Form FFIEC 101 FFIEC 101 Basel II Reporting Schedules

Draft 1/23/08
FFIEC 101

Federal Financial Institutions Examination Council

Risk-Based Capital Reporting for Institutions Subject to the Advanced
Capital Adequacy Framework –FFIEC 101
Report at the close of business [insert date]
This report is required by law: [insert citations]

The FFIEC 101 is to be prepared in accordance with Federal regulatory authority instructions. The report must be signed by a
senior official of the reporting entity who can attest that the risk estimates and other information submitted in this report meet
the requirements set forth in 72 Fed. Reg. 69288 (“the final rule” that implements the advanced approaches for determining
risk-based capital for credit and operational risk) and the FFIEC 101 reporting instructions. The senior officer may be the
chief financial officer, the chief risk officer, and equivalent senior officer, or a combination thereof.
I, the undersigned senior officer of the named bank, bank holding company, or savings association attest that the FFIEC 101
report for this report date have been prepared in conformance with the instructions issued by the Federal regulatory authority
and that the reported risk estimates meet the requirements set forth in the final rule to the best of my knowledge and belief.
_____________________________________________
Signature of Senior Officer
_____________________________________________
Title of Officer
_____________________________________________
Date of Signature
To fulfill the signature and attestation requirement for the FFIEC 101 for this report date, attach your bank’s completed
signature page (or a photocopy or a computer-generated version of this page) to the hard-copy records of the data file
submitted electronically that your bank must place in its files.
The appearance of your bank’s hard-copy record of the submitted data file need not match exactly the appearance of the
FFIEC’s sample report forms, but should show the caption of each reported item and reported amounts.
_____________________________________________
Legal Title of Bank
_____________________________________________
City
_____________________________________________
State Abbreviation
Zip Code

Draft 1/23/08
FFIEC 101

Schedule A - ADVANCED RISK-BASED CAPITAL
Part 1: Risk-Based Capital Numerator and Ratios for Banks and Bank Holding
Companies
Tier 1 capital
1. Total equity capital ...................................................................................................................
2. LESS: Net unrealized gains (losses) on available-for-sale securities (if a gain, report as a
positive value; if a loss, report as a negative value) .........................................................................
3. LESS: Net unrealized loss on available-for-sale EQUITY securities (report loss as a positive
value) ...............................................................................................................................................
4. LESS: Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive
value; if a loss, report as a negative value) .......................................................................................
5. LESS: Nonqualifying perpetual preferred stock ................................................................................
6a. Qualifying minority interests in consolidated subsidiaries .................................................................
6b. Qualifying trust preferred securities ………………… …………………………………………………..
7a. LESS: Disallowed goodwill and other disallowed intangible assets ................................................
7b. LESS: Cumulative change in fair value of all financial liabilities accounted for under a fair value option
that is included in retained earnings and is attributable to changes in the bank’s own creditworthiness
(if a net gain, report as a positive value: if a net loss, report as a negative value)…………………….
8. Subtotal (sum of items 1 and 6a and 6b, less items 2, 3, 4, 5, and 7a and 7b) ............................................................
9a. LESS: Disallowed servicing assets and purchased credit card relationships .....................
9b. LESS: Disallowed deferred tax assets …………………………………………………………
9c. LESS: Shortfall of eligible credit reserves below total expected credit losses (50% of shortfall
plus any tier 2 carryover) ……………………………………………………………………
9d. LESS: Gain-on-sale associated with securitization exposures………………………………
9e. LESS: Certain failed capital markets transactions (50% of deductions plus any tier 2 carryover)
9f. LESS: Other securitization deductions (50% of deductions plus any tier 2 carryover) .…………………….
10a. LESS: Insurance underwriting subsidiaries’ minimum regulatory capital (for BHCs only) ………………
10b. Other additions to (deductions from) Tier 1 capital ........................................................................
11. Tier 1 capital (sum of items 8 and 10b, less item 10a and 9a through 9f)..............................................
Tier 2 capital
12. Qualifying subordinated debt and redeemable preferred stock ........................................................
13. Qualifying cumulative perpetual preferred stock includible in Tier 2 capital ......................................
14. Excess of eligible credit reserves over total expected credit losses (up to 0.60% of credit risk-weighted
assets) .......................................................................................................................................................
15. Unrealized gains on available-for-sale equity securities includible in Tier 2 capital ..........................
16a. LESS: Insurance underwriting subsidiaries’ minimum regulatory capital (for BHCs only) ……………
16b. Other additions to (deductions from) Tier 2 capital .......................................................................
Adjustments to Tier 2 capital
17a. LESS: Shortfall of eligible credit reserves below total expected credit losses (up to lower of
50% of the shortfall or amount of tier 2 capital)………………………………………………………………
17b. LESS: Certain failed capital markets transactions (up to the lower of 50% of deductions
from such failed transactions or amount of tier 2 capital)……………………………………………………
17c. LESS: Other securitization deductions (up to lower of 50% of deductions or amount of
tier 2 capital) ………………………………………………………………………………………………………
18. Tier 2 capital (sum of items 12 through 15 and 16b, less item 16a and 17a through 17c)……….
19. Allowable Tier 2 capital (lesser of item 11 or 18) ...............................................................................
20. Tier 3 capital allocated for market risk................................................................................................
21. LESS: Deductions from total risk-based capital………………………………………………………….
22. Total risk-based capital (sum of items 11, 19, 20, less item 21) .................................................
Adjustments for financial subsidiaries (for banks only)
23a. Adjustment to Tier 1 capital reported in item 11 ....................................................................
23b. Adjustment to total risk-based capital reported in item 22....................................................
24. Adjustment to risk-weighted assets .................................................................................................

Draft 1/23/08
FFIEC 101
Capital ratios
(Column B is to be completed by all banks and bank holding companies. Column A is to be completed by banks with financial subsidiaries.)

25. Tier 1 risk-based capital ratio ……………………………………………
26. Total risk-based capital ratio2 …………………………………………….
1

(Column A)
Percentage

(Column B)
Percentage

27. Eligible credit reserves………………………………………..
28. Total expected credit losses………………………………………..

1 The

ratio for column B is item 11 divided by Schedule B, item 32, Column G. The ratio for column A is item 11 minus item 23.a divided by (Schedule B, item
32, Column G, minus item 24).
2The ratio for column B is item 22 divided by Schedule B, item 32, Column G. The ratio for column A is item 22 minus item 23.b divided by (Schedule B, item
32, Column G, minus item 24).

Draft 1/23/08
FFIEC 101

Schedule A – ADVANCED RISK-BASED CAPITAL
Part 2: Risk-Based Capital Numerator and Ratios for Savings Associations

Tier 1 Capital
1. Total Equity Capital……………..………………………………………………
Deduct:
2. Investments in and Advances to “Nonincludable” Subsidiaries……………
3. Goodwill and Certain Other Intangible Assets………………………………
4. Disallowed Servicing Assets, Disallowed Deferred Tax Assets,
and Other Disallowed Assets………………………………………………
5. Shortfall of eligible credit reserves below total expected credit losses (50% of
of shortfall plus tier 2 carryover*)…………………………………………
6. Gain-on-sale associated with securitization…………………………………
7. Certain failed capital markets transactions (50% of deductions plus tier 2
Carryover)………………………………………………………………………
8. Other securitization deductions (50% of deductions plus tier 2 carryover*).
9. Other……………………………………………………………………………..
Add:
10. Accumulated Losses (Gains) on Certain Available-for-Sale Securities
and Cash Flow Hedges, Net of Taxes………………………………………...
11. Intangible Assets………………………………………………………………
12. Minority Interest in Includable Consolidated Subsidiaries Including REIT
Preferred Stock Reported as a Borrowing………………………………..
13. Other……………………………………………………………………………
14. Tier 1 Capital……………………………………..………………………….

Comparable
To:
CCR100
CCR105
CCR115

n.a

n.a.
n.a.
CCR134

CCR180
CCR185
CCR190
CCR195
n.a.

$000s

Draft 1/23/08
FFIEC 101
Tier 2 Capital
15. Unrealized Gains on Available-for-Sale Equity Securities
16. Qualifying Subordinated Debt and Redeemable Preferred Stock
17. Other Equity Instruments
18. Excess of eligible credit reserves over total expected credit losses (up to
0.60% of credit risk-weighted assets)**. …………………………………….
19. Other
Adjustments to Tier 2 Capital:
Deduct:
20. Shortfall of eligible credit reserves below total expected credit losses
(up to lower of 50% of the shortfall or amount of tier 2 capital)……………
21. Certain failed capital markets transactions (up to the lower of 50%
of deductions for such failed transactions or amount of tier 2 capital)
22. Other securitization deductions (up to lower of 50% of deductions
or amount of tier 2 capital)…………………………………………………….
23. Tier 2 Capital

Comparable
to:
CCR302
CCR310
CCR340
n.a.
n.a.

n.a.
n.a.
n.a.
n.a.

24. Allowable Tier 2 Capital

n.a.

25. Add: Tier 3 Capital Allocated for Market Risk

n.a.

26. Subtract:Equity Investments and Other Assets Required to be Deducted

CCR370

27. Total Risk-Based Capital

n.a.

28. Note: Eligible credit reserves

n.a.

29. Note: Total expected credit losses

n.a.

30. Total Risk-Weighted Assets (from Schedule B, Line 32, column G)

n.a.

$000’s

Draft 1/23/08
FFIEC 101
CAPITAL RATIOS:
Total Risk-Based Capital Ratio……………………………………………………
(Total Risk-Based Capital (Line 27) ÷ Total Risk-Weighted Assets (Line 30))

n.a.

__

_ . __ __ %

Tier 1 Risk-Based Capital Ratio…………………………………………………..
(Tier 1 Capital (Line 14) ÷ Total Risk-Weighted Assets (Line 30))

n.a.

__

_ . __ __ %

*Tier 2 carryover is the amount by which 50% of the deductions (i) for the
shortfall of eligible credit reserves below total expected credit losses or (ii)
certain failed capital markets transactions, or (iii) other securitization
deductions exceed actual tier 2 capital.
**The term credit risk-weighted assets for purposes of computing the
amount of excess eligible credit reserves includable in Tier 2 capital
refers to the product of 1.06 times the sum of: (i) total wholesale and retail
risk-weighted assets; (ii) risk-weighted assets for securitization exposures;
( and
) (iii) risk-weighted assets for equity exposures.

Draft 1/23/08
FFIEC 101

Schedule B

Summary Risk-Weighted Asset Information for Banks Approved to Use Advanced Internal RatingsBased and Advanced Measurement Approaches for Regulatory Capital Purposes
Non-Defaulted and Defaulted Exposures

Exposure Category

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

Wholesale Exposures
Corporate
Bank
Sovereign
IPRE
HVCRE
Eligible margin loans, repo-style transactions and OTC Derivatives with
Cross-Product Netting - EAD Adjustment Method
Eligible margin loans, repo-style transactions and OTC Derivatives with
Cross-Product Netting - Collateral Reflected in LGD
Eligible margin loans, repo-style transactions - No Cross-Product Netting EAD Adjustment Method
Eligible margin loans, repo-style transactions - No Cross-Product Netting Collateral Reflected in LGD
OTC Derivatives - No Cross-Product Netting - EAD Adjustment Method
OTC Derivatives - No Cross-Product Netting - Collateral Reflected in LGD
Retail Exposures
Residential Mortgage - Closed-end First Lien Exposures
Residential Mortgage - Closed-end Junior Lien Exposures
Residential Mortgage - Revolving Exposures
Qualifying Revolving Exposures
Other Retail Exposures
Securitization Exposures
Subject to Ratings-based Approach
Subject to Internal Assessment Approach
Subject to the Supervisory Formula Approach
Investors' Interest in Securitizations
Equity Exposures
Simple Risk Weight Method (SRWA)
Full Internal Models Approach (IMA)
Partial IMA, Partial SRWA
Other Assets
Unsettled Transactions
Assets Not Included in a Defined Exposure Category
Non-material Portfolios of Exposures
Sum Column G, 1 through 26
Total Credit Risk Weighted Assets (Cell G-27 X 1.06)
Excess Eligible Credit Reserves Not Included in Tier 2 Capital
Market Risk Equivalent Assets
Operational Risk
TOTAL (add cells G-28, G-30, and G-31, and subtract G-29)

A
Weighted
Average
Probability
of Default
(%)

B
Balance
Sheet
Amount
($)

C

D

Total Undrawn Exposure at
Default
Amount
($)
($)

E

F

G

H

Weighted
Average
Maturity
(Years)

Wtd Avg LGD
after
consideration of
credit risk
mitigants
(%)

Risk
Weighted
Assets
($)

Expected
Credit Loss
($)

Draft 1/23/08
FFIEC 101

Schedule C - Wholesale Exposure - Corporate
A

PD Range (%)

Weighted
Average
Obligor PD

C

B

D

Number of Balance Sheet Total Undrawn
Amount
Amount
Obligors
($)
($)

E

F

G

EAD
($)

Weighted
Average
Effective
Maturity
(Years)

Weighted Average
LGD before
consideration of
eligible guarantees
and credit derivatives
(%)

sum

wtd avg

wtd avg

(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

0.00 to <0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 (default)
TOTAL *

100
wtd avg

sum

sum

Risk Weighted Assets associated with non-material
14 portfolios not included above
* Cells in line 13 are calculated.
** Not calculated from previous column entries.

sum

H

I

J

K

Effect of PD
Wtd Avg LGD
Risk Weighted
Effect of
substitution and
after
Assets
Double Default
LGD adjustment
consideration of
($)**
Treatment on
approaches on
credit risk
RWA ($)
RWA
mitigants
($)
(%)

wtd avg

sum

sum

sum

L
Expected
Credit Loss
($)

sum

Draft 1/23/08
FFIEC 101

Schedule D - Wholesale Exposure - Bank

PD Range

(%)

A

B

Weighted
Average
Obligor PD

Number of
Obligors

C

D

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

E

F

G

H

EAD
($)

Weighted
Average
Effective
Maturity
(Years)

Weighted Average
LGD before
consideration of
eligible guarantees
and credit derivatives
(%)

Wtd Avg LGD
after
consideration of
credit risk
mitigants
(%)

sum

wtd avg

wtd avg

wtd avg

(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

0.00 to <0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 (default)
TOTAL*

100
wtd avg

sum

sum

Risk Weighted Assets associated with non-material portfolios
14 not included above
* Cells in line 13 are calculated.
** Not calculated from previous column entries.

sum

I
Effect of PD
substitution and
LGD adjustment
approaches on
RWA
($)

sum

J

K

Risk Weighted Expected
Credit Loss
Assets **
($)
($)

sum

sum

Draft 1/23/08
FFIEC 101

Schedule E - Wholesale Exposure - Sovereign

PD Range

1
2
3
4
5
6
7
8
9
10
11
12
13

(%)

0.00 to <0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 (default)
TOTAL*

A

B

Weighted
Average
Obligor PD

Number of
Obligors

C

D

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

E

F

G

H

EAD
($)

Weighted
Average
Effective
Maturity
(Years)

Weighted Average
LGD before
consideration of
eligible guarantees
and credit derivatives
(%)

Wtd Avg LGD
after
consideration of
credit risk
mitigants
(%)

sum

wtd avg

wtd avg

wtd avg

(%)

100
wtd avg

sum

sum

Risk Weighted Assets associated with non-material portfolios
14 not included above
* Cells in line 13 are calculated.
** Not calculated from previous column entries.

sum

I
Effect of PD
substitution and
LGD adjustment
approaches on
RWA
($)

sum

J

K

Risk Weighted Expected
Assets **
Credit Loss
($)
($)

sum

sum

Draft 1/23/08
FFIEC 101

Schedule F - Wholesale Exposure - IPRE

1
2
3
4
5
6
7
8
9
10
11
12
13

A

B
Number of
Obligors

PD Range (%)

Weighted
Average
Obligor PD

0.00 to <0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 (default)
TOTAL*

100
wtd avg

C

D

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

E

F

G

EAD
($)

Weighted
Average
Effective
Maturity
(Years)

Weighted Average
LGD before
consideration of
eligible guarantees
and credit derivatives
(%)

sum

wtd avg

wtd avg

(%)

sum

sum

Risk Weighted Assets associated with non-material portfolios
14 not included above
* Cells in line 13 are calculated.
** Not calculated from previous column entries.

sum

H

I

J

K

L

Effect of PD
Wtd Avg LGD
Risk Weighted Expected
Effect of
substitution and
after
Assets **
Credit Loss
Double Default
LGD adjustment
consideration of
($)
($)
Treatment on
approaches on
credit risk
RWA
($)
RWA
mitigants
($)
(%)

wtd avg

sum

sum

sum

sum

Draft 1/23/08
FFIEC 101

Schedule G - Wholesale Exposure - HVCRE

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

0.00 to <0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 (default)
TOTAL*

A

B

Weighted
Average
Obligor PD

Number of
Obligors

C

D

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

E

F

G

EAD
($)

Weighted
Average
Effective
Maturity
(Years)

Weighted Average
LGD before
consideration of
eligible guarantees
and credit derivatives
(%)

sum

wtd avg

wtd avg

(%)

100
wtd avg

sum

sum

Risk Weighted Assets associated with non-material portfolios
14 not included above
* Cells in line 13 are calculated.
** Not calculated from previous column entries.

sum

H

I

J

K

L

Effect of PD
Effect of
Risk
Wtd Avg LGD
Expected
substitution and
Double Weighted Credit
after
LGD adjustment
Default
Assets**
consideration of
Loss
approaches on
Treatment
($)
credit risk
($)
RWA
on
RWA
mitigants
($)
($)
(%)

wtd avg

sum

sum

sum

sum

Draft 1/23/08
FFIEC 101

Schedule H - Wholesale Exposure - Eligible Margin Loans, Repo-Style Transactions and OTC Derivatives
WITH CROSS-PRODUCT NETTING

PD Range

1
2
3
4
5
6
7
8
9
10
11
12

(%)

0.00 to < 0.03
0.03 to < 0.10
0.10 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < .75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 100.00
100 (default)
Eligible margin loans where a 300%
13
risk-weight has been applied
14 TOTAL*

A

B

Weighted
Average PD
(%)

Weighted
Average
Effective
Maturity
(Years)

Exposures with EAD Adjustment
C
D
EAD
($)

E

F

Weighted Risk Weighted Expected
Credit Losses
Average LGD
Assets**
($)
(%)
($)

100

wtd avg

* Cells in line 14 are calculated.
** Not calculated from previous column entries.

G
Weighted
Average PD
(%)

Exposures Where Collateral Is Reflected in LGD
J
K
I
H
Weighted
Average
Maturity
(Years)

EAD
($)

wtd avg

sum

L

Expected
Weighted Risk Weighted
Credit Losses
Average LGD
Assets**
($)
(%)
($)

100

wtd avg

sum

wtd avg

sum

sum

wtd avg

wtd avg

sum

sum

Draft 1/23/08
FFIEC 101

Schedule I - Wholesale Exposure - Eligible Margin Loans and Repo-Style Transactions
No Cross-Product Netting

PD Range

1
2
3
4
5
6
7
8
9
10
11
12

(%)

0.00 to < 0.03
0.03 to < 0.10
0.10 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < .75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 100.00
100 (default)

A

B

Weighted
Average PD
(%)

Weighted
Average
Effective
Maturity
(Years)

Exposures with EAD Adjustment
D
C
EAD
($)

Weighted
Average LGD
(%)

E

F

G

Risk
Weighted
Assets**
($)

Expected
Credit
Losses
($)

Weighted
Average PD
(%)

100

Exposures Where Collateral Is Reflected in LGD
H
K
J
I
Weighted
Average
Maturity
(Years)

EAD
($)

Weighted
Average
LGD
(%)

wtd avg

sum

wtd avg

L

Risk Weighted
Expected
Assets**
Credit Losses
($)
($)

100

Eligible margin loans where a 300%
13
risk-weight has been applied
14 TOTAL*

wtd avg

wtd avg

sum

EAD Adjustment Method (%):
15

% of line 14, column C calculated using:
*
**

Cells in line 14 are calculated.
Not calculated from previous column entries.

wtd avg

sum

sum

M1
Collateral
Haircut

M2

M3
Internal
Models

Simple VaR

wtd avg

sum

sum

Draft 1/23/08
FFIEC 101

Schedule J - Wholesale Exposure - OTC Derivatives
No Cross-Product Netting

PD Range

1
2
3
4
5
6
7
8
9
10
11
12
13

0.00 to < 0.03
0.03 to < 0.10
0.10 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < .75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 100.00
100 (default)
TOTAL*

(%)

Exposures with EAD Adjustment
C
D

A

B

Weighted
Average
PD
(%)

Weighted
Average
Effective
Maturity
(Years)

EAD
($)

wtd avg

sum

100
wtd avg

EAD Adjustment Method (%):
14

E

Weighted
Risk Weighted
Average LGD
Assets**
(%)
($)

wtd avg

sum

M1
Collateral
Haircut

M2

F

G

Expected
Credit
Losses
($)

Weighted
Average PD
(%)

sum

100
wtd avg

Internal Models

% of line 13, column C calculated using:
* Cells in line 13 are calculated.
** Not calculated from previous column entries.
*** Report exposures for which the bank uses the current exposure methodology to determine EAD and reflects collateral, if any, in LGD.

Exposures Where Collateral Reflected in LGD***
J
K
I
H
Weighted
Average
Maturity
(Years)

EAD
($)

Weighted
Average
LGD
(%)

wtd avg

sum

wtd avg

L

Risk Weighted
Expected
Assets**
Credit Losses
($)
($)

sum

sum

Draft 1/23/08
FFIEC 101

Schedule K - Retail Exposure - Residential Mortgage - Closed-end First Lien Exposures
A

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.00 to < 0.05
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.20
0.20 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to < 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 Default
TOTAL*

B

Weighted Number of
Average PD Exposures
(%)

100
wtd avg

sum

C

D

E

F

G

H

I

Total
Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

Weighted
Average
Age
(Months)

Weighted
Average
LGD
(%)

Risk
Weighted
Assets**
($)

Expected
Credit Loss
($)

sum

sum

sum

wtd avg

wtd avg

sum

sum

J

K

Less Than At Least
70%
70% but
($)
less than
80%
($)

sum

sum

LTV***
L

M

N

O

P

At Least
80% but
less than
90%
($)

At Least
90% but
less than
100%
($)

Greater
than or
equal to
100%+
($)

Weighted
Average
Bureau
Score

EAD of
Accounts
with
Updated
LTV

sum

sum

sum

wtd avg

sum

17 Risk Weighted Assets associated with non-material portfolios not included above
18 Credit scores shown in Column O are from which credit scoring system(s)?
*
Cells in line 16 are calculated.
** Not calculated from previous column entries.
*** LTV values should be calculated using only first lien exposures. Where LTV information is available for all accounts, the sum of EADs reported in columns J through N for a given PD range should equal the amount
reported in column E for that same PD range. Otherwise, the sum of EADs reported in columns J through N for a given PD range will be less than the EAD reported in column E for that same PD range.

Draft 1/23/08
FFIEC 101

Schedule L - Retail Exposure - Residential Mortgage - Closed-end Junior Lien Exposures
A

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.00 to < 0.05
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.20
0.20 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to < 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 Default
TOTAL*

B

Weighted Number of
Average Exposures
PD
(%)

100
wtd avg

sum

C

D

E

F

G

H

I

Total
Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

Weighted
Average
Age
(Months)

Weighted
Average
LGD
(%)

Risk
Weighted
Assets**
($)

Expected
Credit
Loss
($)

sum

sum

sum

wtd avg

wtd avg

sum

sum

J

K

Less Than At Least
70% but
70%
less than
($)
80%
($)

sum

sum

LTV***
L

M

N

At Least
80% but
less than
90%
($)

At Least
90% but
less than
100%
($)

Greater
than or
equal to
100%+
($)

sum

sum

sum

O

P

Weighted EAD of
Average Accounts
with
Bureau
Updated
Score
LTV

wtd avg

sum

17 Risk Weighted Assets associated with non-material portfolios not included above
18 Credit scores shown in Column O are from which credit scoring system(s)?
*
**
***

Cells in line 16 are calculated.
Not calculated from previous column entries.
LTV values should be calculated by combining junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in column
J through N for a given PD range should equal the amount reported in column E for that same PD range. Otherwise, the sum of EADs reported in columns J through N for a given PD range will be less than the
EAD reported in column E for that same PD range.

Draft 1/23/08
FFIEC 101

Schedule M - Retail Exposure - Residential Mortgage - Revolving Exposures
A

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.00 to < 0.05
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.20
0.20 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to < 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 Default
TOTAL*

B

Weighted Number of
Average Exposures
PD
(%)

100
wtd avg

sum

C

D

E

F

G

Total
Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

Weighted
Average
Age
(Months)

Weighted
Average
LGD
(%)

sum

sum

sum

wtd avg

wtd avg

H

I

Risk
Expected
Weighted Credit Loss
Assets**
($)
($)

sum

sum

J

K

Less Than At Least
70% but
70%
($)
less than
80%
($)

sum

sum

LTV***
L

M

N

O

P

At Least
80% but
less than
90%
($)

At Least
90% but
less than
100%
($)

Greater
than or
equal to
100%+
($)

Weighted
Average
Bureau
Score

EAD of
Accounts
with
Updated
LTV

sum

sum

sum

wtd avg

sum

17 Risk Weighted Assets associated with non-material portfolios not included above
18 Credit scores shown in Column O are from which credit scoring system(s)?
*
**
***

Cells in line 16 are calculated.
Not calculated from previous column entries.
LTV values should be calculated by combining any junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in
columns J through N for a given PD range should equal the amount reported in column E for that same PD range. Otherwise, the sum of EADs reported in columns J through N for a given PD range will be
less than the EAD reported in column E for that same PD range.

Draft 1/23/08
FFIEC 101

Schedule N - Retail Exposure - Qualifying Revolving Exposures
A
PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.00 to < 0.50
0.50 to < 1.00
1.00 to < 1.50
1.50 to < 2.00
2.00 to < 2.50
2.50 to < 3.00
3.00 to < 3.50
3.50 to < 4.00
4.00 to < 5.00
5.00 to < 6.00
6.00 to < 7.00
7.00 to < 8.00
8.00 to < 10.00
10.00 to < 100
100 Default
TOTAL*

Weighted
Average PD
(%)

B

C

Number of Total Balance
Exposures
Sheet
Amount
($)

D

E

F

G

H

I

J

Total
Undrawn
Amount
($)

EAD
($)

EAD of
Accounts <
Two Years
Old
($)

Weighted
Average
LGD
(%)

Risk
Weighted
Assets**
($)

Expected
Credit Loss
($)

Weighted
Average
Bureau
Score

sum

sum

sum

wtd avg

sum

sum

wtd avg

100
wtd avg

sum

sum

17 Risk Weighted Assets associated with non-material portfolios not included above
18 Credit scores shown in Column J are from which credit scoring system(s)?
*
**

Cells in line 16 are calculated.
Not calculated from previous column entries.

Draft 1/23/08
FFIEC 101

Schedule O - Retail Exposure - Other Retail Exposures
PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.00 to < 0.50
0.50 to < 1.00
1.00 to < 1.50
1.50 to < 2.00
2.00 to < 2.50
2.50 to < 3.00
3.00 to < 3.50
3.50 to < 4.00
4.00 to < 5.00
5.00 to < 6.00
6.00 to < 7.00
7.00 to < 8.00
8.00 to < 10.00
10.00 to < 100
100 Default
TOTAL*

A

B

C

D

E

F

G

H

I

J

Weighted
Average PD
(%)

Number of
Exposures

Total Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

EAD of
Accounts <
Two Years
Old
($)

Weighted
Average
LGD
(%)

Risk
Weighted
Assets**
($)

Expected
Credit Loss
($)

Weighted
Average
Bureau
Score

sum

sum

sum

sum

sum

wtd avg

sum

sum

wtd avg

100
wtd avg

17 Risk Weighted Assets associated with non-material portfolios not included above
18 Credit scores shown in Column J are from which credit scoring system(s)?
*
**

Cells in line 16 are calculated.
Not calculated from previous column entries.

Draft 1/23/08
FFIEC 101

Schedule P - Securitization Exposures Subject to the Ratings-Based or Internal Assessment Approaches

Rating Category

A

B

C

Exposures Subject to
the Ratings-based
Approach (RBA)

Exposures Subject to the
Internal Assessment
Approach (IAA)

Risk Weighted Assets

sum

sum

sum

Exposures with Highest or Second-Highest Investment Grade Long-Term Credit Rating or Highest Investment
1 Grade Short-Term Credit Rating
Exposures with Third-Highest Investment Grade Long Term Credit Rating or Second-Highest Investment Grade
2 Short-Term Credit Rating
Exposures with Lowest Investment Grade Long-Term Credit Rating or Third-Highest Investment Grade Short3 Term Credit Rating
4 Exposures with Long-Term Credit Rating One Category Below Investment Grade
5 Total RBA and IAA Securitization Exposures and Risk Weighted Assets*
* Cells in line 5 are calculated.

Draft 1/23/08
FFIEC 101

Schedule Q - Securitization Detail Schedule
Memorandum Items

Exposure Amount
1
2
3
4
5
6

Deduction for Exposures Subject to the Ratings-Based or Internal Assessment Approach
All Other Deductions for Securitization Exposures
Exposures Subject to the Supervisory Formula Approach
Total exposures to synthetic securitizations
Risk Weighted Assets for Investors' Interest in Securitizations, Retail Credit Lines
Risk Weighted Assets for Investors' Interest in Securitizations, Non-Retail Credit Lines

B

C

Risk Weighted
Assets

Deduction

A

Draft 1/23/08
FFIEC 101
Schedule R - Equity Exposures
B

A
Exposure ($)

1

Risk Weight
or Multiplier

Total Equity Exposures

2 0% Risk Weight

0%

3 20% Risk Weight

20%

4 Community Development Equity Exposures

100%

Simple Risk Weight Approach (SRWA)
5 Effective Portion of Hedge Pairs

100%

6 Non-Significant Equity Exposures

100%

7 Publicly Traded Equity Exposures Under the SRWA

300%

8 Non-Publicly Traded Equity Exposures Under the SRWA

400%

9 600% Risk Weight Equity Exposures Under the SRWA

600%

10 Total RWA Under the SRWA (sum column B, lines 2 - 9)

Equity Exposures to Investment Funds
11 Full Look-through Approach
12 Simple Modified Look-through Approach
13 Alternative Modified Look-through Approach
14 Money Market Fund Approach

7%

15 Total RWA for Investment Funds (sum column B, lines 11 through 14)
16 Total: SRWA (column B, lines 10 and 15)

Full Internal Models Approach (Full IMA)
17 Estimate of Potential Losses on Equity Exposures

12.5

Floors (Full IMA):
18 Publicly Traded

200%

19 Non-Publicly Traded

300%

20 RWA Floors (add from column B, lines 18 and 19)
21 Total RWA - Full IMA (larger of column B, lines 17 and 20)
22 Total: Full IMA (add from column B lines 3, 4, 15, and 21)

Publicly-Traded Internal Models Approach (Partial IMA)
23 Estimate of Potential Losses on Publicly-Traded Equity

12.5

Floors (Partial IMA):
24 Publicly Traded
25 Total RWA -- Partial IMA (larger of column B, lines 23 and 24)
26 Total: Partial IMA, Partial SRWA (add from column B lines 3, 4, 8, 9, 15, and 25)

200%

Risk Weighted
Assets ($)

Draft 1/23/08
FFIEC 101

Schedule S - Operational Risk

PUBLIC ITEMS
Operational Risk Capital
Risk-based Capital Requirement for Operational Risk
2
Is item 1 generated from an "alternative operational risk quantification system?"
1

(Y/N)

CONFIDENTIAL ITEMS
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
Expected Operational Loss (EOL)
4
Total Eligible Operational Risk Offsets
4a
Eligible GAAP reserves
4b
Other eligible offsets
3

Total Risk-based Capital Requirement for Operational Risk without:
Dependence assumptions
6
Adjustments reflecting business environment and internal control factors
7
Risk mitigants (e.g., insurance)
5

8
8a
8b
8c
8d
9
10
11
12
13
14
14a
14b
14c
14d
14e
14f
14g
15
15a
15b
15c
15d
15e
15f
15g

16
17
18
18a
18b
18c
18d
18e
18f

Internal Operational Loss Event Data Characteristics
Date ranges of internal operational loss event data used in modeling operational risk capital:
Starting date for frequency distribution (if applicable)
Ending date for frequency distribution (if applicable)
Starting date for severity distribution (if applicable)
Ending date for severity distribution (if applicable)
Highest dollar threshold applied in modeling internal operational loss event data
Does the dollar threshold change across units of measure?
Total number of loss events
Total dollar amount of loss events
Dollar amount of largest loss event
Number of loss events in the following ranges (e.g., ≥ $10,000 and < $100,000):
Less than $10,000
$10,000 - $100,000
$100,000 - $1 Million
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $1 Billion
$1 Billion+
Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):
Less than $10,000
$10,000 - $100,000
$100,000 - $1 Million
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $1 Billion
$1 Billion+
Scenario Analysis
How many individual scenarios were used in calculating the risk-based capital requirement for
operational risk?
What is the dollar value of the largest individual scenario?
Number of scenarios in the following ranges (e.g., ≥ $1 Million and < $10 Million):
Less than $1 Million
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $500 Million
$500 Million - $1 Billion
$1 Billion+

Distributional Assumptions
How many units of measure were used in calculating the risk-based capital requirement for operational
risk?
20
Frequency Distribution: Across how many individual units of measure did the choice of frequency
distribution change since the last reporting period (if applicable)?
21
Severity Distribution: Across how many individual units of measure did the choice of severity
distribution change since the last reporting period (if applicable)?
19

Loss Caps
How many loss caps are used in calculating the risk-based capital requirement for operational risk?
23
What is the dollar amount of the smallest cap used (if applicable)?
24
What is the dollar amount of the largest cap used (if applicable)?
22

MM/YYYY
MM/YYYY
MM/YYYY
MM/YYYY
(Y/N)