in hedge funds. May include principal investment related to merchant banking
activities.

Item 5 Sales and Trading
This item is a shaded cell and is derived, per column, from the sum of items 5A and 5B.
Report in the appropriate sub-item all interest income generated from sales and trading activities.
Any interest income from carry should be included in Sales & Trading net interest income. May
include short-term trading made for positioning or profit generation related to the Sales & Trading
activities in this line item.
78

Item 5A Prime Brokerage
Report interest income generated from securities financing, securities lending, custody, clearing,
settlement, and other services for hedge funds and other prime brokerage clients. Include all prime
brokerage revenues in this line and not in any other business segments/lines.
Item 5B Other
Report interest income from all other Sales & Trading activities. These include, but are not limited
to:
-

-

-

Equities: Commissions, fees, dividends, and trading gains and losses on equity products.
Exclude prime brokerage services.
Fixed Income: Commissions, fees, and trading gains and losses on rates, credit, and other
fixed income products. Exclude prime brokerage services.
o Rates: Generally U.S. Treasury, investment grade sovereign, U.S. agency bonds, and
interest rate swaps. Rates revenues related to trading activities outside of the Sales &
Trading division need not be included into the Rates trading in this section, but
describe where they are allocated in the Bank’s documentation supporting the
submission.
o Credit: Generally corporate bonds, loans, ABS, muni, emerging markets, CDS. If a
bank classifies some of the credit related trading (such as distressed debt) in
segments other than “Sales & Trading,” it can continue to report it as in its internal
financial reports but indicate where they are reported in the documentation
supporting submission.
o Other: e.g., FX/Currencies if not included above.
Commodities: Commissions, fees, and trading gains and losses on commodity products.
Exclude prime brokerage services.

Item 6 Investment Management
Report all interest income generated from investment management activities. Business lines are
defined as follows:
- Asset Management: Professional management of mutual funds and institutional accounts.
Institutional clients may include endowments, not-for-profit entities, governments, and
others.
- Wealth Management/Private Banking (WM/PB): Professional portfolio management and
advisory services for individuals. Individual clients may be defined as mass market, affluent,
and high net worth. Activities may also include tax planning, savings, inheritance, and wealth
planning, among others. May include deposit and lending services to WM/PB clients here
and retail brokerage services for both WM/PB and non-WM/PB clients.

Item 7 Investment Services
Report all interest income generated from investment servicing. Exclude prime brokerage revenues.
Business lines are defined as follows:
- Asset Servicing: Custody, fund services, securities lending, liquidity services, collateral
management; and other asset servicing. Include record keeping services for 401K and
employee benefit plans, but exclude funding or guarantee products offered to such clients.
- Issuer Services: Corporate trust, shareowner services, depository receipts.
- Other Investment Services: Clearing and other investment services.
79

Item 8 Treasury Services
Report all interest income from cash management, global payments, working capital solutions,
deposit services, and trade finance from business and institutional entities of both medium and
large size. Include wholesale/corporate and commercial cards.

Item 9 Insurance Services
Report all interest income from insurance activities including, but not limited to, individual (e.g., life,
health), auto and home (property and casualty), title insurance and surety insurance, and employee
benefits insurance.

Item 10 Retirement/Corporate Benefit Products
Report premiums, fees, and other interest income generated from retirement and corporate benefit
funding products, such as annuities, guaranteed interest products, and separate account contracts.
The fees/revenues that may be recorded here are generally generated as a result of the Bank
accepting risks related to actuarial assumptions or the estimation of market returns where
guarantees of future income streams have been made to clients.
Item 11 Corporate/Other
Report interest income associated with:
- Capital and asset-liability management (ALM) activities. Among other items, may include
investment securities portfolios (but not gains and losses on AFS and HTM securities,
including OTTI, as these are excluded from PPNR by definition). Also may include principal
investment supporting the corporate treasury function to manage firm-wide capital,
liquidity, or structural risks.
- Run-off or liquidating businesses (but exclude retail and small business run-off/liquidating
businesses, per Retail and Small Business segment definition).
- Non-financial businesses (e.g., publishing, travel services).
- Corporate support functions (e.g., Human Resources, IT).
- Other non-core revenues not included in other segments (e.g., intersegment eliminations).

Item 12 Optional Immaterial Business Segments
Banks have the option to report less material business segment revenue in Optional Immaterial
Business Segments. The reported total optional immaterial business segment revenue relative to
total revenue cannot exceed 10%. Banks should provide comprehensive information in the
Supporting Documentation on which business segments are included in the Optional Immaterial
Business segments line item, their relative contribution to the totals reported in both schedules and
the manner in which the revenues were projected.
Item 13 Total Net Interest Income
This item is a shaded cell and is derived, per column, from the sum of items 1, 2 through 5, and 6
through 12. Item 13, per column, should equal item 49 on PPNR NII Worksheet, if completed.

Noninterest Income by Business Segment

(unless specified otherwise, all numbers are global).

Item 14 Retail and Small Business
This item is a shaded cell and is derived, per column, from the sum of items 14A and 14T.
Item 14A Domestic

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This item is a shaded cell and is derived, per column, from the sum of items 14B, 14E, 14O, and 14S.

Report in the appropriate sub-item all domestic revenues related to retail and small business banking
and lending, including both ongoing as well as run-off and liquidating businesses. Exclude any
revenues related to Wealth Management/Private Banking (WM/PB) clients even if they are internally
classified as retail. Banks may include such revenues in WM/PB line items instead. In case of
WM/PB mortgage repurchase contra-revenues, if any, report them as outlined in the PPNR Projection
worksheet.
Item 14B Credit and Charge Cards
This item is a shaded cell and is derived, per column, from the sum of items 14C and 14D.
Report in the appropriate sub-item all noninterest income generated from domestic bank issued
credit and charge cards to retail customers including those that result from partnership agreements.
May include revenue that is generated on domestic accounts due to foreign exchange transactions
and corporate cards. Exclude the following:
-

other unsecured borrowing and debit cards;
small business cards (report in Other Retail and Small Business Lending, item 1F);
wholesale and commercial cards (report in Treasury Services, item 8); and
cards to Wealth Management/Private Banking clients (report in Wealth
Management/Private Banking, line 19B).

Item 14C Credit and Charge Card Interchange Revenues - Gross
Report interchange revenues from all domestic bank issued credit and charge cards including those
that result from a partnership agreement.

Item 14D Other
Report all other fee income and revenue earned from credit and charge cards not captured in item
14C.

Item 14E Mortgage and Home Equity
This item is a shaded cell and is derived, per column, from the sum of items 14F, 14I and 14N. Report
in the appropriate sub-item noninterest income generated from domestic residential mortgage
loans offered to retail customers and domestic home equity loans and lines of credit
(HELOANs/HELOCs) provided to retail customers.
Item 14F Production
This item is a shaded cell and is derived, per column, from the sum of items 14G and 14H.

Item 14G Gains/Losses on Sale
Report gains/(losses) from the sale of domestic mortgages and home equity loans originated through
all production channels (retail, broker, correspondent, etc.) with the intent to sell. Such gains/losses
should include deferred fees and costs that are reported as adjustments to the carrying balance of the
sold loan, fair value changes on loan commitments with rate locks that are accounted for as
derivatives, fair value changes on mortgage loans HFS designated for fair value treatment, lower-ofcost or market adjustments on mortgage loans HFS not designated for fair value treatment, fair value
changes on derivative instruments used to hedge loan commitments and HFS mortgages, and value
associated with the initial capitalization of the MSR upon sale of the loan.
Item 14H Other

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Report all other fee income/revenue earned from mortgage production not captured in item 14G.

Item 14I Servicing
This item is a shaded cell and is derived, per column, from the sum of items 14J, 14K, 14L, and 14M.

Item 14J Servicing & Ancillary Fees
Report fees received from activities relating to the servicing of mortgage loans, including (but not
limited to) the collection principal, interest, and escrow payments from borrowers; payment of taxes
and insurance from escrowed funds; monitoring of delinquencies; execution of foreclosures;
temporary investment of funds pending distribution; remittance of fees to guarantors, trustees, and
others providing services; and accounting for and remittance of principal and interest payments to
the holders of beneficial interests in the financial assets.
Item 14K MSR Amortization
Include economic amortization or scheduled and unscheduled payments, net of defaults under both
FV and LOCOM accounting methods.

Item 14L MSR Value Changes due to Changes in Assumptions/Model Inputs/Other Net of
Hedge Performance
Report changes in the MSR value here and not in any other items. Report changes in the MSR hedges
here and not in any other items. Include MSR changes under both FV and lower of cost or market
(LOCOM) accounting methods.

Item 14M Other
Report all other revenue earned from servicing activities not captured in lines 14J through 14L.

Item 14N Provisions to Repurchase Reserve/Liability for Residential Mortgage
Representations and Warranties (contra-revenue)
Report provisions to build any non-litigation reserves/accrued liabilities that have been established
for losses related to sold or government-insured residential mortgage loans (first or second lien).
Do not report such provisions in any other items; report them only in line items 14N or 30, as
applicable. Exclude all provisions to litigation reserves/liability for claims related to sold residential
mortgages (report in item 29).

Item 14O Retail and Small Business Deposits
This item is a shaded cell and is derived, per column, from the sum of items 14P, 14Q and 14R.
Report in the appropriate sub-item noninterest income from domestic branch banking and depositrelated products and services provided to retail and small business customers. Include debit card
revenues in this line. May include revenue that is generated on domestic accounts due to foreign
exchange transactions.

Item 14P Non-Sufficient Funds/Overdraft Fees – Gross
Report noninterest income from fees earned from insufficient fund deposit balances and overdrawn
client deposit accounts. Report before any contra-revenues (e.g., waivers, etc.).

Item 14Q Debit Interchange – Gross
Report noninterest income from interchange fees earned on debit cards. Report before any contrarevenues (e.g., rewards, etc.).
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Item 14R Other
Among items included here are debit card contra-revenues and overdraft waivers, as applicable.

Item 14S Other Retail and Small Business Lending
Report noninterest income from other domestic retail and small business lending products and
services. These include, but are not limited to, small business cards, other small business loans, auto
loans, student loans, or personal unsecured credit.

Item 14T International Retail and Small Business
Report noninterest income from retail and small business generated outside of the U.S. and Puerto
Rico. Includes, but is not limited to, all revenues from credit/charge/debit cards, mortgages, home
equity, branch and deposit services, auto, student, and small business loans.
Item 15 Commercial Lending
Report noninterest income from lending products and services provided to business, government,
not-for-profit, and other institutional entities of medium size, as well as to commercial real estate
investors and owners. Exclude treasury, deposit, and investment banking services provided to
commercial lending clients.

Item 16 Investment Banking
This item is a shaded cell and is derived, per column, from the sum of items 16A through 16D. Report
in the appropriate sub-item noninterest income generated from investment banking services
provided to business and institutional entities of both medium and large size. Include revenues from
new issue securitizations for third parties.

Item 16A Advisory
Corporate strategy and financial advisory, such as services provided for M&A, restructuring, financial
risk management, among others.

Item 16B Equity Capital Markets
Equity investment banking services (e.g., IPOs or secondary offerings).
Item 16C Debt Capital Markets
Generally non-loan debt investment banking services.

Item 16D Syndicated/Corporate Lending
Lending commitments to larger corporate clients, including event or transaction-driven lending (e.g.,
to finance M&A, leveraged buyouts, bridge loans). Generally, all syndicated lending origination
activity should be included here (not in Commercial Lending).
Item 17 Merchant Banking/ Private Equity
This item is a shaded cell and is derived, per column, from the sum of items 17A through 17C.

Report in the appropriate sub-item revenues from the sponsorship of, management of, or from
investing in, distinct long-term investment vehicles, such as real estate funds, private equity funds,
hedge funds or similar vehicles. Also include direct long-term investments in securities and assets
made primarily for capital appreciation, or investments where the Bank is likely to participate
directly in corporate governance. Do not include revenues from sales & trading operations,
corporate lending outside of a fund structure, investing in a HTM or AFS securities portfolio,
brokerage or mutual fund operations.
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Item 17A Net Investment Mark-to-Market
Report the net gain or loss from sale or from the periodic marking to market of Merchant
Banking/Private Equity investments.

Item 17B Management Fees
Report fees and commissions paid by third parties to the bank in connection with sale, placement or
the management of above described investment activities.

Item 17C Other
Report any noninterest income items not included in items 17A and 17B. Also include the Bank’s
proportionate share of the income/other adjustments from its investments in equity method
investees.

Item 18 Sales and Trading
This item is a shaded cell and is derived, per column, from the sum of items 18A, 18D, 18H, and 18K.
Report in the appropriate sub-item noninterest income generated from sales and trading activities.
Any interest income from carry should be included in Sales & Trading under net interest income.
May include short-term trading made for positioning or profit generation related to the Sales &
Trading activities in this line item.
Item 18A Equities
This item is a shaded cell and is derived, per column, from the sum of items 18B and 18C.

Item 18B Commission and Fees
Report commissions, fees, and dividends on equity products. Exclude prime brokerage services.

Item 18C Other
Report all noninterest income for equities sales and trading, excluding prime brokerage (to be
reported as a separate line item) and excluding commissions and fees. This includes trading profits
and other noninterest non-commission income.
Item 18D Fixed Income
This item is a shaded cell and is derived, per column, from the sum of items 18E, 18F, and 18G.
Report in the appropriate sub-item commissions, fees, and trading gains and losses on rates, credit,
and other fixed income products. Exclude prime brokerage services.
Item 18E Rates
Generally U.S. Treasury, investment grade sovereign, U.S. agency bonds, and interest rate swaps.
Rates revenues related to trading activities outside of the Sales & Trading division need not be
included into the Rates trading in this section, but describe where they are allocated in the Bank’s
documentation supporting the DFAST-14A submission.

Item 18F Credit
Generally corporate bonds, loans, ABS, muni, emerging markets, CDS. If a bank classifies some of the
credit related trading (such as distressed debt) in segments other than “Sales & Trading,” it can
continue to report it as in its internal financial reports but indicate where they are reported in the
documentation supporting DFAST-14A submission.

Item 18G Other

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Report other fixed income products if not included above (e.g., FX/Currencies).

Item 18H Commodities
This item is a shaded cell and is derived, per column, from the sum of items 18I and 18J.

Item 18I Commission and Fees
Report commissions, fees, and trading gains and losses on commodity products. Exclude prime
brokerage services.

Item 18J Other
Report other noninterest income generated from commodity products, excluding prime brokerage
services.

Item 18K Prime Brokerage
This item is a shaded cell and is derived, per column, from the sum of items 18L and 18M. Report in
the appropriate sub-item noninterest income from securities financing, securities lending, custody,
clearing, settlement, and other services for hedge funds and other prime brokerage clients. Include
all prime brokerage revenues in this line and not in any other business segments/lines.

Item 18L Commission and Fees
Report commissions and fees on prime brokerage services.

Item 18M Other
Report other noninterest income generated from prime brokerage services.

Item 19 Investment Management
This item is a shaded cell and is derived, per column, from the sum of items 19A and 19B. Report in
the appropriate sub-item all noninterest income generated from investment management activities.

Item 19A Asset Management
Professional management of mutual funds and institutional accounts. Institutional clients may
include endowments, not-for-profit entities, governments, and others.

Item 19B Wealth Management/Private Banking (WM/PB)
Professional portfolio management and advisory services for individuals. Individual clients may be
defined as mass market, affluent, and high net worth. Activities may also include tax planning,
savings, inheritance, and wealth planning, among others. May include deposit and lending services to
WM/PB clients here and retail brokerage services for both WM/PB and non-WM/PB clients.
Item 20 Investment Services
This item is a shaded cell and is derived, per column, from the sum of items 20A, 20D, and 20E.
Report in the appropriate sub-item all noninterest income generated from investment
servicing. Exclude prime brokerage revenues.

Item 20A Asset Servicing
This item is a shaded cell and is derived, per column, from the sum of items 20B and 20C. Report in
the appropriate sub-item all noninterest income from custody, fund services, securities lending,
liquidity services, collateral management, and other asset servicing. Include record keeping services
for 401K and employee benefit plans, but exclude funding or guarantee products offered to such
clients.
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Item 20B Securities Lending
Report noninterest income generated from securities lending.

Item 20C Other
Report all other noninterest income asset servicing, excluding securities lending.

Item 20D Issuer Services
Corporate trust, shareowner services, depository receipts, and other issuer services.

Item 20E Other
Report noninterest income from clearing and other investment services not included above.

Item 21 Treasury Services
Report cash management, global payments, working capital solutions, deposit services, and trade
finance from business and institutional entities of both medium and large size. Include wholesale
and commercial cards.

Item 22 Insurance Services
Report all noninterest income from insurance activities including, but not limited to, individual (e.g.,
life, health), auto and home (property and casualty), title insurance and surety insurance, and
employee benefits insurance.

Item 23 Retirement/Corporate Benefit Products
Report premiums, fees, and other noninterest income generated from retirement and corporate
benefit funding products, such as annuities, guaranteed interest products, and separate account
contracts. The fees/revenues that may be recorded here are generally generated as a result of the
bank accepting risks related to actuarial assumptions or the estimation of market returns where
guarantees of future income streams have been made to clients.

Item 24 Corporate/Other
Report noninterest income associated with:
- Capital and ALM activities. Among other items, may include investment securities portfolios
(but not gains and losses on AFS and HTM securities, including OTTI, as these are excluded
from PPNR by definition). Also may include principal investment supporting the corporate
treasury function to manage firm-wide capital, liquidity, or structural risks.
- Run-off or liquidating businesses (but exclude retail and small business run-off/liquidating
businesses, per Retail and Small Business segment definition).
- Non-financial businesses (e.g., publishing, travel services).
- Corporate support functions (e.g., Human Resources, IT).
- Other non-core revenues not included in other segments (e.g., intersegment eliminations).

Item 25 Optional Immaterial Business Segment
Banks have the option to report less material business segment revenue in separate line items
“Optional Immaterial Business Segments.” The reported total optional immaterial business segment
revenue relative to total revenue cannot exceed 10%. Banks should provide comprehensive
information in the Supporting Documentation on which business segments are included in the
Optional Immaterial Business segments line item. List segments included in this line item in
Footnote 7.
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Item 26 Total Noninterest Income
This item is a shaded cell and is derived, per column, from the sum of items 14, 15, 16, 17, 18, 19, 20,
and 21 through 25. Excludes Valuation Adjustment for firm's own debt under FVO reported in item
40 and the result of trading shock exercise (where applicable), as it is reported in item 42.
Item 27 Total Revenues
This item is a shaded cell and is derived, per column, from the sum of items 13 and 26.

Noninterest Expense Components

Noninterest Expense figures are to be broken out as detailed on the worksheet. The total is
expected to reconcile with what would be reported in the Call Report when adjusted for certain
items. As presented on the PPNR worksheets, the adjustments include exclusions of goodwill
impairment and adjustments related to operational risk expense required for PPNR purposes. For
the related items, reference PPNR Projections worksheet and relate instructions for line items 29
and 41.
Expense data on the PPNR Submission worksheet are only intended to be reported as firm-wide
bank expenses, with exception of line item 34A, i.e., Marketing Expense for Domestic Credit Cards.
This line item is for Domestic Credit Cards business line only.
Item 28 Compensation Expense
This item is a shaded cell and is derived, per column, from the sum of items 28A through 28E.
Item 28A Salary
Exclude stock based and cash variable pay compensation and report in items 28D and 28E,
respectively.

Item 28B Benefits
Exclude stock based and cash variable pay compensation and report in items 28D and 28E,
respectively.

Item 28C Commissions
Report commissions only in "Commissions" line item 28C; do not report commissions in any other
compensation line items.

Item 28D Stock Based Compensation
Report all expenses related to stock based compensation as defined by ASC Topic 718,
Compensation-Stock Compensation (formerly FASB Statement No. 123(R), Shared-Based Payment).
Item 28E Cash Variable Pay
Report expenses related to all discretionary variable compensation paid (or to be paid) in the form
of cash. Include deferred variable compensation plans not associated with Bank stock.

Item 29 Operational Risk Expense
This item is a shaded cell and is derived, per column, from the item on the OpRisk Projected Losses
Worksheet. All operational loss items, including operational losses that are contra revenue amounts
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or cannot be separately identified, should be reported in the operational risk expense. Any legal
consultation or retainer fees specifically linked to an operational risk event should be included
in the Operational Risk Expense. Include all provisions to litigation reserves/liability for claims
related to sold residential mortgages and all litigation settlements and penalties in this line item and
not in any other line item.

Item 30 Provisions to Repurchase Reserve/Liability for Residential Mortgage
Representations and Warranties
Provisions to build any non-litigation reserves/accrued liabilities that have been established for
losses related to sold or government-insured residential mortgage loans (first or second lien). Do not
report such provisions in any other items; report them only in line items 14N or 30, as applicable.
Exclude all provisions to litigation reserves/liability for claims related to sold residential mortgages
(report in item 29).
Item 31 Professional and Outside Services Expenses
Among items included are routine legal expenses (i.e., legal expenses not related to operational
losses), audit and consulting fees, and other fees for professional services.

Item 32 Expenses of Premises and Fixed Assets
Report expenses of premises and fixed assets, as defined in the Call Report Schedule RI, item 7.b.
Item 33 Amortization Expense and Impairment Losses for Other Intangible Assets
Report amortization expense and impairment losses for other intangible assets, as defined in the
Call Report Schedule RI, item 7.c.(2).

Item 34 Marketing Expense
This item is a shaded cell and is derived, per column, from the sum of items 34A and 34B.

Item 34A Domestic Credit and Charge Card Marketing Expense
Include domestic Bank issued credit and charge cards, as defined in item 1B, including those that
result from a partnership agreement. Include both direct and allocated expenses. Report any
expenses that are made to expand the company’s card member and/or merchant base, facilitate
greater segment penetration, enhance the perception of the company’s credit card brand, and/or
increase the utilization of the existing card member base across the spectrum of marketing and
advertising mediums.

Item 34B Other
Report all marketing expenses not related to domestic credit and charge cards captured in line 34A.

Item 35 Other Real Estate Owned Expense
All expenses associated with other real estate owned that would normally be reported in the Call
Report Schedule RI, item 7.d., ‘‘Other noninterest expense.”

Item 36 Provision for Unfunded Off-Balance Sheet Credit Exposures (to build/decrease item
141 in Balance Sheet)
Report the provision for credit losses on off-balance sheet credit exposures.

Item 37 Other Noninterest Expense
Provide a further break out of significant items included in Other Noninterest Expense in footnote 4,
88

such that no more than 5% of Noninterest Expense are reported without further breakout.

Report the line item breakout for the combined 9 quarters of projected “Other noninterest expense”
(line item 37). A quarterly breakout of these data should be included in the Supporting
Documentation.

Item 38 Total Noninterest Expense
This item is a shaded cell and is derived, per column, from the sum of items 28, 29 through 34, and
35 through 37. Excludes Goodwill Impairment included in item 41.

Item 39 Projected PPNR
This item is a shaded cell and is derived, per column, from item 27 less item 38. By definition, PPNR
will calculate as net interest income plus noninterest income less noninterest expense, excluding
items broken out in items 40 and 41.

Item 40 Valuation Adjustment for Firm’s Own Debt Under Fair Value Option (FVO)
List segments from which item was excluded in Footnote 9. In footnote 27, list Call Report Schedule
RI items in which this amount is normally reported and has been excluded from in this reporting
view.
Item 41 Goodwill Impairment
Report impairment losses for goodwill, as defined in the Call Report Schedule RI, item 7.c.(1).

Item 42 Loss Resulting from Trading Shock Exercise (if applicable)
This item is a shaded cell and is derived, per column, from the sum of items 58 through 62 on the
Worksheet 1.a, Income Statement. Banks should not report changes in value of the MSR asset or
hedges within the trading book. List segments from which item was excluded in Footnote 25.

2. PPNR Net Interest Income (NII) Worksheet

Banks for which deposits comprise 25% or more of total liabilities are required to submit the Net
Interest Income worksheet. Banks should complete non-shaded cells only.

Banks should provide average asset and liability balances and average yields to calculate net
interest income. The total net interest income calculated should equal the total net interest income
reported using a business segment/line view in the PPNR Projections worksheet.

The average balances and rates should reflect the average over each quarter as best as possible. The
OCC understands that because of changes in balances over the period, the simple multiplication of
average loan rates and balances may not yield the actual interest income. In these cases, the banks
may report the average loan rate so that it equals a weighted average rate over the period and the
interest income total for each quarter reflects historical results or the bank’s projection, as
applicable.

Rates on this worksheet are intended to provide a product level view exclusive of transfer pricing
activity and should be reported on a gross basis. The reporting of net interest income on the PPNR
Projections and PPNR Submission Worksheets provide a business line view and should be reported
net of transfer pricing adjustments.
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Average Assets
Banks should reference Call Report and other definitions provided in the PPNR Net Interest Income
worksheet when completing this section. The Call Report code references are intended only to
provide guidance for the types of items to be included or excluded; but NOT the type of balance to
be provided. All requested balance items are averages.

In the case of loans, align definitions with the “total loans” section of the Balance Sheet worksheet.
Include PCI loan balances and the interest income recognized on these loans. However, report the
aggregate of all nonaccrual loans as line item 9, rather than including them in each loan type.

Item 1 First Lien Residential Mortgages (in domestic offices)
Report the average balance of first lien residential mortgages in domestic offices (as defined in the
Call Report Schedule RC-C, item 1.c.(2)(a), column B).
Item 2 Second/Junior Lien Residential Mortgages (in domestic offices)
This item is a shaded cell and is derived, per column, from the sum of items 2A and 2B.

Item 2A Closed-End Junior Liens
Report the average balance of second/junior lien residential mortgages in domestic offices (as
defined in the Call Report Schedule RC-C, item 1.c.(2)(b), column B).

Item 2B Home Equity Lines of Credit (HELOCs)
Report the average balance of home equity lines of credit in domestic offices (as defined in the Call
Report Schedule RC-C, item 1.c.(1), column B).
Item 3 C&I Loans
Report the average balance of C&I Graded, Small Business (Scored/Delinquency Managed),
Corporate Card, and Business Card loans.

Item 4 CRE Loans (in domestic offices)
Report the average balance of CRE loans in domestic offices as defined in the Call Report Schedule
RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1), and 1.e.(2), column B.

Item 5 Credit Cards
Report the average balance of credit cards (as defined in the Call Report Schedule RC-C, item 6.a,
column A).
Item 6 Other Consumer
This item is a shaded cell and is derived, per column, from the sum of items 6A through 6C.

Item 6A Auto Loans
Report the average balance of auto loans as defined in Call Report Schedule RC-C, item 6.c, column A.
Item 6B Student Loans
Report the average balance of student loans.

Item 6C Other (including loans backed by securities (non-purpose lending))
Report the average balance of other loans.
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Item 7 Real Estate Loans (not in domestic offices)
This item is a shaded cell and is derived, per column, from the sum of items 7A and 7B. (Also, defined
as Call Report Schedule RC-C, item 1, column A, less above items 1, 2, 5, and Call Report Schedule RCC, item 1.b, column B.)
Item 7A Residential Mortgages (first and second lien)
Report the average balance of first and second lien residential mortgages not in domestic offices.
Item 7B Other
Report the average balance of other real estate loans not in domestic offices.

Item 8 Other Loans and Leases
Report the average balance of other loans and leases. Include loans secured by farmland as defined
in Call Report Schedule RC-C, item 1.b, column B, and other loans not accounted for in the above
categories. If total net interest income does not reconcile to Call Report total per PPNR definition
using fair value average balances for AFS securities, use “Other” balances (line items 15 and 38) and
corresponding rates (line items 31 and 46) to offset the difference.

Item 9 Nonaccrual Loans
Report the average balance of nonaccrual loans, as defined in the Call Report Schedule RC-N.
Institutions are to provide additional details within the supporting documentation; the composition
of the non-accrual loans by key loan type over the reported time periods for each of the scenarios.

Item 10 Securities (AFS and HTM) – Treasuries and Agency Debentures
Report the average balance of AFS/HTM balances in Treasury and Agency debentures, as defined in
the Call Report Schedule RC-B, items 1, 2.a and 2.b, columns A and D.

Item 11 Securities (AFS and HTM) – Agency RMBS (both CMOs and pass-throughs)
Report the average balance of AFS/HTM balances in Agency RMBS, as defined in the Call
Report Schedule RC-B, items 4.a.(1), 4.a.(2), 4.b.(1) and 4.b.(2), columns A and D.

Item 12 Securities (AFS and HTM) - Other
Report the average balance of all AFS/HTM investments not reported in items 10 and 11, defined in
the Call Report Schedule RC, items 2.a and 2.b less Net II Worksheet items 10 and 11.
Item 13 Trading Assets
Report the average balance of trading assets as defined in the Call Report Schedule RC-K, item 7.

Item 14 Deposits with Banks and Other
Report the average balance of deposits with banks.

Item 15 Other Interest/Dividend-Bearing Assets
Report the average balance of other interest/dividend-bearing asset not accounted for in the above
categories. In Footnote 2, breakout and explain nature of significant items included in other average
interest-bearing asset balances such that no more 5% of total average interest-bearing asset balances
are reported without a further breakout.
Item 16 Other Assets
Report the average balance of all non-interest bearing assets.
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Item 17 Total Average Asset Balances
This item is a shaded cell and is derived, per column, from the sum of items 1, 2, 3 through 6, 7, and 8
through 16, as defined in the Call Report Schedule RC, item 12.

Average Rates Earned
All rates are annualized.

Item 18 First Lien Residential Mortgages (in domestic offices)
Report the earned average rate of first lien residential mortgages in domestic offices as defined in
the Call Report Schedule RC-C, item 1.c.(2)(a), column B.
Item 19 Second/Junior Lien Residential Mortgages (in domestic offices)
This item is a shaded cell and is derived, per column, from the sum of items 19A and 19B.

Item 19A Closed-End Junior Liens
Report the earned average rate of second/junior lien residential mortgages in domestic offices as
defined in the Call Report Schedule RC-C, item 1.c.(2)(b), column B.
Item 19B Home Equity Lines of Credit (HELOCs)
Report the earned average rate of home equity lines of credit in domestic offices as defined in the
Call Report Schedule RC-C, item 1.c.(1), column B.

Item 20 C&I Loans (excluding small business (scored/delinquency managed)
Report earned average rate of large commercial credits and small business (graded) loans. Note
that the definitions for large commercial credits and small business (graded) are aligned with
Balance Sheet definitions.

Item 21 CRE Loans (in domestic offices)
Report the earned average rate of CRE loans in domestic offices as defined in the Call Report
Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1), and 1.e.(2), column B.

Item 22 Credit Cards
Report earned average rate of credit cards as defined in the Call Report Schedule RC-C, item 6.a,
column A.

Item 23 Other Consumer
This item is a shaded cell and is derived, per column, from the sum of items 23A through 23C.

Item 23A Auto Loans
Report earned average rate of auto loans as defined in the Call Report Schedule RC-C, item 6.c,
column A.
Item 23B Student Loans
Report earned average rate of student loans.

Item 23C Other, incl. loans backed by securities (non-purpose lending)
Report earned average rate of other loans.
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Item 24 Real Estate Loans (not in domestic offices)
Item 24 is a shaded cell and is derived, per column, from sum of items 24A and 24B. (Also, defined
as Call Report Schedule RC-C, item 1, column A, less above items 18, 19, 21, and Call Report Schedule
RC-C, item 1.b, column B.)

Item 24A Residential Mortgages (first and second lien)
Report the earned average rate of first and second lien residential mortgages not in domestic offices.
Item 24B Other
Report the earned average rate of other real estate loans not in domestic offices.

Item 25 Other Loans and Leases
Report the earned average rate of other loans and leases. Include loans secured by farmland as
defined in Schedule RC-C, Call Report Schedule RC-C, item 1.b, column B, and other loans not
accounted for in the above categories. If total net interest income does not reconcile to Call Report
total per PPNR definition using fair value average balances for AFS securities, use “Other” balances
(line items 15 and 38) and corresponding rates (line items 27 and 43) to offset the difference.

Item 26 Nonaccrual Loans
Report the earned average rate of nonaccrual loans. Interest income earned on nonaccrual balances
is generally expected to be small.

Item 27 Securities (AFS and HTM) – Treasuries and Agency Debentures
Report the earned average rate earned on AFS/HTM balances in Treasury and Agency debentures.

Item 28 Securities (AFS and HTM) – Agency RMBS (both CMOs and pass-throughs)
Report the earned average rate earned on AFS/HTM balances in Agency RMBS.
Item 29 Securities (AFS and HTM) - Other
Report the earned average rate earned on all other AFS/HTM balances.

Item 30 Trading Assets
Report the earned average rate of trading assets as defined in the Call Report , Schedule RC-K, item
4.a.

Item 31 Deposits with Banks and Other
Report the earned average rate of deposits with banks.

Item 32 Other Interest/Dividend-Bearing Assets
Report the earned average rate of other interest/dividend-bearing assets not accounted for in the
above categories.

Item 33 Total Interest Income
This item is a shaded cell and is derived, per column, from the sum of the products of items 1 and 18,
2 and 19, 2A and 19A, 2B and 19B, 3 and 20, 4 and 21, 5 and 22, 6A and 23A, 6B and 23B, 6C and
23C, 7A and 24A, 7B and 24B, 8 and 25, 9 and 26, 10 and 27, 11 and 28, 12 and 29, 13 and 30, 14 and
31, & 15 and 32 annualized.
93

Average Liability Balances
For the classification of domestic and foreign deposit liabilities, Banks should report based on
internal definitions (those deemed to best represent the behavior characteristics of deposits). For all
other liabilities, Banks should reference Call Report and other definitions provided in the PPNR Net
interest Income worksheet when completing this section.

Item 34 Deposits-Domestic
This item is a shaded cell and is derived, per column, from the sum of items 34A through 34E. A sum
of average domestic and foreign deposits should be equal to the sum of average Call Report Schedule
RC, items 13.a.(1), 13.a.(2), 13.b.(1), and 13.b.(2).
Item 34A Noninterest-bearing Demand
Report balances using internal definitions.

Item 34B Money Market Accounts
Report balances using internal definitions.

Item 34C Savings
Report balances using internal definitions.

Item 34D Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and
other Transaction Accounts
Report balances using internal definitions.

Item 34E Time Deposits
Report balances using internal definitions.

Item 35 Deposits-Foreign
This item is a shaded cell and is derived, per column, from the sum of items 35A and 35B. A sum of
average domestic and foreign deposits should be equal to the sum of average Call Report Schedule
RC, items 13.a.(1), 13.a.(2), 13.b.(1), and 13.b.(2).
Item 35A Foreign Deposits
Report balances using internal definitions.

Item 35B Foreign Deposits-Time
Report balances using internal definitions.

Item 36 Fed Funds, Repos, & Other Short Term Borrowing
This item is a shaded cell and is derived, per column, from the sum of items 36A through 36C.

Item 36A Fed Funds
Report the average balance of Fed Funds purchased in domestic offices as defined in the Call Report
Schedule RC, item 14.a.

Item 36B Repos
Report the average balance of securities sold under agreement to repurchase as defined in the Call
Report Schedule RC, item 14.b.
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Item 36C Other Short Term Borrowing
Report the average balance of liabilities reported as other borrowed money and subordinated notes
and debentures (as defined in the Call Report Schedule RC, items 16 and 19 which the firm would
define as short term borrowings). The sum of line items 36C and 39 equals Call Report, Schedule RC,
sum of items 16 & 19, less item 20.

Item 37 Trading Liabilities
Report the average balance of Trading Liabilities as defined in the Call Report Schedule RC, item 15.
Item 38 Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred
Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
If applicable, report the average balance of Preferred Securities (TruPS) and TruPS Issued by
Consolidated Special Purpose Entities.

Item 39 Other Interest-Bearing Liabilities
Report the average balance of liabilities reported as Other Borrowed Money and Subordinated Notes
and Debentures as defined in the Call Report Schedule RC, items 16 and 19 which are not already
reported in line item 35c, Other Short Term Borrowing. This includes all long-term debt not included
in line item 38 above.

Item 40 Other Liabilities
Report the average balance of liabilities reported as Other Liabilities as defined in the Call Report,
Schedule RC, item 20.

Item 41 Total Average Liability Balances
This item is a shaded cell and is derived, per column, from the sum of items 34, 35, 36, and 37 to 40.

Average Liability Rates
All rates are annualized.

Item 42 Deposits—Domestic
This item is a shaded cell and is derived, per column, from the sum of items 42A through 42E.

Item 42A Noninterest-bearing Demand
This item is a shaded cell; rates are equal to zero by definition.

Item 42B Money Market Accounts
Report the earned average rate of Money Market Accounts reported in item 34B.
Item 42C Savings
Report the earned average rate of Savings Accounts reported in item 34C.

Item 42D Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and
other Transaction Accounts
Report the earned average rate of Negotiable Order of Withdrawal (NOW), Automatic Transfer
Service (ATS), and other Transaction Accounts reported in item 34D.

Item 42E Time Deposits
Report the earned average rate of Time Deposits reported in item 34E.
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Item 43 Deposits-Foreign
This item is a shaded cell and is derived, per column, from the sum of items 43A and 43B.
Item 43A Foreign Deposits
Report the earned average rate of Foreign Deposits reported in item 35A.

Item 43B Foreign Deposits-Time
Report the earned average rate of Foreign Deposits—Time reported in item 35B.

Item 44 Fed Funds, Repos, & Other Short Term Borrowing
This item is a shaded cell and is derived, per column, from the sum of items 44A through 44C.

Item 44A Fed Funds
Report the average rate paid for Fed Funds purchased in domestic offices as defined in the Call Report
Schedule RC, item 14a.

Item 44B Repos
Report the average rate paid for Securities Sold under agreements to repurchase as defined in the
Call Report Schedule RC, item 14b.
Item 44C Other Short Term Borrowing
Report the average rate paid on liabilities reported as other borrowed money and subordinated
notes and debentures as defined in the Call Report Schedule RC, items 16 and 19 which the firm
defined as short term borrowing.

Item 45 Trading Liabilities
Report the average rate of Trading Liabilities as defined in the Call Report Schedule RC, item 15.

Item 46 Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred
Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
Report the average rate of Preferred Securities (TruPS) and TruPS Issued by Consolidated Special
Purpose Entities.

Item 47 Other Interest-Bearing Liabilities
Report the average rate paid on the liabilities reported as other borrowed money and subordinated
notes and debentures as defined in the Call Report Schedule RC, items 16 and 19 which the firm
defined as Other Interest Bearing Liabilities.

Item 48 Total Interest Expense
This item is a shaded cell and is derived, per column, from the sum of the products of items 34A and
42A, 34B and 42B, 34C and 42C, 34D and 42D, 34E and 42E, 35A and 43A, 35B and 43B, 36A and
44A, 36B and 44B, 36C and 44C, 37 and 45, 38 and 46, and 39 and 47, annualized.

Item 49 Total Net Interest Income
This item is a shaded cell and is derived, per column, from item 33 minus item 48. Amount should
equal Worksheet 7.a, PPNR Submission Worksheet, item 13.

96

3. PPNR Metrics

The PPNR Metrics worksheet requests information on certain metrics relevant for the assessment of
various components of PPNR. Elements in Section C of the PPNR Metrics worksheet (line items 53
through 87 and either 88A or 88B&C) are required only for Banks that must complete the Net
Interest Income worksheet. All other metrics are required of all Banks, subject to applicable
thresholds.
Metrics in Section A, "Metrics by Business Segment/Line," correspond to Business Segments/Lines
on PPNR Submission worksheet. In contrast, Sections B and C are both for bank-wide metrics.

In providing industry market size information, Banks can use third-party data and are not required
to independently derive these metrics. Any supporting information should be described in detail,
including the data source, and corresponding data should be provided in the worksheet. A Bank, if
relying upon third-party data for building projections, should still be cognizant of how their
estimates would be appropriate across the range of assumed macro-economic conditions in various
scenarios or if some adjustment may be appropriate.
Banks should use internal definitions of proprietary trading and clearly describe the covered
activities and transactions in methodology narratives.

If a Bank is unable to provide a metric on the PPNR Metrics worksheet, it should offer a data series
for alternative metrics that are considered by the Bank in projecting the relevant component(s) of
PPNR and include in the Supporting Documentation required with the DFAST-14A Projections a
discussion of why the standard metric could not be provided.

Section A. Metrics by Business Segment (unless specified otherwise, all numbers are global).
"Metrics by Business Segment/Line" correspond to Business Segments/Lines on the PPNR
Submission Worksheet. This means that each metric is reflective of revenues reported on the PPNR
Submission worksheet for a given business segment/line, unless explicitly stated otherwise.

Retail and Small Business Segment

Domestic
For line items 1 through 9, domestic includes the United States and Puerto Rico only.
Credit and Charge Cards

Item 1 Total Open Accounts – End of Period
Report number of total open accounts at the end of period for credit and charge cards.

Item 2 Credit and Charge Card Purchase Volume
Report credit and charge card purchase volume, net of returns. Exclude cash and balance transfer
volumes.
Item 3 Credit and Charge Card Rewards/Partner Sharing Expense
Report credit card rewards/partner sharing expense for credit and charge cards.

In Footnote 21, list which line item(s) on PPNR Submission Worksheet contain(s) the Cards
Rewards/Partner Sharing contra-revenues and/or expenses. Note if this item includes any contrarevenues other than Rewards/Partner Sharing (e.g. Marketing Expense Amortization) in footnote
97

32.

Mortgages and Home Equity
Item 4 Average Third-Party Residential Mortgages Serviced
Report the average outstanding principal balance for residential mortgage loans the bank services
for others.
Item 5 Residential Mortgage Originations Industry Market Size – Volume
Report total volume of domestic mortgages that originated during the quarter.

Item 6 Mortgages and Home Equity Loans Sold During the Quarter
Report first and junior lien mortgages and home equity loans sold during the quarter as defined in
Call Report Schedule RC-P. This metric need not be limited to Mortgages and Home Equity business
line.

Item 7 Servicing Expenses
Report expenses for servicing first and junior lien mortgages and home equity loans. Include both
direct and allocated expenses.

Retail and Small Business Deposits

Item 8 Total Open Checking and Money Market Accounts – End of Period
Report only the number of checking and money market accounts that are deposit accounts under
Call Report guidance and are consistent with the definitions provided for “Retail and small business
banking and lending services” segment and “Retail and small business deposits” business line within
this segment in the PPNR instructions.

Item 9 Debit Card Purchase Transactions
Report number of transactions (not dollar value).

International Retail and Small Business

International retail and small business located in regions outside the United States and Puerto Rico.

Item 10 Credit and Charge Card Revenues
Provide metrics data for all quarters, but only if international retail and small business segment
revenues exceeded 5% of total retail and small business segment and total retail and small business
revenue exceeded 5% of total revenues in any of the last four actual quarters requested in the PPNR
schedule.

Investment Banking Segment

Only firms that report greater than $100 million any projected quarter in item 16, Investment
Banking, of the PPNR Projections schedule should report the investment banking metrics below
(Lines 11 to 26).

Item 11 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the Call
Report Schedule RI, Memorandum item 5, for investment banking segment.
Item 12 Compensation – Total

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Include both direct and allocated expenses for investment banking segment.
Item 13 Stock Based Compensation and Cash Variable Pay
Include both direct and allocated expenses for investment banking segment.

Advisory

Item 14 Deal Volume
Report the dollar volume of all completed deals for the reporting Bank.

Item 15 Industry Market Size - Fees
Report fees earned by all relevant industry participants in this area.

Item 16 Industry Market Size - Completed Deal Volume
Report the dollar volume of completed deals for all relevant industry participants.

Item 17 Backlog
A backlog should be based on probability weighted fees. The data should be consistent with
historical internal reporting, not by market measurement. The last quarter should be the Bank’s
latest backlog estimate.

Equity Capital Markets

Item 18 Deal Volume
Report the dollar volume of all deals for the reporting Bank.

Item 19 Industry Market Size – Fees
Report fees earned by all relevant industry participants in this area.

Item 20 Industry Market Size - Volume
Report dollar volume of completed deals for all relevant industry participants.

Debt Capital Markets

Item 21 Deal Volume
Report the dollar volume of all deals for the reporting Bank.

Item 22 Industry Market Size – Fees
Report fees earned by all relevant industry participants in this area.

Item 23 Industry Market Size – Volume
Report the dollar volume of completed deals for all relevant industry participants.
Syndicated Lending

Item 24 Deal Volume
Report the dollar volume of all deals for the reporting Bank.

Item 25 Industry Market Size - Fees

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Report fees earned by all relevant industry participants in this area.

Item 26 Industry Market Size - Volume
Report the dollar volume of completed deals for all relevant industry participants.

Sales and Trading Segment

Item 27 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the Call
Report Schedule RI, Memorandum item 5, for sales and trading segment.
Item 28 Compensation – Total
Include both direct and allocated expenses for sales and trading segment.

Item 29 Stock Based Compensation and Cash Variable Pay
Include both direct and allocated expenses for sales and trading segment.

Equities

Item 30 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with
the equity sales and trading businesses.

Fixed Income

Item 31 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with
the fixed income sales and trading businesses.

Commodities

Item 32 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with
the commodities sales and trading businesses.

Prime Brokerage

Item 33 Average Client Balances
Report gross client balances (adding credits, debits, and shorts) that are consistent with the drivers
of prime brokerage revenues being reported on the PPNR schedule.
Item 34 Transaction Volume
Report total dollar volume of all transactions during the quarter.

Investment Management Segment - Asset Management
Item 35 AUM – Total
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This item is a shaded cell and is derived, per column, from the sum of items 35A through 35C.

Item 35A AUM – Equities
Report total assets under management for which the investment mandate/strategy is primarily
equities.

Item 35B AUM – Fixed Income
Report total assets under management for which the investment mandate/strategy is primarily
fixed income.

Item 35C AUM – Other
Report total assets under management for which the investment mandate/strategy cannot be
classified as either equities or fixed income. For example, include alternative investments, currency
products, etc.
Item 36 Net Inflows/Outflow
Report impact of net inflows/outflows on assets under management.

Wealth Management/Private Banking

Item 37 Fee Earning Client Assets – Total
This item is a shaded cell and is derived, per column, from the sum of items 37A through 37C.

Item 37A Fee Earning Client Assets – Equities
Report total Fee Earning Client Assets invested directly or indirectly primarily in equities.

Item 37B Fee Earning Client Assets – Fixed Income
Report total Fee Earning Client Assets invested directly or indirectly primarily in fixed income.

Item 37C Fee Earning Client Assets – Other
Report total Fee Earning Client Assets for which the investment cannot be classified as either
Equities or fixed income. For example, include some types of alternative investments, currency
products, etc.
Item 38 Net Inflows/Outflow
Report impact of net inflows/outflows on Fee Earning Client Assets.

Item 39 Number of Financial Advisors
Provide a relevant headcount number (e.g., financial advisors, portfolio managers) to facilitate the
assessment of revenue productivity in the Wealth Management/Private Banking business line.

Investment Services Segment
Asset Servicing

Item 40 Assets under Custody and Administration
Report total assets under custody and administration as of the end of the quarter.
101

Section B. Bank Wide Metrics: PPNR Projections Worksheet
Item 41 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the Call
Report Schedule RI, Memorandum item 5.

Item 42 Revenues – International
This item is a shaded cell and is derived, per column, from the sum of items 42A through 42D.

Item 42A Revenues - APAC
Provide Asia and Pacific (includes South Asia, Australia, and New Zealand) region breakouts for all
quarters, but only if international revenue exceeded 5% of the total revenue in any of the last four
actual quarters requested in the PPNR schedule.
Item 42B Revenues - EMEA
Provide Europe, Middle East, and Africa region breakouts for all quarters, but only if international
revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the
PPNR schedule.

Item 42C Revenues - LatAm
Provide Latin America, including Mexico region breakouts for all quarters, but only if international
revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the
PPNR schedule.

Item 42D Revenues - Canada
Provide Canada region breakouts for all quarters, but only if international revenue exceeded 5% of
the total revenue in any of the last four actual quarters requested in the PPNR schedule.

Item 43 Revenues – Domestic
This item is a shaded cell and is derived, per column, from PPNR Submission Worksheet item 27 less
item 42. The item will capture all revenues so long as international revenues do not exceed 5% of
total revenue in any of the last four actual quarters requested in the PPNR schedule.

Item 44 Severance Costs
In Footnote 14, list items on PPNR Submission worksheet that include this item if any.

Item 45 Collateral Underlying Operating Leases for Which the Bank is the Lessor
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 126.

Refers to the balance sheet carrying amount of any equipment or other asset rented to others under
operating leases, net of accumulated depreciation. The amount included should only reflect
collateral rented under operating leases and not include collateral subject to capital/financing type
leases.
Item 45A Auto
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 127.

Item 45B Other
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 128.
102

Item 46 OREO Balance
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 122, as
defined in the Call Report Schedule RC, item 7.

Item 46A Commercial
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 123.

Item 46B Residential
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 124.

Item 46C Farmland
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 125.

Item 47 Non-Recurring PPNR Items
Report the total income statement impact of all material non-recurring and infrequent items.
Examples of such items include gains or losses on sales of business lines, gains or losses on
extinguishment of debt, gains or losses on mergers/joint ventures, etc. Break out and explain these
excluded items in footnote 32.
Item 48 Trading Revenue
Report trading revenue as defined in the Call Report Schedule RI, item 5.c.

Item 49 Net Gains/(Losses) on Sales of Other Real Estate Owned
Report trading revenue as defined in the Call Report Schedule RI, item 5.j.

In Footnote 19, list business segments reported on PPNR Submission Worksheet that include this
item, if any.
Section C. Firm-Wide Metrics: Net Interest Income Worksheet
(Required only for banks that were required to complete the Net Interest Income Worksheet)

Item 50 Carrying Value of Purchased Credit Impaired (PCI) Loans
Report carrying value of purchased credit-impaired loans held for investment as defined in the Call
Report Schedule RC-C, memorandum item 7.b.

Item 51 Net Accretion of discount on PCI Loans included in interest Revenues
Report the net accretion of discount on PCI loans included in net interest income as included on the
PPNR Submission Worksheet and Net Interest Income Worksheet.
Item 52 Loans Held for Sale – First Lien Residential Liens in Domestic Offices (Average
Balances)
Report average balance of first lien residential loans HFS as included in the Net Interest Income
Worksheet.

Item 53 Average Rate on Loans Held for Sale – First Lien Residential Liens in Domestic
Offices
Report average rate paid on first lien residential loans HFS as included in the Net Interest Income
Worksheet.
103

Quarter End Weighted Average Life of Assets
The Weighted Average Life (WAL) should reflect the current position, the impact of new business
activity, as well as the impact of behavioral assumptions such as prepayments or defaults, based on
the expected remaining lives, inclusive of behavioral assumptions. It should reflect the weighted
average of time to principal actual repayment (as modeled) for all positions in that portfolio,
rounded to the nearest monthly term. For revolving products, the WAL should reflect the
underlying repayment behavior assumptions assumed by the institution, which would include
contractual repayments, any assumed excess payments or prepayments, and defaults. The WAL
covers forecasted time periods; the WAL should be forward-looking which incorporates the changes
to the projected WAL, including new business activity.

Item 54 First Lien Residential Mortgages (in Domestic Offices)
Report the quarter end WAL of domestic first lien residential mortgages (as defined in the Call Report
Schedule RC-C, item 1.c.(2)(a), column B).

Item 55 Closed-End Junior Residential Liens (in Domestic Offices)
Report the quarter end WAL of domestic closed-end junior residential liens (as defined in the Call
Report Schedule RC-C, item 1.c.(2)(b), column B).
Item 56 Home Equity Lines Of Credit (HELOCs)
Report the quarter end WAL of domestic home equity lines of credit (as defined in the Call Report
Schedule RC-C, item 1.c.(1), column B).

Item 57 C&I Loans
Report the quarter end WAL of C&I Graded, Small Business (Scored/Delinquency Managed),
Corporate Card, and Business Card loans.

Item 58 CRE Loans (in Domestic Offices)
Report the quarter end WAL of domestic CRE loans (as defined in the Call Report Schedule RC-C, the
sum of items 1.a.(1), 1.a.(2), 1.d., 1.e.(1) 1.e.(2)), Column B.
Item 59 Credit Cards
Report the quarter end WAL of credit cards (as defined in the Call Report Schedule RC-C, item 6.a.,
column A).
Item 60 Auto Loans
Report the quarter end WAL of auto loans (as defined in the Call Report Schedule RC-C, item 6.c.,
column A).
Item 61 Student Loans
Report the quarter end WAL of student loans.

Item 62 Other, incl. loans backed by securities (non-purpose lending)
Report the quarter end WAL of Other Consumer Loans, including loans backed by securities (nonpurpose lending).
Item 63 Residential Mortgages (First and Second Lien, Not in Domestic Offices)
Report the quarter end WAL of all residential mortgages (first and second lien) not in
domestic offices.
104

Item 64 Other Real Estate Loans (Not in Domestic Offices)
Report the quarter end WAL of other real estate loans not in domestic offices.

Item 65 Other Loans & Leases
Report the quarter end WAL of other loans and leases. Include loans secured by farmland (as
defined in the Call Report Schedule RC-C, item 1.b, column B), and other loans not accounted for in
the above categories.

Item 66 Securities (AFS and HTM) - Treasuries and Agency Debentures
Report the quarter end WAL of AFS/HTM balances in Treasury and Agency Debentures (as defined in
the Call Report Schedule RC-B, items 1, 2.a and 2.b, columns A and D).

Item 67 Securities (AFS and HTM) - Agency RMBS (both CMOs and pass-throughs)
Report the quarter end WAL of AFS/HTM balances in Agency RMBS (as defined in the Call Report
Schedule RC-B, items 4.a.(1), 4.a.(2), 4.b.(1) and 4.b.(2), columns A and D).

Item 68 Securities (AFS and HTM) - Other
Report the quarter end WAL of all other AFS/HTM (defined in the Call Report Schedule RC, as items
2.a and 2.b less PPNR Metrics Worksheet line items 66 & 67).
Item 69 Trading Assets
Report the quarter end WAL of trading assets (as defined in the Call Report Schedule RC-K, item 7).
For trading assets, WAL should be reflective of the timing assumed by the institutions for those
assets to be held on the balance sheet and not necessarily the duration of the underlying positions.

Item 70 All Other Earning Assets
Report the quarter end WAL of all other interest-bearing assets not accounted for in the above
categories.

Quarter-End Weighted Average Life of Liabilities

The WAL should reflect the current position, the impact of new business activity, as well as the
impact of behavioral assumptions such as prepayments or defaults, based on the expected remaining
lives, inclusive of behavioral assumptions. It should reflect the weighted average of time to principal
actual repayment (as modeled) for all positions in that portfolio, rounded to the nearest monthly
term. For revolving products, the WAL should reflect the underlying repayment behavior
assumptions assumed by the institution, which would include contractual repayments, any assumed
excess payments or prepayments, and defaults. The WAL covers forecasted time periods and should
be forward-looking which incorporates the changes to the projected WAL, including new business
activity.
Item 71 Domestic Deposits – Time
Report the quarter end WAL for Domestic Time Deposits (using internal definitions).
Item 72 Foreign Deposits – Time
Report the quarter end WAL of Foreign Time Deposits (using internal definitions).
Item 73 Fed Funds

105

Report the quarter end WAL of Fed Funds purchased in domestic offices (as defined in the Call
Report Schedule RC, item 14.a).

Item 74 Repos
Report the quarter end WAL of securities sold under agreement to repurchase (as defined in the Call
Report Schedule RC, item 14.b).

Item 75 Other Short Term Borrowing
Report the quarter end WAL of liabilities reported as other borrowed money and subordinated notes
and debentures (as defined in the Call Report Schedule RC, items 16 and 19, of which the firm would
define as short term borrowing).

Item 76 Trading Liabilities
Report the WAL of Trading Liabilities (as defined in the Call Report Schedule RC, item 15). For
trading liabilities, WAL should be reflective of the timing assumed by the institutions for those assets
to be held on the balance sheet and not necessarily the duration of the underlying positions.
Item 77 Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS
Issued by Consolidated Special Purpose Entities
Report the quarter end WAL of Preferred Securities (TruPS) and TruPS Issued by Consolidated
Special Purpose Entities.

Item 78 All Other Interest Bearing Liabilities
Report the quarter end WAL of all long-term debt not included in line item 80 above.

Average Domestic Deposit Repricing Beta

Domestic deposit repricing is rate movement in an environment where the repricing assumption
assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta should
be reported as a balance-weighted average of the actual utilized betas of the line items that
contribute to the roll up point requested. The as-of date of the balance weights must be equal to the
reporting date for all applicable scenarios.

For the balance-weighted average beta, each deposit category should be reported using a blend of
brokered and retail deposits. Beta refers to the average repricing response rate the Bank projects for
each of the deposit products relative to movements in interest rates and might be different based on
the scenario.
The beta for line items 79 through 82 should be reported in basis points (bp) movement in the yield
curve, either up or down in relationship to an assumed 100 bps movement and specific to each
scenario, if applicable. For beta-related line items 79 to 84 on the PPNR Metrics template, a negative
number can be reported in the downward rate movements. However, a negative would be
indicating that the firm is projecting an “increase” in the beta when rates movements are down.

Item 79 Money Market Accounts
Report (in decimal form basis points) the balance-weighted average beta of domestic money market
accounts (using internal definitions for this product).
Item 80 Savings

106

Report (in basis points) the balance-weighted average beta of domestic savings accounts (using
internal definitions for this product).

Item 81 NOW, ATS, and other Transaction Accounts
Report (in basis points) the balance-weighted average beta of Negotiable Order of Withdrawal
(NOW), Automatic Transfer Service (ATS), and other transaction accounts (using internal definitions
for these products).

Item 82 Time Deposits
Report (in basis points) the balance-weighted average beta of time deposits (using internal
definitions for this product).

Average Foreign Deposit Repricing Beta

Foreign deposit repricing is rate movement in an environment where the repricing assumption
assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta should
be reported as a balance-weighted average of the actual utilized betas of the line items that
contribute to the roll up point requested. The as-of date of the balance weights must be equal to the
reporting date for all applicable scenarios.

For the balance-weighted average beta, each deposit category should be reported using a blend of
brokered and retail deposits. Beta refers to the average repricing response rate the firm projects for
each of the deposit products relative to movements in interest rates and might be different based on
the scenario.
The beta ratios for line items 83 through 85C should be reported in basis points (bp) movement in
the yield curve, either up or down in relationship to an assumed 100 bps movement and specific to
each scenario, if applicable.
Item 83 Foreign Deposits
Report (in basis points) the balance-weighted average beta of foreign deposits (using internal
definitions for this product).

Item 84 Foreign Deposits-Time
Report (in basis points) the balance-weighted average beta of foreign time deposits (using internal
definitions for this product).

Item 85 New Domestic Business Pricing for Time Deposits
New business pricing for time deposits refers to the anticipated average rate on newly issued time
deposits, including renewals. Given that time deposits have a stated maturity, all time deposits
issued for that time period are considered new business. The worksheet is requesting re-pricing
beta under normal rate scenarios for both an upward and downward rate movement.
Item 85A Curve (if multiple terms assumed)
Report the primary reference curve used by the Bank for pricing time deposits.

If more than one curve for the pricing of time deposits is used, the curve used to price the majority of
the time deposits should be noted on the schedule and additional pricing information should be
provided in the supplementary information. If the institution only assumes a single maturity term
107

for new issuance, then the Bank should provide the relative index (line item 85B) and spread used to
estimate new business pricing in lieu of the curve (line item 85C).
The term “curve” refers to the reference rate used to price time deposits. Given that the pricing of
time deposits is dependent on the term, the Bank should provide the overall curve used to price
time deposits.

Item 85B Index Rate (if single term assumed)
Report the index (e.g., 30 day LIBOR) used to price time deposits when a single maturity term for
new issuances is assumed. The index should be the one to which the beta in line item 82 is applied.
Item 85C Spread (Relative to the Index Rate)
Report the weighted average spread used to price time deposits above the index rate when a single
maturity term for new issuances is assumed.

SCENARIO SCHEDULE

These instructions provide guidance for reporting the variables used in the supervisory and bankdefined macro-economic scenarios underlying the projections of losses, revenue, and capital. These
scenarios include the supervisory baseline scenario, supervisory adverse scenario, supervisory
severely adverse scenario, Bank baseline scenario, Bank stress scenario, as well as any additional
scenarios generated by the Bank or supplied by the OCC (Additional Scenario #1; Additional
Scenario #2; etc.).
Scenario Variable Definitions: This worksheet should be used to list and define the variables
included in the scenarios.
•

•

•

The worksheet provides space for the supervisory baseline scenario, supervisory adverse
scenario, supervisory severely adverse scenario, Bank baseline scenario, and Bank stress
scenario, as well as space for additional scenarios. If one or more additional scenarios are
provided, then a section should be created for each additional scenario and labeled accordingly
(Additional Scenario #1; Additional Scenario #2; etc.)

• For each scenario, list the variables included in the scenario in the column titled "Variable
Name."

Variable definitions should be provided in the column titled "Variable Definition." Variable
definitions should include a description of the variable. The variable definition should include
the source of the variable or derived variable (e.g., Case-Shiller” for a Case-Shiller House Price
Index).

The forecasts and historical data for all the scenario variables are constructed on the same basis.
Thus, if a variable is, over history, constructed as an average, its forecast should be interpreted
as an average as well. For reference, below are the definitions (i.e., period-average or periodend) of the financial market variables in the scenario:
o U.S. 3-month Treasury yield: Quarterly average of 3-month Treasury bill secondary market
rate discount basis.
o U.S. 10-year Treasury yield: Quarterly average of the yield on 10-year U.S. Treasury bonds.
o U.S. BBB corporate yield: Quarterly average of the yield on 10-year BBB-rated corporate
108

•

•

•

•

•

bonds.
o U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data.
o U.S. Dow Jones Total Stock Market Index: End of quarter value, Dow Jones.
o U.S. Market Volatility Index (VIX): Chicago Board Options Exchange converted to quarterly
by using the maximum value in any quarter.

For convenience, the worksheet provides space for 10 variables per scenario, but any number
of variables may be reported, depending on the variables actually used in the scenario. Extra
lines may be created as needed. The same variables do not necessarily have to be included in
each scenario.

Banks should include all economic and financial market variables that were used in projecting
results, including those that affect only a subset of portfolios or positions and those used to
calculate model overlays. Banks should not include variables that were not used. For example,
if asset prices had a meaningful impact, the assumed level of the equity market and interest
rates should be included, or if bankruptcy filings affect credit card loss estimates, then the
assumed levels of these should be reported.

For additional variables generated for the supervisory adverse scenario or supervisory severely
adverse scenario, Banks should set the paths to be as consistent as possible with the paths of
the variables already specified in the scenario.

Banks should also include any variables capturing regional or local economic or asset value
conditions, such as regional unemployment rates or housing prices, if these were used in the
projections. Each regional or local variable used should be listed separately in the variable
definitions sheet.
Banks should include one quarter of historical data, as well as projections, for all variables.

109

B.1—Supervisory Baseline Scenario
This sub-schedule should be used to report the values of any additional variables generated for the
supervisory baseline scenario.

B.2—Supervisory Adverse Scenario
This sub-schedule should be used to report the values of any additional variables generated for the
supervisory adverse scenario.
B.3—Supervisory Severely Adverse Scenario
This sub-schedule should be used to report the values of any additional variables generated for the
supervisory severely adverse scenario.
B.4—Bank Baseline Scenario
This sub-schedule should be used to report the values of the variables included in the Bank baseline
scenario.

B.5—Bank Adverse Scenario
This sub-schedule should be used to report the values of the variables included in the Bank stress
scenario.

B.6+ —Additional Scenario #1/#2/etc.
These sub-schedule should be used to report the values of the variables included in any additional
scenarios. Additional Scenarios are Optional.

Please create a separate sub-schedule (tab) for each additional scenario. Name the sub-schedules
“Additional Scenario #1”; “Additional Scenario #2”; etc.

All Scenarios:

The following applies to all of the scenario tabs:

•
•

•
•

The variables should be the same (and have the same names) as the variables listed in the
corresponding sections of the Scenario Variable Definitions Sub-schedule.

Variable names should begin with the general name of the variable followed by terms that
further define the specific nature of the variable. For example, overnight Libor could be
defined as “LIBOR_ON” and for Libor 3-month, “LIBOR_3M.”

List quarterly values for the variables starting with the last realized value through the end of the
forecast horizon.
If a Bank needs to infer a monthly (instead of quarterly) progression of variables, it should
smooth or prorate the variables, rather than holding the quarterly value constant over the
quarter months.

110

REGULATORY CAPITAL INSTRUMENTS SCHEDULE
General guidance
The Regulatory Capital Instruments schedule collects actual (historical) data and projections over
the nine-quarter horizon of Banks’ balances of the funded instruments that are included in
regulatory capital. The schedule collects data on the historical balances and projected balances of
funded regulatory capital instruments by instrument type, in addition to projections for issuances
and redemptions that contribute to changes in balances under the Bank baseline scenario.

This schedule collects the total balances of capital instruments and planned redemptions and
issuances at an aggregate instrument-type level (e.g., common stock, non-cumulative perpetual
preferred, subordinated debt, etc.).
The instructions for the sub-schedule should be read in conjunction with the regulatory capital
guidelines issued by the OCC and the regulatory capital rule issued in July 2013.

111

Projected Capital Actions and Balances Sub-schedule
Banks must report information on both a notional basis and on the basis of the dollar amount
included in regulatory capital. For “Notional Amount” report the total notional amount of each
instrument. Banks must provide the “Notional Amount” regardless of whether there is an associated
amount recognized in regulatory capital. For example, 100% of subordinated debt nearing maturity
with limited or no recognition in regulatory capital should be included. For “Amount Recognized in
Regulatory Capital” report the portion of the notional amount that is recognized in regulatory
capital.

Banks should use the “Comments” field to provide identification of individual instruments that have
changed in value. Respondents should also include any other characteristics that impact the
investment value. All Banks must report quarter ending balances under the “Actual As of Date” and
projected balances under Projection Quarters PQ1, PQ2, PQ3, PQ4, PQ5, PQ6, PQ7, PQ8, and PQ9 for
both the “Notional Amount” and the “Amount recognized in regulatory capital.”

For any instrument type the Bank has not issued and does not project to issue, Banks must leave the
field blank.

For both the “Notional amount” and “Amount recognized in regulatory capital” within the “Revised
regulatory capital treatment section,” Banks must provide the actual and projected aggregate dollar
amounts ($Millions) for each line item under the regulatory capital rule. Submissions must reflect
the necessary transition provisions for non-qualifying capital instruments with their quarter ending
actual balances reported.
For “Quarterly Redemption/Repurchase Activity,” report the actual and projected aggregate dollar
amount ($Millions) of planned redemptions and repurchases to be conducted in each quarter for
each type of capital instrument. All redemptions and repurchases must be reported as negative
values. “Quarterly Redemption/Repurchase Activity” must include increases and decreases in APIC
attributable to the amortization of employee stock compensation and any changes in APIC, treasury
or common stock as a result of the actual issuance of common stock for the employee stock
compensation.
For “Quarterly Issuance Activity,” report the actual and projected aggregate dollar amount
($Millions) of planned issuances to be conducted in each quarter for each instrument type.
“Quarterly Issuance Activity” must include increases and decreases in APIC attributable to the
amortization of employee stock compensation and any changes in APIC, treasury or common stock
as a result of the actual issuance of common stock for the employee stock compensation.
Conversion of preferred stock to common stock should be reported as a redemption of preferred
stock and an issuance of common stock in the same quarter.

For “Quarterly Activity – Other than Issuances, Repurchases, or Redemptions,” report the actual and
projected aggregate dollar amount ($Millions) of planned changes in regulatory capital instruments
that are not the direct result of issuances, repurchases, or redemptions, including but not limited to:
(1) Maturities of capital instruments; and (2) Equity contributions from a parent that do not involve
the issuance of common stock.
For “Capital Balances,” report the actual aggregate balances ($Millions) of each type of capital
instrument for the as-of quarter end date, reflecting the impact of planned capital actions. “Capital
112

Balances” “Notional Amount” the actual must be completed, even if the instrument is not recognized
in regulatory capital. Projection quarters are calculated based on the activity reported in the
“Quarterly Redemption/Repurchase Activity,” “Quarterly Issuance Activity,” and “Quarterly Activity
– Other than issuances and repurchases” and the reported “Actual”.
Quarterly Redemption/Repurchase Activity
Line Item 1 Common Stock (CS) (Regulatory capital rule treatment – Common Equity Tier 1)
(1)"Common Stock" as defined in the Call Report Schedule RC, line item 24, provided it meets the
criteria for common equity tier 1 capital based on the regulatory capital rules of the OCC. Include
capital instruments issued by mutual banking organizations that meet the criteria for common
equity tier 1 capital;
(2) PLUS: "Surplus" as defined in the Call Report Schedule RC, line item 25;
(3) LESS: "Other equity capital components" as defined in the Call Report Schedule RC, line item
26(c); and
(4) LESS: "Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
Warrants to Purchase Common Stock," if applicable.
Line 1 should exclude amounts reported in line 2 as described below.

Line Item 2 Common Stock (CS) - Employee Stock Compensation (Regulatory capital rule
treatment – Common Equity Tier 1)
If applicable, report the carrying amount of common stock as defined in the Call Report Schedule RC,
line item 24 issued as part of an ESOP and included in equity capital on the balance sheet. Include
increases and decreases in APIC attributable to the amortization of employee stock compensation
and any changes in APIC, treasury or common stock as a result of the actual issuance of common
stock for employee stock for employee stock compensation.
Line Item 3 CS Warrants (Regulatory capital rule treatment – Common Equity Tier 1)
Report the carrying amount of warrants to issue common stock as defined in the Call Report
Schedule RC, line item 24 and included in equity capital on the balance sheet.

Line Item 4 CS USG Investment (Regulatory capital rule treatment – Common Equity Tier 1)
Report the carrying amount of warrants issued to the U.S. Department of Treasury to purchase
common stock as defined in the Call Report Schedule RC, line item 24 of the reporting institution that
is included in equity capital on the balance sheet.

Line Item 5 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Common Equity Tier 1)
If applicable, report capital instruments issued by a fully consolidated subsidiary of the reporting
institution to a third-party investor that qualify for inclusion in common equity tier 1 capital as
defined in the Call Report Schedule RC-R, Part I, line item 4. To qualify for inclusion in common
equity tier 1 capital, the capital instruments must be issued by a depository institution or a foreign
bank that is a consolidated subsidiary of a banking organization.

Line Item 6 Other Common Equity Tier 1 Instruments (Regulatory capital rule treatment –
Common Equity Tier 1)
Report all other Common Equity Tier 1 instruments issued that are not included in the Call Report
Schedule RC-R, Part I, line items 1, 2, 4 and 5.
113

Line Item 7 Non-Cumulative Perpetual Preferred (NCPP) (Regulatory capital rule treatment
– Additional Tier 1)
Report the amount of non-cumulative perpetual preferred stock and related surplus included in the
Call Report Schedule RC, line item 23, and any other capital instrument and related surplus that
satisfy all the additional tier 1 criteria in 12 CFR 3.20(c)of the regulatory capital rules of the OCC.
Line Item 8 NCPP Convertible (Regulatory capital rule treatment – Additional Tier 1)
Report the amount of NCPP Convertible securities and related surplus included in the Call Report
Schedule RC, line item 23, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the
regulatory capital rules of the OCC.

Line Item 9 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Additional Tier 1)
Report the amount of MCP securities and related surplus included in the Call Report Schedule RC,
line item 23, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital
rules of the OCC.

Line Item 10 MCP USG Preferred (Regulatory capital rule treatment – Additional Tier 1)
Report the amount of mandatory convertible preferred securities issued to the U.S. Department of
Treasury by Banks that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory
capital rules of the OCC included in the Call Report Schedule RC, line item 3.

Item 11 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Additional Tier 1)
If applicable, report the amount of tier 1 minority interest not included in common equity tier 1
capital that is includable at the consolidated level as defined in the Call Report Schedule RC-R, Part I,
line 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 additional tier 1 minority
interest must meet all the criteria for additional tier 1 capital instrument.
Line Item 12 Other Additional Tier 1 Instruments (Regulatory capital rule treatment –
Additional Tier 1)
Report the amount of all other capital instruments, other than those included in line items 7 through
11 that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital rules of the
OCC.
Line Item 13 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
Report the amount of CPP securities that were included in tier 1 capital (Call Report Schedule RC-R,
Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 14 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
If applicable, report the amount of CPP TARP Preferred securities that were included in tier 1 capital
(Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.
Line Item 15 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
114

Report the amount of Mandatory Convertible Preferred securities that were included in tier 1 capital
(Call Report Schedule RC-R, Part I line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.
Line Item 16 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
Report the amount of MCP USG Preferred securities that were included in tier 1 capital (Call Report
Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to
phase out.

Line Item 17 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment – Nonqualifying Instrument in Tier 1)
Report the amount of Cumulative Dated Preferred (TRUPS) securities that were included in tier 1
capital (Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and
that are subject to phase out.
Line Item 18 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
Report the amount of USG Preferred (TRUPS) securities that were included in tier 1 capital (Call
Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.

Line Item 19 Other Non-qualifying Instruments in Tier 1 (Regulatory capital rule treatment
– Non-qualifying Instrument in Tier 1)
Report the amount of all other capital instruments other than those include in line items 14 through
18 that were included in tier 1 capital (Call Report Schedule RC-R, Part I, line item 21) and
outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 20 Subordinated Debt (Regulatory capital rule treatment – Tier 2)
Report subordinated debt instruments that satisfy all eligibility criteria under the regulatory capital
rules of the OCC and related surplus included in the Call Report Schedule RC-R, Part I, line item 27.
Include instruments that were (i) 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., TruPS and CPP) under the OCC’s general
risk-based capital rules.
Line Item 21 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Tier 2)
If applicable, report the amount of total capital minority interest not included in tier 1 capital, as
defined in the Call Report Schedule RC-R, Part I, line item 29.

Line Item 22 Other Tier 2 Instruments (Regulatory capital rule treatment – Tier 2)
Report all other capital instruments, other than those included in line items 20 and 21, that satisfy all
eligibility criteria under the regulatory capital rules of the OCC and related surplus included in the
Call Report Schedule RC-R, Part I, line item 27.
In addition, report tier 2 capital non-qualifying capital instruments (e.g., TruPS and cumulative
perpetual preferred) that have been phased-out of tier 1 capital in the Call Report Schedule RC-R,
Part I, line item 21.
115

For items 23 through 29, holding companies 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 12 CFR 3.20 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 nonqualifying capital instruments as of January 1, 2014, in the Call Report Schedule RC-R, line item 21.
Line Item 23 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.
Line Item 24 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
If applicable, report the amount of CPP TARP Preferred instruments that were included in tier 2
capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and
that are subject to phase out.

Line Item 25 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
Report the amount of MCP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 26 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 27 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment – Nonqualifying Instrument in Tier 2)
Report the amount of Cumulative Dated Preferred (TRUPS) instruments that were included in tier 2
capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and
that are subject to phase out.

Line Item 28 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 29 Other Non-qualifying Instruments in Tier 2 (Regulatory capital rule treatment
– Non-qualifying Instrument in Tier 2)
Report the amount of all capital instruments other than the ones included in line items 23 through
28 that were included in tier 2 capital (Call Report Schedule RC-R, Part I, line item 28) and
outstanding as of January 1, 2014, and that are subject to phase out.

Quarterly Issuance Activity

Line Item 30 Common Stock (CS) (Regulatory capital rule treatment – Common Equity Tier
1)
116

Report (1)"Common Stock" as defined in the Call Report Schedule RC, line item 24, provided it meets
the criteria for common equity tier 1 capital based on the regulatory capital rules of the OCC. Include
capital instruments issued by mutual banking organizations that meet the criteria for common
equity tier 1 capital;
(2) PLUS: "Surplus" as defined in the Call Report Schedule RC, line item 25;
(3) LESS: "Other equity capital components" as defined in the Call Report Schedule RC, line item
26(c); and
(4) LESS: "Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
Warrants to Purchase Common Stock," If applicable.
Line 30 should exclude amounts reported in line 31 as described below.

Line Item 31 Common Stock (CS) - Employee Stock Compensation (Regulatory capital rule
treatment – Common Equity Tier 1)
If applicable, report the carrying amount of common stock as defined in the Call Report Schedule RC,
line item 24 issued as part of an ESOP and included in equity capital on the balance sheet. Include
increases and decreases in APIC attributable to the amortization of employee stock compensation
and any changes in APIC, treasury or common stock as a result of the actual issuance of common
stock for employee stock for employee stock compensation.
Line Item 32 CS Warrants (Regulatory capital rule treatment – Common Equity Tier 1)
Report the carrying amount of warrants to issue common stock as defined in the Call Report
Schedule RC, line item 24 and included in equity capital on the balance sheet.

Line Item 33 CS USG Investment (Regulatory capital rule treatment – Common Equity Tier 1)
Report the carrying amount of warrants issued to the U.S. Department of Treasury to purchase
common stock as defined in the Call Report Schedule RC, line item 24 of the reporting institution that
is included in equity capital on the balance sheet.
Line Item 34 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Common Equity Tier 1)
If applicable, report capital instruments issued by a fully consolidated subsidiary of the reporting
institution to a third-party investor that qualify for inclusion in common equity tier 1 capital as
defined in the Call Report Schedule RC-R, Part I, line item 4. To qualify for inclusion in common
equity tier 1 capital, the capital instruments must be issued by a depository institution or a foreign
bank that is a consolidated subsidiary of a banking organization.

Line Item 35 Other Common Equity Tier 1 Instruments (Regulatory capital rule treatment –
Common Equity Tier 1)
Report as defined in the regulatory capital rule (July 2013).
Line Item 36 Non-Cumulative Perpetual Preferred (NCPP) (Regulatory capital rule
treatment – Additional Tier 1)
Report the amount of NCPP stock and related surplus included in the Call Report Schedule RC, line
item 23, and any other capital instrument and related surplus that satisfy all the additional tier 1
criteria in 12 CFR 3.20(c) of the regulatory capital rules of the OCC.

Line Item 37 NCPP Convertible (Regulatory capital rule treatment – Additional Tier 1)
Report the amount of NCPP Convertible securities and related surplus included in the Call Report
Schedule RC, line item 23, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the
regulatory capital rules of the OCC.
117

Line Item 38 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Additional Tier 1)
Report the amount of MCP securities and related surplus included in the Call Report Schedule RC,
line item 23, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital
rules of the OCC.

Line Item 39 MCP USG Preferred (Regulatory capital rule treatment – Additional Tier 1)
Report the amount of MCP securities issued to the U.S. Department of Treasury by Banks that satisfy
all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital rules of the OCC included
in the Call Report Schedule RC, line item 3.

Line Item 40 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Additional Tier 1)
If applicable, report the amount of tier 1 minority interest not included in common equity tier 1
capital that is includable at the consolidated level as defined in the Call Report Schedule RC-R, Part I,
line 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 additional tier 1 minority
interest must meet all the criteria for additional tier 1 capital instrument.
Line Item 41 Other Additional Tier 1 Instruments (Regulatory capital rule treatment –
Additional Tier 1)
Report the amount of all other capital instruments, other than those included in line items 36
through 40 that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital
rules of the OCC.

Line Item 42 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
Report the amount of CPP securities that were included in tier 1 capital (Call Report Schedule RC-R,
Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 43 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
If applicable, report the amount of CPP TARP Preferred securities that were included in tier 1 capital
(Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.
Line Item 44 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
Report the amount of MCP securities that were included in tier 1 capital (Call Report Schedule RC-R,
Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 45 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
Report the amount of MCP USG Preferred securities that were included in tier 1 capital (Call Report
Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to
phase out.

Line Item 46 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment – Nonqualifying Instrument in Tier 1)
118

Report the amount of Cumulative Dated Preferred (TRUPS) securities that were included in tier 1
capital (Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and
that are subject to phase out.
Line Item 47 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
Report the amount of USG Preferred (TRUPS) securities that were included in tier 1 capital (Call
Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.

Line Item 48 Other Non-qualifying Instruments in Tier 1 (Regulatory capital rule treatment
– Non-qualifying Instrument in Tier 1)
Report the amount of all other capital instruments other than those included in line items 42
through 47 that were included in tier 1 capital (Call Report Schedule RC-R, Part I, line item 21) and
outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 49 Subordinated Debt (Regulatory capital rule treatment – Tier 2)
Report subordinated debt instruments that satisfy all eligibility criteria under the regulatory capital
rules of the OCC and related surplus included in the Call Report Schedule RC-R, Part I, line item 27.
Include instruments that were (i) 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., TruPS and cumulative perpetual preferred)
under the OCC’s general risk-based capital rules.

Line Item 50 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Tier 2)
If applicable, report the amount of total capital minority interest not included in tier 1 capital, as
defined in the Call Report Schedule RC-R, Part I, line item 29.

Line Item 51 Other Tier 2 Instruments (Regulatory capital rule treatment – Tier 2)
Report all other capital instruments, other than those included in line items 49 and 50, that satisfy all
eligibility criteria under the regulatory capital rules of the OCC and related surplus included in the
Call Report Schedule RC-R, Part I, line item 27. In addition, report tier 2 capital non-qualifying
capital instruments (e.g., TruPS and CPP) that have been phased-out of tier 1 capital in the Call
Report Schedule RC-R, Part I, line item 21.
For items 52 through 58, holding companies 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 12 CFR 3.20 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 nonqualifying capital instruments as of January 1, 2014, in Schedule RC-R, item 21.
Line Item 52 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.
Line Item 53 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
119

If applicable, report the amount of CPP TARP Preferred instruments that were included in tier 2
capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and
that are subject to phase out.

Line Item 54 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
Report the amount of MCP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.
Line Item 55 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 56 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment – Nonqualifying Instrument in Tier 2)
Report the amount of Cumulative Dated Preferred (TRUPS) instruments that were included in tier 2
capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and
that are subject to phase out.

Line Item 57 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 58 Other Non-qualifying Instruments in Tier 2 (Regulatory capital rule treatment
– Non-qualifying Instrument in Tier 2)
Report the amount of all capital instruments other than the ones included in line items 52 through
57 that were included in tier 2 capital (Call Report Schedule RC-R, Part I, line item 28) and
outstanding as of January 1, 2014, and that are subject to phase out.
Quarterly Activity - Other than issuances or repurchases
Line Item 59 Common Stock (CS) (Regulatory capital rule treatment – Common Equity Tier
1)
Report (1)"Common Stock" as defined in the Call Report Schedule RC, line item 24, provided it meets
the criteria for common equity tier 1 capital based on the regulatory capital rules of the OCC. Include
capital instruments issued by mutual banking organizations that meet the criteria for common
equity tier 1 capital;
(2) PLUS: "Surplus" as defined in the Call Report Schedule RC, line item 25;
(3) LESS: "Other equity capital components" as defined in the Call Report Schedule RC, line item
26(c); and
(4) LESS: "Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
Warrants to Purchase Common Stock," if applicable.
Line 59 should exclude amounts reported in line 60 as described below.
Line Item 60 Common Stock (CS) - Employee Stock Compensation (Regulatory capital rule
treatment – CET1)
If applicable, report the carrying amount of common stock as defined in the Call Report Schedule RC,
120

line item 24 issued as part of an ESOP and included in equity capital on the balance sheet. Include
increases and decreases in APIC attributable to the amortization of employee stock compensation
and any changes in APIC, treasury or common stock as a result of the actual issuance of common
stock for employee stock compensation.
Line Item 61 CS Warrants (Regulatory capital rule treatment – Common Equity Tier 1)
Report the carrying amount of warrants to issue common stock as defined in the Call Report
Schedule RC, line item 24 and included in equity capital on the balance sheet.

Line Item 62 CS USG Investment (Regulatory capital rule treatment – Common Equity Tier 1)
Report the carrying amount of warrants issued to the U.S. Department of Treasury to purchase
common stock as defined in the Call Report Schedule RC, line item 24 of the reporting institution that
is included in equity capital on the balance sheet.

Line Item 63 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Common Equity Tier 1)
If applicable, report capital instruments issued by a fully consolidated subsidiary of the reporting
institution to a third-party investor that qualify for inclusion in common equity tier 1 capital as
defined in the Call Report Schedule RC-R, Part I, line item 4. To qualify for inclusion in common
equity tier 1 capital, the capital instruments must be issued by a depository institution or a foreign
bank that is a consolidated subsidiary of a banking organization.

Line Item 64 Other Common Equity Tier 1 Instruments (Regulatory capital rule treatment –
Common Equity Tier 1)
Report as defined in the regulatory capital rule.

Line Item 65 Non-Cumulative Perpetual Preferred (NCPP) (Regulatory capital rule
treatment – Additional Tier 1)
Report the amount of NCPP stock and related surplus included in the Call Report Schedule RC, line
item 23, and any other capital instrument and related surplus that satisfy all the additional tier 1
criteria in 12 CFR 3.20(c) of the regulatory capital rules of the OCC.
Line Item 66 NCPP Convertible (Regulatory capital rule treatment – Additional Tier 1)
Report the amount of NCPP Convertible securities and related surplus included in the Call Report
Schedule RC, line item 23, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the
regulatory capital rules of the OCC.

Line Item 67 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Additional Tier 1)
Report the amount of MCP securities and related surplus included in the Call Report Schedule RC,
line item 23, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital
rules of the OCC.

Line Item 68 MCP USG Preferred (Regulatory capital rule treatment – Additional Tier 1)
Report the amount of MCP securities issued to the U.S. Department of Treasury by Banks that satisfy
all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital rules of the OCC included
in the Call Report Schedule RC, line item 3.
Line Item 69 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Additional Tier 1)
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If applicable, report the amount of tier 1 minority interest not included in common equity tier 1
capital that is includable at the consolidated level as defined in the Call Report Schedule RC-R, Part I,
line 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 additional tier 1 minority
interest must meet all the criteria for additional tier 1 capital instrument.
Line Item 70 Other Additional Tier 1 Instruments (Regulatory capital rule treatment –
Additional Tier 1)
Report the amount of all other capital instruments, other than those included in line items 65
through 69 that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital
rules of the OCC.

Line Item 71 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
Report the amount of CPP securities that were included in tier 1 capital (Call Report Schedule RC-R,
Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 72 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
If applicable, report the amount of CPP TARP Preferred securities that were included in tier 1 capital
(Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.

Line Item 73 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
Report the amount of MCP securities that were included in tier 1 capital (Call Report Schedule RC-R,
Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to phase out.
Line Item 74 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
Report the amount of MCP USG Preferred securities that were included in tier 1 capital (Call Report
Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to
phase out.

Line Item 75 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment – Nonqualifying Instrument in Tier 1)
Report the amount of Cumulative Dated Preferred (TRUPS) securities that were included in tier 1
capital (Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and
that are subject to phase out.

Line Item 76 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
Report the amount of USG Preferred (TRUPS) securities that were included in tier 1 capital (Call
Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.

Line Item 77 Other Non-qualifying Instruments in Tier 1 (Regulatory capital rule treatment
– Non-qualifying Instrument in Tier 1)
Report the amount of all other capital instruments other than those included in line items 71
through 76 that were included in tier 1 capital (Call Report Schedule RC-R, Part I, line item 21) and
122

outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 78 Subordinated Debt (Regulatory capital rule treatment – Tier 2)
Report subordinated debt instruments that satisfy all eligibility criteria under the regulatory capital
rules of the OCC and related surplus included in the Call Report Schedule RC-R, Part I, line item 27.
Include instruments that were (i) 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 nonqualifying capital instruments (e.g., TruPS and CPP) under the OCC’s general
risk-based capital rules.
Line Item 79 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Tier 2)
If applicable, report the amount of total capital minority interest not included in tier 1 capital, as
defined in the Call Report Schedule RC-R, Part I, line item 29.

Line Item 80 Other Tier 2 Instruments (Regulatory capital rule treatment – Tier 2)
Report all other capital instruments, other than those included in line items 78 and 79, that satisfy all
eligibility criteria under the regulatory capital rules of the OCC and related surplus included in the
Call Report Schedule RC-R, Part I, line item 27.
In addition, report tier 2 capital non-qualifying capital instruments (e.g., TruPS and CPP) that have
been phased-out of tier 1 capital in the Call Report Schedule RC-R, Part I, line item 21.

For items 81 through 87, banks 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 12 CFR 3.20 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 nonqualifying capital instruments as of January 1, 2014, in Schedule RC-R, item 21.

Line Item 81 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.
Line Item 82 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
If applicable, report the amount of CPP TARP Preferred instruments that were included in tier 2
capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and
that are subject to phase out.

Line Item 83 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
Report the amount of MCP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.
Line Item 84 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.
123

Line Item 85 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment – Nonqualifying Instrument in Tier 2)
Report the amount of Cumulative Dated Preferred (TRUPS) instruments that were included in tier 2
capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and
that are subject to phase out.

Line Item 86 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
Report the amount of CPP instruments that were included in tier 2 capital (Call Report Schedule RCR, Part I, line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.

Line Item 87 Other Non-qualifying Instruments in Tier 2 (Regulatory capital rule treatment
– Non-qualifying Instrument in Tier 2)
Report the amount of all capital instruments other than the ones included in items 81 through 86
that were included in tier 2 capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding
as of January 1, 2014, and that are subject to phase out.

Capital Balances
Line Item 88 Common Stock (CS) (Regulatory capital rule treatment – Common Equity Tier
1)
For the actual as-of date, report
(1)"Common Stock" as defined in the Call Report Schedule RC, line item 24, provided it meets the
criteria for common equity tier 1 capital based on the regulatory capital rules of the OCC. Include
capital instruments issued by mutual banking organizations that meet the criteria for common
equity tier 1 capital;
(2) PLUS: "Surplus" as defined in the Call Report Schedule RC, line item 25;
(3) LESS: "Other equity capital components" as defined in the Call Report Schedule RC, line item
26(c); and
(4) LESS: "Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
Warrants to Purchase Common Stock," if applicable.
Line 88 should exclude amounts reported in line 89 as described below.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 1, 2, 30,
31, 59, 60 and actual as-of date item 88. For projection periods PQ2 through PQ9, the item is
calculated as the sum of current projection period items 1, 2, 30, 31, 59, 60 and the prior projection
period’s item 88.

Line Item 89 CS Warrants (Regulatory capital rule treatment – Common Equity Tier 1)
For the actual as-of date, report the carrying amount of warrants to issue common stock as defined
in the Call Report Schedule RC, line item 24 and included in equity capital on the balance sheet.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 3, 32, 61
and actual as-of date item 89. For projection periods PQ2 through PQ9, the item is calculated as the
sum of current projection period items 3, 32, 61 and the prior projection period’s item 89.

Line Item 90 CS USG Investment (Regulatory capital rule treatment – Common Equity Tier 1)
For the actual as-of date, report the carrying amount of warrants issued to the U.S. Department of
Treasury to purchase common stock as defined in the Call Report Schedule RC, line item 24 of the
124

reporting institution that is included in equity capital on the balance sheet.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 4, 33, 62,
and actual as-of date item 90. For projection periods PQ2 through PQ9, the item is calculated as the
sum of current projection period items 4, 33, 62 and the prior projection period’s item 90.
Line Item 91 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Common Equity Tier 1)
If applicable, for the actual as-of date, report capital instruments issued by a fully consolidated
subsidiary of the reporting institution to a third-party investor that qualify for inclusion in common
equity tier 1 capital as defined in the Call Report Schedule RC-R, Part I, line item 4). To qualify for
inclusion in common equity tier 1 capital, the capital instruments must be issued by a depository
institution or a foreign bank that is a consolidated subsidiary of a banking organization.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 5, 34, 63
and actual as-of date item 91. For projection periods PQ2 through PQ9, the item is calculated as the
sum of current projection period items 5, 34, 63 and the prior projection period’s item 91.
Line Item 92 Other Common Equity Tier 1 Instruments (Regulatory capital rule treatment –
Common Equity Tier 1)
For the actual as-of date, report as defined in the regulatory capital rule.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 6, 35, 64
and actual as-of date item 92. For projection periods PQ2 through PQ9, the item is calculated as the
sum of current projection period items 6, 35, 64 and the prior projection period’s item 92.

Line Item 93 Non-Cumulative Perpetual Preferred (NCPP) (Regulatory capital rule
treatment – Additional Tier 1)
For the actual as-of date, report the amount of NCPP stock and related surplus included in the Call
Report Schedule RC, line item 23, and any other capital instrument and related surplus that satisfy
all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory capital rules of the OCC.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 7, 36, 65
and actual as-of date item 93. For projection periods PQ2 through PQ9, the item is calculated as the
sum of current projection period items 7, 36, 65 and the prior projection period’s item 93.

Line Item 94 NCPP Convertible (Regulatory capital rule treatment – Additional Tier 1)
For the actual as-of date, report the amount of NCPP Convertible securities and related surplus
included in the Call Report Schedule RC, line item 23, that satisfy all the additional tier 1 criteria in
12 CFR 3.20(c) of the regulatory capital rules of the OCC.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 8, 37, 66
and actual as-of date item 94. For projection periods PQ2 through PQ9, the item is calculated as the
sum of current projection period items 8, 37, 66 and the prior projection period’s item 94.

Line Item 95 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Additional Tier 1)
For the actual as-of date, report the amount of MCP securities and related surplus included in the
Call Report Schedule RC, line item 23, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of
the regulatory capital rules of the OCC.
125

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 9, 38, 67
and actual as-of date item 95. For projection periods PQ2 through PQ9, the item is calculated as the
sum of current projection period items 9, 38, 67and the prior projection period’s item 95.
Line Item 96 MCP USG Preferred (Regulatory capital rule treatment – Additional Tier 1)
For the actual as-of date, report the amount of MCP securities issued to the U.S. Department of
Treasury by Banks that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of the regulatory
capital rules of the OCC.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 10, 39,
68 and actual as-of date item 96. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 10, 39, 68 and the prior projection period’s item 96.

Line Item 97 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Additional Tier 1)
If applicable, for the actual as-of date, report the amount of tier 1 minority interest not included in
common equity tier 1 capital that is includable at the consolidated level as defined in the Call Report
Schedule RC-R, Part I, line 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
additional tier 1 minority interest must meet all the criteria for additional tier 1 capital instrument.
For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 11, 40,
69 and actual as-of date item 97. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 11, 40, 69 and the prior projection period’s item 97.

Line Item 98 Other Additional Tier 1 Instruments (Regulatory capital rule treatment –
Additional Tier 1)
For the actual as-of date, report the amount of all other capital instruments, other than those
included in line items 93 through 97, that satisfy all the additional tier 1 criteria in 12 CFR 3.20(c) of
the regulatory capital rules of the OCC.
For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 12, 41,
70 and actual as-of date item 98. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 12, 41, 70 and the prior projection period’s item 98.

Line Item 99 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
For the actual as-of date, report the amount of CPP securities that were included in tier 1 capital (Call
Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.
For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 13, 42,
71 and actual as-of date item 99. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 13, 42, 71 and the prior projection period’s item 99.

Line Item 100 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
If applicable, for the actual as-of date, report the amount of CPP TARP Preferred securities that were
included in tier 1 capital (Call Report Schedule RC-R, Part I, line item 21) and outstanding as of
126

January 1, 2014, and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 14, 43,
72 and actual as-of date item 100. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 14, 43, 72 and the prior projection period’s item 100.
Line Item 101 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
Line Item 102 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
For the actual as-of date, report the amount of MCP USG Preferred securities that were included in
tier 1 capital (Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014,
and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 16, 45,
74 and actual as-of date item 102. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 16, 45, 74 and the prior projection period’s item 102.
For the actual as-of date, report the amount of MCP securities that were included in tier 1 capital
(Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014, and that are
subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 15, 44,
73 and actual as-of date item 101. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 15, 44, 73 and the prior projection period’s item 101.
Line Item 103 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 1)
For the actual as-of date, report the amount of Cumulative Dated Preferred (TRUPS) securities that
were included in tier 1 capital (Call Report Schedule RC-R, Part I, line item 21) and outstanding as of
January 1, 2014, and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 17, 46,
75 and actual as-of date item 103. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 17, 46, 75 and the prior projection period’s item 103.

Line Item 104 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 1)
For the actual as-of date, report the amount of USG Preferred TRUPS securities that were included in
tier 1 capital (Call Report Schedule RC-R, Part I, line item 21) and outstanding as of January 1, 2014,
and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 18, 47,
76 and actual as-of date item 104. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 18, 47, 76 and the prior projection period’s item 104.

Line Item 105 Other Non-qualifying Instruments in Tier 1 (Regulatory capital rule
treatment – Non-qualifying Instrument in Tier 1)
For the actual as-of date, report the amount of all other capital instruments other than those
included in line items 99 through 104 that were included in tier 1 capital (Call Report Schedule RC-R,
127

Part I, line item 21) and outstanding as of January 1, 2014, and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 19, 48,
77 and actual as-of date item 105. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 19, 48, 77 and the prior projection period’s item 105.
Line Item 106 Subordinated Debt (Regulatory capital rule treatment – Tier 2)
For the actual as-of date, report subordinated debt instruments that satisfy all eligibility criteria
under the regulatory capital rules of the OCC and related surplus included in the Call Report
Schedule RC-R, Part I, line item 27. Include instruments that were (i) 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., TruPS
and CPP) under the OCC’s general risk-based capital rules.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 20, 49,
78 and actual as-of date item 106. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 20, 49, 78 and the prior projection period’s item 106.
Line Item 107 Capital Instrument Issued by Subsidiary (Regulatory capital rule treatment –
Tier 2)
If applicable, for the actual as-of date, report the amount of total capital minority interest not
included in tier 1 capital, as defined in the Call Report Schedule RC-R, Part I, line item 29.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 21, 50,
79 and actual as-of date item 107. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 21, 50, 79 and the prior projection period’s item 107.

Line Item 108 Other Tier 2 Instruments (Regulatory capital rule treatment – Tier 2)
For the actual as-of date, report all other capital instruments, other than those included in line items
106 and 107, that satisfy all eligibility criteria under the regulatory capital rules of the OCC and
related surplus included in the Call Report Schedule RC-R, Part I, line item 27.
In addition, report tier 2 capital non-qualifying capital instruments (e.g., TruPS and CPP) that have
been phased-out of tier 1 capital in the Call Report Schedule RC-R, Part I, line item 21.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 22, 51,
80 and actual as-of date item 108. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 22, 51, 80 and the prior projection period’s item 108.

For items 109 through 115, banks 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 12 CFR 3.20 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 nonqualifying capital instruments as of January 1, 2014, in Schedule RC-R, item 21.
Line Item 109 Cumulative Perpetual Preferred (CPP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
For the actual as-of date, report the amount of CPP instruments that were included in tier 2 capital
(Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and that are
128

subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 23, 52,
81 and actual as-of date item 109. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 23, 52, 81 and the prior projection period’s item 109.
Line Item 110 CPP TARP Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
If applicable, for the actual as-of date, report the amount of CPP TARP Preferred instruments that
were included in tier 2 capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding as of
January 1, 2014, and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 24, 53,
82 and actual as-of date item 110. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 24, 53, 82 and the prior projection period’s item 110.

Line Item 111 Mandatory Convertible Preferred (MCP) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
For the actual as-of date, report the amount of MCP instruments that were included in tier 2 capital
(Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and that are
subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 25, 54,
83 and actual as-of date item 111. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 25, 54, 83 and the prior projection period’s item 111.

Line Item 112 MCP USG Preferred (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
For the actual as-of date, report the amount of CPP instruments that were included in tier 2 capital
(Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and that are
subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 26, 55,
84 and actual as-of date item 112. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 26, 55, 84 and the prior projection period’s item 112.
Line Item 113 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment –
Non-qualifying Instrument in Tier 2)
For the actual as-of date, report the amount of Cumulative Dated Preferred (TRUPS) instruments
that were included in tier 2 capital (Call Report Schedule RC-R, Part I, line item 28) and outstanding
as of January 1, 2014, and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 27, 56,
85and actual as-of date item 113. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 27, 56, 85 and the prior projection period’s item 113.
Line Item 114 USG Preferred TRUPS (Regulatory capital rule treatment – Non-qualifying
Instrument in Tier 2)
For the actual as-of date, report the amount of CPP instruments that were included in tier 2 capital
(Call Report Schedule RC-R, Part I, line item 28) and outstanding as of January 1, 2014, and that are
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subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 28, 57,
86 and actual as-of date item 114. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 28, 57, 86 and the prior projection period’s item 114.
Line Item 115 Other Non-qualifying Instruments in Tier 2 (Regulatory capital rule
treatment – Non-qualifying Instrument in Tier 2)
For the actual as-of date, report the amount of all capital instruments other than the ones included in
line items 109 through 114 that were included in tier 2 capital (Call Report Schedule RC-R, Part I,
line item 28) and outstanding as of January 1, 2014, and that are subject to phase out.

For projection period PQ1, the item is calculated as the sum of projection period PQ1 items 29, 58,
87 and actual as-of date item 115. For projection periods PQ2 through PQ9, the item is calculated as
the sum of current projection period items 29, 58, 87 and the prior projection period’s item 115.

Line Item 116 Cash dividends declared on preferred stock
Report planned cash dividends declared on preferred stock, as defined in the Call Report, Schedule
RI-A, line item 8.
Line Item 117 Cash dividends declared on common stock
Report planned cash dividends declared on common stock, as defined in the Call Report, Schedule
RI-A, line item 9.
Line Item 118 Common shares outstanding (Millions)
If applicable, report the number of common shares outstanding at the time dividends on common
stock are declared such that line item 119 reflects the bank’s planned quarterly distribution of
common dividends per share.

Line item 119 Common dividends per share ($)
If applicable, report the bank’s intended quarterly distribution in common dividends per share.

OPERATIONAL RISK SCHEDULE

Legal Reserves Reporting
The Legal Reserves Reporting worksheet must be completed by all institutions. For each year,
report the total dollar values of the institution’s legal reserve balance, representing the total legal
reserve balance that was included on the institution’s financial statements as of December 31. The
bank’s initial submission should contain annual legal reserve balances for at least five years through
the reporting quarter.

On a voluntary basis, report the total dollar value of the institution’s legal reserves pertaining to
repurchase litigation which was included on the institution’s financial statements as part of the total
legal reserve on the as-of date. Also please indicate the subset of this amount that is related only to
contractual R&W claims, (excluding any amounts set aside for damages, penalties, and fees).

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Material Operational Risk Identification
In the table in the report form, provide a list of the bank’s material operational risks included in the
loss projections, along with the risk names, risk segment, and loss contribution. Material operational
risks are those which are considered material according to the Bank’s risk management framework.
Also identify any material risks that were excluded from the loss projections.
Material Operational Risks included in the bank’s loss projections: The risks identified and
managed with the greatest potential to impede the accomplishment of business objectives according
to the bank’s risk management framework. The risks which could result in losses of significant
negative impact on the bank’s overall condition impacting the bank’s financial stability or
achievement of strategic goals.

Material Operational Risks excluded from the bank’s loss projections: A brief description of
each material risk where the material risk impact was excluded in determining the loss projection
should be provided.
Risk Name: The common name for the risk used in the bank’s risk taxonomy.

Risk Segment: Risk categories used by the bank to manage and report its operational risks.

Bank Baseline Projection Amount – 9 Quarter Loss Projection: The dollar contribution to the
operational loss estimate for each material risk listed under the Bank Baseline Scenario.
Bank Stress Projection Amount – 9 Quarter Loss Projection: The dollar contribution to the
operational loss estimate for each material risk listed under Bank Stress Scenario.
Operational Risk Scenarios
Note: This sub-schedule is not required for Banks with total assets of $250 billion or under.

In the table in the report form, provide a list of the Bank’s Operational Risk scenarios included in the
Bank Baseline and Bank Stress Operational Risk loss projections including the operational risk
scenario name and loss contribution for each operational risk scenario. Note the methodology for
applying scenario results to the loss projections, such as model inputs, overlays, or other methods.
Operational Risk Scenario Name: A brief description of each operational risk scenario with the
bank assigned name which may be the same as the material risk the scenario represents.

Operational Risk Bank Baseline 9 Quarter Projection: The dollar contribution to the operational
loss estimate for the Bank Baseline Scenario.
Operational Risk Bank Stress 9 Quarter Projection: The dollar contribution to the operational
loss estimate for the Bank Stress Scenario.

Methodology for Applying Scenario Results: A brief description of the approach used for scenario
impact measurement and for incorporation into the total operational loss estimate such as model
inputs, overlays, or other methods. If the same approach was used for all scenarios the description
can be entered once with indication that there is one approach.
Note: For the question “What percentage of the operational loss estimates were generated using
scenarios?” please provide the answer in the form of a percentage, not a decimal.
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BUSINESS PLAN CHANGES SCHEDULE
The OCC will not require the submission of the Business Plan Change reporting form for the 2019
DFAST submission. Banks should continue to describe and provide information for business plan
changes in the supporting documentation.

OCC SUPPLEMENTAL SCHEDULE

General Instructions
The OCC Supplemental Schedule includes additional items corresponding to the balance sheet,
income statement, and capital sub-schedules of the DFAST-14A summary schedule .

Banks should submit the OCC Supplemental Schedule for all scenarios (both supervisory and bankspecific scenarios) which the bank submits.

For the OCC Supplemental Schedule, it is anticipated that Banks will use existing models and
methodologies to furnish the requested information, which provides a more granular view on
information provided elsewhere in the DFAST-14A. Banks should not develop new
models/methodologies to provide the loss and balance numbers requested in the OCC Supplemental
Schedule. If existing models and methodologies do not generate data at the requested level of
granularity banks may use allocations, expert judgement, or other methods for projections of
balances and losses. Covered institutions should supply appropriate documentation explaining their
approach. Institutions should not supply “N/A” for any fields in the supplemental schedule.

Losses associated with loans HFI
Corporate Loans

Item 1 Loans to Investment Firms and Financial Vehicles
Report losses associated with loans held for investment accounted for at amortized cost on loans
extended to obligors classified under the following 2017 NAICS codes:

523910
523920
523930
523999
525910
525990

Miscellaneous Intermediation
Portfolio Management
Investment Advice
Miscellaneous Financial Investment Activities
Open-End Investment Funds
Other Financial Vehicles

Item 2 Loans to Securities Firms and Investment Banking
Report losses associated with loans held for investment accounted for at amortized cost on loans
extended to obligors classified under the following 2017 NAICS codes:
523110
523120
523130
523140
523210

Investment Banking & Securities Dealing
Securities Brokerage
Commodity Contracts Dealing
Commodity Contracts Brokerage
Securities & Commodity Exchanges
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Losses associated with loans HFS/FVO
Corporate Loans
Item 3 Loans to Investment Firms and Financial Vehicles
Report losses associated with held for sale loans and loans accounted for under the fair value option
for loans extended to obligors classified under the following 2017 NAICS codes:

523910
523920
523930
523999
525910
525990

Miscellaneous Intermediation
Portfolio Management
Investment Advice
Miscellaneous Financial Investment Activities
Open-End Investment Funds
Other Financial Vehicles

Item 4 Loans to Securities Firms and Investment Banking
Report losses associated with held for sale loans and loans accounted for under the fair value option
on loans extended to obligors classified under the following 2017 NAICS codes:
523110
523120
523130
523140
523210

Investment Banking & Securities Dealing
Securities Brokerage
Commodity Contracts Dealing
Commodity Contracts Brokerage
Securities & Commodity Exchanges

Balance Sheet Items: Total Loans and Leases
Corporate Loans

Item 5 Loans to Investment Firms and Financial Vehicles
Report loans extended to obligors classified under the following 2017 NAICS codes:

523910
523920
523930
523999
525910
525990

Miscellaneous Intermediation
Portfolio Management
Investment Advice
Miscellaneous Financial Investment Activities
Open-End Investment Funds
Other Financial Vehicles

Item 6 Loans to Securities Firms and Investment Banking
Report loans extended to obligors classified under the following 2017 NAICS codes:
523110
523120
523130
523140
523210

Investment Banking & Securities Dealing
Securities Brokerage
Commodity Contracts Dealing
Commodity Contracts Brokerage
Securities & Commodity Exchanges
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Capital Worksheet Items: Leverage Exposure for Supplementary Leverage Ratio (Applicable to
Advanced Approaches Banks Only, including Advanced Approaches Banks in Parallel Run).
Item 7 Total on-balance sheet exposures (excluding on-balance sheet assets for repo-style
transactions and derivative exposures, but including cash collateral received in derivative
transactions)
Report the total-on balance sheet exposures, excluding on-balance sheet assets for repo-style
transactions and derivative exposures, but including cash collateral received in derivative
transactions, and excluding regulatory deductions from common equity tier 1 and additional tier 1
capital, as applicable to advanced-approaches Banks per the capital rules.
Item 8 Total derivative exposures
Report the total derivative exposures, defined as:

•

Replacement cost for derivative exposures (net of cash variation margin): the total amount of the
replacement cost for all derivative exposures, calculated as described in the regulatory capital
rule, net of cash collateral that is all or part of variation margin that satisfies the requirements
described in section 3.10 (c)(4)(ii)(C) of the rule.

•

PLUS

•

PLUS

•

MINUS

Add-on amounts for potential future exposure (PFE) for derivatives exposures: the total amount of
PFE for each derivative contract, including for cleared transactions except as provided in
section 3.10 (c)(4)(ii)(I) of the rule, to which the banking organization is a counterparty (or
each single-product netting set of such transactions), as described in the regulatory capital rule,
but without regard to section 3.34(b). Specifically, a banking organization may not use cash
variation margin to reduce the net current credit exposure or the gross current credit exposure
in calculation of the net-to-gross ratio.

Gross-up for cash collateral posted if deducted from the on-balance sheet assets, except for cash
variation margin: cash collateral posted to a counterparty in a derivative transaction if a
banking organization offsets a negative mark-to-fair value of a derivative contract by the
amount of cash collateral posted to the counterparty and does not include such cash collateral
in its on-balance sheet assets (as permitted under the GAAP offset option (ASC 815-10-45-5)),
but the posted cash collateral does not meet the proposal’s requirements for cash variation
margin
Deductions of receivable assets for cash variation margin posted in derivatives transactions, if
included in on-balance sheet assets (report as a positive value): the value of cash collateral that
is posted to a counterparty to a derivative contract and that has been included on the banking
organization’s balance sheet as a receivable if the posted cash collateral satisfies the
requirements described in section 3.10 (c)(4)(ii)(C) of the rule. If not applicable, report zero.
MINUS

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Exempted CCP leg of client-cleared transactions (report as a positive value): A clearing
member banking organization that does not guarantee the performance of a CCP with
respect to a transaction cleared on behalf of a clearing member client may exclude its
exposure to the CCP for purposes of determining its total leverage exposure

•

PLUS

•

Effective notional principal amount of sold credit protection: the effective notional principal
amount (that is, the apparent or stated notional principal amount multiplied by any
multiplier in the derivative contract) of a credit derivative, or other similar instrument,
through which the banking organization provides credit protection (for example, credit
default swaps or total return swaps that reference instruments with credit risk, such as a
bond)

•

MINUS

Effective notional principal amount offsets and PFE adjustments for sold credit protection
(report as a positive number): A banking organization may reduce the effective notional
principal amount of sold credit protection by a reduction in the mark-to-fair value of the
sold credit protection if the reduction is recognized in common equity tier 1 capital.

A banking organization may further reduce the effective notional principal amount of sold credit
protection by the effective notional principal amount of a credit derivative or similar instrument
through which the banking organization has purchased credit protection from a third party
(purchased credit protection) if the requirements of section 3.10 (c)(4)(ii)(D) of the proposal are
satisfied. When a banking organization reduces the effective notional principal amount of sold
credit protection by purchased credit protection in accordance with this section, the banking
organization must reduce the effective notional principal amount of purchased credit protection
by the amount of any increase in the mark-to-fair value of the purchased credit protection that is
recognized in common equity tier 1 capital.

If a banking organization purchases credit protection through a total return swap and records
the net payments received as net income but does not record offsetting deterioration in the
mark-to-fair value of the sold credit protection on the reference exposure (either through
reductions in fair value or by additions to reserves) in common equity tier 1 capital, the
banking organization may not reduce the effective notional principal amount of the sold credit
protection.
A banking organization may also adjust PFE for sold credit protection as described in section
3.10 (c)(4)(ii)(B) of the rule, to avoid double-counting of the notional amounts of these
exposures.

Item 9 Total exposures for repo-style transactions
Report the total exposures for repo-style transactions, defined as:
• On-balance sheet assets for repo-style transactions: the on-balance sheet assets for repo-style
transactions, except include the gross value of receivables for reverse repurchase
transactions. Exclude from this item the value of securities received in a security-for-security
repo-style transaction where the securities lender has not sold or re-hypothecated the
securities received. Include in this item the value of securities sold under a repo-style
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arrangement.
•

•

•

MINUS

Reduction of the gross value of receivables in reverse repurchase transactions by cash payables
in repurchase transactions under netting agreements (report as a positive value): Where a
banking organization acting as a principal has more than one repo-style transaction with the
same counterparty and has applied the GAAP offset for repo-style transactions (ASC 210-2045- 11), report the reduction of the gross value of receivables in reverse repurchase
transactions if the criteria in section 3.10(c)(4)(ii)(E), (1) through (3) of the rule are satisfied
PLUS

Counterparty credit risk for all repo-style transactions: To determine the counterparty
exposure for a repo-style transaction, including a transaction in which a banking
organization acts as an agent for a customer and indemnifies the customer against loss, the
banking organization would subtract the fair value of the instruments, gold, and cash
received from a counterparty from the fair value of any instruments, gold and cash lent to the
counterparty. If the resulting amount is greater than zero, it would be included in total
leverage exposure. For repo-style transactions that are not subject to a qualifying master
netting agreement or that are not cleared transactions, the counterparty exposure measure
must be calculated on a transaction-by-transaction basis. However, if a qualifying master
netting agreement is in place, or the transaction is a cleared transaction, the banking
organization could net the total fair value of instruments, gold, and cash lent to a
counterparty against the total fair value of instruments, gold and cash received from the
counterparty for those transactions.

PLUS

Exposure for repo-style transactions where a banking organization acts as an agent: Where a
banking organization acts as agent for a repo-style transaction and provides a guarantee
(indemnity) to a customer with regard to the performance of the customer’s counterparty
that is greater than the difference between the fair value of the security or cash lent and the
fair value of the security or cash borrowed, the banking organization must include the
amount of the guarantee that is greater than this difference.

Item 10 Off-balance sheet exposures
Report the off-balance sheet exposures, defined as:
•

•

Off-balance sheet exposures at gross notional amounts: The notional amount of all off-balance
sheet exposures (excluding off-balance sheet exposures associated with securities lending,
securities borrowing, reverse repurchase transactions, and derivatives).

MINUS
Adjustments for conversion to credit equivalent amounts (report as a positive value)

Item 11 Total leverage exposure
This item is a shaded cell and is derived from the sum of items 43, 44, 45, and 46.
136

SUPPORTING DOCUMENTATION (APPENDIX A)
For each part of the Summary Schedule, Banks must submit supporting documentation that clearly
describes the methodology used to produce the Bank’s projections. However, Banks will only be
required to submit documentation related to the scope of the DFAST 2019 review. The OCC will
communicate supporting documentation requirements in advance of this year’s review. The
supporting documentation should include the following:

A. Documentation on DFAST Integrity Controls

Banks must submit written procedures, and/or other documentation, that outlines internal controls
and processes used to ensure the accuracy of the DFAST-14A submissions and quarterly Call
Reports. This documentation should also list any management self-identified weaknesses or control
deficiencies in the preparation and submission of regulatory reports.

B. Documentation on Model Inventory

Model Inventory – Banks must provide a comprehensive inventory of models used in the projection
of losses, revenues, expenses, balances, RWAs, and the status of validation/independent review for
each. The inventory or list of models should be organized around the DFAST-14A line items. The
documentation should clearly map each model/methodology listed in the inventory to a specific
product or line item in the DFAST-14A schedules. In addition, each model description should
include details of any model overlays or driver-based tools and should quantify how the model
outcome changes when the overlay/driver-based tool is applied.
The inventory should identify, at a minimum, the name of the model, model owner, model output
and intended use (i.e., model purpose), and dates of completed or planned validation activities. The
model inventory also should include significant end-user computing (EUC) applications that support
projections of losses, revenues, expenses, balances, and RWAs. EUCs include spreadsheets,
databases, and desktop applications (e.g., queries/scripts).

C. Documentation on Summary Schedule
•
•
•
•

Submit documentation that clearly describes the methodology used to produce the Bank’s
projections for each part of the Summary Schedule.
Describe how the Bank translated the macroeconomic factors (or market shock for the Trading
and Counterparty Risk sections) associated with the scenario into the Bank’s projections and
technical details of any underlying statistical methods used.
Provide information on model validation and independent review.
Where judgment is an essential part of the forecast, include documentation that demonstrates
rationale and magnitude, as well as the process involved to ensure consistency of projections

137

•
•
•

with scenario conditions.
Include thorough discussion of any material deviations from the instructions and how the
materiality of such deviations was decided upon.
Additional information to be included in the documentation is described below and in more
detail in each section of the schedule instructions.
When submitting supporting documentation for Schedule A – Summary, provide each response
in a separate document.

D. Documentation on Model Risk Management

Banks should include in their submission their model risk management policies, which should
provide the Bank’s general framework for model development, implementation and use; model
validation, and governance policies and controls (consistent with supervisory guidance on model
risk management), including oversight by specifying criteria and controls across various stages of the
model lifecycle (Identification; Inventory/ Tracking; Development and Documentation;
Independent Validation; Approval for Implementation; Ongoing monitoring; Model Retirement).

E. Documentation of Risk Measurement Practices

Submissions should include documentation of key risk identification and measurement practices
supporting Bank-wide stress testing. Bank submissions should also include internal documentation
describing the Bank’s framework for development, calibration, estimation, validation, oversight, and
escalation of key risk identification and measurement practices.

F. Methodology Documentation

Banks should include in their submissions thorough documentation that describes and makes
transparent key methodologies and assumptions for performing stress testing on their portfolios.
This documentation should describe how the Bank translated the macroeconomic factors (or market
shock for the Trading and Counterparty Risk sections) associated with the scenario into the Bank’s
projections and technical details of any underlying statistical methods used, including information
on model validation and independent review. Where judgment is an essential part of the projection,
the methodology documentation should demonstrate the rationale and magnitude, as well as the
process involved to ensure consistency of projections with scenario conditions. Methodology
documentation should include, at a minimum, the following documents:

Methodology and Process Overview
Banks should provide documentation that describes key methodologies, processes, and assumptions
for performing stress testing on the Bank’s portfolios, business, and performance drivers.
Documentation should clearly describe the model-development process, the derivation of outcomes,
and validation procedures, as well as assumptions concerning the evolution of balance sheet and
RWAs under the scenarios, changing business strategies, and other impacts to a Bank’s risk profile.
Supporting documentation should clearly describe any known model weaknesses.

Model Technical Documents
Banks should submit model technical documentation for key models used to perform stress testing
on the Bank’s portfolios. The documentation should include:
138

o
o
o
o

o
o

o

A description of the model methodology;
An explanation of the theory, logic, and design underlying the model methodology and
support from published research and sound industry practice;
A discussion of historical data set construction, including data sources, adjustments to
the data set, and documentation validating the use of any external data;
The rationale for portfolio segmentation and a discussion on how a particular
methodology and model captures the key characteristics and the unique risk drivers of
each portfolio;
Description of model selection and specification, variable choice, and estimation
methodology, including the statistical results used to arrive at the selected model;
Analysis of the model output, including the congruence of inputs with the assumed
economic scenario, the justification of any qualitative adjustment, along with the
statistical analysis used to support the model output; and
Model inventory log specifying the model’s version, the date of model approval, the date
of its last revision, its intended use, the name of its model owner and developer, the
model’s priority, the date of the model’s last independent validation, and the date of the
model’s next expected independent validation.

If third-party models are used, the documentation should describe how the model was constructed,
validated, and any known limitations of the model. Documentation should clearly describe
assumptions concerning new growth and changes to credit policy. Supporting documentation
should transparently describe internal governance around the development of comprehensive
capital plans. Documentation should demonstrate that senior management has provided the board
of directors with sufficient information to facilitate the board’s full understanding of the stress
testing used by the Bank.

Model Validation and Independent Review
Models employed by Banks (either developed internally or supplied by a vendor) should be
independently validated or otherwise reviewed in line with model risk management expectations
presented in existing supervisory guidance, including OCC Bulletin 2011-12. Institutions should
provide model validation documentation on the following elements: conceptual soundness, inputs,
transparency, implementation, reporting, model robustness and limitations, use of expert judgment,
exception reports, outcomes analysis (backtesting and/or benchmarking) and qualitative
adjustments.

Validation documentation should include the Bank’s assessment of the vulnerability of their models
to error, an understanding of any of their other limitations, and consideration of the risk to the Bank
should estimates based on those models prove materially inaccurate. Specifically, validation reviews
should examine the efficacy of model use in both base case and stress scenarios. While the use of
existing risk measurement models and processes provides a useful reference point for considering
stress scenario potential loss estimates, validation efforts should consider whether these processes
generate outputs that are relevant in a stressful scenario or if the use of models should be
supplemented with other data elements and alternative methodologies. To the extent available, the
above items should also be provided for any vendor supplied models used by the Bank, along with
any third-party validation documentation available for the vendor supplied model.

Within this methodology documentation, Banks should provide credible support for all assumptions
used to derive loss estimates, including assumptions related to the components of loss, severity of
loss, and any known weaknesses in the translation of assumptions into loss estimates. Banks should
demonstrate that these assumptions are clearly conditioned on the stated macroeconomic scenario,
139

are consistent with stated business strategies, and reflect the competitive environment of each
business line. If firm-specific assumptions (other than broad macroeconomic assumptions) are used,
also describe these assumptions and how they relate to reported projections. If the Bank models rely
upon historical relationships, provide the historical data and clearly describe why these
relationships are expected to be maintained in each scenario. The impact of assumptions concerning
new growth or changes to credit policy on forecasted loss estimates relative to historical
performance should be clearly documented.

While judgment is an essential part of risk measurement and risk management, including for loss
forecasting, Banks should not be over-reliant on judgment to prepare their loss estimations without
providing documentation or evidence of transparency and discipline around the process. Banks
should adequately support their judgments and should ensure that judgments are in line with
scenario conditions. Banks should be consistently conservative in the assumptions they make to
arrive at loss rates. Where appropriate, documentation should quantify the impact of qualitative
adjustments from modeled output.
Furthermore, within this methodology documentation, Banks should include a thorough discussion
of any material deviations from the instructions and how the materiality of such deviations was
decided upon.

Additional information to be included in the methodology documentation is described in more detail
in sections below.

Consolidated Pro Forma Financials Methodology
Banks should submit documentation that describes (1) how the various balance sheet and income
statement line items were developed and reported, (2) the specific assumptions used to calculate
regulatory capital, including a discussion of any proposed capital distributions, and (3) any other
information necessary to understand the Bank’s capital calculations (e.g., calculations related to the
projections of deferred tax assets or servicing assets that may be disallowed for regulatory capital
purposes). Additional information to be provided as part of this documentation is outlined in section
A.1 below for the DFAST-14A Income Statement, Balance Sheet, and Capital sub-schedules.
Governance
Banks should include in their submission supporting documentation that transparently describes
internal governance around the development of stress testing models and methodologies, and
discuss how the stress testing methodologies have been implemented in the Bank’s existing firmwide risk management practices. Furthermore, documentation should include a discussion of the
stress testing outcomes in terms of the nature of the portfolio and the modeled scenario. The Bank
should demonstrate that senior management provided the board of directors with sufficient
information to facilitate the board’s full understanding of the stress testing used by the firm for
capital planning purposes and allow for the appropriate level of challenge of assumptions and
outcomes.

G. Documentation on Income Statement, Balance Sheet, and Capital

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for the Income Statement and Balance Sheet should be submitted in
following folder: PPNR. Supporting documents for the Capital subschedule should be submitted in
the following folder: Capital Planning.
140

Banks should submit supporting documentation that clearly describes the methodologies used to
make the loss, reserve change, and revenue projections that underlie the pro forma projections of
equity capital. You may submit separate documents for different models/methodologies. The
supporting document should be titled
RSSD_BANKMNEMONIC_CAPITAL_METHODOLOGY_YYMMDD.

Banks may submit separate documents for different models and/or methodologies. In this case, title
the documents:
RSSD_BANKMNEMONIC_CAPITAL_METHODOLOGY_MODELTYPE_YYMMDD.

Model Type refers to the type of capital model.

Each Bank should include in its supporting documentation a clear description of how the various
balance sheet and income statement line items were reported.

Provide information on the specific assumptions used to calculate regulatory capital, including a
discussion of any proposed capital distributions. When appropriate, clearly state assumptions
related to the corporate tax rate and the evolution of the deferred tax assets. In situations where the
Bank chooses not to project components of the balance sheet, those components should be held
constant at the last current level and the Bank should explain why the zero delta assumption is
appropriate in the given scenario.

Banks should submit any other information and documentation necessary to support or understand
its capital calculations. Where applicable, Banks should link the additional supporting
documentation to the Summary Memo of Capital Methodology and Assumptions and the Capital
worksheet.

H. Documentation on Retail
BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: Retail.
Banks should submit separate documentation for their retail-related projections. The supporting
document should be titled
RSSD_BANKMNEMONIC_RETAIL_METHODOLOGY_YYMMDD.

Banks may submit separate documents for different models and/or methodologies. In this case, title
the documents:

RSSD_BANKMNEMONIC_RETAIL_METHODOLOGY_MODELTYPE_YYMMDD.

Model Type refers to the type of Retail model. Documentation should be submitted for all aspects of
141

the retail portfolio, including purchased credit impaired loans and mortgage repurchase risk.
Mortgage repurchase documentation should include descriptions of all important assumptions
made in each scenario, including, but not limited to, assumptions about legal process outcomes and
counterparty behavior. All retail documentation should include documentation of assumptions,
governance, validation and independent review as outlined in the Supporting Documentation
section of the Overview.

I. Documentation on Wholesale

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: Wholesale.

Banks should submit separate documentation for their Wholesale (Corporate and CRE) loan balances
and loss projections. The supporting document should be titled
RSSD_BANKMNEMONIC_WHOLESALE_METHODOLOGY_YYMMDD.

Banks may submit separate documents for different methodologies. In this case, title the
documents:
RSSD_BANKMNEMONIC_ WHOLESALE_METHODOLOGY_MODELTYPE_YYMMDD.
Model Type refers to the type of Wholesale model.

Banks should include supporting documentation that describes the key methodologies and
assumptions for performing stress testing on each wholesale portfolio. Documentation should
include an index of documents submitted, a general overview document providing a broad summary
of the stress testing methodologies utilized, and detailed supporting documentation that clearly
describes the model development process, the derivation of outcomes, and validation procedures as
outlined below. The methodologies’ formulaic specification, assumptions, numerical
techniques, and approximations should be explained in detail with particular attention to both their
merits and limitations.
Specifically, documentation should include:
• Discussion of historical data set construction, including data sources, adjustments to the
data set, and documentation validating the use of any external data.
• Time period of model calibration.
• Rationale for portfolio segmentation and a discussion on how a particular methodology and
model captures the key characteristics and the unique risk drivers.
• A description of how the loss estimates appropriately capture the severity of the
macroeconomic scenario, reflecting both industry and borrower characteristics.
Documentation should include a justification for explanatory variables selected, including
coefficients from statistical models, measures of their statistical significance, and qualitative
assessments where appropriate. Where relevant, descriptive statistics, including their
mean, median, minimum, maximum, and standard deviation should be outlined.
• Step-by-step examples of loss calculation, including a transparent breakdown of all
components of forecasted loss (i.e., probability of default, severity of loss, exposure at
default) and how each component is adjusted for the given macroeconomic scenario.
• Discussion of how losses were distributed to each quarter in the forecasted period as it
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relates to changes in the macroeconomic factors within the modeled scenario.
Qualitative or quantitative adjustment to main model output. Firms should perform preadjustment/post-adjustment loss analysis and supply that analysis for material disparity.

Where the current total balances in the wholesale line items do not tie directly to the corresponding
category on the Call Report, Banks should provide a reconciliation which accounts for all wholesale
balances. To the extent that loss projection line items include the consolidation of various loan
portfolios which have different risk characteristics, supporting documentation should break out the
relevant sub-portfolio losses. Furthermore, Banks should provide supporting documentation and
forecasts for any wholesale loan portfolios acquired after the beginning quarter of the stress
scenario and/or for loans covered by loss sharing agreements with the FDIC.

J. Documentation on Loans HFS and Loans Under FVO

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: Wholesale or Retail.

Banks should submit separate documentation for their FVO and HFS retail and wholesale loans. The
supporting document should be titled
RSSD_BANKMNEMONIC_FVOHFS_METHODOLOGY_YYMMDD.

Banks may submit separate documents for different models and/or methodologies. In this case, title
the documents:
RSSD_BANKMNEMONIC_FVOHFS_METHODOLOGY_MODELTYPE_YYMMDD.

The documentation should include:
• Total loss and outstanding fair market value balances segmented by Commercial/Wholesale,
Commercial Real Estate and Retail along with explanation as to the main drivers of loss for each
category noted above;
• The amount of funded and non-funded commitments for wholesale loans and for retail loans.
Please include the average amount of loans that had been rejected or were not in conformance
with agency standards;
• An attestation to completeness: describe the process and governance & oversight for ensuring
the full set of positions were accounted for and included;
• Instances where different methodologies were used across different business lines with like
assets;
• Where judgment was used in defining and allocating exposure;
• Where shocks were used that differed from prescribed shocks;
• Approach and asset coverage under these approaches;
• Any additional broadening or simplification of the scenario done to get the requisite amount of
granularity needed to run to scenario,

K. Documentation on AFS/HTM Securities

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: AFS HTM.
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The supporting document should be titled:

RSSD_BANKMNEMONIC_SECURITIES_METHODOLOGY_YYMMDD.
Banks may submit separate documents for different methodologies. In this case, title the
documents:
RSSD_BANKMNEMONIC_SECURITIES_METHODOLOGY_MODELTYPE_YYMMDD.

The documentation should clearly addresses the OTTI and OCI methodologies used by Banks to
complete the Summary Schedule. The documentation should, at a minimum, address the questions
outlined below by major product/portfolio type (e.g., non-agency RMBS, CMBS, auto ABS, corporate
bonds, etc.).
Projected OTTI for AFS Securities and HTM Securities by CUSIP OTTI Methodology
•
•
•
•

•
•
•
•
•
•
•

Describe the model/methodology used to develop stressed OTTI losses. Please state whether a
vendor or proprietary model was used.
If a vendor model was used, please provide the name of the vendor model. If a vendor model
was used, has the Bank independently reviewed the vendor model?
What data source(s) was used to estimate the model?
What were the key inputs/variables and how were these determined? (e.g., how were default,
severity, and other elements determined? What were the key inputs in determining default,
severity, and other elements? What were the key assumptions and how were these assumptions
determined?)
If using a cash flow model, was a vendor or proprietary model used? If using a vendor model,
please provide the name of the vendor and model.
How did the model/methodology (whether vendor or proprietary) incorporate macroeconomic
assumptions?
If relevant, how were macroeconomic assumptions (as prescribed under the supervisory stress
scenario) used to determine projected collateral default and severity?
Were all securities reviewed for impairment? If not, describe the rationale, decision rule, or
filtering process.
If the threshold for determining OTTI on structured products was based on a loss coverage
multiple, describe the multiple used.
If OTTI was estimated for multiple quarters, describe the process for determining OTTI in each
period of the forecast time horizon.
Is the Bank using shortcuts or rules of thumb to recognize the OTTI charges for this analysis or
going through the Bank’s normal process for recognizing OTTI charges? If using shortcuts or
rules of thumb, state how this process differs from the normal process for recognizing OTTI
charges.

Fair Market Value Determination
• If more than one third-party vendor is used as the principal pricing source for a given security,
what are the criteria for determining the final price? (e.g., is a mean, median, weighting scheme
or high/low price taken?) Is there a hierarchy of sources? If appropriate, describe responses by
major product or portfolio type (e.g., non-agency RMBS, CMBS, Consumer ABS).
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•
•
•
•

If an internal model is used as the principal pricing source for a given security, are prices (from
an internally created model) compared with third-party vendor prices? If so, which vendors are
used? If prices are not compared with third-party vendors, state the reason. If appropriate,
describe responses by major product/portfolio type (e.g., non-agency RMBS, CMBS, Consumer
ABS).
Describe any additional adjustments made to prices determined by internal model(s) and/or
third parties. How is the ultimate price determined?
If an internal model is used as the principal pricing source for a given security, what are the
primary market pricing variables used for fair value estimation?
Describe briefly the Bank’s price validation and verification process. Provide readily available
documentation related to the Bank’s price validation and verification process.

Projected OCI and Fair Market Value for AFS Securities
• Describe the model/methodology used to develop stressed OCI losses. If appropriate, describe
responses by major product or portfolio type (e.g., non-agency RMBS, CMBS, Consumer ABS).
State whether the same model was used to derive OTTI losses. If not, detail the specific
model/methodology and rationale for utilizing a different model.
• Detail if a vendor or proprietary model was used. If a vendor model was used, provide the name
of the vendor model. If a vendor model was used, has the Bank performed an independent
review of the vendor model?
• What data source(s) was used to estimate the model?
• What were the key inputs/variables and how were these determined? (e.g., how were fair value
losses, and other elements determined?) What were the key inputs in determining OCI loss and
how were they determined?
• If using a cash flow model, was a vendor or proprietary model used? If using a vendor model,
please provide the name of the vendor and model.
• How did the model/methodology (whether vendor or proprietary) incorporate macroeconomic
assumptions? How were macroeconomic assumptions (as prescribed under the supervisory
stress scenario) used to determine projected OCI?
• Were all securities reviewed for OCI? If not, describe the rationale, decision rule, or filtering
process. If OCI was estimated for multiple quarters, describe the process for determining OCI in
each period of the forecast time horizon.
• Is the Bank using shortcuts or rules of thumb to recognize the OCI charges for this analysis or
going through the Bank’s normal process for recognizing OCI charges? If using shortcuts or rules
of thumb, state how this process differs from the normal process for recognizing OCI charges.

L. Documentation on Trading

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: Trading.
The supporting document should be titled

RSSD_BANKMNEMONIC_TRADING_METHODOLOGY_YYMMDD.
Banks may submit separate documents for different methodologies. In this case, title the
documents:
RSSD_BANKMNEMONIC_TRADING_METHODOLOGY_MODELTYPE_YYMMDD.
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• Documentation should include supporting details explaining the main drivers and attribution of
loss for the overall trading and MTM loss estimate, and for each respective primary
risk/business unit area details on the loss attribution by the primary risk factors.
• Documentation should provide a complete and technical definition of second and higher order
risk factors (cross gamma, vanna, etc.) and describe the methods undertaken by the firm to
estimate the cross gamma and higher-order effects.
• Estimate the contribution to total losses from higher-order risks.
• Describe the evolution of risk per each risk area two weeks before and after the submission date,
i.e. make note of positions that may expire or terminate within this time frame that significantly
alters a risk profile.
• Describe the process and governance & oversight for ensuring the full set of positions were
accounted for and included.
• A detailed and technical description of modeling methods (including pricing models) used,
• Documentation should clearly make note of instances where different methodologies were used
across different business lines with like assets.
• Document approach (e.g., full revaluation vs. grid based approach) and asset coverage under
these approaches.
• Please identify those products or exposures where the firm used models or systems that were
outside of the normal routine stress testing framework for the FRB stress scenario and indicate if
they were reviewed or validated by an independent Model Review function.
• The decision-making used for allocating exposures according to risk area. Documentation
should make note where judgment was used in defining and allocating exposure per each risk
area.
• Where shocks were used that differed from prescribed shock.
• Describe any additional broadening or simplification of the scenario done to get the requisite
amount of granularity needed to run the scenario.

M. Documentation on Counterparty Credit Risk

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: CCR.
The supporting document should be titled

RSSD_BANKMNEMONIC_CCR_METHODOLOGY_YYMMDD.
Banks may submit separate documents for different models and/or methodologies. In this case, title
the documents:
RSSD_BANKMNEMONIC_CCR_METHODOLOGY_MODELTYPE_YYMMDD.
Model Type refers to CVA, CCR IDR, Trading IDR, and Other CCR Losses.

The documentation should include a detailed description of the methodologies used to estimate
Trading IDR, CVA, and CCR IDR losses under the stress scenario as well as methodologies used to
produce the data in the CCR schedule. All information relevant for supervisors to understand the
approach should be included. Any differences between the bank and the scenarios in methodology,
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position capture, or other material elements of the loss modeling approach should be clearly
described.

As part of the detailed methodology document, banks should provide an Executive Summary that
gives an overview of each model and answers each of the questions below. If one of the questions
below is not fully addressed in the Executive Summary, cite the page number(s) of the methodology
document that fully addresses the question.
In addition to the Executive Summary, there should be a section of the methodology document
devoted to any divergence from the instructions to the Counterparty Risk Worksheet or the
Schedule. Use this section to explain any data that is missing or not provided as requested. This
section should also be used to describe where and how judgment was used to interpret an
instruction.
1.

2.

3.
4.

Data and systems
a. What product types are included and excluded? Specifically, comment on whether
equities are excluded and what types of securitized products, if any, are excluded.
Comment on the materiality of any exclusions.
b. Are there any issuer type exclusions? Comment on the materiality of any exclusions.
c. Are there any exposure measurement or trade capture limitations impacting the
Trading IDR loss estimate in Item 1 on the Counterparty Risk Worksheet in the
SUMMARY_SCHEDULE? If so, make sure to elaborate in the documentation,
particularly where these limitations understate losses.
d. Are there any discrepancies in position capture between the MV and Notionals
reported in Worksheets Corporate Credit-Advanced, Corporate Credit-EM,
Sovereign Credit, Credit Correlation, or IDR- Corporate Credit? If so, elaborate on the
discrepancies in the documentation.
e. Are any index or structured exposures decomposed/unbundled into single name
exposures? If so, provide a description of the exposures that are decomposed and
the methodology used.
f. What types of CVA hedges are included in Item 10 on the Trading Worksheet of the
SUMMARY_SCHEDULE (e.g., market risk hedges, counterparty risk hedges)? Which,
if any, of these hedges are excluded from the Trading IDR loss estimates (Item 1 on
the Counterparty Risk Worksheet of the SUMMARY_SCHEDULE)? Confirm that
hedges modeled in Trading IDR are excluded from CCR IDR.
PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an
outcome in the tail of the default distribution? If an outcome in the tail is used, what
is the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative
two- year PD or a one-year PD used as a model input? How is migration risk
captured?
c. What data sources and related time periods are used to generate the assumptions on
stressed expected PD or the default distribution? In the documentation, provide a
breakdown of PDs (e.g., by rating, asset category). Provide stressed PDs if a stressed
PD is used, or provide PD inputs if an outcome in the tail is used.
Correlation assumptions
a. What correlation assumptions are used in the Trading IDR models?
LGD methodology
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery
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rate volatility?
i. If a static LGD is used, were the mean LGDs stressed? What data sources and
related time periods were used to determine the LGDs? In the methodology
documentation, provide the relevant breakdown of LGDs used in the model (e.g.,
by ratings, asset category).
ii. If a stochastic LGD is used, elaborate on the assumptions generating the
stochastic LGD in the documentation, including assumptions on the LGD mean
and volatility and rationale for modeling choices.
5. Liquidity horizon
a. What liquidity horizon assumptions are used?
6. Exposure at default (EAD)
a. What Exposure at Default (EAD) is used for Trading IDR? For example, is the
calculation based on actual issuer exposures, stressed exposures, a mix of both, or
something else? If exposures are stressed, please explain how the exposures were
stressed.
7. Treatment of gains
a. Are any gains being reflected in the Trading IDR calculations? If so, elaborate in the
documentation how gains are treated.

CVA
1. Divergence from instructions
a. In the Summary Schedule, is liability-side CVA (i.e., DVA) included in any element of the
submission? If so, elaborate in the documentation.
b. In the Summary Schedule, is bilateral CVA included in any element of the submission (i.e.,
CVA where the counterparty default probabilities are conditional on the survival of the
bank)? If so, elaborate in the documentation.
c. Is there any place where CVA data is reported net of hedges on Item 2 on the Counterparty
Risk Worksheet in the SUMMARY_SCHEDULE?
2. Data and systems: In the documentation, clearly identify, describe, and comment on the
materiality of any exclusions that prevent 100 percent capture of counterparties or trades. At
a minimum, address the questions below and elaborate in the documentation where
appropriate.
a. Are any counterparties excluded from the losses reported in the SUMMARY_SCHEDULE
(Item 2 in the Counterparty Risk Worksheet)? In the documentation, elaborate on the
nature, materiality, and rationale for these exclusions.
b. Are any add-ons or alternative methodologies used to calculate stressed or unstressed
CVA? Elaborate regarding the nature and rationale for each type of add-on in the
documentation.
c. In calculating stressed CVA, are there occasions where it is assumed additional collateral
has been collected after the shock? If so, provide detail, including the rationale, in the
documentation.
d. Are there any additional/ offline CVA reserves? If so, elaborate about the nature of these
reserves in the documentation. Explain what counterparties, counterparty types, or trade
types are included, why are they calculated as reserves, and how they are stressed.
e. Is there any exposure measurement or product capture limitations impacting the loss
estimate in Item 2 on the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE? If
so, make sure to elaborate in the documentation, particularly where these limitations
understate losses.
3. LGD methodology
a. For the LGD used to calculate PD, are market implied recovery rates used? If not,
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4.

5.

elaborate on the source of the LGD assumption in the methodology documentation.
b. Is the same recovery/LGD used in the CVA calculation as is used to calculate PDs from
the CDS spread? If not, in the documentation provide a detailed rationale and backup
data to support the use of a different LGD, and provide the source of the LGD used to
calculate CVA.
Exposure at default (EAD)
a. What Margin Period of Risk (MPOR) assumptions are used for unstressed and stressed
CVA?
b. Are collateral values stressed in the numbers reported in the CCR Schedule or Items 2 or 3
on the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE? If so, elaborate on the
stress assumptions applied.
Application of shocks
a. Are the shocks applied to CVA (for calculating Item 2 in the Counterparty Risk Worksheet
in the SUMMARY_SCHEDULE) the same as those applied to the Trading Book (Item 10 in
the Trading Worksheet in the SUMMARY_SCHEDULE)? Where they are different, or where
shocks applied diverge from the OCC shock scenario, elaborate in the documentation.
b. Have the models for CVA been validated? If not, elaborate on the review process, if any.

CCR IDR
1. Data and systems
a. Is there any exposure measurement or product capture limitations impacting the loss
estimate in Item 3 on the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE? If
so, make sure to elaborate in the documentation, particularly where these limitations
understate losses.
b. What types of CVA hedges are included in CCR IDR? Confirm that hedges modeled in
CCR IDR were excluded from Trading IDR.
2. PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an
outcome in the tail of the default distribution? If an outcome in the tail is used, what is
the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative twoyear PD or a one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on
stressed expected PD or the default distribution? In the documentation, provide a
breakdown of PDs (e.g., by rating, counterparty type). Provide stressed PDs if a
stressed PD is used, or provide PD inputs if an outcome in the tail is used.
3. Correlation assumptions
a. What correlation assumptions are used in the CCR IDR models?
4. LGD methodology
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate
volatility?
b. If a static LGD is used, are the mean LGDs stressed? What data sources and related time
periods are used to determine the LGDs? In the methodology documentation, provide
the relevant breakdown of LGDs used in the model (e.g., by ratings, counterparty type).
c. If a stochastic LGD is used, elaborate on the assumptions generating the stochastic LGD
in the documentation, including assumptions on the LGD mean and volatility and
rationale for modeling choices.
5. Liquidity horizon
a. What liquidity horizon assumptions are used?
6. Exposure at default (EAD)
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a.
b.

7.

Provide an overview of how EAD is modeled for CCR IDR.
Is any downgrade triggers assumed in the CCR IDR model? If so, elaborate in the
documentation.
c. What Margin Period of Risk (MPOR) assumptions are modeled in CCR IDR?
Treatment of gains
a. Are any gains being reflected in the CCR IDR calculations? If so, elaborate in the
documentation how gains are treated.

Other CCR Losses
1. Data and Systems
a. What types of CCR losses are included in the "Other CCR Losses" Counterparty Risk
Worksheet of the SUMMARY_SCHEDULE? What are the loss amounts for each major
category of "Other CCR Losses"? For any material losses, discuss the methodology and
rationale in the documentation.

N. Documentation on Operational Risk

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: Op Risk.

The reporting institution should provide any supporting information including statistical results,
data, summary tables, and additional descriptions in a separate document and cross reference the
document to the respective question/item.

The supporting document should be titled:

RSSD_BANKMNEMONIC_OP_METHODOLOGY_YYMMDD.
Banks may submit separate documents for different methodologies. In this case, title the
documents:
RSSD_BANKMNEMONIC_OP_METHODOLOGY_MODELTYPE_YYMMDD.

Documentation
Generally, a Bank should have robust internal controls governing its operational risk loss projection
methodology and process components, including sufficient documentation, model validation and
independent review. Supporting documentation should cover all loss projection methodologies and
processes. Adequate documentation includes comprehensive and clear operational risk
management framework policies and procedures. For statistical models, adequate documentation
includes specific delineation of all key assumptions for projecting operational losses under each
scenario, a description of the underlying operational risk data used to determine projected losses
and the approach for translating the data into loss projections. If a budgeting process was used, the
Bank should describe the budgeting process and provide specific detail on how operational losses
are estimated. Adequate documentation should also include a discussion of how pending litigation
and reserves for litigation were incorporated into operational loss projections for all requested
scenarios. The Bank should provide a description of the internal controls that ensure the integrity of
reported results and demonstrate that all material changes to the process and its components are
appropriately reviewed and approved.
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O. Documentation on Pre-Provision Net Revenue (PPNR)
BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: PPNR.
The supporting document should be titled:

RSSD_BANKMNEMONIC_PPNR_METHODOLOGY_YYMMDD.
Separate documents may be submitted for different methodologies. In this case, title the
documents:
RSSD_BANKMNEMONIC_PPNR_METHODOLOGY_MODELTYPE_YYMMDD.

Each methodological memo should clearly describe how a Bank approached the PPNR projection
process and translated macro-economic factors into the reported projections.

Projected Outcomes
1) Provide an explanation summarizing the reasonableness of projected outcomes relative
to the stated macroeconomic scenario, business profile, as well as regulatory and
competitive environment. Especially in the more adverse scenario(s), include substantial
supporting evidence for PPNR estimates materially exceeding recently realized values.
2) Banks should discuss linkages between PPNR projections and the balance sheet as well as
other exposure assumptions used for related loss projections.
3) Include discussion of PPNR outcomes by component (i.e., Net Interest Income, NonInterest Income, and Non-Interest Expense) and by major source of each component (e.g.,
by major balance/rate category, type of revenue/expense, and/or business activity).
4) Consideration should be given to how changes in regulation will impact the Bank’s
revenues and expenses over the projection period. The memo should include a section
that addresses how recent or pending regulatory changes have impacted projected figures
and business strategies and in which line items these adjustments are reflected.

Models and Methodology

1) The documentation should include a full list of all models and parameters used to
generate projections of PPNR components for DFAST purposes and whether these models
are also used as part of other existing processes (e.g., the business-as-usual budgeting and
forecasting process). Where existing processes are leveraged, discuss how these are
deemed appropriate for stress testing purposes, including any modifications that were
necessary to fit a stressful scenario. Also discuss those items that are particularly
challenging to project and identify limitations and weaknesses in the process.
2) Thorough discussion of use of management/expert judgment, including information
about rationale and process involved in translation of macroeconomic scenario variables
into projections of various PPNR components should be provided. Where a combination
of a modeled approach and management judgment was used to project an item, quantify
the impact of qualitative adjustments to modeled output.
3) Provide support for all key assumptions used to derive PPNR estimates, with a focus on the
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4)
5)
6)
7)

link of these assumptions to projected outcomes and whether the assumptions are
consistent with the stated macroeconomic scenario, regulatory and competitive
environment as well as business strategies for each of the major business activities.
Document the impact of assumptions concerning new growth, divestitures or other
substantial changes in business profile on PPNR estimates. In cases where there is a high
degree of uncertainty surrounding assumptions, discuss and reference sensitivity of
projections to these assumptions. Also ensure that all relevant macroeconomic factors
used for PPNR projections are also reported on the firm submitted Scenario Schedule.
In addition to broad macroeconomic assumptions that will guide the exercise, it is
expected that more specific assumptions will be used by Banks in projections of PPNR,
Including macro-economic factors other than those provided by the OCC as well as Bank
specific assumptions. Such assumptions and their link to reported figures, standardized
and/or Bank business segments and lines should be discussed in the methodology memo.
Where historical relationships are relied upon (e.g., ratios of compensation expense to
total revenues), Banks are expected to document the historical data used and describe
why these relationships are expected to hold true in each scenario.
Projecting future business outcomes inevitably relies on the identification of key
relationships between business metrics and other explanatory variables. Key limitations
and difficulties encountered by the Bank in the process to model these relationships should
be identified and discussed in the memo.
Highlight changes in various aspects of Bank’s PPNR forecasting models and methodology,
primarily focusing on the changes that occurred since the last DFAST submission.

Projections Governance and Data

Other

1) Banks are asked to describe governance aspects for the PPNR projections development.
This includes but is not limited to a description of:
a. The roles of business lines and management teams involved in the process
b. How the projections are generated. Particular attention should be given to how
the Bank ensures that assumptions are consistent across different business line
projections, how assumptions are translated into projections of revenue and
expenses, and the process of aggregating and reporting the results.
c. Senior management’s involvement in the process and the process in which the
assumptions are vetted and challenged. Also note whether established policies and
procedures are in place related to this process.
2) Also include a separate section devoted to any divergence from the instructions in
completing the PPNR worksheets. Use this section to explain any data that is missing or
not provided as requested. Use this section to discuss major instances where judgment
was used to interpret PPNR instructions.
3) Highlight changes in various aspects of the Bank’s PPNR forecasting governance and data,
primarily focusing on the changes that occurred since the last DFAST submission.
1) Banks are also expected to address items requested in the Supporting Documentation
portion of the Overview section (beginning on page 4) as applicable to PPNR if not
already addressed per PPNR documentations guidance as stated above.
2) Banks are encouraged to submit any other information and documentation (including data
series) that would support the bank’s PPNR projections. One example of such information
would be identification and discussion of major deviations of the Bank’s historical
performance from forecasted figures, focusing on the last four quarters and noting items
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that the Bank regards as non-recurring and/or non-core. Where applicable, it would be
useful to reference this additional supporting information in the memo outlined above.

P. Documentation on MSR Projection

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: PPNR.
The supporting document should be titled:

RSSD_BANKMNEMONIC_MSR_METHODOLOGY_YYMMDD.
Separate documents may be submitted for different models and/or methodologies. In this case, title
the documents:

RSSD_BANKMNEMONIC_MSR_METHODOLOGY_MODELTYPE_YYMMDD.
The documentation should address the questions outlined below.

a) Models and Methodologies
• Describe the models and related sub-models that were used to complete the submission,
and please state whether the model is a third-party vendor or proprietary model.
o Income/Expense/Valuation Engine
o Prepayment Model
o Default Model
o Delinquency Model
o Hedging Simulation
• If a vendor model was used, please provide the name of the vendor model. If a vendor
model was used, has the Bank performed an independent review of the vendor model?
• Has the model undergone rigorous model validation, with results reviewed independently
of the business line?
• Has any performance testing been conducted on the model? If so, what type of performance
testing has been conducted?
• What data sources were used to calibrate each model?
• What were the key inputs/variables and how were these determined?
• How did the model (whether vendor or proprietary) incorporate macroeconomic
assumptions?
b) Assumptions
• For each quarter, what new loan capitalizations and amortizations are assumed over both
the baseline and supervisory stress scenarios?
• How were the new loan capitalization forecast assumptions developed?
• What excess spread assumptions were made with respect to new loan capitalizations in
each scenario and how was this assumption derived (e.g., historical buy-up/buy-down
grids, etc.)?
• How were HARP assumptions, if any, estimated?
• What market share is assumed, and does this change within the stress scenario?
• Does the submission include any MSR sales or purchases under the supervisory stress? If
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•

•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•

yes, please provide detail.
What is the composition of the underlying portfolio of loans serviced for others with
respect to the following, and how does this composition change (if at all) during the
supervisory stress scenario?
o Loan type
o Geographical region
o Credit score
How were macroeconomic assumptions as prescribed under the supervisory baseline and
stress scenarios used to determine the respective projected loan prepayment, delinquency,
and default experience for each quarter?
How were macroeconomic assumptions that were not prescribed under the supervisory
baseline and stress scenarios (for example, interest rate volatility, option adjusted spreads,
primary to secondary spreads) used to determine the respective projected loan
prepayment, delinquency, and default experience for each quarter?
What are the voluntary prepayment speeds (e.g., conditional prepayment rates (CPRs)
associated with refinancing) assumed for each quarter in the respective baseline and
supervisory stress scenarios? Do not include constant default rates (CDRs).
What are the factors that drive or explain the level and trend in prepayment speeds through
the nine quarters over the baseline and supervisory stress scenarios?
What are the default rates assumed for each quarter in the respective baseline and
supervisory stress scenarios?
What are the factors that drive or explain the level and trend in default rates through the
nine quarters over the baseline and supervisory stress scenarios?
How were the assumptions regarding cost of service with respect to both the baseline and
stressed scenarios derived?
Was inflation incorporated into the projection?
What is the servicing cost structure on a per loan basis on a base and incremental basis for
each level of delinquency? What are the foreclosure costs per loan?
Does the cost structure per loan stay the same throughout the nine quarters with the
number of delinquent loans changing, or do both change?
What foreclosure time frames are used in the baseline scenario? Do these lengthen or
contract in the supervisory stress?
Is late fee income included in the submission?
If so, what is the Bank’s actual late fee income structure, as well as waiver policy if
applicable?
What is the late fee income assumed in the baseline and stress scenarios?
Is it assumed that late fees are 100% collectable in the stress scenario?
Are earnings on escrow and other balances included in the submission?
If yes, how are the balances forecasted, and what is the crediting rate?
Is cost to finance advances to investors relating to delinquent loans incorporated in the
submission?
If yes, how is the borrowing rate determined?

c) Hedging and Rebalancing
• Are MSR hedges assumed to be rebalanced or rolled-over at any time during the nine quarter
DFAST horizon? How often are hedges assumed to be rebalanced or rolled-over? What is the
timing of such rebalancing or roll-over trades?
• What are the hedge rebalancing and/or roll-over rules applied during the baseline and stress
scenarios?
• Are the hedge rebalancing and/or roll-over rules applied in the baseline and stress scenarios
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•
•
•
•

consistent with the firm’s risk appetite statement and Board/management approved limit
structure?
To what degree does hedge effectiveness decline in the stress scenarios? How was this
estimated?
How is the impact of hedging instrument bid-ask spreads captured in the submission? To
what degree does the bid-ask spread widen in the stress scenario? How was this estimated?
How does the firm account for the liquidity risk from concentrated hedge positions?
What is assumed regarding collateral requirements?
What are the current risk tolerance limits with respect to MSR hedging?

Q. Documentation on Scenario

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: Other Supporting
Documents.
For the Bank-specific scenarios, the Bank should include documentation on the scenario
development process, which, at a minimum, should describe how the risk identification process
relates to the scenario design and how the scenario design corresponds to the Bank’s idiosyncratic
risks.
To the degree that the Bank anticipates that its specific vulnerabilities or risk profile is
different from the BHC, the Bank should include supporting documentation which qualitatively
identifies key differences in the risk profiles between the Bank and the BHC and how these
differences are anticipated to affect the Bank-specific scenario results.

Similar to other inputs to the stress testing process, models and methodologies that are
associated with the additional scenarios should be well supported and follow established supporting
documentation requirements.

R. Documentation on Regulatory Capital Instruments

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: Capital Planning.
Appropriate supporting documentation is required for this schedule.

S. Documentation on Consideration of Certain Off‐Balance Sheet Risks

BankNet Instructions: When uploading the supporting documentation to the BankNet site,
supporting documents for this specific area should be uploaded to the folder: PPNR.

Supporting documentation should clearly highlight how each institution (i) identified
unconsolidated entities and sponsored products to which the Firm has potential exposure, (ii)
evaluated those entities/sponsored products under stressed scenario conditions, and (iii) projected
and reported any associated financial losses – whether in the form of non-contractual support or
reflected elsewhere in PPNR (e.g., foregone revenue).
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1. Identification: The submission should include a complete inventory of all off-balance
sheet entities and sponsored products. Those assessed collectively may be aggregated for
the purposes of reporting the information requested below, except that all investment
management products that seek to maintain a stable net asset value (NAV) should be
listed separately. Please include, at a minimum, the following information related to
unconsolidated entities/sponsored products:
• Product category. For example, ABCP conduits, Real Estate Investment Trusts,
Hedge Funds, SEC-registered mutual funds, Collective Investment Funds, etc.
• Total assets by product or category (for those that are aggregated).
• Revenues earned by product or category for the most recent four quarters
and a description of the nature of such revenues.
• Product name and/or unique identifier for those listed separately.
• For stable NAV funds only, the regulatory framework by which each product
is offered. For example, Investment Company Act of 1940, Rule 12 CFR 9.18,
etc.
Each firm should also include a brief description of the process utilized to develop
inventory.
2. Evaluation Methodology: Clearly describe the methodology that was applied to the
inventory in order to determine the unconsolidated entities/sponsored products for
which there is a potential for non-contractual support, for example based on client
expectations. This should include even those entities/sponsored products which the firm
may choose not to support but such a decision could lead to lost revenues and/or other
costs. Indicate the resulting decision for each product or category.
3. Determination of Related Losses: For each unconsolidated entity/sponsored product
for which it was determined that a client expectation of non-contractual support may
exist:
a) Describe the expected impact of macroeconomic and/or idiosyncratic stress
factors to these entities/sponsored products.
• This might include, but is not limited to, market value shocks, increased
redemption activity, rollover risk, counterparty-default-related losses, etc.
• Critical assumptions such as assumed counterparty LGD rates, velocity of
redemptions amid stress, and nature of market shocks should be
highlighted.
b) Describe the decision framework applied in determining whether noncontractual support would be provided and include a discussion of the
identified costs/benefits related to each decision by major category and/or
product.
c) Quantify and provide calculations of any related financial losses expected to be
borne by the firm either in the form of non-contractual support or lost revenues
and legal/operational costs and provide related calculations of those losses.
• This should include both direct impacts (e.g., product closure and/or
potential litigation costs) and indirect (i.e., second-order) impacts, such as
lost revenue in other products that results from client attrition, where a
decision to not support has been applied.
d) Clearly indicate the line items within the Y-14A summary schedule where such
projected financial losses have been recorded.

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