Occ Dfast-14a

Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions with Total Consolidated Assets of $250 Billion or More

2021-dfast-final-instructions

OCC DFAST-14A

OMB: 1557-0319

⚠️ Notice: This form may be outdated. More recent filings and information on OMB 1557-0319 can be found here:

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Dodd‐Frank Act Stress Testing (DFAST)
Reporting Instructions
OCC Reporting Form DFAST-14A
January 2021

Table of Contents

GENERAL INSTRUCTIONS ............................................................................................................................................ 3
SUMMARY SCHEDULE ................................................................................................................................................... 7
Income Statement, Balance Sheet, and Capital ............................................................................................ 8
Retail ........................................................................................................................................................................... 68
AFS/HTM Securities ............................................................................................................................................... 73
Trading ...................................................................................................................................................................... 77
Counterparty Credit Risk ..................................................................................................................................... 83
Operational Risk Scenario and Projections .................................................................................................. 84
Pre‐Provision Net Revenue .................................................................................................................................. 85
SCENARIO SCHEDULE .............................................................................................................................................. 122
REGULATORY CAPITAL INSTRUMENTS SCHEDULE ....................................................................................... 124
OPERATIONAL RISK SCHEDULE ........................................................................................................................... 144
BUSINESS PLAN CHANGES ...................................................................................................................................... 146
APPENDIX A: SUPPORTING DOCUMENTATION ............................................................................................... 149

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 CECL OCC supplemental schedule, each with multiple supporting subschedules. 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 Bankdefined (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
The Economic Growth, Regulatory Relief, and Consumer Protection Act (EGRRCPA) amends
certain aspects of the company-run stress testing requirement in section 165(i)(2) of the DoddFrank Act, which requires certain national banks and federal savings associations to conduct
annual stress tests. Therefore, only banks with greater than $250 billion in total consolidated
assets are covered by the company-run stress testing requirement. 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 covered by the company-run
stress testing requirement, with the exception of the following sub-schedule:


Trading and CCR sub‐schedules (Summary Schedule): Banks with greater than
3

$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.

Other Reporting Requirements for firms subject to Category III standards1
Firms subject to Category III standards are only required to report the “Capital – DFAST” subschedule A.1.d – Capital, every other year.
B. Exemptions
Banks that do not meet the reporting criteria listed above are exempt from reporting.

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. 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. 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
In June 2016, the Financial Accounting Standards Board (FASB) issued accounting standards
1 A bank subject to Category III standards is defined as having $250 billion or more in total consolidated assets, or $75 billion or more
in weighted short-term wholesale funding, nonbank assets, or off-balance sheet exposure, and does not meet the criteria for Category I
or II. See 84 FR 59230 (November 1, 2019).

update (ASU) 2016-13 which introduced the current expected credit losses methodology (CECL)
for estimating allowances for credit losses and added Topic 326, Credit Losses, to the Accounting
Standards Codification (ASC). The new credit losses standard changes several aspects of existing
U.S. GAAP. Firms must apply ASU 2016-13 for DFAST-14A reporting purposes in accordance
with the effective dates set forth in the ASU,. As a result, the reporting of information associated
with ASU 2016-13 will begin with the DFAST-14A reports effective December 31, 2019 (for the
2020 stress test cycle) but would not be fully phased in and reflected on the reporting forms and
instructions until a future reporting date.
Firms that have adopted ASU 2016-13 on or before January 1, 2020, must reflect ASU 2016-13 in
their stress test reports for 2020 and later. Firms that have not adopted ASU 2016-13 as of
January 1, 2020, would reflect ASU 2016-13 in their stress test reports in the year they adopt
ASU 2016-13 and subsequent years.
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.’



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 refer
to 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.
5



Report income and loss data on a quarterly basis and not on a cumulative or
year-to-date basis.

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 latest available Call Report instructions published on the FFIEC’s public Web site:
https://www.ffiec.gov/forms031.htm.
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
F. Questions and Requests for Interpretations
Banks should submit any questions or requests for interpretations by e-mail to
DFA165i2.reporting@occ.treas.gov.

5. Counterparty Default Scenario Component
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,

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.

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).

6.5.
xx

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

Income Statement, Balance Sheet, and Capital Statements;
Retail;
Securities;
Trading;
Counterparty Credit Risk;
Operational Risk; and

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.

Pre-Provision Net Revenue (PPNR).

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.
Losses on HFI Loans at Amortized Costs

Item 1 Real estate loans (in domestic offices)
8

This item is a shaded cell and is derived from the sum of items 2, 5, 8 and 14.
Item 2 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 3 and 4.
Item 3 First lien mortgages
Report losses associated with loans held for investment accounted for at amortized cost on all
closed- end loans secured by first liens on 1 to 4 family residential properties, excluding closedend 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
RC- C, item 1(d).

Item 11 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 12 and 13.
Item 12 Owner‐occupied
Report losses associated with loans held for investment accounted for at amortized cost on
loans secured by owner-occupied nonfarm nonresidential properties, as defined in the Call
Report Schedule RC-C, item 1(e)(1).
9

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
RC- C, items 1(a)(1) and 1(a)(2), not held in domestic offices.
Item 20 Multifamily (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on loans
secured by multifamily (5 or more) residential properties, as defined in the Call Report Schedule
RC- C, item 1(d), not held in domestic offices.
Item 21 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 22 and 23.
Item 22 Owner‐occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on
loans secured by owner-occupied nonfarm nonresidential properties, as defined in the Call
Report Schedule RC-C, item 1(e)(1), not held in domestic offices.
Item 23 Non‐owner‐occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on
nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm
nonresidential properties, as defined in the Call Report Schedule RC-C, item 1(e)(2), not
10

held in domestic offices.
Item 24 Loans secured by farmland (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all
loans secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b), not held in
domestic offices.
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.
11

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

Item 32 Student Loans
Report losses 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 RC- C, item 9.b.(1). Exclude losses associated with loans for purchasing or carrying
securities included in Item 27 (Small Business Loans).
Item 39 Loans to Depositories and Other Financial Institutions
Report losses associated with loans held for investment accounted for at amortized cost on
loans to depositories and other financial institutions (secured or unsecured), as defined in the
Call Report Schedule RC-C, items 2.a, 2.b, and 9.a. Exclude losses associated with loans to
depositories and other financial institutions included in Item 27 (Small Business Loans).
Item 40 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 41 and 42.
Item 41 All Other Loans (exclude consumer loans)
Report losses associated with loans held for investment accounted for at amortized cost on all
other loans (excluding consumer loans), as defined in the Call Report Schedule RC-C, item 9.b.(2).
Exclude losses associated with all other loans included in Item 27 (Small Business Loans).
12

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

Item 43 Total Loans and Leases
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 closed- end first lien home equity loans.
Item 46 Second/Junior Lien Mortgages
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by junior (i.e., other than first) liens on 1 to 4 family residential
properties.
Item 47 Commercial real estate (CRE) loans
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all construction, multifamily, and nonfarm nonresidential loans, as defined in the Call
Report Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2).
Item 48 Loans secured by farmland
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b).
Item 49 Real estate loans (not in domestic offices)
This item is a shaded cell and is derived from the sum of items 50, 51 and 52.
Item 50 Residential Mortgages (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by 1 to 4 family residential properties, including both first lien and
second/junior lien loans, not held in domestic offices.
Item 51 Commercial real estate (CRE) loans (not in domestic offices)
13

Report losses associated with held for sale loans and loans accounted for under the fair value
option on all construction, multifamily, and nonfarm nonresidential loans, as defined in the Call
Report Schedule RC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2), not held in domestic offices.
Item 52 Loans secured by farmland (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all loans secured by farmland, as defined in the Call Report Schedule RC-C, item 1(b),
not held in domestic offices.
Item 53 C&I Loans
Report losses associated with held for sale loans and loans accounted for under the fair value
option on all 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 18, columns A and B, on the DFAST14A Summary Schedule, Trading
sub-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.
14

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 sub-schedule 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-MMemorandum, item 2.b.
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 5
Item 68 Total allowance for loan and lease losses, prior quarter
The total allowance for loan and lease losses prior quarter. This item is derived as the sum of
items 68a-d.
Institutions that have not adopted ASU 2016-13 should report ALLL prior quarter in line item
68a. Institutions that have adopted ASU 2016-13 should report allowance for credit losses on
loans and leases prior quarter, credit losses on held-to-maturity debt securities prior quarter,
available-for-sale debt securities prior quarter, and all other financial assets prior quarter in
item 68a, 68b, 68c, and 68d, respectively.

Item 68a ALLL prior quarter
Report the total allowance for loan and lease losses as of the end of the prior quarter.
Item 68b. Allowance for credit losses on held‐to‐maturity debt securities, prior quarter
Report the total allowance for credit losses on held-to-maturity debt securities as of the end of
the prior quarter.

5 Institutions that have adopted ASU 2016-13 should report the specified breakouts of allowances and
provisions for credit losses in items 69 through 90 and 92 through 113.

Item 68c. Allowance for credit losses on available‐for‐sale debt securities, prior quarter
Report the total allowance for credit losses on available-for-sale debt securities as of the end of
the prior quarter.
Item 68d. Allowance for credit losses on all other financial assets, prior quarter
Report the total allowance for credit losses on all other financial assets not included in items
68a-c above.
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)
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.
16

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 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
17

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 Total 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. This item would be derived as the sum of items 91a-d.
Institutions that have not adopted ASU 2016-13 should report provisions for loan and lease
losses during the quarter in line item 91a. Institutions that have adopted ASU 2016-13 should
report provisions for credit losses on loans and leases during the quarter, provisions for held-tomaturity during the quarter, available-for-sale debt securities during the quarter, and all other
financial assets during the quarter in item 91a, 91b, 91c, and 91d, respectively.

Item 91a Provisions for loan and lease losses during the quarter
Report the provision for loan and lease losses during the quarter, as defined in the Call Report,
Schedule RI-B, part II, item 5, column A. This item should align with the sum of provisions for
loan and lease losses reported in the loan types broken out below.
Item 91b Provisions for credit losses on held‐to‐maturity debt securities during the
quarter
Report the provision for credit losses on held-to-maturity securities during the quarter, as
defined in the Call Report, Schedule RI-B, part II, item 5, column B.
Item 91c Provisions for credit losses on available‐for‐sale securities during the quarter
Report the provision for credit losses on available-for-sale securities during the quarter, as
defined in the Call Report, Schedule RI-B, part II, item 5, column C.
Item 91d Provisions for credit losses on all other financial assets during the quarter
Report the provision for credit losses on all other financial assets not included in items 91a-c
above.
Item 92 Real Estate Loans (in Domestic Offices)
Report the sum of items 93, 97 and 101.
18

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.
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,
19

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.
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
20

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 Total 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. This item is derived as the sum of items 114a-d.
Institutions that have not adopted ASU 2016-13 should report net charge-offs during the quarter
in line item 114a. Institutions that have adopted ASU 2016-13 should report net charge-offs
during the quarter on loans and leases, held-to-maturity, available-for-sale debt securities, and
all other financial assets in item 114a, 114b, 114c, and 114d, respectively.
Item 114a Net charge‐offs during the quarter on loans and leases
Report charge-offs net of recoveries during the quarter, as defined in the Call Report, Schedule
RI-B, Part II, Column A, item 3 minus item 2.
Item 114b Net charge‐offs during the quarter on held‐to‐maturity debt securities
Report charge-offs net of recoveries during the quarter on held-to-maturity debt securities, as
defined in the Call Report, Schedule RI-B, Part II, Column B, item 3 minus item 2.
Item 114c Net charge‐offs during the quarter on available‐for‐sale debt securities
Report charge-offs net of recoveries during the quarter on available-for-sale debt securities, as
defined in the Call Report, Schedule RI-B, Part II, Column C, item 3 minus item 2.
Item 114d Net charge‐offs during the quarter on all other financial assets
Report charge-offs net of recoveries during the quarter on all other financial assets not included
in items 114a-c above.
Line item 115 Total Other ALLL Changes
This item is derived as the sum of items 115a-d.

Institutions that have not adopted ASU 2016-13 should report other allowances in line item
115a. Institutions that have adopted ASU 2016-13 should report other allowances for credit
losses on loans and leases, other allowances for credit losses on held-to-maturity debt securities,
available-for-sale debt securities, and all other financial assets in item 115a, 115b, 115c, and
115d respectively.

Item 115a 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, column A, item 6, minus Schedule RI-B, Part II, item 4.

Item 115b Other allowances for credit losses changes on held‐to‐maturity debt
securities Report other changes to the allowance for credit losses on held-to-maturity
debt securities, as defined in the Call Report, Schedule RI-B, Part II, column B, item 6,
minus item 4.
21

Item 115c Other allowances for credit losses changes on available‐for‐sale debt
securities Report other changes to the allowance for credit losses on available-for-sale
debt securities, as defined in the Call Report Schedule RI-B, Part II, column C, item 6,
minus item 4.

Item 115d Other allowances for credit losses changes on all other financial assets
Report other changes to the allowance for credit losses on all other financial assets not included
in items 115a-c above.

Item 116 Total ALLL, current quarter
This item is derived as the sum of items 116a-d.
Institutions that have not adopted ASU 2016-13 should report total allowances in line item 116a.
Institutions that have adopted ASU 2016-13 should report total allowances for credit losses on
loans and leases, other allowances for credit losses on held-to-maturity debt securities,
available-for-sale debt securities, and all other financial assets in item 116a, 116b, 116c, and
116d, respectively.
Item 116a ALLL, current quarter
Report the sum of items 68a, 91a and 115a, minus item 114a.
Item 116b Allowances for credit losses on held‐to‐maturity debt securities, current
quarter
Report the sum of items 68b, 91b and 115b, minus item 114b.
Item 116c Allowances for credit losses on available‐for‐sale debt securities, current
quarter
Report the sum of items 68c, 91c and 115c, minus item 114c.
Item 116d Allowances for credit losses on all other financial assets, current quarter
Report the sum of items 68d, 91d and 115d, minus item 114d.
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.
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
22

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 OTTI6
Report realized gains (losses) on available-for-sale securities, as defined in the Call Report
Schedule RI, item 6.b. For the projected quarters, this amount represents projected other-thantemporary impairment (OTTI) losses on available-for-sale securities and realized gains and
losses on available- for-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 127a Realized Gains (Losses) on held‐to‐maturity securities, including OTTI7
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-to- maturity 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.
Line Item 127b Unrealized holding gains (losses) on equity securities not held for trading
Report unrealized holding gains (losses) on equity securities not held for trading as defined in
the Call Report, Schedule RI, item 8.b. This item is to be completed by banks that have adopted
ASU 2016-01, which includes provisions governing the accounting for investments in equity
securities.

Item 128 Income (loss) before applicable income taxes and discontinued operations
Report the sum of items 121, 125, 126, and 127a and 127b, minus items 122, 123, and 124.

Institutions that have adopted ASU 2016‐13 should not include OTTI in items 126 or 127.

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
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 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.
Additionally, 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.8
Item 2a Available for Sale (AFS)
Report the amount of available-for-sale securities, as defined in the Call Report Schedule RC, item
2.b.
Item 2b Equity securities with readily determinable fair values not held for trading
Report the amount of equity securities with readily determinable fair values not held for trading,
as defined in the Call Report, Schedule RC, item 2.c.
Item 3 Total Securities
This item is a shaded cell and is derived from the sum of items 1, 2a and 2b.
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

8 Institutions that have adopted ASU 2016-13 should report item 1, net of any applicable allowance for credit
losses.

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).
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
26

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)
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
27

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.
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
28

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 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.
29

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.
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
owner- occupied nonfarm nonresidential properties, as defined in the Call Report Schedule
30

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.
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
owner- occupied 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
31

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
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).
32

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).
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
33

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 Options

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.
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.
34

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 Losses9
This item is a shaded cell and is carried over from item 116a 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 Losses10
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-M - Memoranda, item 2.b.
Item 114 Mortgage Servicing Rights
Report all mortgage servicing rights, as defined in the Call Report Schedule RC-M, item 2.a.
Item 115 Not Applicable
Item 116 All Other Identifiable Intangible Assets
Report all other intangible assets, as defined in the Call Report Schedule RC-M, item 2.c.
Item 117 Total Intangible Assets
This item is a shaded cell and is derived from the sum of items 113, 114, 115 and 116.
Other (Assets)

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

9 For institutions that have adopted ASU 2016-13, this item will represent the allowance for credit losses on
loans and leases.
10 For institutions that have adopted ASU 2016-13, this item will be net of unearned income and allowance for
credit losses on loans and leases.

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 Resell11
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 assets12

Institutions that have adopted ASU 2016-13 should report item 120 net of any applicable allowance for
credit losses.

Institutions that have adopted ASU 2016-13 should report item 129 net of any applicable allowance for
credit losses.

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.
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.
37

Item 142 Total Liabilities
Report the sum of items 134 through 140.

Equity Capital

Item 143 Perpetual Preferred Stock and Related Surplus
Report all perpetual preferred stock and related surplus, as defined in the Call Report Schedule
RC, item 23.
Item 144 Common Stock (Par Value)
Report the par value of common stock, as defined in the Call Report Schedule RC, item 24.
Item 145 Surplus (Exclude All Surplus Related to Preferred Stock)
Report surplus (excluding surplus related to preferred stock), as defined in the Call Report
Schedule RC, item 25.
Item 146 Retained Earnings
Report all retained earnings, as defined in the Call Report Schedule RC, item 26.a.
Item 147 Accumulated Other Comprehensive Income (AOCI)
Report accumulated other comprehensive income (AOCI), as defined in the Call Report Schedule
RC, item 26.b.
Item 148 Other Equity Capital Components
Report other equity capital components, as defined in the Call Report Schedule RC, item 26.c.
Item 149 Total Bank Equity Capital
Report the sum of items 143 through 148.
Item 150 Noncontrolling (Minority) Interests in Consolidated Subsidiaries
Report all noncontrolling (minority) interests in consolidated subsidiaries, as defined in the
Call Report Schedule RC, item 27.b.
Item 151 Total Equity Capital
Report the sum of items 149 and 150.
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
38

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 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
risk- weighted 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 and equity securities with
readily determinable fair values not held for trading
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
39

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
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
non- accrual status. This should be consistent with the RWA amount that is reported in the Call
Report, RC-R, Part II, line item 5b.
40

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, RCR, 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,
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
41

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, RCR, 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
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 self42

liquidating, 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 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
(asset‐ backed 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
43

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.

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
44

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.
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
45

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.
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.
Item 40 Standardized market risk‐weighted assets: Sum of items 24, 25, 29, 30 (if
46

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.
Memorandum Items ‐ Derivatives
Item 45 Current credit exposure across all derivative contracts covered by the regulatory
capital rules
Report the amount consistent with the definition from the Call Report, Schedule RC-R, Part II,
Memorandum Item 1.
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-the- counter (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
47

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.
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.
48

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
4.5. 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.
Firms must reflect the impact of the global market shock on items subject to adjustment or
deduction in capital. If a firm adjusts its projection of an item to reflect the impact of the global
market shock, it must also report an adjusted starting value that reflects the global market
shock.
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 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
49

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.
Beginning with the 2020 stress test cycle, a firm that has adopted CECL may include its provision
for credit losses, which would include provisions calculated under ASU 2016-13, instead of its
provision for loan and lease losses, for all quarters. Additionally, any firm that opts to phase in
adverse effects of the current expected credit loss methodology on regulatory capital must
reflect that in that its projections.
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 relate 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.
50

Item 6 Conversion or retirement of perpetual preferred stock
Report the conversion or retirement of perpetual preferred stock, as defined in the Call
Report Schedule RI-A, item 5.
Item 7 Sale of common stock, gross
Report the sale of common stock, gross, as defined in the Call Report Schedule RI-A, item 5.
Item 8 Conversion or retirement of common stock
Report the conversion or retirement of common stock, as defined in the Call Report, Schedule RIA, 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 RIA, 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
RI- A, 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 sub- schedule. Note: increases and decreases in APIC attributable to the amortization of
51

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.
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 that are not subject to Category I or II standards have a onetime 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.
Institutions that have adopted ASU 2016-13 and have elected to apply any transition provisions
should include the applicable portion of the transitional amount in this item.
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.
52

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. Firms must
reflect the impact of the global market shock on items subject to adjustment or deduction in
capital. If a firm adjusts its projection of an item to reflect the impact of the global market shock, it
must also report an adjusted starting value that reflects the global market shock.
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.
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
53

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.
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.
Firms must reflect the impact of the global market shock on items subject to adjustment or
deduction in capital. If a firm adjusts its projection of an item to reflect the impact of the global
market shock, it must also report an adjusted starting value that reflects the global market shock.
54

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.
Firms must reflect the impact of the global market shock on items subject to adjustment or
deduction in capital. If a firm adjusts its projection of an item to reflect the impact of the global
market shock, it must also report an adjusted starting value that reflects the global market shock.
Item 36 Subtotal (item 23 minus items 24 through 35)
This captures the item 23 less items 24 through 35.
Item 37a 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.
For firms subject to Category I and II standards only, tThis 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.b. For firms subject to Category III and IV standards, this item
should be left blank.
Firms must reflect the impact of the global market shock on items subject to adjustment or
deduction in capital. If a firm adjusts its projection of an item to reflect the impact of the global
market shock, it must also report an adjusted starting value that reflects the global market shock.
Item 37b Investments in the capital of unconsolidated financial institutions, net of
associated DTLs, that exceed the 25 percent common equity tier 1 capital deduction
threshold.
For firms subject to Category I and II standards, this line item should be blank. For firms subject
to Category III and IV standards, this line item should be derived from line item 74 and should
correspond to the definition in the Call Report, Schedule RC-R, part I, line item 13.a.
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.
For firms subject to Category I and II standards only, tThis item is based on item 796,
reflective of any applicable transition provisions, and should correspond to the definition
in Call Report Schedule RC-R, part 1, line item 14b. For firms subject to Category III and
IV standards, this line item should be derived from line item 79 and should correspond
to the definition in the Call Report, Schedule RC-R, part I, line item 14.a.
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.
55

For firms subject to Category I and II standards, tThis item is based on item 8279, reflective of any
applicable transition provisions, and should correspond to the definition in the Call Report,
Schedule RC-R, Part 1, item 15b. For firms subject to Category III and IV standards, this line item
should be derived from line item 82 and should correspond to the definition in the Call Report,
schedule RC-R, part I, line item 15a.
Institutions that have adopted ASU 2016-13 and have elected to apply any transition provisions
should include the applicable portion of the transitional amounts in this item.
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.
For banks subject to Category I and II standards, tThis item is based on line item 874, reflective of
any applicable transition provisions, and should correspond to the definition in Call Report
Schedule RC-R, Part 1, item 16. For banks subject to Category III and IV standards, this line item
should be left blank.
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
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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
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.
Institutions that have adopted ASU 2016-13 may report the adjusted allowances for credit
losses on loans and leases, as defined in the regulatory capital rule.
Institutions that have adopted ASU 2016-13 and have elected to apply any transition
provisions should subtract the applicable portion of the transitional amounts from this
item.

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.
57

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
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

Items 64 – 71 should only be filed by firms subject to Category I and II standards.

Non‐significant investments in the capital of unconsolidated financial institutions in the form of
common stock, net of associated DTLs.
Item 64a 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 Firms must reflect the impact of the global market shock on items subject to
58

adjustment or deduction in capital. If a firm adjusts its projection of an item to reflect the impact
of the global market shock, it must also report an adjusted starting value that reflects the global
market shock.

Item 64b Aggregate non‐significant investments in the capital of unconsolidated financial
institutions in the form of common stock
Aggregate holdings of capital instruments relevant to non-significant investments in the capital of
unconsolidated financial entities in the form of common stock. This should correspond to the
definition of non-significant investments in the Call Report, Schedule RC-R, apart 1, line item 11.
Firms must reflect the impact of the global market shock on items subject to adjustment or
deduction in capital. If a firm adjusts its projection of an item to reflect the impact of the global
market shock, it must also report an adjusted starting value that reflects the global market shock.
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 64a less line item 65, times the ratio of
line item 64b to line item 64a. If line item 65 is greater than line item 64a 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 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. Firms must reflect the impact of the global market shock on
items subject to adjustment or deduction in capital. If a firm adjusts its projection of an item to
reflect the impact of the global market shock, it must also report an adjusted starting value that
reflects the global market shock.

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 either matches the maturity of the long position or has a residual maturity of at least one
year. If a firm adjusts its projection of an item to reflect the impact of the global market shock, it
mush also report and adjusted starting value that reflects the global market shock.
Item 69 Significant investments in the capital of unconsolidated financial institutions in
59

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 13b.
Item 70 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived as 10 percent of item 36. Beginning in PQ2, this value is
derived as 25 percent of line 36 for eligible firms.
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. If line
item 70 is greater than line item 69, this is set to zero. The line item should be consistent with the
definition in the Call Report, Schedule RC-R, part I, line item 13.b.
Investments in the capital of unconsolidated financial institutions (firms subject to Category
III and IV standards only)
Item 72 Aggregate amount of investments in the capital of unconsolidated financial
institutions, net of associated DTLs
Report the gross amounts of investments in the capital of unconsolidated financial institutions in
the form of common stock, additional tier 1, and tier 2 capital, net of associated DTLs. This line
item should be consistent with the definition in the Call Report, Schedule RC-R, part I, line item
13.a.
Line item 73 25 percent common equity tier 1 deduction threshold
This line item is a shaded cell and is derived from 25 percent of line item 36.
Line item 74 Amount to be deducted from common equity tier 1 due to 25 percent
deduction threshold
This item is a shaded cell and is derived from line item 72 minus line item 73. If line item 73 is
greater than line item 72 this is set to zero. This line item should be consistent with the definition
in the Call Report, Schedule RC-R, part I, line item 13.a.
Items 75 to 82 should be filed by all firms
MSAs, net of associated DTLs
Item 752 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 763 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
60

DTLs should not be deducted again here.
Item 774 Mortgage servicing assets net of related deferred tax liabilities
This item is a shaded cell and is derived from items 752 minusand line item 76 73. This line item
should correspond to the definition of MSAs in the Call Report, Schedule RC-R, part I, line item
14a or 14b.
Item 785 10 percent Ccommon equity tier 1 deduction threshold
This item is a shaded cell and is derived as 10 percent of item 36. For firms subject to Category I
and II standards or 25 percent of line item 36 for firms subject to Category III and IV standards.
Beginning in PQ2, this value is derived as 25 percent of line 36 for eligible firms.
Item 796 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 77 minus item 78. If item 78 is greater than
item 77, this is set to zero. This line item should be consistent with the definition in the Call
Report, Schedule RC-R, part I, line item 14a or 14b. 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 8077 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 15a or 15b. Institutions that have adopted ASU 2016-13 and have elected to apply any
transition provisions should include the applicable portion of the transitional amounts in this
item.
Item 8178 10 percent Ccommon equity tier 1 deduction threshold
This item is a shaded cell and is derived as either 10 percent of item 36 for firms subject to
Category I and II standards or 25 percent of item 36 for firms subject to Category III and IV
standards. . Beginning in PQ2, this value is derived as 25 percent of line 36 for eligible firms.
Item 8279 Amount to be deducted from common equity tier 1 due to the 10 percent
deduction threshold
This item is a shaded cell and is derived from items 80 minus 81. If line item 81 is greater than
line item 80 this is set to zero. 77 and 78. This line item should be consistent with the
definition in the Call Report, Schedule RC-R, part 1, line item 15a or 15b.

Items 83 – 86 should only be filed by banks subject to Category I and II standards
Aggregate of items subject to the 15 Percent limit (significant investments, mortgage
servicing assets, and deferred tax assets arising from temporary differences)

Item 830 Sum of items 69, 774, and 8077
This item is a shaded cell and is derived from items 69, 774, and 8077.
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Formatted: Font: Bold

Item 841 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 andand 830.
Item 852 Sum of items 71, 786, and 8279
This item is a shaded cell and is derived from items 71, 796, and 8279.
Item 863 Item 830 minus item 852
This item is a shaded cell and is derived from items 830 less item 852.
Item 874 Amount to be deducted from common equity tier 1 due to 15 percent deduction
threshold, prior to transition provision (greater of item 863 minus item 841, or zero)
This item is a shaded cell and is derived asfrom items 86 minus item 84. If item 84 is greater than
item 86 this is set to zero. 81 and 83. This should correspond to the definition in the Call Report,
Schedule RC-R, part I, line item 16.
Beginning in PQ2, this value is derived as zero for eligible firms.
Total Assets for Leverage Ratio
Item 885 Average total consolidated assets13
Report the amount of average total consolidated assets as defined in Call Report Schedule RC-R,
Part 1, item 36.
Item 896 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 9087 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 9188 Total assets for the leverage ratio
This item is a shaded cell and is derived from item 885 minus items 8986 and 9087. This
should correspond to the definition in the Call Report Schedule RC-R, Part 1, item 39.
Regulatory Capital Ratios

Item 9289 Common Equity Tier 1
This item is a shaded cell and is derived from item 43.
Item 9390 Tier 1 Capital
This item is a shaded cell and is derived from item 50.
Item 9491 Total Capital
13 Institutions that have adopted ASU 2016-13 and have elected to apply the transition provision should include
the applicable portion of the transitional amounts in item 36.

This item is a shaded cell and is derived from item 62.
Item 9592 Total Capital (advanced approaches Banks that exit parallel run only)
Banks do not have to report this item.
Item 9693 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 974 (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 985 Total Assets for the Leverage Ratio per the regulatory capital rule
This is derived from item 9188 and should correspond to the definition in the Call Report
Schedule RC- R, Part 1, item 39.
Item 996 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 10097 Common Equity Tier 1 Ratio (%)
This item is derived from item 9289 divided by item 96 times 1003. This line item should
correspond to the definition in the Call Report, Schedule RC-R, part 1, line item 41.A
Item 10198 Common Equity Tier 1 Ratio (%) (advanced approaches Banks that exit
parallel run only)
Banks do not have to report this item.
Item 10299 Tier 1 Capital Ratio (%)
This item is a shaded cell and is derived from item 930 divided by item 96 times 1003. This
line item should correspond to the definition in the Call Report, Schedule RC-R, part 1, line
item 42.A.
Item 1030 Tier 1 Capital Ratio (%) (advanced approaches Banks that exit parallel run
only)
Banks do not have to report this item.
Item 1041 Total risk‐based capital ratio (%)
This item is a shaded cell and is derived from item 941 divided by item 96 times 1003. This line
item should correspond to the definition in the Call Report, Schedule RC-R, part 1, line item 43.A.
Item 1052 Total risk‐based capital ratio (%) (advanced approaches Banks that exit
parallel run only)
Banks do not have to report this item.
Item 1063 Tier 1 Leverage Ratio (%)
This item is a shaded cell and is derived from item 90 divided by item 95. This line item
63

should correspond to the definition in the Call Report, Schedule RC-R, part 1, line item 44.
Item 10704 Supplementary Leverage Ratio (%)
This line item is derived from line item 930 divided by line item 996 times 100. This item is
reported starting January 1, 2018. This item should correspond to the definition in the Call
Report, Schedule RC-R, Part I, line item 45.
Schedule RC‐F Other Assets
Item 1085 Net deferred tax assets
Report net DTAs, as defined in the Call Report Schedule RC-F, item 2.
Schedule RC‐G Other Liabilities
Item 1096 Net deferred tax liabilities
Report net DTLs, as defined in the Call Report Schedule RC-G, item 2.
Item 11007 Not collected by the OCC
Item 11108 Not collected by the OCC
Deferred Tax Asset Information

Item 11209 Taxes previously paid that the bank could recover through allowed
carrybacks if the bank DTAs on net operating loss, tax credits, and temporary differences
(both deductible and taxable) fully reverse at the report date
Report the amount of taxes previously paid that the bank could recover through loss carrybacks
or carrybacks of projected negative income (i.e., net operating loss and credits) if the firm’s DTAs
on net operating loss, tax credits, and temporary differences (both deductible and taxable) fully
reverse at report date. 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 13826, 13927, and
14028.
(a) U.S. Federal Government
Report line 11209a as it relates solely to the U.S. federal government.
(b) U.S. State Governments
Report line 11209b as it related to all U.S. state governments.
(c) All Non-U.S. Tax Jurisdictions
Report line 11209c as it related to all non-U.S. tax jurisdictions.
Item 11310 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
64

item 8, before the application of any transition provisions plus of any related valuation
allowances.
Item 1141 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. Report this value as a positive number
(a) U.S. Federal Government
Report line 1141a as it relates solely to the U.S. federal government.
(b) U.S. State Governments
Report line 1141b as it related to all U.S. state governments.
(c) All Non-U.S. Tax Jurisdictions
Report line 1141c as it related to all non-U.S. tax jurisdictions.
Item 1152 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
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.
(a) U.S. Federal Government
Report line 1152a as it relates solely to the U.S. federal government.
(b) U.S. State Governments
Report line 1152b as it related to all U.S. state governments.
(c) All Non-U.S. Tax Jurisdictions
Report line 1152c as it related to all non-U.S. tax jurisdictions.
Item 1163 Valuation allowances related to DTAs arising from temporary differences
Report any valuation allowances related to DTAs arising from temporary differences.
(a) U.S. Federal Government
Report line 1163a as it relates solely to the U.S. federal government.
(b) U.S. State Governments
Report line 1163b as it related to all U.S. state governments.
(c) All Non-U.S. Tax Jurisdictions
Report line 1163c as it related to all non-U.S. tax jurisdictions.
Supplemental Capital Action Information
Item 1174 Cash dividends declared on common
stock Item 1185 Common shares outstanding
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(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 119 reflects the bank’s intended
quarterly distribution of common dividends per share.
Item 1196 Common dividends per share ($)
If applicable, report the bank’s intended quarterly distribution in common dividends per share.
Item 12017 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 12118 Other issuance of common stock
Report the amount (in $millions) of other issuance of common stock.
Item 12219 Total issuance of common n stock
Item 1230 Not collected by the OCC
Item 1241 Other share repurchases
Report the amount (in $millions) of all other share repurchases.
Item 1252 Total share repurchases

Supplemental Information on Trust Preferred Securities Subject to Phase‐Out from Tier 1
Capital

Item 1263 Outstanding trust preferred securities
If applicable, report the outstanding notional balance of trust preferred securities.
Item 12724 Trust preferred securities included in item 49
If applicable, report trust preferred securities qualifying for tier 1 capital and included in item 49
above.
Capital Buffers and Ratios

*The OCC does not plan to collect the information in Items 128 to 136
for the 2021 DFAST reporting year.
Item 128 Capital conservation buffer requirement (sum of items 128a and 128c)
Item 128(a) of which: Stress capital buffer requirement.
For OCC banks, this item equates to the bank’s minimum capital conservation buffer required by
the capital rule (i.e. 2.5%).
66

For advanced approaches institutions, this line item should be consistent with the amount
reported in the FFIEC 101, “Regulatory Capital Reporting for Institutions Subject to the
Advanced Capital Regulatory Framework” for the applicable depository institution. This amount
should correspond to FFIEC 101, schedule A, line item 65. This should equal the amount of the
capital conservation buffer in the as-of date quarter and should reflect any known upcoming
changes.
Item 128(b) of which: GSIB surcharge (if applicable).
Not collected by the OCC
Item 128(c) of which: Countercyclical capital buffer amount (if applicable).
This line item should be consistent with the amount reported in the FFIEC 101, “Regulatory
Capital Reporting for Institutions Subject to the Advanced Capital Regulatory Framework” for
the applicable depository institution. This amount should correspond to FFIEC 101, schedule A,
line item 66. This should equal the amount of the capital conservation buffer in the as-of date
quarter and should reflect any known upcoming changes.
Item 129 Capital conservation buffer.
This line item should be consistent with the Call Report, Schedule RC-R, part I, line item 52.a.
Leverage Buffer and Requirements
Item 130 Total leverage exposure for the supplementary leverage ratio (SLR) (if
applicable).
This line item should be consistent with the Call Report, schedule RC-R, part I, 55.a.
Item 131 Leverage buffer requirement (if applicable).
Not collected by the OCC.
Item 132 Leverage buffer (if applicable).
Not collected by the OCC.
Maximum Payout Ratios and Amounts
Item 133 Eligible retained income.
This line item should be consistent with the Call Report, schedule RC-R, part I, 53.
Item 134 Maximum payout ratio.
Not collected by the OCC.
Item 135 Maximum payout amount.
Not collected by the OCC.
Item 136 Distributions and discretionary bonus payments during the quarter.
This line item should be consistent with the Call Report, Schedule RC-R, Part I, line item 54.

Memoranda

Memoranda Item 13725 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 13826 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 13927 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 14028 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 14129 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 and Loss Projections
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.
68

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.
69

Only include cards where there is any individual liability associated with the sub-lines such
that individual borrower characteristics are taken into account during the underwriting
decision, and/or performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment
of credit losses incurred should not be reported in this Worksheet.
I.

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

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
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.
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
70

6.a or 9.b.
Bank cards include products that can be used at a wide variety of merchants, including any
who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity and
co-brand cards in this category, and student cards, if applicable. This product type also
includes private label or proprietary credit cards, which are tied to the retailer issuing the
card and can only be used in that retailer’s stores. Include oil and gas cards in this loan type.
Exclude bank cards to corporations and small businesses (report in Corporate Card or
Business Card, as appropriate).
M. Auto Loans (Domestic)
Include all domestic 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
71

fit the definition of small business loans (see above).
T. Other Consumer Loans and Leases (Domestic)
a. Include all domestic loans as defined in the Call Report Schedule RC-C, items 6.b and 6.d
excluding student loans and non-purpose based securities loans. Non-purpose based
securities loans are loans secured by a portfolio of securities that are used for the
purpose of something other than purchasing securities.
b. Include domestic non-auto leases as defined in the Call Report Schedule RC-C, item 10.a.
U. Other Consumer Loans and Leases (International)
a. Include all non-domestic loans as defined in the Call Report Schedule RC-C, items 6.b and
6.d excluding student loans and non-purpose securities based loans. Non-purpose
securities based loans are loans secured by a portfolio of securities that are used for
the purpose of something other than purchasing securities.
b. Include non-domestic non-auto leases as defined in the Call Report Schedule RC-C, item
10.a.
For Sections A through U: Report line items 1 through 8 for the current quarter 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. The PCD breakout is only applicable to mortgage line items.
Item 1a Balances ‐ PCD14
Report according to Call Report definitions (end of quarter levels). Report end of quarter
balances levels that are classified as PCD on 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
14

Item 1a is only reported by institutions that have adopted ASU 2016-13.

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. The PCD breakout is
only applicable to mortgage line items.
Item 6a Loan Losses ‐ PCD15
Report the total dollar of net charge-offs to Non-accretable discount (NAD) and Allowance
recognized in the given quarter for balances that are classified as PCD on the origination date of
the account with which the balance is associated.

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 longterm 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

Item 6a is only reported by institutions that have adopted ASU 2016-13.











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;
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.
Starting from 2020 DFAST cycle (data as of December 31, 2019), institutions that have not
adopted ASU 2016-13 should continue to report the following sub-schedules:





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

Institutions that have adopted ASU 2016-13 should report the following sub-schedules:
74






Projected OCI and Fair Value for AFS and Impaired HTM Securities,
Actual AFS and HTM Fair Market Value Sources by Portfolio,
Expected Credit Loss and Provision for Credit Loss - HTM Securities, and
Expected Credit Loss and Provision for Credit Loss - AFS Securities.

Sub-schedules Projected OCI and Fair Value for AFS Securities and Actual AFS and HTM Fair
Market Value Sources by Portfolio should only be filled out for AFS and Equity securities.16

1. High Level OTTI methodology Assumptions for AFS and HRM 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
model- based 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.

2. 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. Institutions that have adopted ASU 2016-01, which includes provisions governing
the accounting for investments in equity securities, should continue to report the “Actual
Amortized Cost” field for equity securities in this schedule. However, all other fields in this
schedule for equity securities should be left blank.
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.

Upon full adoption of ASU 2016-13, DFAST-14A sub-schedules High-Level OTTI Methodology and
Assumptions for AFS and HTM Securities by Portfolio and Projected OTTI for AFS and HTM Securities by
Portfolio will be eliminated, Sub- schedules projected OCI and Fair Value for AFS Securities and Impaired HTM
and Actual AFS and HTM Fair Market Value Sources by Portfolio will be renamed and revised to exclude HTM
securities.

3. 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.

4. 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.).

5. Expected Credit Loss and Provision for Credit Loss – HTM Securities
Institutions should provide the following information on HTM securities on this sub-schedule:


The “Total Allowance for Credit Loss” column is the total allowance for HTM securities as of
the report date (i.e., PQ0).
The “Provision for Credit Loss” column is the provision for HTM securities during the
quarter.



6. Expected Credit Loss and Provision for Credit Loss – AFS Securities
Institutions should provide the following information on AFS securities on this sub-schedule:


The “Total Allowance for Credit Loss” column is the total allowance for AFS securities as
of the report date (i.e., PQ0).
76




The “Expected credit loss before applying the fair value floor” column is expected credit
losses as defined by ASU 2016-13 and before applying the fair value floor that limits the
allowance for credit losses to the amount by which fair value is below amortized cost.
The “Provision for Credit Loss” column is the provision for AFS securities during the
quarter.

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.
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
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 Firmwide CVA Hedges
Report firm-wide total P/L related to the Credit Value Adjustment (CVA) hedges.
Column C Firmwide Total
Contains the sum of the P/L related to the trading exposures and Credit Value Adjustment (CVA)
hedges reported in columns (A) and (B).
77

Item Instructions

The categories are not meant to denote lines of business or desks, but rather bank-wide totals by
risk.
Item 1 Equity
Contains the sum of the contributions to P/L from exposures associated with bank-wide Equity
risk reported in items 1A through 1I. No input required.
Item 1A Equity: Delta/Gamma
Report the contribution to P/L from changes in Equity prices.
Item 1B Equity: Vega
Report the first order contribution to P/L from changes in Equity volatility.
Item 1C Equity: Dividends
Report the contribution to P/L from changes in dividend yields.
Item 1D Equity: Correlation
Report the contribution to P/L from changes in Equity correlation.
Item 1E Equity: Vanna (dVega/dSpot)
Report the contribution to P/L from Equity volatility given changes in Equity prices.
Item 1F Equity: Volgamma (dVega/dVol)
Report the second order contribution to P/L from changes in Equity volatility.
Item 1G Equity: Skew (moneyness)
Report the contribution to P/L from changes in Equity volatility skew.
Item 1H Equity: Higher Order
Report other higher order contributions to P/L from changes in Equity related risks not included
in items 1A through 1G.
Item 1I Equity: Other
Report contributions to P/L from changes in other Equity related risks not included in items 1A
through 1H. Please provide detailed description of Other P/L components in documentation.
Item 2 FX
Contains the sum of the contributions to P/L from exposures associated with bank-wide FX risk
reported in items 2A through 2D. No input required.
Item 2A FX: Delta/Gamma
Report the total contribution to P/L from changes in FX rates.
Item 2B FX: Vega
Report the total contribution to P/L from changes in FX volatility.
78

Item 2C FX: Higher Order
Report other higher order contributions to P/L from changes in FX related risks not included in
items 2A through 2B.
Item 2D FX: Other
Report contributions to P/L from changes in other FX related risks not included in items 2A
through 2C. Please provide detailed description of Other P/L components in firm documentation.

Item 3 Rates
Contains the sum of the contributions to P/L from exposures associated with bank-wide Rates
risk reported in items 3A through 3H. No input required. For Agency and Muni products, the P/L
related to interest rates risk should be reported in this section.
Item 3A Rates: Delta/Gamma
Report the total contribution to P/L from changes in interest rates.
Item 3B Rates: Vega
Report the total contribution to P/L from changes in interest rate volatility.
Item 3C Rates: Swap Spreads
Report the total contribution to P/L from changes in interest rate swap spreads.
Item 3D Rates: Basis Spreads
Report the total contribution to P/L from changes in interest rate basis spreads.
Item 3E Rates: Cross Currency Basis
Report the total contribution to P/L from changes in cross currency basis spreads
Item 3F Rates: Inflation
Report the total contribution to P/L from changes in inflation rates.
Item 3G Rates: Higher Order
Report higher order contributions to P/L from changes in interest rates related risks not
included in items 3A through 3F.
Item 3H Rates: Other
Report contributions to P/L from changes in other interest rate related risks not included in
items 3A through 3G. Please provide detailed description of Other P/L components in firm
documentation.
Item 4 Commodities
Contains the sum of the contributions to P/L from exposures associated with bank-wide
Commodities risk reported in items 4A through 4M. No input required.
Line items 4A through 4K
Report the total contribution to P/L from changes in risks associated with each product category,
e.g. report P/L related to changes in prices and volatility of Oil products under the Oil Products
category.
79

Line item 4L Commodities: Higher Order
Report higher order contributions to P/L from changes in Commodities related risks not
included in items 4A through 4K.
Line item 4M Commodities: Other
Report contributions to P/L from changes in other Commodities related risks not included in
items 4A through 4L. Please provide detailed description of Other P/L components in firm
documentation.
Item 5 Securitized Products
Contains the sum of the contributions to P/L from exposures associated with Securitized
Products and reported in items 5A through 5J. No input required.
Line items 5A through 5G
Report the total contribution to P/L from changes in the values of each product category.
Line item 5H Securitized Products: Agencies
Report the total contribution to P/L from changes in Agency OAS/credit risks.
Line item 5I Securitized Products: Higher Order
Report higher order contributions to P/L from changes in Securitized Products related risks not
included in items 5A through 5H.
Line item 5J Securitized Products: Other
Report contributions to P/L from changes in other Securitized Products related risks not
included in items 5A through 5I. Please provide detailed description of Other P/L components in
firm documentation.
Item 6 Other Credit
Contains the sum of the contributions to P/L from all credit products in items 7, 8, 9, and 10
through 14. No input required.
Line item 7 Corporate Credit (Advanced)
Contains the sum of the contributions to P/L from corporate credit products in Advanced
Economies, which are reported in items 7A through 7I. No input required. Reference the
Regional Groupings section for the list of countries designated as Advanced Economies.
Line items 7A through 7H
Report the total contribution to P/L from changes in corporate credit risks associated with each
product category.
Line item 7I Corporate Credit (Advanced): Other/Unspecified
Report contributions to P/L from changes in corporate credit risk to products not included in
items 7A through 7H. Please provide detailed description of Other P/L components in firm
documentation.
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Line item 8 Corporate Credit (Emerging Markets)
Contains the sum of the contributions to P/L from corporate credit products in Emerging
Markets, which are reported in items 8A through 8I. No input required. Emerging Markets
encompass all countries not defined as Advanced Economies in the Regional Groupings section.
Line items 8A through 8H
Report the total contribution to P/L from changes in corporate credit risks associated with each
product category.
Line item 8I Corporate Credit (Emerging Markets): Other/Unspecified
Report contributions to P/L from changes in corporate credit risk to products not included in
items 8A through 8H. Please provide detailed description of Other P/L components in firm
documentation.
Line item 9 Sovereign Credit
Contains the sum of the contributions to P/L from sovereign credit risks, which are included in
items 9A through 9G. No input required.
Line items 9A through 9G
Report the total contribution to P/L from changes in sovereign credit risks associated with each
regional category.
Line item 10 Munis
Report the total contribution to P/L from changes in municipal credit risks.
Line item 11 ARS
Report the total contribution to P/L from changes in ARS credit risks.
Line item 12 Base Correlation
Report the total contribution to P/L from changes in credit correlation.
Line item 13 Other Credit: Higher Order
Report higher order contributions to P/L from changes in traded credit related risks not
included in items 6 through 10.
Line item 14 Other Credit: Other
Report contributions to P/L from changes in other traded credit related risks not included in
items 6 through 13. Please provide detailed description of Other P/L components in firm
documentation.
Item 15 Private Equity
Contains the sum of the contributions to P/L from Private Equity exposures included in items
15A through 15C.
Line item 15A Private Equity: Funded
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Report the contribution to P/L from funded exposures detailed on the Private Equity Subschedule of the FR Y-14Q Trading Schedule.
Line item 15B Private Equity: Unfunded
Report the contribution to P/L from unfunded commitments reported on the Private Equity Subschedule of the FR Y-14Q Trading Schedule.
Line item 15C Private Equity: Other
Report contributions to P/L from other Private Equity exposures not included in items 15A and
15B. Please provide detailed description of Other P/L components in firm documentation.
Item 16 Other Fair Value Assets
Contains the sum of the contributions to P/L from exposures associated with Other Fair Value
Assets included in items 16A through 16C
Line item 16A Other Fair Value Assets: Debt
Report the contribution to P/L from debt exposures detailed on the Other Fair Value Assets Subschedule of the FR Y-14Q Trading Schedule. Please provide detailed description of these
exposures in firm documentation.
Line item 16B Other Fair Value Assets: Equity
Report the contribution to P/L from equity exposures detailed on the Other Fair Value Assets
Sub- schedule of the FR Y-14Q Trading Schedule. Please provide detailed description of these
exposures in firm documentation.
Line item 16C Other Fair Value: Other
Report contributions to P/L from other OFVA exposures not included in items 16A and 16B.
Please provide detailed description of Other P/L components in firm documentation.
Item 17 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 item 17
and should not be divided among the individual categories listed in items 1 through 2D.
Item 18 Total
Contains the sum of the subtotals in items 1 through 6 and 15 through 17. The sum of the
totals in columns (A) and (B) 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.
Firms should also supply any additional information regarding the Trading P&L attribution
submission in their supporting documentation, including a description of items included in the
Other categories within each asset class.
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Counterparty Credit Risk

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 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.
83

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
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:
 Risk Segment: Risk categories used by the Bank to manage and report its operational risks.
 Loss Projection: Loss estimates for each of the five Scenarios generated by
different methodologies such as statistical models, scenario analysis, historical
averages.
 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.
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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
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
A. General Instructions
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
85

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
All banks should complete both sub-schedules.
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.
86

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.17 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
“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
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
17 Institutions that have adopted ASU 2016-13 should not report gains and losses on AFS and HTM securities,
including changes in credit loss provisioning, as a component of PPNR.

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. 18
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
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

18 Institutions that have adopted ASU 2016-13 should not report gains and losses on AFS and HTM securities,
including changes in credit loss provisioning, as a component of PPNR.

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)
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
89

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,
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.
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.

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 nonWM/PB clients.
Item 7 Investment Services
Report all interest income generated from investment servicing. Exclude prime brokerage
revenues. Business lines are defined as follows:
 Asset Servicing: Custody, fund services, securities lending, liquidity services, collateral
management; and other asset servicing. Include record keeping services for 401K and
employee benefit plans, but exclude funding or guarantee products offered to such
clients.
 Issuer Services: Corporate trust, shareowner services, depository receipts.
 Other Investment Services: Clearing and other investment services.
Item 8 Treasury Services
Report all interest income from cash management, global payments, working capital
solutions, deposit services, and trade finance from business and institutional entities of both
medium and large size. Include wholesale/corporate and commercial cards.
91

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 OTTI19, 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 runoff/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.
19 Institutions that have adopted ASU 2016-13 should not report gains and losses on AFS and HTM securities,
including changes in credit loss provisioning, as a component of PPNR.

Item 14A Domestic
This item is a shaded cell and is derived, per column, from the sum of items 14B, 14E, 14O, and
14S.
Report in the appropriate sub-item all domestic revenues related to retail and small business
banking and lending, including both ongoing as well as run-off and liquidating businesses. Exclude
any revenues related to Wealth Management/Private Banking (WM/PB) clients even if they are
internally 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-of- cost or market adjustments on mortgage loans HFS not designated for fair
93

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
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
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.
94

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.).
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
95

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.
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,
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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
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
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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.
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
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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).20 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 runoff/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.
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 firmwide 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.
20

Institutions that have adopted ASU 2016-13 should not report gains and losses on AFS and HTM securities,

including changes in credit loss provisioning, as a component of PPNR.
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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
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
100

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, 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)
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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)
Banks for which deposits comprise 25% or more of total liabilities are required to submit the Net
Interest Income worksheet. Banks should complete non-shaded cells only.
Banks should provide average asset and liability balances and average yields to calculate net
interest income. The total net interest income calculated should equal the total net interest
income reported using a business segment/line view in the PPNR Projections worksheet.
The average balances and rates should reflect the average over each quarter as best as possible.
The OCC understands that because of changes in balances over the period, the simple
multiplication of average loan rates and balances may not yield the actual interest income. In
these cases, the banks may report the average loan rate so that it equals a weighted average rate
over the period and the interest income total for each quarter reflects historical results or the
bank’s projection, as applicable.
Rates on this worksheet are intended to provide a product level view exclusive of transfer pricing
activity and should be reported on a gross basis. The reporting of net interest income on the PPNR
Projections and PPNR Submission Worksheets provide a business line view and should be
reported net of transfer pricing adjustments.
Average Assets

Banks should reference Call Report and other definitions provided in the PPNR Net Interest
Income worksheet when completing this section. The Call Report code references are intended
only to provide guidance for the types of items to be included or excluded; but NOT the type of
balance to be provided. All requested balance items are averages.
In the case of loans, align definitions with the “total loans” section of the Balance Sheet worksheet.
Include PCI loan balances and the interest income recognized on these loans.21 However, report
the aggregate of all nonaccrual loans as line item 9, rather than including them in each loan type.
21 This sentence and reference to purchased credit-impaired loans does not apply to institutions that have
adopted ASU 2016-13 and will be removed upon full adoption of CECL by all institutions.

102

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.
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 RC- C, item 1.b, column B.)
Item 7A Residential Mortgages (first and second lien)
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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 and 2.
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.
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,
104

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.
Item 24 Real Estate Loans (not in domestic offices)
105

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
106

30, 14 and 31, & 15 and 32 annualized.

Average Liability Balances
For the classification of domestic and foreign deposit liabilities, Banks should report based on
internal definitions (those deemed to best represent the behavior characteristics of deposits). For
all other liabilities, 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
107

Report the average balance of securities sold under agreement to repurchase as defined in the Call
Report Schedule RC, item 14.b.
Item 36C Other Short Term Borrowing
Report the average balance of liabilities reported as other borrowed money and subordinated
notes and debentures (as defined in the Call Report Schedule RC, items 16 and 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
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Report the earned average rate of Negotiable Order of Withdrawal (NOW), Automatic
Transfer Service (ATS), and other Transaction Accounts reported in item 34D.
Item 42E Time Deposits
Report the earned average rate of Time Deposits reported in item 34E.
Item 43 Deposits‐Foreign
This item is a shaded cell and is derived, per column, from the sum of items 43A and 43B.
Item 43A Foreign Deposits
Report the earned average rate of Foreign Deposits reported in item 35A.
Item 43B Foreign Deposits‐Time
Report the earned average rate of Foreign Deposits—Time reported in item 35B.
Item 44 Fed Funds, Repos, & Other Short Term Borrowing
This item is a shaded cell and is derived, per column, from the sum of items 44A through 44C.
Item 44A Fed Funds
Report the average rate paid for Fed Funds purchased in domestic offices as defined 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.
109

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.

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 DFAST14A 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
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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
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
111

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
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
112

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
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
113

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
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.
114

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.
Section B. Bank Wide Metrics – PPNR Projections
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
115

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.
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)

116

Item 50 Carrying Value of Purchased Credit Impaired (PCI) Loans22
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 Revenues23
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.
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).
Institutions that have adopted ASU 2016-13 should report the carrying value of Purchased Credit
Deteriorated (PCD) loans in item 50.
22

Institutions that have adopted ASU 2016-13 should report the net accretion of discount on loans included in
interest revenues in line item 51.
23

117

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
(non- purpose 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.
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
118

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
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
119

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
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.
120

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
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.

121

SCENARIO SCHEDULE
These instructions provide guidance for reporting the variables used in the supervisory and
bank- defined 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., periodaverage or period- end) of the financial market variables in the scenario:
o U.S. 3-month Treasury yield: Quarterly average of 3-month Treasury bill secondary
market rate discount basis.
o U.S. 10-year Treasury yield: Quarterly average 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 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.
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

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.

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
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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.

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.
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
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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
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
125

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.
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.

126

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)
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.
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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 – Non‐
qualifying 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.
For items 23 through 29, holding companies may include in regulatory capital debt or equity
128

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 – Non‐
qualifying 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

129

Line Item 30 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 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
130

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.
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,
131

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 – Non‐
qualifying 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 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
132

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)
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 –
Non‐ qualifying 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

133

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,
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
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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)
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.
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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 – Non‐
qualifying 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
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
136

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.
Line Item 85 Cumulative Dated Preferred (TRUPS) (Regulatory capital rule treatment – Non‐
qualifying 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.
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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
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
138

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.
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.
139

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
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)
140

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,
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
141

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 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
142

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
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.
143

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).
Material Operational Risk Identification

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In the table in the report form, provide a list of the bank’s material operational risks included in
the Bank Baseline and Bank Stress Operational Risk loss projections. The table should also include
the line of business impact and the methodology used to estimate losses.
, 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 including the Name and a
Brief Description: 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 including the Name
and Brief Description: A brief description of each material risk where the material risk impact was
excluded in determining the loss projection should be provided.
Business Line: Name of the business line impacted by the material operational risk. If the risk
applies to all lines of business, report the business line as “Bank-Wide”.
Loss Estimation Methodology: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.

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.
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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.

BUSINESS PLAN CHANGES
The OCC will not require the submission of the Business Plan Change reporting form for the 20210
DFAST submission. Banks should continue to describe and provide information for business plan
changes in the supporting documentation.

COLLECTION OF SUPPLEMENTAL CECL INFORMATION
This schedule is only to be completed one-time by banks that have adopted ASU 2016-13. If a bank
plans to adopt ASU 2016-13 in the first quarter of the year immediately following the as of date,
then the bank should report this schedule on the as of date.
Unless otherwise specified, this schedule is only to be completed by holding companies that have
adopted ASU 2016-13 in the stress test cycle year of adoption.
Item 1 First Quarter of CECL Adoption
Report as a date the first quarter in which the actual or projected values for the DFAST-14A
incorporate the adoption of CECL. For example, if PQ4 is the first quarter that incorporates the
adoption of CECL, report the quarter end date for that PQ. If the actual values (i.e., not projected)
values incorporate the adoption of CECL, report the as of date of the DFAST-14A filing.
Item 2 Institutions Applying CECL Transition Provisions
An institution may elect to use the transition provisions associated with CECL, as provided in
section 301 of the regulatory capital rules. Such an institution may begin applying the transition
provisions as of the institution’s CECL adoption date. An electing banking organization must
indicate in its Call Report its election to use the transition provisions, by reporting the amounts in
the affected line items of the regulatory capital schedule, adjusted for the transition provisions.. For
purposes of this item, firms should report the effects of electing the transition provisions associated
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with CECL using the CECL, DTA, and adjusted allowance for credit losses (AACL) transitional
amounts (collectively, “day one effect”), and not the modified CECL and modified AACL transitional
amounts as provided in section 301 of the regulatory capital rules. See the instructions for the Call
Report for more information on the transition provisions.
An institution that has adopted CECL should report whether it is using transition provisions
associated with CECL, as defined in section 301 of the regulatory capital rule. The institution can
choose from the following entries: 0=No; 1 = 3-year CECL Transition; 2 = 5-year 2020 CECL
Transition. An institution that has not adopted CECL should not complete item 2.
For items 2a through 2e, firms should report the day one transition provision amount that is added
back to regulatory capital in year one. For example, for item 2a, firms should report the portion of
the CECL transitional amount, as provided in section 301 of the regulatory capital rule that is added
back to retained earnings for regulatory capital purposes in year one.
Item 2a Institutions Applying CECL Transition Provisions: Retained Earnings
An institution that will elect or has elected to apply transition provisions associated with CECL
must provide the day one effect transition provisions on retained earnings. An institution that will
not elect or has elected not to apply transition provisions associated with CECL must enter 0 in this
item.
Item 2b Institutions Applying CECL Transition Provision: DTAs from Temporary
Differences
An institution that will elect or has elected to apply the transition provisions must provide the day
one effect of the transition provisions on DTAs from temporary differences. An institution that will
not elect or has elected not to apply the transition provisions must enter 0 in this item.
Item 2c Institutions Applying CECL Transition Provisions: Credit Loss Allowances
Eligible for Inclusion in Regulatory Capital
An institution that will elect to or has elected to apply the transition provisions must provide the
day one effect of the transition provisions on credit loss allowances eligible for inclusion in
regulatory capital. An institution that will not elect or has elected not to apply the transition
provisions must enter 0 in this item.
Item 2d Institutions Applying CECL Transition Provisions: Average Total Consolidated
Assets
An institution that will elect to or has elected to apply the transition provisions must provide the
day one effect of the transition provision on average total consolidated assets. An institution that
will not elect or has elected not to apply the transition provisions must enter 0 in this item.
Item 2e Institutions Applying CECL Transition Provision: Total Leverage Exposure
An institution that is subject to the supplementary leverage ratios and that will elect or has elected
to apply the transition provisions must provide the day one effect of the transition provisions on
total leverage exposure. An institution that will not elect or has elected not to apply the transition
provisions must enter 0 in this item.
Item 3 Adoption of Current Expected Credit Loss Methodology: ASC Topic 326
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An institution that will adopt ASU 2016-13 in the year immediately following the December 31 as of
date should report in this item the cumulative-effect adjustment for the changes in the allowances
for credit losses, net of any related deferred tax assets, recognized in retained earnings as if the
institution had measured its credit loss allowances under CECL in the December 31 as of date of the
year prior to when it first adopts CECL. For example, if an institution will adopt ASU 2016-13 in
2020, the institution would report this item as if it had adopted CECL as-of December 31, 2019.
Exclude from this line item the gross up amounts of purchased credit-impaired assets to purchased
credit-deteriorated assets. An institution that will not adopt ASU 2016-13 in the year immediately
following the December 31 as of date should leave this line item blank.
Item 4 Allowances for Credit Losses Recognized Upon the Acquisition of Purchased
Credit‐Deteriorated Assets
An institution that will adopt ASU 2016-13 in the year immediately following the December 31 as of
date should report in this item, as a positive number, the initial allowance for credit losses
recognized on purchased credit-deteriorated assets as if the institution had measured its credit loss
allowances under CECL in the December 31 as of date of the year prior to when it first adopts CECL.
For example, if an institution will adopt ASU 2016-13 in 2020, the institution would report this item
as if it had adopted CECL as-of December 31, 2019. This item is applicable both in the DFAST-14A
submission prior to the year in which an institution adopts ASU 2016-13 and in any subsequent
periods in which an institution acquires purchased credit-deteriorated assets. For those subsequent
periods, an institution should report an amount in this line item only in the reporting period in
which the purchased credit-deteriorated assets have been acquired. An institution that will not
adopt ASU 2016-13 in the year immediately following the December 31 as of date should leave this
line item blank.
Item 5 Effect of Adoption of Current Expected Credit Losses Methodology on Allowances
for Credit Losses on Loans and Leases Held for Investment and Held‐to‐Maturity Debt
Securities
An institution that will adopt ASU 2016-13 in the year immediately following the December 31 as of
date should report in this item the change in the amount of allowances from initially applying ASU
2016-13 to these two categories of assets as if the institution had measured its credit loss
allowances under CECL in the December 31 as of date of the year prior to when it first adopts CECL,
including the initial allowance gross-up for any purchased credit-deteriorated assets held as of the
effective date. For example, if an institution will adopt ASU 2016-13 in 2020, the institution would
report this item as if it had adopted CECL as-of December 31, 2019. An institution that will not
adopt ASU 2016-13 in the year immediately following the December 31 as of date should leave this
line item blank.
Item 6 Total Allowance for Credit Losses
An institution that will adopt ASU 2016-13 in the year immediately following the December 31 as of
date should report the total allowance for credit losses, as well as sub-items 6.a., 6.b, and 6.c, as if
the institution had measured its credit loss allowances under CECL in the December 31 as of date of
the year prior to when it first adopts CECL. For example, if an institution will adopt ASU 2016-13 in
2020, the institution would report items 6, 6.a, 6.b, and 6.c as if it had adopted CECL as-of December
31, 2019. An institution that will not adopt ASU 2016-13 in the year immediately following the
December 31 as of date should leave this line item blank.
Item 6a Allowance for Credit Losses on Loans and Leases Held for Investment
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An institution that will adopt ASU 2016-13 in the year immediately following the December 31 as of
date should report the allowance for credit losses on loans and leases held for investment as if the
institution had measured its credit loss allowances under CECL in the December 31 as of date of the
year prior to when it first adopts CECL. An institution that will not adopt ASU 2016-13 in the year
immediately following the December 31 as of date should leave this line item blank.
Item 6b Allowance for Credit Losses on Held to Maturity Securities
An institution that will adopt ASU 2016-13 in the year immediately following the December 31 as of
date should report the allowance for credit losses on held-to-maturity debt securities as if the
institution had measured its credit loss allowances under 2016-13 in the December 31 as of date of
the year prior to when it first adopts CECL. An institution that will not adopt ASU 2016-13 in the
year immediately following the December 31 as of date should leave this line item blank.
Item 6c Allowance for Credit Losses on Available for Sale Securities
An institution that will adopt ASU 2016-13 in the year immediately following the December 31 as of
date should report the allowance for credit losses on available-for-sale debt securities as if the
institution had measured its credit loss allowances under 2016-13 in the December 31 as of date of
the year prior to when it first adopts CECL. An institution that will not adopt ASU 2016-13 in the
year immediately following the December 31 as of date should leave this line item blank.

OCC SUPPLEMENTAL SCHEDULE

APPENDIX A: SUPPORTING DOCUMENTATION
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
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
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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
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.
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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:
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
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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,
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
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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 sub-schedule should be submitted
in the following folder: Capital Planning.
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
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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
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.
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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
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
155

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.
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.

Starting from 2020 DFAST cycle, institutions that have not adopted ASU 2016-13 should continue to
submit supporting documentation on their OCI and OTTI projections; institutions that have adopted
ASU 2016-13 should submit supporting documentations on their OCI, expected credit loss and
provision projections. Documentation should include documentation of methodologies/models,
assumptions, governance, validation and independent review as outlined in the Supporting
Documentation section of the Overview. An institution may submit separate documents for different
models and/or methodologies.
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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 Methodology24













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).
•

•
•

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?

The request for information associated with OTTI methodology will be eliminated upon full adoption of ASU
2016-13.

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•

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.
Expected Credit Loss and Provision for Credit Loss
•

Describe the models/methodologies used to estimate expected credit losses and provision by
major product or portfolio type. Documentation should include descriptions of all important
assumptions, in particular the scenario assumptions and development process for expected
credit losses and provision.

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:
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RSSD_BANKMNEMONIC_TRADING_METHODOLOGY_MODELTYPE_YYMMDD.
• Documentation should include supporting details explaining the main drivers and attribution
of loss for the overall trading and MTM loss estimate, and for each respective primary
risk/business unit area details on the loss attribution by the primary risk factors.
• Documentation should provide a complete and technical definition of second and higher
order risk factors (cross gamma, vanna, etc.) and describe the methods undertaken by the
firm to estimate the cross gamma and higher-order effects.
• Estimate the contribution to total losses from higher-order risks.
• Describe the evolution of risk per each risk area two weeks before and after the submission date,
i.e. make note of positions that may expire or terminate within this time frame that
significantly alters a risk profile.
• Describe the process and governance & oversight for ensuring the full set of positions
were accounted for and included.
• A detailed and technical description of modeling methods (including pricing models) used,
• Documentation should clearly make note of instances where different methodologies were
used across different business lines with like assets.
• Document approach (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
159

produce the data in the CCR schedule. All information relevant for supervisors to understand the
approach should be included. Any differences between the bank and the scenarios in methodology,
position capture, or other material elements of the loss modeling approach should be
clearly described.
As part of the detailed methodology document, banks should provide an Executive Summary that
gives an overview of each model and answers each of the questions below. If one of the questions
below is not fully addressed in the Executive Summary, cite the page number(s) of the
methodology document that fully addresses the question.
In addition to the Executive Summary, there should be a section of the methodology document
devoted to any divergence from the instructions to the Counterparty Risk Worksheet or the
Schedule. Use this section to explain any data that is missing or not provided as requested. This
section should also be used to describe where and how judgment was used to interpret an
instruction.
1.

Data and systems
a. What product types are included and excluded? Specifically, comment on whether
equities are excluded and what types of securitized products, if any, are excluded.
Comment on the materiality of any exclusions.
b. Are there any issuer type exclusions? Comment on the materiality of any exclusions.
c. Are there any exposure measurement or trade capture limitations impacting
the Trading IDR loss estimate in Item 1 on the Counterparty Risk Worksheet in
the SUMMARY_SCHEDULE? If so, make sure to elaborate in the documentation,
particularly where these limitations understate losses.
d. Are there any discrepancies in position capture between the MV and Notionals
reported in Worksheets Corporate Credit-Advanced, Corporate Credit-EM,
Sovereign Credit, Credit Correlation, or IDR- Corporate Credit? If so, elaborate on
the discrepancies in the documentation.
e. Are any index or structured exposures decomposed/unbundled into single name
exposures? If so, provide a description of the exposures that are decomposed and
the methodology used.
f. What types of CVA hedges are included in Item 10 on the Trading Worksheet of the
SUMMARY_SCHEDULE (e.g., market risk hedges, counterparty risk hedges)?
Which, if any, of these hedges are excluded from the Trading IDR loss estimates
(Item 1 on the Counterparty Risk Worksheet of the SUMMARY_SCHEDULE)?
Confirm that hedges modeled in Trading IDR are excluded from CCR IDR.
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.
160

3.
4.

5.
6.

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 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.
Liquidity horizon
a. What liquidity horizon assumptions are used?
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.
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?
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
161

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.
LGD methodology
a. For the LGD used to calculate PD, are market implied recovery rates used? If not,
elaborate on the source of the LGD assumption in the methodology documentation.
b. Is the same recovery/LGD used in the CVA calculation as is used to calculate PDs from
the CDS spread? If not, in the documentation provide a detailed rationale and backup
data to support the use of a different LGD, and provide the source of the LGD used to
calculate CVA.
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?
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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.
Liquidity horizon
a. What liquidity horizon assumptions are used?
Exposure at default (EAD)
b.

5.
6.

a.
b.

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
163

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.
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
164

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

5)
6)

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
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
165

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.

Other

1) Banks are also expected to address items requested in the Supporting Documentation portion of
the Overview section (beginning on page 4) as applicable to PPNR if not already addressed per
PPNR documentations guidance as stated above.
2) Banks are encouraged to submit any other information and documentation (including data series)
that would support 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
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
166

•
•
•
•
•
•

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/buydown grids, etc.)?
• How were HARP assumptions, if any, estimated?
• What market share is assumed, and does this change within the stress scenario?
• Does the submission include any MSR sales or purchases under the supervisory stress? If
yes, please provide detail.
• What is the composition of the underlying portfolio of loans serviced for others with
respect to the following, and how does this composition change (if at all) during the
supervisory stress scenario?
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?
167

•
•
•
•
•
•
•
•
•
•
•
•

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
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.
168

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).
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
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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 summary schedule where such projected
financial losses have been recorded.

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File Type	application/pdf
File Title	Microsoft Word - DFAST14A_Instructions_2021_(Update Publish)
Author	Sean.Geary
File Modified	2021-01-25
File Created	2021-01-25